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Merge pull request #1076 from c9s/fix/grid2/fix-fee-reduction
fix: grid2: quantity fee reduction for quote currency
This commit is contained in:
Yo-An Lin
GitHub
commit
bfcb60d9d7
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@ -143,6 +143,8 @@ type Strategy struct {
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// StopIfLessThanMinimalQuoteInvestment stops the strategy if the quote investment does not match
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StopIfLessThanMinimalQuoteInvestment bool `json:"stopIfLessThanMinimalQuoteInvestment"`
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OrderFillDelay types.Duration `json:"orderFillDelay"`
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// PrometheusLabels will be used as the base prometheus labels
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PrometheusLabels prometheus.Labels `json:"prometheusLabels"`
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@ -321,38 +323,43 @@ func (s *Strategy) verifyOrderTrades(o types.Order, trades []types.Trade) bool {
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tq := aggregateTradesQuantity(trades)
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if tq.Compare(o.Quantity) != 0 {
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s.logger.Warnf("order trades missing. expected: %f actual: %f",
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o.Quantity.Float64(),
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tq.Float64())
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s.logger.Warnf("order trades missing. expected: %s got: %s",
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o.Quantity.String(),
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tq.String())
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return false
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}
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return true
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}
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// aggregateOrderBaseFee collects the base fee quantity from the given order
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// aggregateOrderFee collects the base fee quantity from the given order
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// it falls back to query the trades via the RESTful API when the websocket trades are not all received.
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func (s *Strategy) aggregateOrderBaseFee(o types.Order) fixedpoint.Value {
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func (s *Strategy) aggregateOrderFee(o types.Order) (fixedpoint.Value, string) {
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// try to get the received trades (websocket trades)
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orderTrades := s.historicalTrades.GetOrderTrades(o)
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if len(orderTrades) > 0 {
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s.logger.Infof("found filled order trades: %+v", orderTrades)
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}
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feeCurrency := s.Market.BaseCurrency
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if o.Side == types.SideTypeSell {
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feeCurrency = s.Market.QuoteCurrency
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}
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for maxTries := maxNumberOfOrderTradesQueryTries; maxTries > 0; maxTries-- {
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// if one of the trades is missing, we need to query the trades from the RESTful API
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if s.verifyOrderTrades(o, orderTrades) {
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// if trades are verified
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fees := collectTradeFee(orderTrades)
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if fee, ok := fees[s.Market.BaseCurrency]; ok {
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return fee
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if fee, ok := fees[feeCurrency]; ok {
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return fee, feeCurrency
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}
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return fixedpoint.Zero
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return fixedpoint.Zero, feeCurrency
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}
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// if we don't support orderQueryService, then we should just skip
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if s.orderQueryService == nil {
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return fixedpoint.Zero
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return fixedpoint.Zero, feeCurrency
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}
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s.logger.Warnf("missing order trades or missing trade fee, pulling order trades from API")
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@ -370,7 +377,7 @@ func (s *Strategy) aggregateOrderBaseFee(o types.Order) fixedpoint.Value {
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}
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}
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return fixedpoint.Zero
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return fixedpoint.Zero, feeCurrency
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}
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func (s *Strategy) processFilledOrder(o types.Order) {
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@ -381,15 +388,35 @@ func (s *Strategy) processFilledOrder(o types.Order) {
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newPrice := o.Price
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newQuantity := o.Quantity
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executedPrice := o.Price
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if o.AveragePrice.Sign() > 0 {
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executedPrice = o.AveragePrice
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}
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/*
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if o.AveragePrice.Sign() > 0 {
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executedPrice = o.AveragePrice
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}
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*/
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// will be used for calculating quantity
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orderExecutedQuoteAmount := o.Quantity.Mul(executedPrice)
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// collect trades
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baseSellQuantityReduction := fixedpoint.Zero
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feeQuantityReduction := fixedpoint.Zero
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feeCurrency := ""
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feePrec := 2
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// feeQuantityReduction calculation is used to reduce the order quantity
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// because when 1.0 BTC buy order is filled without FEE token, then we will actually get 1.0 * (1 - feeRate) BTC
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// if we don't reduce the sell quantity, than we might fail to place the sell order
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feeQuantityReduction, feeCurrency = s.aggregateOrderFee(o)
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s.logger.Infof("GRID ORDER #%d %s FEE: %s %s",
