Merge pull request #1006 from c9s/feature/grid2

strategy: grid2 [part 1] - initializing grid orders

.github/workflows/go.yml

@@ -9,6 +9,7 @@ on:
 jobs:
   build:
     runs-on: ubuntu-latest
+    timeout-minutes: 15
 
     strategy:
       matrix:

config/grid2-max.yaml

@@ -0,0 +1,50 @@
+---
+sessions:
+  max:
+    exchange: max
+    envVarPrefix: max
+
+# example command:
+#    godotenv -f .env.local -- go run ./cmd/bbgo backtest --config config/grid2-max.yaml --base-asset-baseline
+backtest:
+  startTime: "2022-01-01"
+  endTime: "2022-11-25"
+  symbols:
+  - BTCUSDT
+  sessions: [max]
+  accounts:
+    binance:
+      balances:
+        BTC: 0.0
+        USDT: 10000.0
+
+exchangeStrategies:
+
+- on: max
+  grid2:
+    symbol: BTCUSDT
+    upperPrice: 20_000.0
+    lowerPrice: 10_000.0
+    gridNumber: 50
+
+    ## profitSpread is the profit spread of the arbitrage order (sell order)
+    ## greater the profitSpread, greater the profit you make when the sell order is filled.
+    ## you can set this instead of the default grid profit spread.
+    ## by default, profitSpread = (upperPrice - lowerPrice) / gridNumber
+    ## that is, greater the gridNumber, lesser the profit of each grid.
+    # profitSpread: 1000.0
+
+    ## There are 3 kinds of setup
+    ## NOTICE: you can only choose one, uncomment the config to enable it
+    ##
+    ## 1) fixed amount: amount is the quote unit (e.g. USDT in BTCUSDT)
+    # amount: 10.0
+
+    ## 2) fixed quantity: it will use your balance to place orders with the fixed quantity. e.g. 0.001 BTC
+    # quantity: 0.001
+
+    ## 3) quoteInvestment and baseInvestment: when using quoteInvestment, the strategy will automatically calculate your best quantity for the whole grid.
+    ##    quoteInvestment is required, and baseInvestment is optional (could be zero)
+    ##    if you have existing BTC position and want to reuse it you can set the baseInvestment.
+    quoteInvestment: 10_000
+    baseInvestment: 1.0

config/grid2.yaml

@@ -0,0 +1,50 @@
+---
+sessions:
+  binance:
+    exchange: binance
+    envVarPrefix: binance
+
+# example command:
+#   go run ./cmd/bbgo backtest --config config/grid2.yaml --base-asset-baseline
+backtest:
+  startTime: "2022-01-01"
+  endTime: "2022-11-25"
+  symbols:
+  - BTCUSDT
+  sessions: [binance]
+  accounts:
+    binance:
+      balances:
+        BTC: 0.0
+        USDT: 10000.0
+
+exchangeStrategies:
+
+- on: binance
+  grid2:
+    symbol: BTCUSDT
+    upperPrice: 15_000.0
+    lowerPrice: 10_000.0
+    gridNumber: 10
+
+    ## profitSpread is the profit spread of the arbitrage order (sell order)
+    ## greater the profitSpread, greater the profit you make when the sell order is filled.
+    ## you can set this instead of the default grid profit spread.
+    ## by default, profitSpread = (upperPrice - lowerPrice) / gridNumber
+    ## that is, greater the gridNumber, lesser the profit of each grid.
+    # profitSpread: 1000.0
+
+    ## There are 3 kinds of setup
+    ## NOTICE: you can only choose one, uncomment the config to enable it
+    ##
+    ## 1) fixed amount: amount is the quote unit (e.g. USDT in BTCUSDT)
+    # amount: 10.0
+
+    ## 2) fixed quantity: it will use your balance to place orders with the fixed quantity. e.g. 0.001 BTC
+    # quantity: 0.001
+
+    ## 3) quoteInvestment and baseInvestment: when using quoteInvestment, the strategy will automatically calculate your best quantity for the whole grid.
+    ##    quoteInvestment is required, and baseInvestment is optional (could be zero)
+    ##    if you have existing BTC position and want to reuse it you can set the baseInvestment.
+    quoteInvestment: 10_000
+    baseInvestment: 1.0

pkg/cmd/strategy/builtin.go

@@ -17,6 +17,7 @@ import (
 	_ "github.com/c9s/bbgo/pkg/strategy/fmaker"
 	_ "github.com/c9s/bbgo/pkg/strategy/funding"
 	_ "github.com/c9s/bbgo/pkg/strategy/grid"
+	_ "github.com/c9s/bbgo/pkg/strategy/grid2"
 	_ "github.com/c9s/bbgo/pkg/strategy/harmonic"
 	_ "github.com/c9s/bbgo/pkg/strategy/irr"
 	_ "github.com/c9s/bbgo/pkg/strategy/kline"

pkg/exchange/binance/binanceapi/client_test.go

@@ -4,6 +4,8 @@ import (
 	"context"
 	"log"
 	"net/http/httputil"
+	"os"
+	"strconv"
 	"testing"
 
 	"github.com/stretchr/testify/assert"
@@ -12,6 +14,10 @@ import (
 )
 
 func getTestClientOrSkip(t *testing.T) *RestClient {
+	if b, _ := strconv.ParseBool(os.Getenv("CI")); b {
+		t.Skip("skip test for CI")
+	}
+
 	key, secret, ok := testutil.IntegrationTestConfigured(t, "BINANCE")
 	if !ok {
 		t.SkipNow()
@@ -101,6 +107,10 @@ func TestClient_NewGetMarginInterestRateHistoryRequest(t *testing.T) {
 }
 
 func TestClient_privateCall(t *testing.T) {
+	if b, _ := strconv.ParseBool(os.Getenv("CI")); b {
+		t.Skip("skip test for CI")
+	}
+
 	key, secret, ok := testutil.IntegrationTestConfigured(t, "BINANCE")
 	if !ok {
 		t.SkipNow()
@@ -136,6 +146,10 @@ func TestClient_privateCall(t *testing.T) {
 }
 
 func TestClient_setTimeOffsetFromServer(t *testing.T) {
+	if b, _ := strconv.ParseBool(os.Getenv("CI")); b {
+		t.Skip("skip test for CI")
+	}
+
 	client := NewClient("")
 	err := client.SetTimeOffsetFromServer(context.Background())
 	assert.NoError(t, err)

pkg/fixedpoint/dec.go

@@ -958,6 +958,10 @@ func (dn Value) integer(mode RoundingMode) Value {
 	return Value{i, dn.sign, dn.exp}
 }
 
+func (dn Value) Floor() Value {
+	return dn.Round(0, Down)
+}
+
 func (dn Value) Round(r int, mode RoundingMode) Value {
 	if dn.sign == 0 || dn.sign == signNegInf || dn.sign == signPosInf ||
 		r >= digitsMax {

pkg/fixedpoint/dec_dnum_test.go

@@ -3,8 +3,9 @@
 package fixedpoint
 
 import (
-	"github.com/stretchr/testify/assert"
 	"testing"
+
+	"github.com/stretchr/testify/assert"
 )
 
 func TestDelta(t *testing.T) {
@@ -13,6 +14,12 @@ func TestDelta(t *testing.T) {
 	assert.InDelta(t, f1.Mul(f2).Float64(), 41.3, 1e-14)
 }
 
