exchange: order fee-amount protection

Reduce the order amount to prevent submit rejection because of balance exceeding.

  submit_amount = original_amount / (1 + fee_rate)

Currently supported only by FTX Pro.

pkg/bbgo/session.go

@@ -39,9 +39,10 @@ type ExchangeSession struct {
 	SubAccount   string             `json:"subAccount,omitempty" yaml:"subAccount,omitempty"`
 
 	// Withdrawal is used for enabling withdrawal functions
-	Withdrawal   bool             `json:"withdrawal,omitempty" yaml:"withdrawal,omitempty"`
-	MakerFeeRate fixedpoint.Value `json:"makerFeeRate" yaml:"makerFeeRate"`
-	TakerFeeRate fixedpoint.Value `json:"takerFeeRate" yaml:"takerFeeRate"`
+	Withdrawal              bool             `json:"withdrawal,omitempty" yaml:"withdrawal,omitempty"`
+	MakerFeeRate            fixedpoint.Value `json:"makerFeeRate" yaml:"makerFeeRate"`
+	TakerFeeRate            fixedpoint.Value `json:"takerFeeRate" yaml:"takerFeeRate"`
+	ModifyOrderAmountForFee bool             `json:"modifyOrderAmountForFee" yaml:"modifyOrderAmountForFee"`
 
 	PublicOnly           bool   `json:"publicOnly,omitempty" yaml:"publicOnly"`
 	Margin               bool   `json:"margin,omitempty" yaml:"margin"`
@@ -202,6 +203,16 @@ func (session *ExchangeSession) Init(ctx context.Context, environ *Environment)
 		}
 	}
 
+	if session.ModifyOrderAmountForFee {
+		amountProtectExchange, ok := session.Exchange.(types.ExchangeAmountFeeProtect)
+		if !ok {
+			return fmt.Errorf("exchange %s does not support order amount protection", session.ExchangeName.String())
+		}
+
+		fees := types.ExchangeFee{MakerFeeRate: session.MakerFeeRate, TakerFeeRate: session.TakerFeeRate}
+		amountProtectExchange.SetModifyOrderAmountForFee(fees)
+	}
+
 	if session.UseHeikinAshi {
 		session.MarketDataStream = &types.HeikinAshiStream{
 			StandardStreamEmitter: session.MarketDataStream.(types.StandardStreamEmitter),

pkg/exchange/ftx/exchange.go

@@ -37,9 +37,10 @@ var marketDataLimiter = rate.NewLimiter(rate.Every(500*time.Millisecond), 2)
 type Exchange struct {
 	client *ftxapi.RestClient
 
-	key, secret  string
-	subAccount   string
-	restEndpoint *url.URL
+	key, secret             string
+	subAccount              string
+	restEndpoint            *url.URL
+	orderAmountReduceFactor fixedpoint.Value
 }
 
 type MarketTicker struct {
@@ -91,8 +92,9 @@ func NewExchange(key, secret string, subAccount string) *Exchange {
 		restEndpoint: u,
 		key:          key,
 		// pragma: allowlist nextline secret
-		secret:     secret,
-		subAccount: subAccount,
+		secret:                  secret,
+		subAccount:              subAccount,
+		orderAmountReduceFactor: fixedpoint.One,
 	}
 }
 
@@ -221,6 +223,13 @@ func (e *Exchange) DefaultFeeRates() types.ExchangeFee {
 	}
 }
 
+// SetModifyOrderAmountForFee protects the limit buy orders by reducing amount with taker fee.
+// The amount is recalculated before submit: submit_amount = original_amount / (1 + taker_fee_rate) .
+// This prevents balance exceeding error while closing position without spot margin enabled.
+func (e *Exchange) SetModifyOrderAmountForFee(feeRate types.ExchangeFee) {
+	e.orderAmountReduceFactor = fixedpoint.One.Add(feeRate.TakerFeeRate)
+}
+
 // resolution field in api
 // window length in seconds. options: 15, 60, 300, 900, 3600, 14400, 86400, or any multiple of 86400 up to 30*86400
 var supportedIntervals = map[types.Interval]int{
@@ -406,11 +415,17 @@ func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder
 			logrus.WithError(err).Error("type error")
 		}
 
+		submitQuantity := so.Quantity
+		switch orderType {
+		case ftxapi.OrderTypeLimit, ftxapi.OrderTypeStopLimit:
+			submitQuantity = so.Quantity.Div(e.orderAmountReduceFactor)
+		}
+
 		req := e.client.NewPlaceOrderRequest()
 		req.Market(toLocalSymbol(TrimUpperString(so.Symbol)))
 		req.OrderType(orderType)
 		req.Side(ftxapi.Side(TrimLowerString(string(so.Side))))
-		req.Size(so.Quantity)
+		req.Size(submitQuantity)
 
 		switch so.Type {
 		case types.OrderTypeLimit, types.OrderTypeLimitMaker:

pkg/types/exchange.go

@@ -106,6 +106,10 @@ type ExchangeDefaultFeeRates interface {
 	DefaultFeeRates() ExchangeFee
 }
 
+type ExchangeAmountFeeProtect interface {
+	SetModifyOrderAmountForFee(ExchangeFee)
+}
+
 type ExchangeTradeHistoryService interface {
 	QueryTrades(ctx context.Context, symbol string, options *TradeQueryOptions) ([]Trade, error)
 	QueryClosedOrders(ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64) (orders []Order, err error)