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Merge pull request #1391 from c9s/c9s/grid2-base-quote-fix
This commit is contained in:
c9s
GitHub
commit
e773bb0e52
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@ -796,6 +796,8 @@ func (s *Strategy) calculateBaseQuoteInvestmentQuantity(
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if numberOfSellOrders > 0 {
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numberOfSellOrders--
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}
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s.logger.Infof("calculated number of sell orders: %d", numberOfSellOrders)
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}
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// if the maxBaseQuantity is less than minQuantity, then we need to reduce the number of the sell orders
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@ -810,8 +812,12 @@ func (s *Strategy) calculateBaseQuoteInvestmentQuantity(
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s.Market.MinQuantity)
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if baseQuantity.Compare(minBaseQuantity) <= 0 {
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s.logger.Infof("base quantity %s is less than min base quantity: %s, adjusting...", baseQuantity.String(), minBaseQuantity.String())
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baseQuantity = s.Market.RoundUpQuantityByPrecision(minBaseQuantity)
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numberOfSellOrders = int(math.Floor(baseInvestment.Div(baseQuantity).Float64()))
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s.logger.Infof("adjusted base quantity to %s", baseQuantity.String())
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}
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s.logger.Infof("grid base investment sell orders: %d", numberOfSellOrders)
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@ -824,7 +830,8 @@ func (s *Strategy) calculateBaseQuoteInvestmentQuantity(
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// quoteInvestment = (p1 + p2 + p3) * q
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// maxBuyQuantity = quoteInvestment / (p1 + p2 + p3)
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si := -1
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for i := len(pins) - 1 - numberOfSellOrders; i >= 0; i-- {
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end := len(pins) - 1
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for i := end - numberOfSellOrders - 1; i >= 0; i-- {
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pin := pins[i]
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price := fixedpoint.Value(pin)
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@ -844,6 +851,7 @@ func (s *Strategy) calculateBaseQuoteInvestmentQuantity(
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// requiredQuote = requiredQuote.Add(quantity.Mul(nextLowerPrice))
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totalQuotePrice = totalQuotePrice.Add(nextLowerPrice)
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}
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} else {
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// for orders that buy
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if s.ProfitSpread.IsZero() && i+1 == si {
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@ -851,7 +859,7 @@ func (s *Strategy) calculateBaseQuoteInvestmentQuantity(
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}
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// should never place a buy order at the upper price
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if i == len(pins)-1 {
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if i == end {
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continue
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}
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@ -859,8 +867,11 @@ func (s *Strategy) calculateBaseQuoteInvestmentQuantity(
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}
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}
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s.logger.Infof("total quote price: %f", totalQuotePrice.Float64())
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if totalQuotePrice.Sign() > 0 && quoteInvestment.Sign() > 0 {
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quoteSideQuantity := quoteInvestment.Div(totalQuotePrice)
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s.logger.Infof("quote side quantity: %f = %f / %f", quoteSideQuantity.Float64(), quoteInvestment.Float64(), totalQuotePrice.Float64())
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if numberOfSellOrders > 0 {
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return fixedpoint.Min(quoteSideQuantity, baseQuantity), nil
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}
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@ -1058,6 +1069,11 @@ func (s *Strategy) openGrid(ctx context.Context, session *bbgo.ExchangeSession)
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return err2
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}
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if s.BaseGridNum > 0 {
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sell1 := fixedpoint.Value(s.grid.Pins[len(s.grid.Pins)-1-s.BaseGridNum])
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lastPrice = sell1.Sub(s.Market.TickSize)
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}
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// check if base and quote are enough
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var totalBase = fixedpoint.Zero
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var totalQuote = fixedpoint.Zero
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@ -1432,6 +1448,8 @@ func calculateMinimalQuoteInvestment(market types.Market, grid *Grid) fixedpoint
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for i := len(pins) - 2; i >= 0; i-- {
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pin := pins[i]
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price := fixedpoint.Value(pin)
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// TODO: should we round the quote here before adding?