+func TestFloor(t *testing.T) {
+	f1 := MustNewFromString("10.333333")
+	f2 := f1.Floor()
+	assert.Equal(t, "10", f2.String())
+}
+
 func TestInternal(t *testing.T) {
 	r := &reader{"1.1e-15", 0}
 	c, e := r.getCoef()

pkg/service/backtest_test.go

@@ -3,6 +3,8 @@ package service
 import (
 	"context"
 	"database/sql"
+	"os"
+	"strconv"
 	"testing"
 	"time"
 
@@ -15,6 +17,10 @@ import (
 )
 
 func TestBacktestService_FindMissingTimeRanges_EmptyData(t *testing.T) {
+	if b, _ := strconv.ParseBool(os.Getenv("CI")); b {
+		t.Skip("skip test for CI")
+	}
+
 	db, err := prepareDB(t)
 	if err != nil {
 		t.Fatal(err)
@@ -40,6 +46,10 @@ func TestBacktestService_FindMissingTimeRanges_EmptyData(t *testing.T) {
 }
 
 func TestBacktestService_QueryExistingDataRange(t *testing.T) {
+	if b, _ := strconv.ParseBool(os.Getenv("CI")); b {
+		t.Skip("skip test for CI")
+	}
+
 	db, err := prepareDB(t)
 	if err != nil {
 		t.Fatal(err)
@@ -67,6 +77,10 @@ func TestBacktestService_QueryExistingDataRange(t *testing.T) {
 }
 
 func TestBacktestService_SyncPartial(t *testing.T) {
+	if b, _ := strconv.ParseBool(os.Getenv("CI")); b {
+		t.Skip("skip test for CI")
+	}
+
 	db, err := prepareDB(t)
 	if err != nil {
 		t.Fatal(err)
@@ -113,6 +127,10 @@ func TestBacktestService_SyncPartial(t *testing.T) {
 }
 
 func TestBacktestService_FindMissingTimeRanges(t *testing.T) {
+	if b, _ := strconv.ParseBool(os.Getenv("CI")); b {
+		t.Skip("skip test for CI")
+	}
+
 	db, err := prepareDB(t)
 	if err != nil {
 		t.Fatal(err)

pkg/strategy/grid2/grid.go

@@ -0,0 +1,187 @@
+package grid2
+
+import (
+	"math"
+	"sort"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+)
+
+type PinCalculator func() []Pin
+
+type Grid struct {
+	UpperPrice fixedpoint.Value `json:"upperPrice"`
+	LowerPrice fixedpoint.Value `json:"lowerPrice"`
+
+	// Size is the number of total grids
+	Size fixedpoint.Value `json:"size"`
+
+	// TickSize is the price tick size, this is used for truncating price
+	TickSize fixedpoint.Value `json:"tickSize"`
+
+	// Spread is a immutable number
+	Spread fixedpoint.Value `json:"spread"`
+
+	// Pins are the pinned grid prices, from low to high
+	Pins []Pin `json:"pins"`
+
+	pinsCache map[Pin]struct{} `json:"-"`
+
+	calculator PinCalculator
+}
+
+type Pin fixedpoint.Value
+
+func calculateArithmeticPins(lower, upper, spread, tickSize fixedpoint.Value) []Pin {
+	var pins []Pin
+	var ts = tickSize.Float64()
+	for p := lower; p.Compare(upper) <= 0; p = p.Add(spread) {
+		// tickSize here = 0.01
+		pp := p.Float64() / ts
+		pp = math.Trunc(pp) * ts
+		pin := Pin(fixedpoint.NewFromFloat(pp))
+		pins = append(pins, pin)
+	}
+
+	return pins
+}
+
+func buildPinCache(pins []Pin) map[Pin]struct{} {
+	cache := make(map[Pin]struct{}, len(pins))
+	for _, pin := range pins {
+		cache[pin] = struct{}{}
+	}
+
+	return cache
+}
+
+func NewGrid(lower, upper, size, tickSize fixedpoint.Value) *Grid {
+	height := upper.Sub(lower)
+	spread := height.Div(size)
+
+	grid := &Grid{
+		UpperPrice: upper,
+		LowerPrice: lower,
+		Size:       size,
+		TickSize:   tickSize,
+		Spread:     spread,
+	}
+
+	return grid
+}
+
+func (g *Grid) CalculateGeometricPins() {
+	g.calculator = func() []Pin {
+		// TODO: implement geometric calculator
+		// return calculateArithmeticPins(g.LowerPrice, g.UpperPrice, g.Spread, g.TickSize)
+		return nil
+	}
+
+	g.addPins(g.calculator())
+}
+
+func (g *Grid) CalculateArithmeticPins() {
+	g.calculator = func() []Pin {
+		return calculateArithmeticPins(g.LowerPrice, g.UpperPrice, g.Spread, g.TickSize)
+	}
+
+	g.addPins(g.calculator())
+}
+
+func (g *Grid) Height() fixedpoint.Value {
+	return g.UpperPrice.Sub(g.LowerPrice)
+}
+
+func (g *Grid) Above(price fixedpoint.Value) bool {
+	return price.Compare(g.UpperPrice) > 0
+}
+
+func (g *Grid) Below(price fixedpoint.Value) bool {
+	return price.Compare(g.LowerPrice) < 0
+}
+
+func (g *Grid) OutOfRange(price fixedpoint.Value) bool {
+	return price.Compare(g.LowerPrice) < 0 || price.Compare(g.UpperPrice) > 0
+}
+
+func (g *Grid) HasPin(pin Pin) (ok bool) {
+	_, ok = g.pinsCache[pin]
+	return ok
+}
+
+// NextHigherPin finds the next higher pin
+func (g *Grid) NextHigherPin(price fixedpoint.Value) (Pin, bool) {
+	i := g.SearchPin(price)
+	if i < len(g.Pins) && fixedpoint.Value(g.Pins[i]).Compare(price) == 0 && i+1 < len(g.Pins) {
+		return g.Pins[i+1], true
+	}
+
+	return Pin(fixedpoint.Zero), false
+}
+
+// NextLowerPin finds the next lower pin
+func (g *Grid) NextLowerPin(price fixedpoint.Value) (Pin, bool) {
+	i := g.SearchPin(price)
+	if i < len(g.Pins) && fixedpoint.Value(g.Pins[i]).Compare(price) == 0 && i-1 >= 0 {
+		return g.Pins[i-1], true
+	}
+
+	return Pin(fixedpoint.Zero), false
+}
+
+func (g *Grid) SearchPin(price fixedpoint.Value) int {
+	i := sort.Search(len(g.Pins), func(i int) bool {
+		a := fixedpoint.Value(g.Pins[i])
+		return a.Compare(price) >= 0
+	})
+	return i
+}
+
+func (g *Grid) ExtendUpperPrice(upper fixedpoint.Value) (newPins []Pin) {
+	if upper.Compare(g.UpperPrice) <= 0 {
+		return nil
+	}
+
+	newPins = calculateArithmeticPins(g.UpperPrice.Add(g.Spread), upper, g.Spread, g.TickSize)
+	g.UpperPrice = upper
+	g.addPins(newPins)
+	return newPins
+}
+
+func (g *Grid) ExtendLowerPrice(lower fixedpoint.Value) (newPins []Pin) {
+	if lower.Compare(g.LowerPrice) >= 0 {
+		return nil
+	}
+
+	n := g.LowerPrice.Sub(lower).Div(g.Spread).Floor()
+	lower = g.LowerPrice.Sub(g.Spread.Mul(n))
+	newPins = calculateArithmeticPins(lower, g.LowerPrice.Sub(g.Spread), g.Spread, g.TickSize)
+
+	g.LowerPrice = lower
+	g.addPins(newPins)
+	return newPins
+}
+
+func (g *Grid) TopPin() Pin {
+	return g.Pins[len(g.Pins)-1]
+}
+
+func (g *Grid) BottomPin() Pin {
+	return g.Pins[0]
+}
+
+func (g *Grid) addPins(pins []Pin) {
+	g.Pins = append(g.Pins, pins...)
+
+	sort.Slice(g.Pins, func(i, j int) bool {
+		a := fixedpoint.Value(g.Pins[i])
+		b := fixedpoint.Value(g.Pins[j])
+		return a.Compare(b) < 0
+	})
+
+	g.updatePinsCache()
+}
+
+func (g *Grid) updatePinsCache() {
+	g.pinsCache = buildPinCache(g.Pins)
+}

