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FEATURE: use quote quantity if there is QuoteQuantity in trade

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This commit is contained in:
chiahung 2023-09-05 18:28:10 +08:00
parent 7461b60b6b
commit db376f8483
5 changed files with 56 additions and 41 deletions
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2
pkg/exchange/max/convert.go
View File

@ -300,7 +300,7 @@ func convertWebSocketTrade(t max.TradeUpdate) (*types.Trade, error) {
Fee: t.Fee,
FeeCurrency: toGlobalCurrency(t.FeeCurrency),
FeeDiscounted: t.FeeDiscounted,
QuoteQuantity: t.Price.Mul(t.Volume),
QuoteQuantity: t.Funds,
Time: types.Time(t.Timestamp.Time()),
}, nil
}

1
pkg/exchange/max/maxapi/userdata.go
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@ -98,6 +98,7 @@ type TradeUpdate struct {
Side string `json:"sd"`
Price fixedpoint.Value `json:"p"`
Volume fixedpoint.Value `json:"v"`
Funds fixedpoint.Value `json:"fn"`
Market string `json:"M"`
Fee fixedpoint.Value `json:"f"`

24
pkg/strategy/grid2/strategy.go
View File

@ -378,9 +378,9 @@ func (s *Strategy) verifyOrderTrades(o types.Order, trades []types.Trade) bool {
return true
}
// aggregateOrderFee collects the base fee quantity from the given order
// aggregateOrderQuoteAmountAndBaseFee collects the base fee quantity from the given order
// it falls back to query the trades via the RESTful API when the websocket trades are not all received.
func (s *Strategy) aggregateOrderFee(o types.Order) (fixedpoint.Value, string) {
func (s *Strategy) aggregateOrderQuoteAmountAndFee(o types.Order) (fixedpoint.Value, fixedpoint.Value, string) {
// try to get the received trades (websocket trades)
orderTrades := s.historicalTrades.GetOrderTrades(o)
if len(orderTrades) > 0 {
@ -396,16 +396,17 @@ func (s *Strategy) aggregateOrderFee(o types.Order) (fixedpoint.Value, string) {
// if one of the trades is missing, we need to query the trades from the RESTful API
if s.verifyOrderTrades(o, orderTrades) {
// if trades are verified
quoteAmount := aggregateTradesQuoteQuantity(orderTrades)
fees := collectTradeFee(orderTrades)
if fee, ok := fees[feeCurrency]; ok {
return fee, feeCurrency
return quoteAmount, fee, feeCurrency
}
return fixedpoint.Zero, feeCurrency
return quoteAmount, fixedpoint.Zero, feeCurrency
}
// if we don't support orderQueryService, then we should just skip
if s.orderQueryService == nil {
return fixedpoint.Zero, feeCurrency
return fixedpoint.Zero, fixedpoint.Zero, feeCurrency
}
s.logger.Warnf("GRID: missing #%d order trades or missing trade fee, pulling order trades from API", o.OrderID)
@ -423,13 +424,14 @@ func (s *Strategy) aggregateOrderFee(o types.Order) (fixedpoint.Value, string) {
}
}
quoteAmount := aggregateTradesQuoteQuantity(orderTrades)
// still try to aggregate the trades quantity if we can:
fees := collectTradeFee(orderTrades)
if fee, ok := fees[feeCurrency]; ok {
return fee, feeCurrency
return quoteAmount, fee, feeCurrency
}
return fixedpoint.Zero, feeCurrency
return quoteAmount, fixedpoint.Zero, feeCurrency
}
func (s *Strategy) processFilledOrder(o types.Order) {
@ -446,7 +448,6 @@ func (s *Strategy) processFilledOrder(o types.Order) {
}
newQuantity := executedQuantity
executedPrice := o.Price
if o.ExecutedQuantity.Compare(o.Quantity) != 0 {
s.logger.Warnf("order #%d is filled, but order executed quantity %s != order quantity %s, something is wrong", o.OrderID, o.ExecutedQuantity, o.Quantity)
@ -458,16 +459,11 @@ func (s *Strategy) processFilledOrder(o types.Order) {
}
*/
// will be used for calculating quantity
orderExecutedQuoteAmount := executedQuantity.Mul(executedPrice)
// round down order executed quote amount to avoid insufficient balance
orderExecutedQuoteAmount = orderExecutedQuoteAmount.Round(s.Market.PricePrecision, fixedpoint.Down)
// collect trades for fee
// fee calculation is used to reduce the order quantity
// because when 1.0 BTC buy order is filled without FEE token, then we will actually get 1.0 * (1 - feeRate) BTC
// if we don't reduce the sell quantity, than we might fail to place the sell order
fee, feeCurrency := s.aggregateOrderFee(o)
orderExecutedQuoteAmount, fee, feeCurrency := s.aggregateOrderQuoteAmountAndFee(o)
s.logger.Infof("GRID ORDER #%d %s FEE: %s %s",
o.OrderID, o.Side,
fee.String(), feeCurrency)

