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grid2: add basic investment check test checkRequiredInvestmentByQuantity
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commit
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@ -176,38 +176,54 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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return nil
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}
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func (s *Strategy) checkRequiredInvestmentByQuantity(baseInvestment, quoteInvestment, totalBaseBalance, totalQuoteBalance, quantity, lastPrice fixedpoint.Value, pins []Pin) error {
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type InvestmentBudget struct {
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baseInvestment fixedpoint.Value
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quoteInvestment fixedpoint.Value
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baseBalance fixedpoint.Value
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quoteBalance fixedpoint.Value
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}
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func (s *Strategy) checkRequiredInvestmentByQuantity(baseInvestment, quoteInvestment, baseBalance, quoteBalance, quantity, lastPrice fixedpoint.Value, pins []Pin) error {
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if baseInvestment.Compare(baseBalance) > 0 {
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return fmt.Errorf("baseInvestment setup %f is greater than the total base balance %f", baseInvestment.Float64(), baseBalance.Float64())
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}
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if quoteInvestment.Compare(quoteBalance) > 0 {
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return fmt.Errorf("quoteInvestment setup %f is greater than the total quote balance %f", quoteInvestment.Float64(), quoteBalance.Float64())
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}
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// check more investment budget details
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requiredBase := fixedpoint.Zero
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requiredQuote := fixedpoint.Zero
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for i := len(s.grid.Pins) - 1; i >= 0; i++ {
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pin := s.grid.Pins[i]
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for i := len(pins) - 1; i >= 0; i++ {
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pin := pins[i]
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price := fixedpoint.Value(pin)
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// TODO: add fee if we don't have the platform token. BNB, OKEX or MAX...
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// TODO: add fee if we don't have the platform token. BNB, OKB or MAX...
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if price.Compare(lastPrice) >= 0 {
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// for orders that sell
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// if we still have the base balance
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if requiredBase.Compare(totalBaseBalance) < 0 {
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if requiredBase.Compare(baseBalance) < 0 {
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requiredBase = requiredBase.Add(quantity)
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} else if i > 0 {
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// convert buy quote to requiredQuote
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} else if i > 0 { // we do not want to sell at i == 0
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// convert sell to buy quote and add to requiredQuote
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nextLowerPin := s.grid.Pins[i-1]
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nextLowerPrice := fixedpoint.Value(nextLowerPin)
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requiredQuote = requiredQuote.Add(quantity.Mul(nextLowerPrice))
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}
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} else {
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// for orders that buy
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requiredQuote = requiredQuote.Add(quantity.Mul(price))
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}
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}
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if requiredBase.Compare(totalBaseBalance) < 0 && requiredQuote.Compare(totalQuoteBalance) < 0 {
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if requiredBase.Compare(baseBalance) > 0 && requiredQuote.Compare(quoteBalance) > 0 {
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return fmt.Errorf("both base balance (%f %s) and quote balance (%f %s) are not enought",
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totalBaseBalance.Float64(), s.Market.BaseCurrency,
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totalQuoteBalance.Float64(), s.Market.QuoteCurrency)
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baseBalance.Float64(), s.Market.BaseCurrency,
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quoteBalance.Float64(), s.Market.QuoteCurrency)
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}
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if requiredBase.Compare(totalBaseBalance) < 0 {
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if requiredBase.Compare(baseBalance) < 0 {
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// see if we can convert some quotes to base
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}
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27
pkg/strategy/grid2/strategy_test.go
Normal file
27
pkg/strategy/grid2/strategy_test.go
Normal file
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@ -0,0 +1,27 @@
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package grid2
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import (
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"testing"
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"github.com/stretchr/testify/assert"
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)
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func TestStrategy_checkRequiredInvestmentByQuantity(t *testing.T) {
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s := &Strategy{}
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t.Run("basic base balance check", func(t *testing.T) {
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err := s.checkRequiredInvestmentByQuantity(number(2.0), number(10_000.0),
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number(1.0), number(10_000.0),
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number(0.1), number(19000.0), []Pin{})
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assert.Error(t, err)
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assert.EqualError(t, err, "baseInvestment setup 2.000000 is greater than the total base balance 1.000000")
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})
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t.Run("basic quote balance check", func(t *testing.T) {
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err := s.checkRequiredInvestmentByQuantity(number(1.0), number(10_000.0),
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number(1.0), number(100.0),
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number(0.1), number(19_000.0), []Pin{})
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assert.Error(t, err)
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assert.EqualError(t, err, "quoteInvestment setup 10000.000000 is greater than the total quote balance 100.000000")
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})
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}
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