pkg/strategy/grid2/grid_test.go

@@ -0,0 +1,217 @@
+//go:build !dnum
+
+package grid2
+
+import (
+	"testing"
+
+	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+)
+
+func number(a interface{}) fixedpoint.Value {
+	switch v := a.(type) {
+	case string:
+		return fixedpoint.MustNewFromString(v)
+	case int:
+		return fixedpoint.NewFromInt(int64(v))
+	case int64:
+		return fixedpoint.NewFromInt(int64(v))
+	case float64:
+		return fixedpoint.NewFromFloat(v)
+	}
+
+	return fixedpoint.Zero
+}
+
+func TestNewGrid(t *testing.T) {
+	upper := fixedpoint.NewFromFloat(500.0)
+	lower := fixedpoint.NewFromFloat(100.0)
+	size := fixedpoint.NewFromFloat(100.0)
+	grid := NewGrid(lower, upper, size, number(0.01))
+	grid.CalculateArithmeticPins()
+
+	assert.Equal(t, upper, grid.UpperPrice)
+	assert.Equal(t, lower, grid.LowerPrice)
+	assert.Equal(t, fixedpoint.NewFromFloat(4), grid.Spread)
+	if assert.Len(t, grid.Pins, 101) {
+		assert.Equal(t, Pin(number(100.0)), grid.Pins[0])
+		assert.Equal(t, Pin(number(500.0)), grid.Pins[100])
+	}
+}
+
+func TestGrid_HasPin(t *testing.T) {
+	upper := fixedpoint.NewFromFloat(500.0)
+	lower := fixedpoint.NewFromFloat(100.0)
+	size := fixedpoint.NewFromFloat(100.0)
+	grid := NewGrid(lower, upper, size, number(0.01))
+	grid.CalculateArithmeticPins()
+
+	assert.True(t, grid.HasPin(Pin(number(100.0))))
+	assert.True(t, grid.HasPin(Pin(number(500.0))))
+	assert.False(t, grid.HasPin(Pin(number(101.0))))
+}
+
+func TestGrid_ExtendUpperPrice(t *testing.T) {
+	upper := number(500.0)
+	lower := number(100.0)
+	size := number(4.0)
+	grid := NewGrid(lower, upper, size, number(0.01))
+	grid.CalculateArithmeticPins()
+
+	originalSpread := grid.Spread
+
+	t.Logf("pins: %+v", grid.Pins)
+	assert.Equal(t, number(100.0), originalSpread)
+	assert.Len(t, grid.Pins, 5) // (1000-500) / 4
+
+	newPins := grid.ExtendUpperPrice(number(1000.0))
+	assert.Len(t, grid.Pins, 10)
+	assert.Len(t, newPins, 5)
+	assert.Equal(t, originalSpread, grid.Spread)
+	t.Logf("pins: %+v", grid.Pins)
+}
+
+func TestGrid_ExtendLowerPrice(t *testing.T) {
+	upper := fixedpoint.NewFromFloat(3000.0)
+	lower := fixedpoint.NewFromFloat(2000.0)
+	size := fixedpoint.NewFromFloat(10.0)
+	grid := NewGrid(lower, upper, size, number(0.01))
+	grid.CalculateArithmeticPins()
+
+	assert.Equal(t, Pin(number(2000.0)), grid.BottomPin(), "bottom pin should be 1000.0")
+	assert.Equal(t, Pin(number(3000.0)), grid.TopPin(), "top pin should be 3000.0")
+	assert.Len(t, grid.Pins, 11)
+
+	// spread = (3000 - 2000) / 10.0
+	expectedSpread := fixedpoint.NewFromFloat(100.0)
+	assert.Equal(t, expectedSpread, grid.Spread)
+
+	originalSpread := grid.Spread
+	newPins := grid.ExtendLowerPrice(fixedpoint.NewFromFloat(1000.0))
+	assert.Equal(t, originalSpread, grid.Spread)
+
+	t.Logf("newPins: %+v", newPins)
+
+	// 100 = (2000-1000) / 10
+	if assert.Len(t, newPins, 10) {
+		assert.Equal(t, Pin(number(1000.0)), newPins[0])
+		assert.Equal(t, Pin(number(1900.0)), newPins[len(newPins)-1])
+	}
+
+	assert.Equal(t, expectedSpread, grid.Spread)
+
+	if assert.Len(t, grid.Pins, 21) {
+		assert.Equal(t, Pin(number(1000.0)), grid.BottomPin(), "bottom pin should be 1000.0")
+		assert.Equal(t, Pin(number(3000.0)), grid.TopPin(), "top pin should be 3000.0")
+	}
+}
+
+func TestGrid_NextLowerPin(t *testing.T) {
+	upper := number(500.0)
+	lower := number(100.0)
+	size := number(4.0)
+	grid := NewGrid(lower, upper, size, number(0.01))
+	grid.CalculateArithmeticPins()
+
+	t.Logf("pins: %+v", grid.Pins)
+
+	next, ok := grid.NextLowerPin(number(200.0))
+	assert.True(t, ok)
+	assert.Equal(t, Pin(number(100.0)), next)
+
+	next, ok = grid.NextLowerPin(number(150.0))
+	assert.False(t, ok)
+	assert.Equal(t, Pin(fixedpoint.Zero), next)
+}
+
+func TestGrid_NextHigherPin(t *testing.T) {
+	upper := number(500.0)
+	lower := number(100.0)
+	size := number(4.0)
+	grid := NewGrid(lower, upper, size, number(0.01))
+	grid.CalculateArithmeticPins()
+	t.Logf("pins: %+v", grid.Pins)
+
+	next, ok := grid.NextHigherPin(number(100.0))
+	assert.True(t, ok)
+	assert.Equal(t, Pin(number(200.0)), next)
+
+	next, ok = grid.NextHigherPin(number(400.0))
+	assert.True(t, ok)
+	assert.Equal(t, Pin(number(500.0)), next)
+
+	next, ok = grid.NextHigherPin(number(500.0))
+	assert.False(t, ok)
+	assert.Equal(t, Pin(fixedpoint.Zero), next)
+}
+
+func Test_calculateArithmeticPins(t *testing.T) {
+	type args struct {
+		lower    fixedpoint.Value
+		upper    fixedpoint.Value
+		size     fixedpoint.Value
+		tickSize fixedpoint.Value
+	}
+	tests := []struct {
+		name string
+		args args
+		want []Pin
+	}{
+		{
+			// (3000-1000)/30 = 66.6666666
+			name: "simple",
+			args: args{
+				lower:    number(1000.0),
+				upper:    number(3000.0),
+				size:     number(30.0),
+				tickSize: number(0.01),
+			},
+			want: []Pin{
+				Pin(number(1000.0)),
+				Pin(number(1066.660)),
+				Pin(number(1133.330)),
+				Pin(number("1199.99")),
+				Pin(number(1266.660)),
+				Pin(number(1333.330)),
+				Pin(number(1399.990)),
+				Pin(number(1466.660)),
+				Pin(number(1533.330)),
+				Pin(number(1599.990)),
+				Pin(number(1666.660)),
+				Pin(number(1733.330)),
+				Pin(number(1799.990)),
+				Pin(number(1866.660)),
+				Pin(number(1933.330)),
+				Pin(number(1999.990)),
+				Pin(number(2066.660)),
+				Pin(number(2133.330)),
+				Pin(number("2199.99")),
+				Pin(number(2266.660)),
+				Pin(number(2333.330)),
+				Pin(number("2399.99")),
+				Pin(number(2466.660)),
+				Pin(number(2533.330)),
+				Pin(number("2599.99")),
+				Pin(number(2666.660)),
+				Pin(number(2733.330)),
+				Pin(number(2799.990)),
+				Pin(number(2866.660)),
+				Pin(number(2933.330)),
+			},
+		},
+	}
+	for _, tt := range tests {
+		t.Run(tt.name, func(t *testing.T) {
+			spread := tt.args.upper.Sub(tt.args.lower).Div(tt.args.size)
+			pins := calculateArithmeticPins(tt.args.lower, tt.args.upper, spread, tt.args.tickSize)
+			for i := 0; i < len(tt.want); i++ {
+				assert.InDelta(t, fixedpoint.Value(tt.want[i]).Float64(),
+					fixedpoint.Value(pins[i]).Float64(),
+					0.001,
+					"calculateArithmeticPins(%v, %v, %v, %v)", tt.args.lower, tt.args.upper, tt.args.size, tt.args.tickSize)
+			}
+		})
+	}
+}

