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grid2: add basic investment check test checkRequiredInvestmentByQuantity

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c9s 2022-11-15 15:29:30 +08:00
parent 3da86ab2e1
commit d0bdc859fb
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2 changed files with 55 additions and 12 deletions
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40
pkg/strategy/grid2/strategy.go
View File

@ -176,38 +176,54 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
return nil
}
func (s *Strategy) checkRequiredInvestmentByQuantity(baseInvestment, quoteInvestment, totalBaseBalance, totalQuoteBalance, quantity, lastPrice fixedpoint.Value, pins []Pin) error {
type InvestmentBudget struct {
baseInvestment fixedpoint.Value
quoteInvestment fixedpoint.Value
baseBalance fixedpoint.Value
quoteBalance fixedpoint.Value
}
func (s *Strategy) checkRequiredInvestmentByQuantity(baseInvestment, quoteInvestment, baseBalance, quoteBalance, quantity, lastPrice fixedpoint.Value, pins []Pin) error {
if baseInvestment.Compare(baseBalance) > 0 {
return fmt.Errorf("baseInvestment setup %f is greater than the total base balance %f", baseInvestment.Float64(), baseBalance.Float64())
}
if quoteInvestment.Compare(quoteBalance) > 0 {
return fmt.Errorf("quoteInvestment setup %f is greater than the total quote balance %f", quoteInvestment.Float64(), quoteBalance.Float64())
}
// check more investment budget details
requiredBase := fixedpoint.Zero
requiredQuote := fixedpoint.Zero
for i := len(s.grid.Pins) - 1; i >= 0; i++ {
pin := s.grid.Pins[i]
for i := len(pins) - 1; i >= 0; i++ {
pin := pins[i]
price := fixedpoint.Value(pin)
// TODO: add fee if we don't have the platform token. BNB, OKEX or MAX...
// TODO: add fee if we don't have the platform token. BNB, OKB or MAX...
if price.Compare(lastPrice) >= 0 {
// for orders that sell
// if we still have the base balance
if requiredBase.Compare(totalBaseBalance) < 0 {
if requiredBase.Compare(baseBalance) < 0 {
requiredBase = requiredBase.Add(quantity)
} else if i > 0 {
// convert buy quote to requiredQuote
} else if i > 0 { // we do not want to sell at i == 0
// convert sell to buy quote and add to requiredQuote
nextLowerPin := s.grid.Pins[i-1]
nextLowerPrice := fixedpoint.Value(nextLowerPin)
requiredQuote = requiredQuote.Add(quantity.Mul(nextLowerPrice))
}
} else {
// for orders that buy
requiredQuote = requiredQuote.Add(quantity.Mul(price))
}
}
if requiredBase.Compare(totalBaseBalance) < 0 && requiredQuote.Compare(totalQuoteBalance) < 0 {
if requiredBase.Compare(baseBalance) > 0 && requiredQuote.Compare(quoteBalance) > 0 {
return fmt.Errorf("both base balance (%f %s) and quote balance (%f %s) are not enought",
totalBaseBalance.Float64(), s.Market.BaseCurrency,
totalQuoteBalance.Float64(), s.Market.QuoteCurrency)
baseBalance.Float64(), s.Market.BaseCurrency,
quoteBalance.Float64(), s.Market.QuoteCurrency)
}
if requiredBase.Compare(totalBaseBalance) < 0 {
if requiredBase.Compare(baseBalance) < 0 {
// see if we can convert some quotes to base
}

27
pkg/strategy/grid2/strategy_test.go Normal file
View File

@ -0,0 +1,27 @@
package grid2
import (
"testing"
"github.com/stretchr/testify/assert"
)
func TestStrategy_checkRequiredInvestmentByQuantity(t *testing.T) {
s := &Strategy{}
t.Run("basic base balance check", func(t *testing.T) {
err := s.checkRequiredInvestmentByQuantity(number(2.0), number(10_000.0),
number(1.0), number(10_000.0),
number(0.1), number(19000.0), []Pin{})
assert.Error(t, err)
assert.EqualError(t, err, "baseInvestment setup 2.000000 is greater than the total base balance 1.000000")
})
t.Run("basic quote balance check", func(t *testing.T) {
err := s.checkRequiredInvestmentByQuantity(number(1.0), number(10_000.0),
number(1.0), number(100.0),
number(0.1), number(19_000.0), []Pin{})
assert.Error(t, err)
assert.EqualError(t, err, "quoteInvestment setup 10000.000000 is greater than the total quote balance 100.000000")
})
}