lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-11-21 22:43:52 +00:00
Code Issues Actions 2 Packages Projects Releases Wiki Activity

grid2: pull out aggregateOrderBaseFee

Browse Source
This commit is contained in:
c9s 2022-12-06 11:48:32 +08:00
parent 68e7d0ec24
commit 75521352a9
1 changed files with 46 additions and 34 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

80
pkg/strategy/grid2/strategy.go
View File

@ -241,7 +241,50 @@ func (s *Strategy) verifyOrderTrades(o types.Order, trades []types.Trade) bool {
return true
}
// handleOrderFilled is called when a order status is FILLED
// aggregateOrderBaseFee collects the base fee quantity from the given order
// it falls back to query the trades via the RESTful API when the websocket trades are not all received.
func (s *Strategy) aggregateOrderBaseFee(o types.Order) fixedpoint.Value {
baseSellQuantityReduction := fixedpoint.Zero
orderTrades := s.historicalTrades.GetOrderTrades(o)
if len(orderTrades) > 0 {
s.logger.Infof("found filled order trades: %+v", orderTrades)
}
if !s.verifyOrderTrades(o, orderTrades) {
if s.orderQueryService == nil {
return baseSellQuantityReduction
}
s.logger.Warnf("missing order trades or missing trade fee, pulling order trades from API")
// if orderQueryService is supported, use it to query the trades of the filled order
apiOrderTrades, err := s.orderQueryService.QueryOrderTrades(context.Background(), types.OrderQuery{
Symbol: o.Symbol,
OrderID: strconv.FormatUint(o.OrderID, 10),
})
if err != nil {
s.logger.WithError(err).Errorf("query order trades error")
} else {
s.logger.Infof("fetch api trades: %+v", apiOrderTrades)
orderTrades = apiOrderTrades
}
}
if s.verifyOrderTrades(o, orderTrades) {
// check if there is a BaseCurrency fee collected
fees := collectTradeFee(orderTrades)
if fee, ok := fees[s.Market.BaseCurrency]; ok {
baseSellQuantityReduction = fee
s.logger.Infof("baseSellQuantityReduction: %f %s", baseSellQuantityReduction.Float64(), s.Market.BaseCurrency)
return baseSellQuantityReduction
}
}
return baseSellQuantityReduction
}
// handleOrderFilled is called when an order status is FILLED
func (s *Strategy) handleOrderFilled(o types.Order) {
if s.grid == nil {
return
@ -262,39 +305,8 @@ func (s *Strategy) handleOrderFilled(o types.Order) {
// because when 1.0 BTC buy order is filled without FEE token, then we will actually get 1.0 * (1 - feeRate) BTC
// if we don't reduce the sell quantity, than we might fail to place the sell order
if o.Side == types.SideTypeBuy {
orderTrades := s.historicalTrades.GetOrderTrades(o)
if len(orderTrades) > 0 {
s.logger.Infof("found filled order trades: %+v", orderTrades)
}
if !s.verifyOrderTrades(o, orderTrades) {
s.logger.Warnf("missing order trades or missing trade fee, pulling order trades from API")
// if orderQueryService is supported, use it to query the trades of the filled order
if s.orderQueryService != nil {
apiOrderTrades, err := s.orderQueryService.QueryOrderTrades(context.Background(), types.OrderQuery{
Symbol: o.Symbol,
OrderID: strconv.FormatUint(o.OrderID, 10),
})
if err != nil {
s.logger.WithError(err).Errorf("query order trades error")
} else {
s.logger.Infof("fetch api trades: %+v", apiOrderTrades)
orderTrades = apiOrderTrades
}
}
}
if s.verifyOrderTrades(o, orderTrades) {
// check if there is a BaseCurrency fee collected
fees := collectTradeFee(orderTrades)
if fee, ok := fees[s.Market.BaseCurrency]; ok {
baseSellQuantityReduction = fee
s.logger.Infof("baseSellQuantityReduction: %f %s", baseSellQuantityReduction.Float64(), s.Market.BaseCurrency)
newQuantity = newQuantity.Sub(baseSellQuantityReduction)
}
}
baseSellQuantityReduction = s.aggregateOrderBaseFee(o)
newQuantity = newQuantity.Sub(baseSellQuantityReduction)
}
switch o.Side {