pkg/strategy/grid2/strategy.go

@@ -0,0 +1,588 @@
+package grid2
+
+import (
+	"context"
+	"fmt"
+	"sync"
+
+	"github.com/pkg/errors"
+	"github.com/sirupsen/logrus"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+	"github.com/c9s/bbgo/pkg/util"
+)
+
+const ID = "grid2"
+
+var log = logrus.WithField("strategy", ID)
+
+func init() {
+	// Register the pointer of the strategy struct,
+	// so that bbgo knows what struct to be used to unmarshal the configs (YAML or JSON)
+	// Note: built-in strategies need to imported manually in the bbgo cmd package.
+	bbgo.RegisterStrategy(ID, &Strategy{})
+}
+
+type GridProfitStats struct {
+	TotalProfit    fixedpoint.Value `json:"totalProfit"`
+	FloatProfit    fixedpoint.Value `json:"floatProfit"`
+	GridProfit     fixedpoint.Value `json:"gridProfit"`
+	ArbitrageCount int              `json:"arbitrageCount"`
+	TotalFee       fixedpoint.Value `json:"totalFee"`
+	Volume         fixedpoint.Value `json:"volume"`
+}
+
+type Strategy struct {
+	Environment *bbgo.Environment
+
+	// Market stores the configuration of the market, for example, VolumePrecision, PricePrecision, MinLotSize... etc
+	// This field will be injected automatically since we defined the Symbol field.
+	types.Market `json:"-"`
+
+	// These fields will be filled from the config file (it translates YAML to JSON)
+	Symbol string `json:"symbol"`
+
+	// ProfitSpread is the fixed profit spread you want to submit the sell order
+	ProfitSpread fixedpoint.Value `json:"profitSpread"`
+
+	// GridNum is the grid number, how many orders you want to post on the orderbook.
+	GridNum int64 `json:"gridNumber"`
+
+	UpperPrice fixedpoint.Value `json:"upperPrice"`
+
+	LowerPrice fixedpoint.Value `json:"lowerPrice"`
+
+	// QuantityOrAmount embeds the Quantity field and the Amount field
+	// If you set up the Quantity field or the Amount field, you don't need to set the QuoteInvestment and BaseInvestment
+	bbgo.QuantityOrAmount
+
+	// If Quantity and Amount is not set, we can use the quote investment to calculate our quantity.
+	QuoteInvestment fixedpoint.Value `json:"quoteInvestment"`
+
+	// BaseInvestment is the total base quantity you want to place as the sell order.
+	BaseInvestment fixedpoint.Value `json:"baseInvestment"`
+
+	grid *Grid
+
+	ProfitStats *types.ProfitStats `persistence:"profit_stats"`
+	Position    *types.Position    `persistence:"position"`
+
+	// orderStore is used to store all the created orders, so that we can filter the trades.
+	orderStore *bbgo.OrderStore
+
+	tradeCollector *bbgo.TradeCollector
+
+	orderExecutor *bbgo.GeneralOrderExecutor
+
+	// groupID is the group ID used for the strategy instance for canceling orders
+	groupID uint32
+
+	logger *logrus.Entry
+}
+
+func (s *Strategy) ID() string {
+	return ID
+}
+
+func (s *Strategy) Validate() error {
+	if s.UpperPrice.IsZero() {
+		return errors.New("upperPrice can not be zero, you forgot to set?")
+	}
+
+	if s.LowerPrice.IsZero() {
+		return errors.New("lowerPrice can not be zero, you forgot to set?")
+	}
+
+	if s.UpperPrice.Compare(s.LowerPrice) <= 0 {
+		return fmt.Errorf("upperPrice (%s) should not be less than or equal to lowerPrice (%s)", s.UpperPrice.String(), s.LowerPrice.String())
+	}
+
+	if s.GridNum == 0 {
+		return fmt.Errorf("gridNum can not be zero")
+	}
+
+	if err := s.QuantityOrAmount.Validate(); err != nil {
+		if s.QuoteInvestment.IsZero() && s.BaseInvestment.IsZero() {
+			return err
+		}
+	}
+
+	if !s.QuantityOrAmount.IsSet() && s.QuoteInvestment.IsZero() && s.BaseInvestment.IsZero() {
+		return fmt.Errorf("one of quantity, amount, quoteInvestment must be set")
+	}
+
+	return nil
+}
+
+func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
+	session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
+}
+
+// InstanceID returns the instance identifier from the current grid configuration parameters
+func (s *Strategy) InstanceID() string {
+	return fmt.Sprintf("%s-%s-%d-%d-%d", ID, s.Symbol, s.GridNum, s.UpperPrice.Int(), s.LowerPrice.Int())
+}
+
+func (s *Strategy) handleOrderFilled(o types.Order) {
+
+}
+
+func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
+	instanceID := s.InstanceID()
+
+	s.logger = log.WithFields(logrus.Fields{
+		"symbol": s.Symbol,
+	})
+
+	s.groupID = util.FNV32(instanceID)
+
+	s.logger.Infof("using group id %d from fnv(%s)", s.groupID, instanceID)
+
+	if s.ProfitStats == nil {
+		s.ProfitStats = types.NewProfitStats(s.Market)
+	}
+
+	if s.Position == nil {
+		s.Position = types.NewPositionFromMarket(s.Market)
+	}
+
+	s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
+	s.orderExecutor.BindEnvironment(s.Environment)
+	s.orderExecutor.BindProfitStats(s.ProfitStats)
+	s.orderExecutor.Bind()
+	s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
+		bbgo.Sync(ctx, s)
+	})
+
+	s.grid = NewGrid(s.LowerPrice, s.UpperPrice, fixedpoint.NewFromInt(s.GridNum), s.Market.TickSize)
+	s.grid.CalculateArithmeticPins()
+
+	bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
+		defer wg.Done()
+
+		bbgo.Sync(ctx, s)
+