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o.OrderID, o.Side,
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feeQuantityReduction.String(), feeCurrency)
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feeQuantityReduction, feePrec = roundUpMarketQuantity(s.Market, feeQuantityReduction, feeCurrency)
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s.logger.Infof("GRID ORDER #%d %s FEE (rounding precision %d): %s %s",
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o.OrderID, o.Side,
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feePrec,
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feeQuantityReduction.String(),
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feeCurrency)
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switch o.Side {
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case types.SideTypeSell:
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@ -405,6 +432,11 @@ func (s *Strategy) processFilledOrder(o types.Order) {
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// use the profit to buy more inventory in the grid
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if s.Compound || s.EarnBase {
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// if it's not using the platform fee currency, reduce the quote quantity for the buy order
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if feeCurrency == s.Market.QuoteCurrency {
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orderExecutedQuoteAmount = orderExecutedQuoteAmount.Sub(feeQuantityReduction)
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}
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newQuantity = fixedpoint.Max(orderExecutedQuoteAmount.Div(newPrice), s.Market.MinQuantity)
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} else if s.QuantityOrAmount.Quantity.Sign() > 0 {
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newQuantity = s.QuantityOrAmount.Quantity
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@ -414,19 +446,9 @@ func (s *Strategy) processFilledOrder(o types.Order) {
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profit = s.calculateProfit(o, newPrice, newQuantity)
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case types.SideTypeBuy:
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// baseSellQuantityReduction calculation should be only for BUY order
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// because when 1.0 BTC buy order is filled without FEE token, then we will actually get 1.0 * (1 - feeRate) BTC
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// if we don't reduce the sell quantity, than we might fail to place the sell order
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baseSellQuantityReduction = s.aggregateOrderBaseFee(o)
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s.logger.Infof("GRID BUY ORDER BASE FEE: %s %s", baseSellQuantityReduction.String(), s.Market.BaseCurrency)
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baseSellQuantityReduction = roundUpMarketQuantity(s.Market, baseSellQuantityReduction)
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s.logger.Infof("GRID BUY ORDER BASE FEE (Rounding with precision %d): %s %s",
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s.Market.VolumePrecision,
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baseSellQuantityReduction.String(),
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s.Market.BaseCurrency)
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newQuantity = newQuantity.Sub(baseSellQuantityReduction)
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if feeCurrency == s.Market.BaseCurrency {
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newQuantity = newQuantity.Sub(feeQuantityReduction)
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}
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newSide = types.SideTypeSell
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if !s.ProfitSpread.IsZero() {
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@ -438,7 +460,7 @@ func (s *Strategy) processFilledOrder(o types.Order) {
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}
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if s.EarnBase {
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newQuantity = fixedpoint.Max(orderExecutedQuoteAmount.Div(newPrice).Sub(baseSellQuantityReduction), s.Market.MinQuantity)
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newQuantity = fixedpoint.Max(orderExecutedQuoteAmount.Div(newPrice).Sub(feeQuantityReduction), s.Market.MinQuantity)
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}
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}
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@ -765,6 +787,10 @@ func (s *Strategy) newTriggerPriceHandler(ctx context.Context, session *bbgo.Exc
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func (s *Strategy) newOrderUpdateHandler(ctx context.Context, session *bbgo.ExchangeSession) func(o types.Order) {
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return func(o types.Order) {
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if s.OrderFillDelay > 0 {
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time.Sleep(s.OrderFillDelay.Duration())
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}
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s.handleOrderFilled(o)
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// sync the profits to redis
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@ -1789,6 +1815,11 @@ func (s *Strategy) openOrdersMismatches(ctx context.Context, session *bbgo.Excha
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return false, nil
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}
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func roundUpMarketQuantity(market types.Market, v fixedpoint.Value) fixedpoint.Value {
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return v.Round(market.VolumePrecision, fixedpoint.Up)
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}
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func roundUpMarketQuantity(market types.Market, v fixedpoint.Value, c string) (fixedpoint.Value, int) {
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prec := market.VolumePrecision
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if c == market.QuoteCurrency {
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prec = market.PricePrecision
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}
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return v.Round(prec, fixedpoint.Up), prec
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}
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@ -478,7 +478,7 @@ func TestStrategy_aggregateOrderBaseFee(t *testing.T) {
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},
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}, nil)
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baseFee := s.aggregateOrderBaseFee(types.Order{
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baseFee, _ := s.aggregateOrderFee(types.Order{
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SubmitOrder: types.SubmitOrder{
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Symbol: "BTCUSDT",
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Side: types.SideTypeBuy,
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@ -646,6 +646,7 @@ func TestStrategy_handleOrderFilled(t *testing.T) {
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defer mockCtrl.Finish()
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mockService := mocks.NewMockExchangeOrderQueryService(mockCtrl)
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mockService.EXPECT().QueryOrderTrades(ctx, types.OrderQuery{
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Symbol: "BTCUSDT",
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OrderID: "1",
