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xalign: apply market.GreaterThanMinimalOrderQuantity on xalign

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c9s 2023-08-05 16:49:25 +08:00
parent 8b6a8aeb7b
commit c3cce05bdd
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1 changed files with 36 additions and 43 deletions
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55
pkg/strategy/xalign/strategy.go
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@ -145,8 +145,9 @@ func (s *Strategy) selectSessionForCurrency(ctx context.Context, sessions map[st
// changeQuantity < 0 = sell // changeQuantity < 0 = sell
q := changeQuantity.Abs() q := changeQuantity.Abs()
// a fast filtering
if q.Compare(market.MinQuantity) < 0 { if q.Compare(market.MinQuantity) < 0 {
log.Infof("skip dust quantity: %f", q.Float64()) log.Debugf("skip dust quantity: %f", q.Float64())
continue continue
} }
@ -155,11 +156,6 @@ func (s *Strategy) selectSessionForCurrency(ctx context.Context, sessions map[st
switch side { switch side {
case types.SideTypeBuy: case types.SideTypeBuy:
quoteBalance, ok := session.Account.Balance(quoteCurrency)
if !ok {
continue
}
price := ticker.Sell price := ticker.Sell
if taker { if taker {
price = ticker.Sell price = ticker.Sell
@ -169,6 +165,11 @@ func (s *Strategy) selectSessionForCurrency(ctx context.Context, sessions map[st
price = ticker.Buy price = ticker.Buy
} }
quoteBalance, ok := session.Account.Balance(quoteCurrency)
if !ok {
continue
}
requiredQuoteAmount := q.Mul(price) requiredQuoteAmount := q.Mul(price)
requiredQuoteAmount = requiredQuoteAmount.Round(market.PricePrecision, fixedpoint.Up) requiredQuoteAmount = requiredQuoteAmount.Round(market.PricePrecision, fixedpoint.Up)
if requiredQuoteAmount.Compare(quoteBalance.Available) > 0 { if requiredQuoteAmount.Compare(quoteBalance.Available) > 0 {
@ -176,24 +177,28 @@ func (s *Strategy) selectSessionForCurrency(ctx context.Context, sessions map[st
continue continue
} }
if market.IsDustQuantity(q, price) { if quantity, ok := market.GreaterThanMinimalOrderQuantity(side, price, requiredQuoteAmount); ok {
log.Infof("%s ignore dust quantity: %f", currency, q.Float64())
return nil, nil
}
q = market.AdjustQuantityByMinNotional(q, price)
return session, &types.SubmitOrder{ return session, &types.SubmitOrder{
Symbol: symbol, Symbol: symbol,
Side: side, Side: side,
Type: types.OrderTypeLimit, Type: types.OrderTypeLimit,
Quantity: q, Quantity: quantity,
Price: price, Price: price,
Market: market, Market: market,
TimeInForce: "GTC", TimeInForce: types.TimeInForceGTC,
}
} }
case types.SideTypeSell: case types.SideTypeSell:
price := ticker.Buy
if taker {
price = ticker.Buy
} else if spread.Compare(market.TickSize) > 0 {
price = ticker.Buy.Add(market.TickSize)
} else {
price = ticker.Sell
}
baseBalance, ok := session.Account.Balance(currency) baseBalance, ok := session.Account.Balance(currency)
if !ok { if !ok {
continue continue
@ -204,28 +209,16 @@ func (s *Strategy) selectSessionForCurrency(ctx context.Context, sessions map[st
continue continue
} }
price := ticker.Buy if quantity, ok := market.GreaterThanMinimalOrderQuantity(side, price, q); ok {
if taker {
price = ticker.Buy
} else if spread.Compare(market.TickSize) > 0 {
price = ticker.Buy.Add(market.TickSize)
} else {
price = ticker.Sell
}
if market.IsDustQuantity(q, price) {
log.Infof("%s ignore dust quantity: %f", currency, q.Float64())
return nil, nil
}
return session, &types.SubmitOrder{ return session, &types.SubmitOrder{
Symbol: symbol, Symbol: symbol,
Side: side, Side: side,
Type: types.OrderTypeLimit, Type: types.OrderTypeLimit,
Quantity: q, Quantity: quantity,
Price: price, Price: price,
Market: market, Market: market,
TimeInForce: "GTC", TimeInForce: types.TimeInForceGTC,
}
} }
} }