+		// now we can cancel the open orders
+		s.logger.Infof("canceling active orders...")
+
+		if err := s.orderExecutor.GracefulCancel(ctx); err != nil {
+			log.WithError(err).Errorf("graceful order cancel error")
+		}
+	})
+
+	session.UserDataStream.OnStart(func() {
+		if err := s.setupGridOrders(ctx, session); err != nil {
+			log.WithError(err).Errorf("failed to setup grid orders")
+		}
+	})
+
+	return nil
+}
+
+type InvestmentBudget struct {
+	baseInvestment  fixedpoint.Value
+	quoteInvestment fixedpoint.Value
+	baseBalance     fixedpoint.Value
+	quoteBalance    fixedpoint.Value
+}
+
+func (s *Strategy) checkRequiredInvestmentByQuantity(baseBalance, quoteBalance, quantity, lastPrice fixedpoint.Value, pins []Pin) (requiredBase, requiredQuote fixedpoint.Value, err error) {
+	// check more investment budget details
+	requiredBase = fixedpoint.Zero
+	requiredQuote = fixedpoint.Zero
+
+	// when we need to place a buy-to-sell conversion order, we need to mark the price
+	buyPlacedPrice := fixedpoint.Zero
+	for i := len(pins) - 1; i >= 0; i-- {
+		pin := pins[i]
+		price := fixedpoint.Value(pin)
+
+		// TODO: add fee if we don't have the platform token. BNB, OKB or MAX...
+		if price.Compare(lastPrice) >= 0 {
+			// for orders that sell
+			// if we still have the base balance
+			if requiredBase.Add(quantity).Compare(baseBalance) <= 0 {
+				requiredBase = requiredBase.Add(quantity)
+			} else if i > 0 { // we do not want to sell at i == 0
+				// convert sell to buy quote and add to requiredQuote
+				nextLowerPin := pins[i-1]
+				nextLowerPrice := fixedpoint.Value(nextLowerPin)
+				requiredQuote = requiredQuote.Add(quantity.Mul(nextLowerPrice))
+				buyPlacedPrice = nextLowerPrice
+			}
+		} else {
+			// for orders that buy
+			if !buyPlacedPrice.IsZero() && price.Compare(buyPlacedPrice) == 0 {
+				continue
+			}
+			requiredQuote = requiredQuote.Add(quantity.Mul(price))
+		}
+	}
+
+	if requiredBase.Compare(baseBalance) > 0 && requiredQuote.Compare(quoteBalance) > 0 {
+		return requiredBase, requiredQuote, fmt.Errorf("both base balance (%f %s) or quote balance (%f %s) is not enough, required = base %f + quote %f",
+			baseBalance.Float64(), s.Market.BaseCurrency,
+			quoteBalance.Float64(), s.Market.QuoteCurrency,
+			requiredBase.Float64(),
+			requiredQuote.Float64())
+	}
+
+	if requiredBase.Compare(baseBalance) > 0 {
+		return requiredBase, requiredQuote, fmt.Errorf("base balance (%f %s), required = base %f",
+			baseBalance.Float64(), s.Market.BaseCurrency,
+			requiredBase.Float64(),
+		)
+	}
+
+	if requiredQuote.Compare(quoteBalance) > 0 {
+		return requiredBase, requiredQuote, fmt.Errorf("quote balance (%f %s) is not enough, required = quote %f",
+			quoteBalance.Float64(), s.Market.QuoteCurrency,
+			requiredQuote.Float64(),
+		)
+	}
+
+	return requiredBase, requiredQuote, nil
+}
+
+func (s *Strategy) checkRequiredInvestmentByAmount(baseBalance, quoteBalance, amount, lastPrice fixedpoint.Value, pins []Pin) (requiredBase, requiredQuote fixedpoint.Value, err error) {
+
+	// check more investment budget details
+	requiredBase = fixedpoint.Zero
+	requiredQuote = fixedpoint.Zero
+
+	// when we need to place a buy-to-sell conversion order, we need to mark the price
+	buyPlacedPrice := fixedpoint.Zero
+	for i := len(pins) - 1; i >= 0; i-- {
+		pin := pins[i]
+		price := fixedpoint.Value(pin)
+
+		// TODO: add fee if we don't have the platform token. BNB, OKB or MAX...
+		if price.Compare(lastPrice) >= 0 {
+			// for orders that sell
+			// if we still have the base balance
+			quantity := amount.Div(lastPrice)
+			if requiredBase.Add(quantity).Compare(baseBalance) <= 0 {
+				requiredBase = requiredBase.Add(quantity)
+			} else if i > 0 { // we do not want to sell at i == 0
+				// convert sell to buy quote and add to requiredQuote
+				nextLowerPin := pins[i-1]
+				nextLowerPrice := fixedpoint.Value(nextLowerPin)
+				requiredQuote = requiredQuote.Add(quantity.Mul(nextLowerPrice))
+				buyPlacedPrice = nextLowerPrice
+			}
+		} else {
+			// for orders that buy
+			if !buyPlacedPrice.IsZero() && price.Compare(buyPlacedPrice) == 0 {
+				continue
+			}
+			requiredQuote = requiredQuote.Add(amount)
+		}
+	}
+
+	if requiredBase.Compare(baseBalance) > 0 && requiredQuote.Compare(quoteBalance) > 0 {
+		return requiredBase, requiredQuote, fmt.Errorf("both base balance (%f %s) or quote balance (%f %s) is not enough, required = base %f + quote %f",
+			baseBalance.Float64(), s.Market.BaseCurrency,
+			quoteBalance.Float64(), s.Market.QuoteCurrency,
+			requiredBase.Float64(),
+			requiredQuote.Float64())
+	}
+
+	if requiredBase.Compare(baseBalance) > 0 {
+		return requiredBase, requiredQuote, fmt.Errorf("base balance (%f %s), required = base %f",
+			baseBalance.Float64(), s.Market.BaseCurrency,
+			requiredBase.Float64(),
+		)
+	}
+
+	if requiredQuote.Compare(quoteBalance) > 0 {
+		return requiredBase, requiredQuote, fmt.Errorf("quote balance (%f %s) is not enough, required = quote %f",
+			quoteBalance.Float64(), s.Market.QuoteCurrency,
