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Merge pull request #1802 from c9s/c9s/xmaker/truncate-balances
FIX: [xmaker] truncate balances before submitting orders
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commit
6f1b216e14
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@ -1060,9 +1060,11 @@ func (s *Strategy) tryArbitrage(ctx context.Context, quote *Quote, makerBalances
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return false, nil
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}
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availableQuote := s.makerMarket.TruncateQuoteQuantity(quoteBalance.Available)
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askPvs := s.makerBook.SideBook(types.SideTypeSell)
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sumPv := aggregatePriceVolumeSliceWithPriceFilter(types.SideTypeSell, askPvs, marginBidPrice)
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qty := fixedpoint.Min(quoteBalance.Available.Div(sumPv.Price), sumPv.Volume)
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qty := fixedpoint.Min(availableQuote.Div(sumPv.Price), sumPv.Volume)
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if sourceBase, ok := hedgeBalances[s.sourceMarket.BaseCurrency]; ok {
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qty = fixedpoint.Min(qty, sourceBase.Available)
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@ -1077,6 +1079,7 @@ func (s *Strategy) tryArbitrage(ctx context.Context, quote *Quote, makerBalances
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iocOrders = append(iocOrders, types.SubmitOrder{
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Symbol: s.Symbol,
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Market: s.makerMarket,
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Type: types.OrderTypeLimit,
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Side: types.SideTypeBuy,
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Price: sumPv.Price,
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@ -1090,9 +1093,11 @@ func (s *Strategy) tryArbitrage(ctx context.Context, quote *Quote, makerBalances
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return false, nil
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}
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availableBase := s.makerMarket.TruncateQuantity(baseBalance.Available)
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bidPvs := s.makerBook.SideBook(types.SideTypeBuy)
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sumPv := aggregatePriceVolumeSliceWithPriceFilter(types.SideTypeBuy, bidPvs, marginAskPrice)
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qty := fixedpoint.Min(baseBalance.Available, sumPv.Volume)
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qty := fixedpoint.Min(availableBase, sumPv.Volume)
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if sourceQuote, ok := hedgeBalances[s.sourceMarket.QuoteCurrency]; ok {
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qty = fixedpoint.Min(qty, quote.BestAskPrice.Div(sourceQuote.Available))
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@ -1108,6 +1113,7 @@ func (s *Strategy) tryArbitrage(ctx context.Context, quote *Quote, makerBalances
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// send ioc order for arbitrage
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iocOrders = append(iocOrders, types.SubmitOrder{
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Symbol: s.Symbol,
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Market: s.makerMarket,
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Type: types.OrderTypeLimit,
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Side: types.SideTypeSell,
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Price: sumPv.Price,
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