convert: move moq check/adjustment to types.Market

This commit is contained in:
c9s 2023-08-05 16:39:03 +08:00
parent ce8063654d
commit 8b6a8aeb7b
No known key found for this signature in database
GPG Key ID: 7385E7E464CB0A54
3 changed files with 82 additions and 42 deletions

View File

@ -327,27 +327,16 @@ func (s *Strategy) convertBalance(ctx context.Context, fromAsset string, availab
switch fromAsset {
case market.BaseCurrency:
log.Infof("converting %s %s to %s...", available, fromAsset, market.QuoteCurrency)
available = market.TruncateQuantity(available)
// from = Base -> action = sell
if available.Compare(market.MinQuantity) < 0 {
log.Debugf("asset %s %s is less than minQuantity %s, skip convert", available, fromAsset, market.MinQuantity)
return nil
}
price := ticker.Sell
if s.UseTakerOrder {
price = ticker.Buy
}
quoteAmount := price.Mul(available)
if quoteAmount.Compare(market.MinNotional) < 0 {
log.Debugf("asset %s %s (%s %s) is less than minNotional %s, skip convert",
available, fromAsset,
quoteAmount, market.QuoteCurrency,
market.MinNotional)
log.Infof("converting %s %s to %s...", available, fromAsset, market.QuoteCurrency)
quantity, ok := market.GreaterThanMinimalOrderQuantity(types.SideTypeSell, price, available)
if !ok {
log.Debugf("asset %s %s is less than MoQ, skip convert", available, fromAsset)
return nil
}
@ -355,7 +344,7 @@ func (s *Strategy) convertBalance(ctx context.Context, fromAsset string, availab
Symbol: market.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeLimit,
Quantity: available,
Quantity: quantity,
Price: price,
Market: market,
TimeInForce: types.TimeInForceGTC,
@ -365,36 +354,16 @@ func (s *Strategy) convertBalance(ctx context.Context, fromAsset string, availab
}
case market.QuoteCurrency:
log.Infof("converting %s %s to %s...", available, fromAsset, market.BaseCurrency)
available = market.TruncateQuoteQuantity(available)
// from = Quote -> action = buy
if available.Compare(market.MinNotional) < 0 {
log.Debugf("asset %s %s is less than minNotional %s, skip convert", available, fromAsset, market.MinNotional)
return nil
}
price := ticker.Buy
if s.UseTakerOrder {
price = ticker.Sell
}
quantity := available.Div(price)
quantity = market.TruncateQuantity(quantity)
if quantity.Compare(market.MinQuantity) < 0 {
log.Debugf("asset %s %s is less than minQuantity %s, skip convert",
quantity, fromAsset,
market.MinQuantity)
return nil
}
log.Infof("converting %s %s to %s...", available, fromAsset, market.BaseCurrency)
notional := quantity.Mul(price)
if notional.Compare(market.MinNotional) < 0 {
log.Debugf("asset %s %s (%s %s) is less than minNotional %s, skip convert",
quantity, fromAsset,
notional, market.QuoteCurrency,
market.MinNotional)
quantity, ok := market.GreaterThanMinimalOrderQuantity(types.SideTypeBuy, price, available)
if !ok {
log.Debugf("asset %s %s is less than MoQ, skip convert", available, fromAsset)
return nil
}

View File

@ -72,6 +72,7 @@ func (m Market) TruncateQuantity(quantity fixedpoint.Value) fixedpoint.Value {
}
// TruncateQuoteQuantity uses the tick size to truncate floating number, in order to avoid the rounding issue
// this is usually used for calculating the order size from the quote quantity.
func (m Market) TruncateQuoteQuantity(quantity fixedpoint.Value) fixedpoint.Value {
var ts = m.TickSize.Float64()
var prec = int(math.Round(math.Log10(ts) * -1.0))
@ -84,6 +85,51 @@ func (m Market) TruncateQuoteQuantity(quantity fixedpoint.Value) fixedpoint.Valu
return fixedpoint.MustNewFromString(qs)
}
// GreaterThanMinimalOrderQuantity ensures that your given balance could fit the minimal order quantity
// when side = sell, then available = base balance
// when side = buy, then available = quote balance
// The balance will be truncated first in order to calculate the minimal notional and minimal quantity
// The adjusted (truncated) order quantity will be returned
func (m Market) GreaterThanMinimalOrderQuantity(side SideType, price, available fixedpoint.Value) (fixedpoint.Value, bool) {
switch side {
case SideTypeSell:
available = m.TruncateQuantity(available)
if available.Compare(m.MinQuantity) < 0 {
return fixedpoint.Zero, false
}
quoteAmount := price.Mul(available)
if quoteAmount.Compare(m.MinNotional) < 0 {
return fixedpoint.Zero, false
}
return available, true
case SideTypeBuy:
available = m.TruncateQuoteQuantity(available)
if available.Compare(m.MinNotional) < 0 {
return fixedpoint.Zero, false
}
quantity := available.Div(price)
quantity = m.TruncateQuantity(quantity)
if quantity.Compare(m.MinQuantity) < 0 {
return fixedpoint.Zero, false
}
notional := quantity.Mul(price)
if notional.Compare(m.MinNotional) < 0 {
return fixedpoint.Zero, false
}
return quantity, true
}
return available, true
}
// RoundDownQuantityByPrecision uses the volume precision to round down the quantity
// This is different from the TruncateQuantity, which uses StepSize (it uses fewer fractions to truncate)
func (m Market) RoundDownQuantityByPrecision(quantity fixedpoint.Value) fixedpoint.Value {

View File

@ -13,6 +13,31 @@ import (
var s func(string) fixedpoint.Value = fixedpoint.MustNewFromString
func TestMarket_GreaterThanMinimalOrderQuantity(t *testing.T) {
market := Market{
Symbol: "BTCUSDT",
LocalSymbol: "BTCUSDT",
PricePrecision: 8,
VolumePrecision: 8,
QuoteCurrency: "USDT",
BaseCurrency: "BTC",
MinNotional: number(10.0),
MinAmount: number(10.0),
MinQuantity: number(0.0001),
StepSize: number(0.00001),
TickSize: number(0.01),
}
_, ok := market.GreaterThanMinimalOrderQuantity(SideTypeSell, number(20000.0), number(0.00051))
assert.True(t, ok)
_, ok = market.GreaterThanMinimalOrderQuantity(SideTypeBuy, number(20000.0), number(10.0))
assert.True(t, ok)
_, ok = market.GreaterThanMinimalOrderQuantity(SideTypeBuy, number(20000.0), number(0.99999))
assert.False(t, ok)
}
func TestFormatQuantity(t *testing.T) {
quantity := formatQuantity(
s("0.12511"),