+			requiredQuote.Float64(),
+		)
+	}
+
+	return requiredBase, requiredQuote, nil
+}
+
+func (s *Strategy) calculateQuoteInvestmentQuantity(quoteInvestment, lastPrice fixedpoint.Value, pins []Pin) (fixedpoint.Value, error) {
+	buyPlacedPrice := fixedpoint.Zero
+
+	// quoteInvestment = (p1 * q) + (p2 * q) + (p3 * q) + ....
+	// =>
+	// quoteInvestment = (p1 + p2 + p3) * q
+	// q = quoteInvestment / (p1 + p2 + p3)
+	totalQuotePrice := fixedpoint.Zero
+	for i := len(pins) - 1; i >= 0; i-- {
+		pin := pins[i]
+		price := fixedpoint.Value(pin)
+
+		if price.Compare(lastPrice) >= 0 {
+			// for orders that sell
+			// if we still have the base balance
+			// quantity := amount.Div(lastPrice)
+			if i > 0 { // we do not want to sell at i == 0
+				// convert sell to buy quote and add to requiredQuote
+				nextLowerPin := pins[i-1]
+				nextLowerPrice := fixedpoint.Value(nextLowerPin)
+				// requiredQuote = requiredQuote.Add(quantity.Mul(nextLowerPrice))
+				totalQuotePrice = totalQuotePrice.Add(nextLowerPrice)
+				buyPlacedPrice = nextLowerPrice
+			}
+		} else {
+			// for orders that buy
+			if !buyPlacedPrice.IsZero() && price.Compare(buyPlacedPrice) == 0 {
+				continue
+			}
+
+			totalQuotePrice = totalQuotePrice.Add(price)
+		}
+	}
+
+	return quoteInvestment.Div(totalQuotePrice), nil
+}
+
+func (s *Strategy) calculateQuoteBaseInvestmentQuantity(quoteInvestment, baseInvestment, lastPrice fixedpoint.Value, pins []Pin) (fixedpoint.Value, error) {
+	s.logger.Infof("calculating quantity by quote/base investment: %f / %f", baseInvestment.Float64(), quoteInvestment.Float64())
+	// q_p1 = q_p2 = q_p3 = q_p4
+	// baseInvestment = q_p1 + q_p2 + q_p3 + q_p4 + ....
+	// baseInvestment = numberOfSellOrders * q
+	// maxBaseQuantity = baseInvestment / numberOfSellOrders
+	// if maxBaseQuantity < minQuantity or maxBaseQuantity * priceLowest < minNotional
+	// then reduce the numberOfSellOrders
+	numberOfSellOrders := 0
+	for i := len(pins) - 1; i >= 0; i-- {
+		pin := pins[i]
+		price := fixedpoint.Value(pin)
+		if price.Compare(lastPrice) < 0 {
+			break
+		}
+		numberOfSellOrders++
+	}
+
+	// if the maxBaseQuantity is less than minQuantity, then we need to reduce the number of the sell orders
+	// so that the quantity can be increased.
+	maxNumberOfSellOrders := numberOfSellOrders + 1
+	minBaseQuantity := fixedpoint.Max(s.Market.MinNotional.Div(lastPrice), s.Market.MinQuantity)
+	maxBaseQuantity := fixedpoint.Zero
+	for maxBaseQuantity.Compare(s.Market.MinQuantity) <= 0 || maxBaseQuantity.Compare(minBaseQuantity) <= 0 {
+		maxNumberOfSellOrders--
+		maxBaseQuantity = baseInvestment.Div(fixedpoint.NewFromInt(int64(maxNumberOfSellOrders)))
+	}
+	s.logger.Infof("grid %s base investment sell orders: %d", s.Symbol, maxNumberOfSellOrders)
+	if maxNumberOfSellOrders > 0 {
+		s.logger.Infof("grid %s base investment quantity range: %f <=> %f", s.Symbol, minBaseQuantity.Float64(), maxBaseQuantity.Float64())
+	}
+
+	buyPlacedPrice := fixedpoint.Zero
+	totalQuotePrice := fixedpoint.Zero
+	// quoteInvestment = (p1 * q) + (p2 * q) + (p3 * q) + ....
+	// =>
+	// quoteInvestment = (p1 + p2 + p3) * q
+	// maxBuyQuantity = quoteInvestment / (p1 + p2 + p3)
+	for i := len(pins) - 1; i >= 0; i-- {
+		pin := pins[i]
+		price := fixedpoint.Value(pin)
+
+		if price.Compare(lastPrice) >= 0 {
+			// for orders that sell
+			// if we still have the base balance
+			// quantity := amount.Div(lastPrice)
+			if i > 0 { // we do not want to sell at i == 0
+				// convert sell to buy quote and add to requiredQuote
+				nextLowerPin := pins[i-1]
+				nextLowerPrice := fixedpoint.Value(nextLowerPin)
+				// requiredQuote = requiredQuote.Add(quantity.Mul(nextLowerPrice))
+				totalQuotePrice = totalQuotePrice.Add(nextLowerPrice)
+				buyPlacedPrice = nextLowerPrice
+			}
+		} else {
+			// for orders that buy
+			if !buyPlacedPrice.IsZero() && price.Compare(buyPlacedPrice) == 0 {
+				continue
+			}
+
+			totalQuotePrice = totalQuotePrice.Add(price)
+		}
+	}
+
+	quoteSideQuantity := quoteInvestment.Div(totalQuotePrice)
+	if maxNumberOfSellOrders > 0 {
+		return fixedpoint.Max(quoteSideQuantity, maxBaseQuantity), nil
+	}
+
+	return quoteSideQuantity, nil
+}
+
+// setupGridOrders
+// 1) if quantity or amount is set, we should use quantity/amount directly instead of using investment amount to calculate.
+// 2) if baseInvestment, quoteInvestment is set, then we should calculate the quantity from the given base investment and quote investment.
+func (s *Strategy) setupGridOrders(ctx context.Context, session *bbgo.ExchangeSession) error {
+	lastPrice, err := s.getLastTradePrice(ctx, session)
+	if err != nil {
+		return errors.Wrap(err, "failed to get the last trade price")
+	}
+
+	// check if base and quote are enough
+	baseBalance, ok := session.Account.Balance(s.Market.BaseCurrency)
+	if !ok {
+		return fmt.Errorf("base %s balance not found", s.Market.BaseCurrency)
+	}
+
+	quoteBalance, ok := session.Account.Balance(s.Market.QuoteCurrency)
+	if !ok {
