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

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FIX: [schedule] fix quantity truncation add minBaseBalance config
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c9s 2023-06-07 17:30:56 +08:00 committed by GitHub
commit d7cafcb65a
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1 changed files with 50 additions and 20 deletions
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70
pkg/strategy/schedule/strategy.go
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@ -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)
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
}
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
}
totalBase := baseBalance.Total()
// 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)
}
if totalBase.Add(quantity).Compare(s.MaxBaseBalance) >= 0 {
quantity = s.MaxBaseBalance.Sub(totalBase)
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 min base balance is defined
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 {
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)
// skip sell if we hit the minBaseBalance line
if !s.MinBaseBalance.IsZero() {
if totalBase.Sub(quantity).Compare(s.MinBaseBalance) < 0 {
return
}
}
quantity = fixedpoint.Min(quantity, baseBalance.Available)
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", s.Symbol, quantity.Float64())
log.Warnf("%s: quantity %f is too small, skip order", s.Symbol, quantity.Float64())
return
}
bbgo.Notify("Submitting scheduled %s order with quantity %s at price %s", s.Symbol, quantity.String(), closePrice.String())
_, err := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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)