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totalQuote = totalQuote.Add(price.Mul(minQuantity))
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}
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@ -204,6 +204,123 @@ func TestStrategy_generateGridOrders(t *testing.T) {
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}, orders)
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})
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t.Run("base and quote with predefined base grid num", func(t *testing.T) {
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gridNum := int64(22)
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upperPrice := number(35500.000000)
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lowerPrice := number(34450.000000)
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quoteInvestment := number(18.47)
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baseInvestment := number(0.010700)
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lastPrice := number(34522.930000)
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baseGridNum := int(20)
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s := newTestStrategy()
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s.GridNum = gridNum
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s.BaseGridNum = baseGridNum
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s.LowerPrice = lowerPrice
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s.UpperPrice = upperPrice
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s.grid = NewGrid(lowerPrice, upperPrice, fixedpoint.NewFromInt(s.GridNum), s.Market.TickSize)
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s.grid.CalculateArithmeticPins()
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assert.Equal(t, 22, len(s.grid.Pins))
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quantity, err := s.calculateBaseQuoteInvestmentQuantity(quoteInvestment, baseInvestment, lastPrice, s.grid.Pins)
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assert.NoError(t, err)
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assert.Equal(t, "0.000535", quantity.String())
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s.QuantityOrAmount.Quantity = quantity
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orders, err := s.generateGridOrders(quoteInvestment, baseInvestment, lastPrice)
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assert.NoError(t, err)
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if !assert.Equal(t, 21, len(orders)) {
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for _, o := range orders {
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t.Logf("- %s %s", o.Price.String(), o.Side)
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}
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}
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assertPriceSide(t, []PriceSideAssert{
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{number(35500.0), types.SideTypeSell},
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{number(35450.0), types.SideTypeSell},
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{number(35400.0), types.SideTypeSell},
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{number(35350.0), types.SideTypeSell},
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{number(35300.0), types.SideTypeSell},
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{number(35250.0), types.SideTypeSell},
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{number(35200.0), types.SideTypeSell},
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{number(35150.0), types.SideTypeSell},
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{number(35100.0), types.SideTypeSell},
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{number(35050.0), types.SideTypeSell},
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{number(35000.0), types.SideTypeSell},
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{number(34950.0), types.SideTypeSell},
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{number(34900.0), types.SideTypeSell},
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{number(34850.0), types.SideTypeSell},
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{number(34800.0), types.SideTypeSell},
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{number(34750.0), types.SideTypeSell},
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{number(34700.0), types.SideTypeSell},
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{number(34650.0), types.SideTypeSell},
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{number(34600.0), types.SideTypeSell},
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{number(34550.0), types.SideTypeSell},
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// -- fake trade price at 34549.9
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// -- 34500 should be empty
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{number(34450.0), types.SideTypeBuy},
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}, orders)
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})
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t.Run("base and quote", func(t *testing.T) {
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gridNum := int64(22)
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upperPrice := number(35500.000000)
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lowerPrice := number(34450.000000)
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quoteInvestment := number(20.0)
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baseInvestment := number(0.010700)
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lastPrice := number(34522.930000)
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baseGridNum := int(0)
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s := newTestStrategy()
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s.GridNum = gridNum
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s.BaseGridNum = baseGridNum
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s.LowerPrice = lowerPrice
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s.UpperPrice = upperPrice
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s.grid = NewGrid(lowerPrice, upperPrice, fixedpoint.NewFromInt(s.GridNum), s.Market.TickSize)
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s.grid.CalculateArithmeticPins()
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assert.Equal(t, 22, len(s.grid.Pins))
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quantity, err := s.calculateBaseQuoteInvestmentQuantity(quoteInvestment, baseInvestment, lastPrice, s.grid.Pins)
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assert.NoError(t, err)
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assert.Equal(t, "0.00029006", quantity.String())
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s.QuantityOrAmount.Quantity = quantity
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orders, err := s.generateGridOrders(quoteInvestment, baseInvestment, lastPrice)
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assert.NoError(t, err)
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if !assert.Equal(t, 21, len(orders)) {
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for _, o := range orders {
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t.Logf("- %s %s", o.Price.String(), o.Side)
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}
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}
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assertPriceSide(t, []PriceSideAssert{
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{number(35500.0), types.SideTypeSell},
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{number(35450.0), types.SideTypeSell},
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{number(35400.0), types.SideTypeSell},
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{number(35350.0), types.SideTypeSell},
