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grid2: consider base sell quantity reduction

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This commit is contained in:
c9s 2022-12-05 19:37:42 +08:00
parent fae61bd91f
commit 8e3bfe8499
2 changed files with 54 additions and 37 deletions
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6
config/grid2-max.yaml
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@ -77,3 +77,9 @@ exchangeStrategies:
## if you have existing BTC position and want to reuse it you can set the baseInvestment.
quoteInvestment: 10_000
# baseInvestment: 1.0
feeRate: 0.075%
closeWhenCancelOrder: false
resetPositionWhenStart: true
clearOpenOrdersWhenStart: false
keepOrdersWhenShutdown: false

85
pkg/strategy/grid2/strategy.go
View File

@ -81,6 +81,8 @@ type Strategy struct {
// If this is set, when bbgo started, it will clear the open orders in the same market (by symbol)
ClearOpenOrdersWhenStart bool `json:"clearOpenOrdersWhenStart"`
ResetPositionWhenStart bool `json:"resetPositionWhenStart"`
// FeeRate is used for calculating the minimal profit spread.
// it makes sure that your grid configuration is profitable.
FeeRate fixedpoint.Value `json:"feeRate"`
@ -239,46 +241,53 @@ func (s *Strategy) handleOrderFilled(o types.Order) {
s.logger.Infof("GRID ORDER FILLED: %s", o.String())
// collect trades
baseSellQuantityReduction := fixedpoint.Zero
orderTrades := s.historicalTrades.GetOrderTrades(o)
if len(orderTrades) > 0 {
s.logger.Infof("FOUND FILLED ORDER TRADES: %+v", orderTrades)
}
// TODO: should be only for BUY order
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 {
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)
}
}
// check order fee
newSide := types.SideTypeSell
newPrice := o.Price
newQuantity := o.Quantity
orderQuoteQuantity := o.Quantity.Mul(o.Price)
// collect trades
baseSellQuantityReduction := fixedpoint.Zero
// baseSellQuantityReduction calculation should be only for BUY 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 {
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)
}
}
}
switch o.Side {
case types.SideTypeSell:
newSide = types.SideTypeBuy
@ -313,7 +322,7 @@ func (s *Strategy) handleOrderFilled(o types.Order) {
}
if s.EarnBase {
newQuantity = orderQuoteQuantity.Div(newPrice)
newQuantity = orderQuoteQuantity.Div(newPrice).Sub(baseSellQuantityReduction)
}
}
@ -878,8 +887,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.Position = types.NewPositionFromMarket(s.Market)
}
// make this an option
// s.Position.Reset()
if s.ResetPositionWhenStart {
s.Position.Reset()
}
s.historicalTrades = bbgo.NewTradeStore()
s.historicalTrades.BindStream(session.UserDataStream)