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@ -655,14 +656,32 @@ func TestStrategy_handleOrderFilled(t *testing.T) {
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OrderID: orderID,
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Exchange: "binance",
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Price: number(11000.0),
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Quantity: gridQuantity,
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Quantity: number("0.1"),
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Symbol: "BTCUSDT",
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Side: types.SideTypeBuy,
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IsBuyer: true,
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FeeCurrency: "BTC",
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Fee: fixedpoint.Zero,
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},
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}, nil)
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}, nil).Times(1)
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mockService.EXPECT().QueryOrderTrades(ctx, types.OrderQuery{
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Symbol: "BTCUSDT",
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OrderID: "2",
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}).Return([]types.Trade{
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{
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ID: 2,
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OrderID: orderID,
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Exchange: "binance",
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Price: number(12000.0),
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Quantity: number(0.09166666666),
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Symbol: "BTCUSDT",
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Side: types.SideTypeSell,
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IsBuyer: true,
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FeeCurrency: "BTC",
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Fee: fixedpoint.Zero,
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},
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}, nil).Times(1)
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s.orderQueryService = mockService
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@ -735,6 +754,7 @@ func TestStrategy_handleOrderFilled(t *testing.T) {
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defer mockCtrl.Finish()
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mockService := mocks.NewMockExchangeOrderQueryService(mockCtrl)
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mockService.EXPECT().QueryOrderTrades(ctx, types.OrderQuery{
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Symbol: "BTCUSDT",
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OrderID: "1",
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@ -749,7 +769,25 @@ func TestStrategy_handleOrderFilled(t *testing.T) {
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Side: types.SideTypeBuy,
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IsBuyer: true,
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FeeCurrency: "BTC",
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Fee: fixedpoint.Zero,
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Fee: number("0.00001"),
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},
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}, nil)
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mockService.EXPECT().QueryOrderTrades(ctx, types.OrderQuery{
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Symbol: "BTCUSDT",
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OrderID: "2",
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}).Return([]types.Trade{
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{
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ID: 2,
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OrderID: orderID,
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Exchange: "binance",
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Price: number(12000.0),
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Quantity: gridQuantity,
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Symbol: "BTCUSDT",
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Side: types.SideTypeSell,
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IsBuyer: true,
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FeeCurrency: "USDT",
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Fee: number("0.01"),
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},
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}, nil)
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@ -759,7 +797,7 @@ func TestStrategy_handleOrderFilled(t *testing.T) {
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Symbol: "BTCUSDT",
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Type: types.OrderTypeLimit,
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Price: number(12_000.0),
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Quantity: gridQuantity,
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Quantity: number(0.09998999),
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Side: types.SideTypeSell,
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TimeInForce: types.TimeInForceGTC,
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Market: s.Market,
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@ -775,7 +813,7 @@ func TestStrategy_handleOrderFilled(t *testing.T) {
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Symbol: "BTCUSDT",
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Type: types.OrderTypeLimit,
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Price: number(11_000.0),
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Quantity: number(0.1090909),
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Quantity: number(0.10909),
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Side: types.SideTypeBuy,
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TimeInForce: types.TimeInForceGTC,
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Market: s.Market,
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@ -865,7 +903,7 @@ func TestStrategy_aggregateOrderBaseFeeRetry(t *testing.T) {
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},
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}, nil)
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baseFee := s.aggregateOrderBaseFee(types.Order{
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baseFee, _ := s.aggregateOrderFee(types.Order{
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SubmitOrder: types.SubmitOrder{
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Symbol: "BTCUSDT",
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Side: types.SideTypeBuy,
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@ -937,8 +975,9 @@ func Test_roundUpMarketQuantity(t *testing.T) {
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q := number("0.00000003")
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assert.Equal(t, "0.00000003", q.String())
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q3 := roundUpMarketQuantity(types.Market{
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q3, prec := roundUpMarketQuantity(types.Market{
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VolumePrecision: 8,
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}, q)
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}, q, "BTC")
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assert.Equal(t, "0.00000003", q3.String(), "rounding prec 8")
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assert.Equal(t, 8, prec)
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}
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