Merge pull request #1185 from c9s/c9s/fix-autoborrow

FIX: [autoborrow] add max borrowable check and add more notifications

pkg/exchange/binance/parse.go

@@ -7,6 +7,7 @@ import (
 	"time"
 
 	"github.com/adshao/go-binance/v2/futures"
+	"github.com/slack-go/slack"
 
 	"github.com/adshao/go-binance/v2"
 	"github.com/valyala/fastjson"
@@ -21,10 +22,9 @@ type EventBase struct {
 }
 
 /*
-
 executionReport
 
-{
+	{
 	  "e": "executionReport",        // Event type
 	  "E": 1499405658658,            // Event time
 	  "s": "ETHBTC",                 // Symbol
@@ -57,7 +57,7 @@ executionReport
 	  "Z": "0.00000000",             // Cumulative quote asset transacted quantity
 	  "Y": "0.00000000",             // Last quote asset transacted quantity (i.e. lastPrice * lastQty)
 	  "Q": "0.00000000"              // Quote Order Quantity
-}
+	}
 */
 type ExecutionReportEvent struct {
 	EventBase
@@ -165,29 +165,59 @@ func (e *ExecutionReportEvent) Trade() (*types.Trade, error) {
 }
 
 /*
-balanceUpdate
+event: balanceUpdate
 
-{
+Balance Update occurs during the following:
+
+Deposits or withdrawals from the account
+Transfer of funds between accounts (e.g. Spot to Margin)
+
+	{
 	  "e": "balanceUpdate",         //KLineEvent Type
 	  "E": 1573200697110,           //KLineEvent Time
 	  "a": "BTC",                   //Asset
 	  "d": "100.00000000",          //Balance Delta
 	  "T": 1573200697068            //Clear Time
-}
+	}
+
+This event is only for Spot
 */
 type BalanceUpdateEvent struct {
 	EventBase
 
 	Asset     string                     `json:"a"`
-	Delta     string `json:"d"`
-	ClearTime int64  `json:"T"`
+	Delta     fixedpoint.Value           `json:"d"`
+	ClearTime types.MillisecondTimestamp `json:"T"`
+}
+
+func (e *BalanceUpdateEvent) SlackAttachment() slack.Attachment {
+	return slack.Attachment{
+		Title: "Binance Balance Update Event",
+		Color: "warning",
+		Fields: []slack.AttachmentField{
+			{
+				Title: "Asset",
+				Value: e.Asset,
+				Short: true,
+			},
+			{
+				Title: "Delta",
+				Value: e.Delta.String(),
+				Short: true,
+			},
+			{
+				Title: "Time",
+				Value: e.ClearTime.String(),
+				Short: true,
+			},
+		},
+	}
 }
 
 /*
-
 outboundAccountInfo
 
-{
+	{
 	  "e": "outboundAccountInfo",   // KLineEvent type
 	  "E": 1499405658849,           // KLineEvent time
 	  "m": 0,                       // Maker commission rate (bips)
@@ -228,8 +258,7 @@ outboundAccountInfo
 	  "P": [                       // Account Permissions
 	        "SPOT"
 	  ]
-}
-
+	}
 */
 type Balance struct {
 	Asset  string           `json:"a"`

pkg/strategy/autoborrow/strategy.go

@@ -247,9 +247,9 @@ func (s *Strategy) checkAndBorrow(ctx context.Context) {
 
 			if !marginAsset.MaxTotalBorrow.IsZero() {
 				// check if we over borrow
-				newBorrow := toBorrow.Add(b.Borrowed)
-				if newBorrow.Compare(marginAsset.MaxTotalBorrow) > 0 {
-					toBorrow = toBorrow.Sub(newBorrow.Sub(marginAsset.MaxTotalBorrow))
+				newTotalBorrow := toBorrow.Add(b.Borrowed)
+				if newTotalBorrow.Compare(marginAsset.MaxTotalBorrow) > 0 {
+					toBorrow = toBorrow.Sub(newTotalBorrow.Sub(marginAsset.MaxTotalBorrow))
 					if toBorrow.Sign() < 0 {
 						log.Warnf("margin asset %s is over borrowed, skip", marginAsset.Asset)
 						continue
@@ -257,6 +257,22 @@ func (s *Strategy) checkAndBorrow(ctx context.Context) {
 				}
 			}
 
+			maxBorrowable, err2 := s.marginBorrowRepay.QueryMarginAssetMaxBorrowable(ctx, marginAsset.Asset)
+			if err2 != nil {
+				log.WithError(err).Errorf("max borrowable query error")
+				continue
+			}
+
+			if toBorrow.Compare(maxBorrowable) > 0 {
+				bbgo.Notify("Trying to borrow %f %s, which is greater than the max borrowable amount %f, will adjust borrow amount to %f",
+					toBorrow.Float64(),
+					marginAsset.Asset,
+					maxBorrowable.Float64(),
+					maxBorrowable.Float64())
+
+				toBorrow = fixedpoint.Min(maxBorrowable, toBorrow)
+			}
+
 			if toBorrow.IsZero() {
 				continue
 			}
@@ -350,16 +366,19 @@ func (s *Strategy) handleBalanceUpdate(balances types.BalanceMap) {
 }
 
 func (s *Strategy) handleBinanceBalanceUpdateEvent(event *binance.BalanceUpdateEvent) {
+	bbgo.Notify(event)
+
 	if s.MinMarginLevel.IsZero() {
 		return
 	}
 
 	account := s.ExchangeSession.GetAccount()
 	if account.MarginLevel.Compare(s.MinMarginLevel) > 0 {
+		bbgo.Notify("account margin level %f is greater than minimal margin level %f, skip", account.MarginLevel.Float64(), s.MinMarginLevel.Float64())
 		return
 	}
 
-	delta := fixedpoint.MustNewFromString(event.Delta)
+	delta := event.Delta
 
 	// ignore outflow
 	if delta.Sign() < 0 {