Merge pull request #1193 from c9s/fix/schedule-quantity-truncation

FIX: [schedule] fix quantity truncation add minBaseBalance config

pkg/strategy/schedule/strategy.go

@@ -34,8 +34,11 @@ type Strategy struct {
 	// Side is the order side type, which can be buy or sell
 	Side types.SideType `json:"side,omitempty"`
 
+	UseLimitOrder bool `json:"useLimitOrder"`
+
 	bbgo.QuantityOrAmount
 
+	MinBaseBalance fixedpoint.Value `json:"minBaseBalance"`
 	MaxBaseBalance fixedpoint.Value `json:"maxBaseBalance"`
 
 	BelowMovingAverage *bbgo.MovingAverageSettings `json:"belowMovingAverage,omitempty"`
@@ -161,55 +164,82 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		// calculate quote quantity for balance checking
 		quoteQuantity := quantity.Mul(closePrice)
 
-		// execute orders
-		switch side {
-		case types.SideTypeBuy:
-			if !s.MaxBaseBalance.IsZero() {
-				if baseBalance, ok := session.GetAccount().Balance(s.Market.BaseCurrency); ok {
-					total := baseBalance.Total()
-					if total.Add(quantity).Compare(s.MaxBaseBalance) >= 0 {
-						quantity = s.MaxBaseBalance.Sub(total)
-						quoteQuantity = quantity.Mul(closePrice)
-					}
-				}
-			}
-
 		quoteBalance, ok := session.GetAccount().Balance(s.Market.QuoteCurrency)
 		if !ok {
 			log.Errorf("can not place scheduled %s order, quote balance %s is empty", s.Symbol, s.Market.QuoteCurrency)
 			return
 		}
 
-			if quoteBalance.Available.Compare(quoteQuantity) < 0 {
-				bbgo.Notify("Can not place scheduled %s order: quote balance %s is not enough: %v < %v", s.Symbol, s.Market.QuoteCurrency, quoteBalance.Available, quoteQuantity)
-				log.Errorf("can not place scheduled %s order: quote balance %s is not enough: %v < %v", s.Symbol, s.Market.QuoteCurrency, quoteBalance.Available, quoteQuantity)
-				return
-			}
-
-		case types.SideTypeSell:
 		baseBalance, ok := session.GetAccount().Balance(s.Market.BaseCurrency)
 		if !ok {
 			log.Errorf("can not place scheduled %s order, base balance %s is empty", s.Symbol, s.Market.BaseCurrency)
 			return
 		}
 
-			quantity = fixedpoint.Min(quantity, baseBalance.Available)
+		totalBase := baseBalance.Total()
+
+		// execute orders
+		switch side {
+		case types.SideTypeBuy:
+
+			if !s.MaxBaseBalance.IsZero() {
+				if totalBase.Add(quantity).Compare(s.MaxBaseBalance) >= 0 {
+					quantity = s.MaxBaseBalance.Sub(totalBase)
 					quoteQuantity = quantity.Mul(closePrice)
 				}
+			}
 
-		if s.Market.IsDustQuantity(quantity, closePrice) {
+			// if min base balance is defined
-			log.Warnf("%s: quantity %f is too small", s.Symbol, quantity.Float64())
+			if !s.MinBaseBalance.IsZero() && s.MinBaseBalance.Compare(totalBase) > 0 {
+				quantity = fixedpoint.Max(quantity, s.MinBaseBalance.Sub(totalBase))
+				quantity = fixedpoint.Max(quantity, s.Market.MinQuantity)
+			}
+
+			if quoteBalance.Available.Compare(quoteQuantity) < 0 {
+				log.Errorf("can not place scheduled %s order: quote balance %s is not enough: %v < %v", s.Symbol, s.Market.QuoteCurrency, quoteBalance.Available, quoteQuantity)
 				return
 			}
 
-		bbgo.Notify("Submitting scheduled %s order with quantity %s at price %s", s.Symbol, quantity.String(), closePrice.String())
+		case types.SideTypeSell:
-		_, err := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
+			quantity = fixedpoint.Min(quantity, baseBalance.Available)
+
+			// skip sell if we hit the minBaseBalance line
+			if !s.MinBaseBalance.IsZero() {
+				if totalBase.Sub(quantity).Compare(s.MinBaseBalance) < 0 {
+					return
+				}
+			}
+
+			quoteQuantity = quantity.Mul(closePrice)
+		}
+
+		// truncate quantity by its step size
+		quantity = s.Market.TruncateQuantity(quantity)
+
+		if s.Market.IsDustQuantity(quantity, closePrice) {
+			log.Warnf("%s: quantity %f is too small, skip order", s.Symbol, quantity.Float64())
+			return
+		}
+
+		submitOrder := types.SubmitOrder{
 			Symbol:   s.Symbol,
 			Side:     side,
 			Type:     types.OrderTypeMarket,
 			Quantity: quantity,
 			Market:   s.Market,
-		})
+		}
+
+		if s.UseLimitOrder {
+			submitOrder.Type = types.OrderTypeLimit
+			submitOrder.Price = closePrice
+		}
+
+		if err := s.orderExecutor.GracefulCancel(ctx); err != nil {
+			log.WithError(err).Errorf("cancel order error")
+		}
+
+		bbgo.Notify("Submitting scheduled %s order with quantity %s at price %s", s.Symbol, quantity.String(), closePrice.String())
+		_, err := s.orderExecutor.SubmitOrders(ctx, submitOrder)
 		if err != nil {
 			bbgo.Notify("Can not place scheduled %s order: submit error %s", s.Symbol, err.Error())
 			log.WithError(err).Errorf("can not place scheduled %s order error", s.Symbol)