+		return fmt.Errorf("quote %s balance not found", s.Market.QuoteCurrency)
+	}
+
+	totalBase := baseBalance.Available
+	totalQuote := quoteBalance.Available
+
+	// shift 1 grid because we will start from the buy order
+	// if the buy order is filled, then we will submit another sell order at the higher grid.
+	if s.QuantityOrAmount.IsSet() {
+		if quantity := s.QuantityOrAmount.Quantity; !quantity.IsZero() {
+			if _, _, err2 := s.checkRequiredInvestmentByQuantity(totalBase, totalQuote, lastPrice, s.QuantityOrAmount.Quantity, s.grid.Pins); err != nil {
+				return err2
+			}
+		}
+		if amount := s.QuantityOrAmount.Amount; !amount.IsZero() {
+			if _, _, err2 := s.checkRequiredInvestmentByAmount(totalBase, totalQuote, lastPrice, amount, s.grid.Pins); err != nil {
+				return err2
+			}
+		}
+	} else {
+		// calculate the quantity from the investment configuration
+		if !s.QuoteInvestment.IsZero() && !s.BaseInvestment.IsZero() {
+			quantity, err2 := s.calculateQuoteBaseInvestmentQuantity(s.QuoteInvestment, s.BaseInvestment, lastPrice, s.grid.Pins)
+			if err2 != nil {
+				return err2
+			}
+			s.QuantityOrAmount.Quantity = quantity
+
+		} else if !s.QuoteInvestment.IsZero() {
+			quantity, err2 := s.calculateQuoteInvestmentQuantity(s.QuoteInvestment, lastPrice, s.grid.Pins)
+			if err2 != nil {
+				return err2
+			}
+			s.QuantityOrAmount.Quantity = quantity
+		}
+	}
+
+	// if base investment and quote investment is set, when we should check if the
+	// investment configuration is valid with the current balances
+	if !s.BaseInvestment.IsZero() && !s.QuoteInvestment.IsZero() {
+		if s.BaseInvestment.Compare(totalBase) > 0 {
+			return fmt.Errorf("baseInvestment setup %f is greater than the total base balance %f", s.BaseInvestment.Float64(), totalBase.Float64())
+		}
+		if s.QuoteInvestment.Compare(totalQuote) > 0 {
+			return fmt.Errorf("quoteInvestment setup %f is greater than the total quote balance %f", s.QuoteInvestment.Float64(), totalQuote.Float64())
+		}
+
+		if !s.QuantityOrAmount.IsSet() {
+			// TODO: calculate and override the quantity here
+		}
+	}
+
+	var buyPlacedPrice = fixedpoint.Zero
+	var pins = s.grid.Pins
+	var usedBase = fixedpoint.Zero
+	var usedQuote = fixedpoint.Zero
+	var submitOrders []types.SubmitOrder
+	for i := len(pins) - 1; i >= 0; i-- {
+		pin := pins[i]
+		price := fixedpoint.Value(pin)
+		quantity := s.QuantityOrAmount.Quantity
+		if quantity.IsZero() {
+			quantity = s.QuantityOrAmount.Amount.Div(price)
+		}
+
+		// TODO: add fee if we don't have the platform token. BNB, OKB or MAX...
+		if price.Compare(lastPrice) >= 0 {
+			if usedBase.Add(quantity).Compare(totalBase) < 0 {
+				submitOrders = append(submitOrders, types.SubmitOrder{
+					Symbol:      s.Symbol,
+					Type:        types.OrderTypeLimitMaker,
+					Side:        types.SideTypeSell,
+					Price:       price,
+					Quantity:    quantity,
+					Market:      s.Market,
+					TimeInForce: types.TimeInForceGTC,
+					Tag:         "grid",
+				})
+				usedBase = usedBase.Add(quantity)
+			} else if i > 0 {
+				// next price
+				nextPin := pins[i-1]
+				nextPrice := fixedpoint.Value(nextPin)
+				submitOrders = append(submitOrders, types.SubmitOrder{
+					Symbol:      s.Symbol,
+					Type:        types.OrderTypeLimitMaker,
+					Side:        types.SideTypeBuy,
+					Price:       nextPrice,
+					Quantity:    quantity,
+					Market:      s.Market,
+					TimeInForce: types.TimeInForceGTC,
+					Tag:         "grid",
+				})
+				quoteQuantity := quantity.Mul(price)
+				usedQuote = usedQuote.Add(quoteQuantity)
+				buyPlacedPrice = nextPrice
+			}
+		} else {
+			if !buyPlacedPrice.IsZero() && price.Compare(buyPlacedPrice) >= 0 {
+				continue
+			}
+
+			submitOrders = append(submitOrders, types.SubmitOrder{
+				Symbol:      s.Symbol,
+				Type:        types.OrderTypeLimitMaker,
+				Side:        types.SideTypeBuy,
+				Price:       price,
+				Quantity:    quantity,
+				Market:      s.Market,
+				TimeInForce: types.TimeInForceGTC,
+				Tag:         "grid",
+			})
+			quoteQuantity := quantity.Mul(price)
+			usedQuote = usedQuote.Add(quoteQuantity)
+		}
+
+		createdOrders, err2 := s.orderExecutor.SubmitOrders(ctx, submitOrders...)
+		if err2 != nil {
+			return err
+		}
+		for _, order := range createdOrders {
+			s.logger.Infof(order.String())
+		}
+	}
+
+	return nil
+}
+
+func (s *Strategy) getLastTradePrice(ctx context.Context, session *bbgo.ExchangeSession) (fixedpoint.Value, error) {
+	if bbgo.IsBackTesting {
+		price, ok := session.LastPrice(s.Symbol)
+		if !ok {
+			return fixedpoint.Zero, fmt.Errorf("last price of %s not found", s.Symbol)
+		}
+
+		return price, nil
+	}
+
+	tickers, err := session.Exchange.QueryTickers(ctx, s.Symbol)
+	if err != nil {
+		return fixedpoint.Zero, err
+	}
+
+	if ticker, ok := tickers[s.Symbol]; ok {
+		if !ticker.Last.IsZero() {
+			return ticker.Last, nil
+		}
+
+		// fallback to buy price
+		return ticker.Buy, nil
+	}
+
+	return fixedpoint.Zero, fmt.Errorf("%s ticker price not found", s.Symbol)
+}