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{number(35300.0), types.SideTypeSell},
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{number(35250.0), types.SideTypeSell},
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{number(35200.0), types.SideTypeSell},
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{number(35150.0), types.SideTypeSell},
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{number(35100.0), types.SideTypeSell},
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{number(35050.0), types.SideTypeSell},
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{number(35000.0), types.SideTypeSell},
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{number(34950.0), types.SideTypeSell},
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{number(34900.0), types.SideTypeSell},
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{number(34850.0), types.SideTypeSell},
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{number(34800.0), types.SideTypeSell},
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{number(34750.0), types.SideTypeSell},
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{number(34700.0), types.SideTypeSell},
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{number(34650.0), types.SideTypeSell},
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{number(34600.0), types.SideTypeSell},
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{number(34550.0), types.SideTypeSell},
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// -- 34500 should be empty
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{number(34450.0), types.SideTypeBuy},
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}, orders)
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})
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t.Run("base and quote with pre-calculated baseGridNumber", func(t *testing.T) {
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s := newTestStrategy()
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s.grid = NewGrid(s.LowerPrice, s.UpperPrice, fixedpoint.NewFromInt(s.GridNum), s.Market.TickSize)
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@ -519,11 +636,11 @@ func newTestMarket(symbol string) types.Market {
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BaseCurrency: "BTC",
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QuoteCurrency: "USDT",
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TickSize: number(0.01),
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StepSize: number(0.00001),
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StepSize: number(0.000001),
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PricePrecision: 2,
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VolumePrecision: 8,
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MinNotional: number(10.0),
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MinQuantity: number(0.001),
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MinNotional: number(8.0),
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MinQuantity: number(0.0003),
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}
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case "ETHUSDT":
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return types.Market{
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@ -534,7 +651,7 @@ func newTestMarket(symbol string) types.Market {
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PricePrecision: 2,
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VolumePrecision: 6,
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MinNotional: number(8.000),
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MinQuantity: number(0.00030),
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MinQuantity: number(0.0046),
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}
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}
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@ -577,12 +694,17 @@ func newTestOrder(price, quantity fixedpoint.Value, side types.SideType) types.O
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}
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}
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func newTestStrategy() *Strategy {
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market := newTestMarket("BTCUSDT")
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func newTestStrategy(va ...string) *Strategy {
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symbol := "BTCUSDT"
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if len(va) > 0 {
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symbol = va[0]
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}
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market := newTestMarket(symbol)
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s := &Strategy{
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logger: logrus.NewEntry(logrus.New()),
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Symbol: "BTCUSDT",
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Symbol: symbol,
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Market: market,
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GridProfitStats: newGridProfitStats(market),
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UpperPrice: number(20_000),
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@ -790,7 +912,9 @@ func TestStrategy_handleOrderFilled(t *testing.T) {
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}
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orderExecutor := gridmocks.NewMockOrderExecutor(mockCtrl)
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orderExecutor.EXPECT().SubmitOrders(ctx, gomock.Any()).DoAndReturn(func(ctx context.Context, order types.SubmitOrder) (types.OrderSlice, error) {
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orderExecutor.EXPECT().SubmitOrders(ctx, gomock.Any()).DoAndReturn(func(
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ctx context.Context, order types.SubmitOrder,
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) (types.OrderSlice, error) {
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assert.True(t, equalOrdersIgnoreClientOrderID(expectedSubmitOrder, order), "%+v is not equal to %+v", order, expectedSubmitOrder)
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return []types.Order{
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{SubmitOrder: expectedSubmitOrder},
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@ -858,7 +982,9 @@ func TestStrategy_handleOrderFilled(t *testing.T) {
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}
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orderExecutor := gridmocks.NewMockOrderExecutor(mockCtrl)
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orderExecutor.EXPECT().SubmitOrders(ctx, gomock.Any()).DoAndReturn(func(ctx context.Context, order types.SubmitOrder) (types.OrderSlice, error) {
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orderExecutor.EXPECT().SubmitOrders(ctx, gomock.Any()).DoAndReturn(func(
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ctx context.Context, order types.SubmitOrder,
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) (types.OrderSlice, error) {
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assert.True(t, equalOrdersIgnoreClientOrderID(expectedSubmitOrder, order), "%+v is not equal to %+v", order, expectedSubmitOrder)
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return []types.Order{
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{SubmitOrder: expectedSubmitOrder},
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@ -946,7 +1072,9 @@ func TestStrategy_handleOrderFilled(t *testing.T) {
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Market: s.Market,
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Tag: orderTag,
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}
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orderExecutor.EXPECT().SubmitOrders(ctx, gomock.Any()).DoAndReturn(func(ctx context.Context, order types.SubmitOrder) (types.OrderSlice, error) {