16
pkg/strategy/grid2/strategy_test.go
View File

@ -651,7 +651,7 @@ func TestStrategy_calculateProfit(t *testing.T) {
})
}
func TestStrategy_aggregateOrderBaseFee(t *testing.T) {
func TestStrategy_aggregateOrderQuoteAmountAndFee(t *testing.T) {
s := newTestStrategy()
mockCtrl := gomock.NewController(t)
@ -671,6 +671,7 @@ func TestStrategy_aggregateOrderBaseFee(t *testing.T) {
Exchange: "binance",
Price: number(20000.0),
Quantity: number(0.2),
QuoteQuantity: number(4000),
Symbol: "BTCUSDT",
Side: types.SideTypeBuy,
IsBuyer: true,
@ -683,6 +684,7 @@ func TestStrategy_aggregateOrderBaseFee(t *testing.T) {
Exchange: "binance",
Price: number(20000.0),
Quantity: number(0.8),
QuoteQuantity: number(16000),
Symbol: "BTCUSDT",
Side: types.SideTypeBuy,
IsBuyer: true,
@ -691,7 +693,7 @@ func TestStrategy_aggregateOrderBaseFee(t *testing.T) {
},
}, nil)
baseFee, _ := s.aggregateOrderFee(types.Order{
quoteAmount, fee, _ := s.aggregateOrderQuoteAmountAndFee(types.Order{
SubmitOrder: types.SubmitOrder{
Symbol: "BTCUSDT",
Side: types.SideTypeBuy,
@ -710,7 +712,8 @@ func TestStrategy_aggregateOrderBaseFee(t *testing.T) {
ExecutedQuantity: number(1.0),
IsWorking: false,
})
assert.Equal(t, "0.01", baseFee.String())
assert.Equal(t, "0.01", fee.String())
assert.Equal(t, "20000", quoteAmount.String())
}
func TestStrategy_findDuplicatedPriceOpenOrders(t *testing.T) {
@ -1116,7 +1119,7 @@ func TestStrategy_handleOrderFilled(t *testing.T) {
})
}
func TestStrategy_aggregateOrderBaseFeeRetry(t *testing.T) {
func TestStrategy_aggregateOrderQuoteAmountAndFeeRetry(t *testing.T) {
s := newTestStrategy()
mockCtrl := gomock.NewController(t)
@ -1161,7 +1164,7 @@ func TestStrategy_aggregateOrderBaseFeeRetry(t *testing.T) {
},
}, nil)
baseFee, _ := s.aggregateOrderFee(types.Order{
quoteAmount, fee, _ := s.aggregateOrderQuoteAmountAndFee(types.Order{
SubmitOrder: types.SubmitOrder{
Symbol: "BTCUSDT",
Side: types.SideTypeBuy,
@ -1180,7 +1183,8 @@ func TestStrategy_aggregateOrderBaseFeeRetry(t *testing.T) {
ExecutedQuantity: number(1.0),
IsWorking: false,
})
assert.Equal(t, "0.01", baseFee.String())
assert.Equal(t, "0.01", fee.String())
assert.Equal(t, "20000", quoteAmount.String())
}
func TestStrategy_checkMinimalQuoteInvestment(t *testing.T) {

14
pkg/strategy/grid2/trade.go
View File

@ -29,3 +29,17 @@ func aggregateTradesQuantity(trades []types.Trade) fixedpoint.Value {
}
return tq
}
// aggregateTradesQuoteQuantity aggregates the quote quantity from the given trade slice
func aggregateTradesQuoteQuantity(trades []types.Trade) fixedpoint.Value {
quoteQuantity := fixedpoint.Zero
for _, t := range trades {
if t.QuoteQuantity.IsZero() {
quoteQuantity = quoteQuantity.Add(t.Price.Mul(t.Quantity))
} else {
quoteQuantity = quoteQuantity.Add(t.QuoteQuantity)
}
}
return quoteQuantity
}