add test case for volume calculator

bbgo/calc.go

@@ -22,14 +22,27 @@ func SellVolumeModifier(price float64) float64 {
 	return math.Min(2, math.Exp((price-targetPrice)/flatness))
 }
 
-func VolumeByPriceChange(currentPrice float64, change float64, side binance.SideType) float64 {
+func VolumeByPriceChange(market Market, currentPrice float64, change float64, side binance.SideType) float64 {
 	volume := BaseVolumeByPriceChange(change)
 
 	if side == binance.SideTypeSell {
-		return volume * SellVolumeModifier(currentPrice)
+		volume *= SellVolumeModifier(currentPrice)
+	} else {
+		volume *= volume*BuyVolumeModifier(currentPrice)
 	}
 
-	return math.Max(MinQuantity, volume*BuyVolumeModifier(currentPrice))
+	// at least the minimal quantity
+	volume = math.Max(market.MinQuantity, volume)
+
+	// modify volume for the min amount
+	amount := currentPrice * volume
+	if amount < market.MinAmount {
+		ratio := market.MinAmount / amount
+		volume *= ratio
+	}
+
+	volume = math.Trunc(volume * math.Pow10(market.VolumePrecision)) / math.Pow10(market.VolumePrecision)
+	return volume
 }
 
 func BaseVolumeByPriceChange(change float64) float64 {

bbgo/calc_test.go

@@ -0,0 +1,78 @@
+package bbgo
+
+import (
+	"github.com/adshao/go-binance"
+	"testing"
+)
+
+func TestVolumeByPriceChange(t *testing.T) {
+	type args struct {
+		market       Market
+		currentPrice float64
+		change       float64
+		side         binance.SideType
+	}
+	tests := []struct {
+		name string
+		args args
+		want float64
+	}{
+		{
+			name: "buy-change-50-at-9400",
+			args: args{
+				market: MarketBTCUSDT,
+				currentPrice: 9400,
+				change: 50,
+				side: binance.SideTypeBuy,
+			},
+			want: 0.00106382,
+		},
+		{
+			name: "buy-change-100-at-9200",
+			args: args{
+				market: MarketBTCUSDT,
+				currentPrice: 9200,
+				change: 100,
+				side: binance.SideTypeBuy,
+			},
+			want: 0.00108695,
+		},
+		{
+			name: "sell-change-100-at-9500",
+			args: args{
+				market: MarketBTCUSDT,
+				currentPrice: 9500,
+				change: 100,
+				side: binance.SideTypeSell,
+			},
+			want: 0.00249052,
+		},
+		{
+			name: "sell-change-200-at-9600",
+			args: args{
+				market: MarketBTCUSDT,
+				currentPrice: 9500,
+				change: 200,
+				side: binance.SideTypeSell,
+			},
+			want: 0.00265114,
+		},
+		{
+			name: "sell-change-500-at-9600",
+			args: args{
+				market: MarketBTCUSDT,
+				currentPrice: 9600,
+				change: 500,
+				side: binance.SideTypeSell,
+			},
+			want: 0.00390591,
+		},
+	}
+	for _, tt := range tests {
+		t.Run(tt.name, func(t *testing.T) {
+			if got := VolumeByPriceChange(tt.args.market, tt.args.currentPrice, tt.args.change, tt.args.side); got != tt.want {
+				t.Errorf("VolumeByPriceChange() = %v, want %v", got, tt.want)
+			}
+		})
+	}
+}

bbgo/kline_detector.go

@@ -65,7 +65,7 @@ func (d *KLineDetector) NewOrder(e *KLineEvent, tradingCtx *TradingContext) Orde
 		side = binance.SideTypeSell
 	}
 
-	var volume = tradingCtx.Market.FormatVolume(VolumeByPriceChange(kline.GetClose(), kline.GetChange(), side))
+	var volume = tradingCtx.Market.FormatVolume(VolumeByPriceChange(tradingCtx.Market, kline.GetClose(), kline.GetChange(), side))
 	return Order{
 		Symbol:    e.KLine.Symbol,
 		Type:      binance.OrderTypeMarket,
@@ -140,4 +140,3 @@ func (d *KLineDetector) Detect(e *KLineEvent, tradingCtx *TradingContext) (reaso
 
 	return "", true
 }
-

bbgo/market.go

@@ -6,6 +6,8 @@ type Market struct {
 	Symbol          string
 	PricePrecision  int
 	VolumePrecision int
+	MinQuantity     float64
+	MinAmount       float64
 }
 
 func (m Market) FormatPrice(val float64) string {
@@ -16,24 +18,29 @@ func (m Market) FormatVolume(val float64) string {
 	return strconv.FormatFloat(val, 'f', m.VolumePrecision, 64)
 }
 
-
 //  Binance Markets, this should be defined per exchange
-var Markets = map[string]Market{
+
-	"BNBUSDT": {
+var MarketBTCUSDT = Market{
-		Symbol:          "BNBUSDT",
-		PricePrecision:  4,
-		VolumePrecision: 2,
-	},
-	"BTCUSDT": {
 		Symbol:          "BTCUSDT",
 		PricePrecision:  2,
 		VolumePrecision: 8,
-	},
+		MinQuantity:     0.00000100,
+		MinAmount:       10.0,
+}
+var MarketBNBUSDT = Market{
+		Symbol:          "BNBUSDT",
+		PricePrecision:  4,
+		VolumePrecision: 2,
+		MinQuantity:     0.01,
+		MinAmount:       10.0,
+}
+
+var Markets = map[string]Market{
+	"BNBUSDT": MarketBNBUSDT,
+	"BTCUSDT": MarketBTCUSDT,
 }
 
 func FindMarket(symbol string) (m Market, ok bool) {
-	m , ok = Markets[symbol]
+	m, ok = Markets[symbol]
 	return m, ok
 }
-
-