pkg/strategy/grid2/strategy_test.go

@@ -0,0 +1,103 @@
+//go:build !dnum
+
+package grid2
+
+import (
+	"testing"
+
+	"github.com/sirupsen/logrus"
+	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func TestStrategy_checkRequiredInvestmentByQuantity(t *testing.T) {
+	s := &Strategy{
+		logger: logrus.NewEntry(logrus.New()),
+
+		Market: types.Market{
+			BaseCurrency:  "BTC",
+			QuoteCurrency: "USDT",
+		},
+	}
+
+	t.Run("quote to base balance conversion check", func(t *testing.T) {
+		_, requiredQuote, err := s.checkRequiredInvestmentByQuantity(number(0.0), number(10_000.0), number(0.1), number(13_500.0), []Pin{
+			Pin(number(10_000.0)), // 0.1 * 10_000 = 1000 USD (buy)
+			Pin(number(11_000.0)), // 0.1 * 11_000 = 1100 USD (buy)
+			Pin(number(12_000.0)), // 0.1 * 12_000 = 1200 USD (buy)
+			Pin(number(13_000.0)), // 0.1 * 13_000 = 1300 USD (buy)
+			Pin(number(14_000.0)), // 0.1 * 14_000 = 1400 USD (buy)
+			Pin(number(15_000.0)), // 0.1 * 15_000 = 1500 USD
+		})
+		assert.NoError(t, err)
+		assert.Equal(t, number(6000.0), requiredQuote)
+	})
+
+	t.Run("quote to base balance conversion not enough", func(t *testing.T) {
+		_, requiredQuote, err := s.checkRequiredInvestmentByQuantity(number(0.0), number(5_000.0), number(0.1), number(13_500.0), []Pin{
+			Pin(number(10_000.0)), // 0.1 * 10_000 = 1000 USD (buy)
+			Pin(number(11_000.0)), // 0.1 * 11_000 = 1100 USD (buy)
+			Pin(number(12_000.0)), // 0.1 * 12_000 = 1200 USD (buy)
+			Pin(number(13_000.0)), // 0.1 * 13_000 = 1300 USD (buy)
+			Pin(number(14_000.0)), // 0.1 * 14_000 = 1400 USD (buy)
+			Pin(number(15_000.0)), // 0.1 * 15_000 = 1500 USD
+		})
+		assert.EqualError(t, err, "quote balance (5000.000000 USDT) is not enough, required = quote 6000.000000")
+		assert.Equal(t, number(6000.0), requiredQuote)
+	})
+}
+
+func TestStrategy_checkRequiredInvestmentByAmount(t *testing.T) {
+	s := &Strategy{
+
+		logger: logrus.NewEntry(logrus.New()),
+		Market: types.Market{
+			BaseCurrency:  "BTC",
+			QuoteCurrency: "USDT",
+		},
+	}
+
+	t.Run("quote to base balance conversion", func(t *testing.T) {
+		_, requiredQuote, err := s.checkRequiredInvestmentByAmount(
+			number(0.0), number(3_000.0),
+			number(1000.0),
+			number(13_500.0), []Pin{
+				Pin(number(10_000.0)),
+				Pin(number(11_000.0)),
+				Pin(number(12_000.0)),
+				Pin(number(13_000.0)),
+				Pin(number(14_000.0)),
+				Pin(number(15_000.0)),
+			})
+		assert.EqualError(t, err, "quote balance (3000.000000 USDT) is not enough, required = quote 4999.999890")
+		assert.InDelta(t, 4999.99989, requiredQuote.Float64(), number(0.001).Float64())
+	})
+}
+
+func TestStrategy_calculateQuoteInvestmentQuantity(t *testing.T) {
+	s := &Strategy{
+		logger: logrus.NewEntry(logrus.New()),
+		Market: types.Market{
+			BaseCurrency:  "BTC",
+			QuoteCurrency: "USDT",
+		},
+	}
+
+	t.Run("calculate quote quantity from quote investment", func(t *testing.T) {
+		// quoteInvestment = (10,000 + 11,000 + 12,000 + 13,000 + 14,000) * q
+		// q = quoteInvestment / (10,000 + 11,000 + 12,000 + 13,000 + 14,000)
+		// q = 12_000 / (10,000 + 11,000 + 12,000 + 13,000 + 14,000)
+		// q = 0.2
+		quantity, err := s.calculateQuoteInvestmentQuantity(number(12_000.0), number(13_500.0), []Pin{
+			Pin(number(10_000.0)), // buy
+			Pin(number(11_000.0)), // buy
+			Pin(number(12_000.0)), // buy
+			Pin(number(13_000.0)), // buy
+			Pin(number(14_000.0)), // buy
+			Pin(number(15_000.0)),
+		})
+		assert.NoError(t, err)
+		assert.Equal(t, number(0.2).String(), quantity.String())
+	})
+}

pkg/strategy/trendtrader/trend.go

@@ -2,6 +2,7 @@ package trendtrader
 
 import (
 	"context"
+
 	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/indicator"
@@ -149,8 +150,5 @@ func line(p1, p2, p3 float64) int64 {
 }
 
 func converge(mr, ms float64) bool {
-	if ms > mr {
-		return true
-	}
-	return false
+	return ms > mr
 }

pkg/types/market.go

@@ -150,10 +150,10 @@ func (m Market) FormatPriceCurrency(val fixedpoint.Value) string {
 
 func (m Market) FormatPrice(val fixedpoint.Value) string {
 	// p := math.Pow10(m.PricePrecision)
-	return formatPrice(val, m.TickSize)
+	return FormatPrice(val, m.TickSize)
 }
 
-func formatPrice(price fixedpoint.Value, tickSize fixedpoint.Value) string {
+func FormatPrice(price fixedpoint.Value, tickSize fixedpoint.Value) string {
 	prec := int(math.Round(math.Abs(math.Log10(tickSize.Float64()))))
 	return price.FormatString(prec)
 }

pkg/types/market_test.go

@@ -26,12 +26,12 @@ func TestFormatQuantity(t *testing.T) {
 }
 
 func TestFormatPrice(t *testing.T) {
-	price := formatPrice(
+	price := FormatPrice(
 		s("26.288256"),
 		s("0.0001"))
 	assert.Equal(t, "26.2882", price)
 
-	price = formatPrice(s("26.288656"), s("0.001"))
+	price = FormatPrice(s("26.288656"), s("0.001"))
 	assert.Equal(t, "26.288", price)
 }
 
@@ -78,7 +78,7 @@ func TestDurationParse(t *testing.T) {
 	}
 }
 
-func Test_formatPrice(t *testing.T) {
+func Test_FormatPrice(t *testing.T) {
 	type args struct {
 		price    fixedpoint.Value
 		tickSize fixedpoint.Value
@@ -125,9 +125,9 @@ func Test_formatPrice(t *testing.T) {
 	binanceFormatRE := regexp.MustCompile("^([0-9]{1,20})(.[0-9]{1,20})?$")
 	for _, tt := range tests {
 		t.Run(tt.name, func(t *testing.T) {
-			got := formatPrice(tt.args.price, tt.args.tickSize)
+			got := FormatPrice(tt.args.price, tt.args.tickSize)
 			if got != tt.want {
-				t.Errorf("formatPrice() = %v, want %v", got, tt.want)
+				t.Errorf("FormatPrice() = %v, want %v", got, tt.want)
 			}
 
 			assert.Regexp(t, binanceFormatRE, got)