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orderExecutor.EXPECT().SubmitOrders(ctx, gomock.Any()).DoAndReturn(func(
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ctx context.Context, order types.SubmitOrder,
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) (types.OrderSlice, error) {
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assert.True(t, equalOrdersIgnoreClientOrderID(expectedSubmitOrder, order), "%+v is not equal to %+v", order, expectedSubmitOrder)
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return []types.Order{
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{SubmitOrder: expectedSubmitOrder},
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@ -963,7 +1091,9 @@ func TestStrategy_handleOrderFilled(t *testing.T) {
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Market: s.Market,
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Tag: orderTag,
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}
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orderExecutor.EXPECT().SubmitOrders(ctx, gomock.Any()).DoAndReturn(func(ctx context.Context, order types.SubmitOrder) (types.OrderSlice, error) {
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orderExecutor.EXPECT().SubmitOrders(ctx, gomock.Any()).DoAndReturn(func(
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ctx context.Context, order types.SubmitOrder,
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) (types.OrderSlice, error) {
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assert.True(t, equalOrdersIgnoreClientOrderID(expectedSubmitOrder2, order), "%+v is not equal to %+v", order, expectedSubmitOrder2)
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return []types.Order{
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{SubmitOrder: expectedSubmitOrder2},
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@ -1060,7 +1190,9 @@ func TestStrategy_handleOrderFilled(t *testing.T) {
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}
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orderExecutor := gridmocks.NewMockOrderExecutor(mockCtrl)
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orderExecutor.EXPECT().SubmitOrders(ctx, gomock.Any()).DoAndReturn(func(ctx context.Context, order types.SubmitOrder) (types.OrderSlice, error) {
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orderExecutor.EXPECT().SubmitOrders(ctx, gomock.Any()).DoAndReturn(func(
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ctx context.Context, order types.SubmitOrder,
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) (types.OrderSlice, error) {
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assert.True(t, equalOrdersIgnoreClientOrderID(expectedSubmitOrder, order), "%+v is not equal to %+v", order, expectedSubmitOrder)
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return []types.Order{
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{SubmitOrder: expectedSubmitOrder},
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@ -1078,7 +1210,9 @@ func TestStrategy_handleOrderFilled(t *testing.T) {
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Tag: orderTag,
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}
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orderExecutor.EXPECT().SubmitOrders(ctx, gomock.Any()).DoAndReturn(func(ctx context.Context, order types.SubmitOrder) (types.OrderSlice, error) {
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orderExecutor.EXPECT().SubmitOrders(ctx, gomock.Any()).DoAndReturn(func(
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ctx context.Context, order types.SubmitOrder,
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) (types.OrderSlice, error) {
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assert.True(t, equalOrdersIgnoreClientOrderID(expectedSubmitOrder2, order), "%+v is not equal to %+v", order, expectedSubmitOrder2)
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return []types.Order{
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{SubmitOrder: expectedSubmitOrder2},
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@ -1190,14 +1324,14 @@ func TestStrategy_aggregateOrderQuoteAmountAndFeeRetry(t *testing.T) {
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func TestStrategy_checkMinimalQuoteInvestment(t *testing.T) {
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t.Run("7 grids", func(t *testing.T) {
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s := newTestStrategy()
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s := newTestStrategy("ETHUSDT")
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s.UpperPrice = number(1660)
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s.LowerPrice = number(1630)
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s.QuoteInvestment = number(61)
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s.GridNum = 7
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grid := s.newGrid()
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minQuoteInvestment := calculateMinimalQuoteInvestment(s.Market, grid)
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assert.InDelta(t, 60.46, minQuoteInvestment.Float64(), 0.01)
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assert.InDelta(t, 48.36, minQuoteInvestment.Float64(), 0.01)
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err := s.checkMinimalQuoteInvestment(grid)
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assert.NoError(t, err)
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@ -1207,12 +1341,11 @@ func TestStrategy_checkMinimalQuoteInvestment(t *testing.T) {
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s := newTestStrategy()
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// 10_000 * 0.001 = 10USDT
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// 20_000 * 0.001 = 20USDT
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// hence we should have at least: 20USDT * 10 grids
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s.QuoteInvestment = number(10_000)
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s.GridNum = 10
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grid := s.newGrid()
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minQuoteInvestment := calculateMinimalQuoteInvestment(s.Market, grid)
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assert.InDelta(t, 129.9999, minQuoteInvestment.Float64(), 0.01)
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assert.InDelta(t, 103.999, minQuoteInvestment.Float64(), 0.01)
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err := s.checkMinimalQuoteInvestment(grid)
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assert.NoError(t, err)
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@ -1225,11 +1358,11 @@ func TestStrategy_checkMinimalQuoteInvestment(t *testing.T) {
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grid := s.newGrid()
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minQuoteInvestment := calculateMinimalQuoteInvestment(s.Market, grid)
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assert.InDelta(t, 14979.995499, minQuoteInvestment.Float64(), 0.001)
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assert.InDelta(t, 11983.996400, minQuoteInvestment.Float64(), 0.001)
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err := s.checkMinimalQuoteInvestment(grid)
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assert.Error(t, err)
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assert.EqualError(t, err, "need at least 14979.995500 USDT for quote investment, 10000.000000 USDT given")
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assert.EqualError(t, err, "need at least 11983.996400 USDT for quote investment, 10000.000000 USDT given")
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})
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}
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