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Merge pull request #1802 from c9s/c9s/xmaker/truncate-balances

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FIX: [xmaker] truncate balances before submitting orders
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c9s 2024-11-04 17:32:26 +08:00 committed by GitHub
commit 6f1b216e14
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1 changed files with 8 additions and 2 deletions
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10
pkg/strategy/xmaker/strategy.go
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@ -1060,9 +1060,11 @@ func (s *Strategy) tryArbitrage(ctx context.Context, quote *Quote, makerBalances
return false, nil return false, nil
} }
availableQuote := s.makerMarket.TruncateQuoteQuantity(quoteBalance.Available)
askPvs := s.makerBook.SideBook(types.SideTypeSell) askPvs := s.makerBook.SideBook(types.SideTypeSell)
sumPv := aggregatePriceVolumeSliceWithPriceFilter(types.SideTypeSell, askPvs, marginBidPrice) sumPv := aggregatePriceVolumeSliceWithPriceFilter(types.SideTypeSell, askPvs, marginBidPrice)
qty := fixedpoint.Min(quoteBalance.Available.Div(sumPv.Price), sumPv.Volume) qty := fixedpoint.Min(availableQuote.Div(sumPv.Price), sumPv.Volume)
if sourceBase, ok := hedgeBalances[s.sourceMarket.BaseCurrency]; ok { if sourceBase, ok := hedgeBalances[s.sourceMarket.BaseCurrency]; ok {
qty = fixedpoint.Min(qty, sourceBase.Available) qty = fixedpoint.Min(qty, sourceBase.Available)
@ -1077,6 +1079,7 @@ func (s *Strategy) tryArbitrage(ctx context.Context, quote *Quote, makerBalances
iocOrders = append(iocOrders, types.SubmitOrder{ iocOrders = append(iocOrders, types.SubmitOrder{
Symbol: s.Symbol, Symbol: s.Symbol,
Market: s.makerMarket,
Type: types.OrderTypeLimit, Type: types.OrderTypeLimit,
Side: types.SideTypeBuy, Side: types.SideTypeBuy,
Price: sumPv.Price, Price: sumPv.Price,
@ -1090,9 +1093,11 @@ func (s *Strategy) tryArbitrage(ctx context.Context, quote *Quote, makerBalances
return false, nil return false, nil
} }
availableBase := s.makerMarket.TruncateQuantity(baseBalance.Available)
bidPvs := s.makerBook.SideBook(types.SideTypeBuy) bidPvs := s.makerBook.SideBook(types.SideTypeBuy)
sumPv := aggregatePriceVolumeSliceWithPriceFilter(types.SideTypeBuy, bidPvs, marginAskPrice) sumPv := aggregatePriceVolumeSliceWithPriceFilter(types.SideTypeBuy, bidPvs, marginAskPrice)
qty := fixedpoint.Min(baseBalance.Available, sumPv.Volume) qty := fixedpoint.Min(availableBase, sumPv.Volume)
if sourceQuote, ok := hedgeBalances[s.sourceMarket.QuoteCurrency]; ok { if sourceQuote, ok := hedgeBalances[s.sourceMarket.QuoteCurrency]; ok {
qty = fixedpoint.Min(qty, quote.BestAskPrice.Div(sourceQuote.Available)) qty = fixedpoint.Min(qty, quote.BestAskPrice.Div(sourceQuote.Available))
@ -1108,6 +1113,7 @@ func (s *Strategy) tryArbitrage(ctx context.Context, quote *Quote, makerBalances
// send ioc order for arbitrage // send ioc order for arbitrage
iocOrders = append(iocOrders, types.SubmitOrder{ iocOrders = append(iocOrders, types.SubmitOrder{
Symbol: s.Symbol, Symbol: s.Symbol,
Market: s.makerMarket,
Type: types.OrderTypeLimit, Type: types.OrderTypeLimit,
Side: types.SideTypeSell, Side: types.SideTypeSell,
Price: sumPv.Price, Price: sumPv.Price,