Merge pull request #860 from COLDTURNIP/feature/exchange_order_amount_protection

exchange: order fee-amount protection

config/drift.yaml

@@ -12,6 +12,13 @@ sessions:
     envVarPrefix: binance
     heikinAshi: false
 
+    # Drift strategy intends to place buy/sell orders as much value mas it could be. To exchanges that requires to
+    # calculate fees before placing limit orders (e.g. FTX Pro), make sure the fee rate is configured correctly and
+    # enable modifyOrderAmountForFee to prevent order rejection.
+    makerFeeRate: 0.0002
+    takerFeeRate: 0.0007
+    modifyOrderAmountForFee: false
+
 exchangeStrategies:
  
 - on: binance

config/driftBTC.yaml

@@ -12,6 +12,13 @@ sessions:
     envVarPrefix: binance
     heikinAshi: false
 
+    # Drift strategy intends to place buy/sell orders as much value mas it could be. To exchanges that requires to
+    # calculate fees before placing limit orders (e.g. FTX Pro), make sure the fee rate is configured correctly and
+    # enable modifyOrderAmountForFee to prevent order rejection.
+    makerFeeRate: 0.0002
+    takerFeeRate: 0.0007
+    modifyOrderAmountForFee: false
+
 exchangeStrategies:
  
 - on: binance

pkg/bbgo/config_test.go

@@ -86,12 +86,21 @@ func TestLoadConfig(t *testing.T) {
 							"envVarPrefix":            "MAX",
 							"takerFeeRate":            0.,
 							"makerFeeRate":            0.,
+							"modifyOrderAmountForFee": false,
 						},
 						"binance": map[string]interface{}{
 							"exchange":                "binance",
 							"envVarPrefix":            "BINANCE",
 							"takerFeeRate":            0.,
 							"makerFeeRate":            0.,
+							"modifyOrderAmountForFee": false,
+						},
+						"ftx": map[string]interface{}{
+							"exchange":                "ftx",
+							"envVarPrefix":            "FTX",
+							"takerFeeRate":            0.,
+							"makerFeeRate":            0.,
+							"modifyOrderAmountForFee": true,
 						},
 					},
 					"build": map[string]interface{}{

pkg/bbgo/session.go

@@ -42,6 +42,7 @@ type ExchangeSession struct {
 	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/bbgo/testdata/strategy.yaml

@@ -5,11 +5,19 @@ sessions:
     envVarPrefix: MAX
     takerFeeRate: 0
     makerFeeRate: 0
+    modifyOrderAmountForFee: false
   binance:
     exchange: binance
     envVarPrefix: BINANCE
     takerFeeRate: 0
     makerFeeRate: 0
+    modifyOrderAmountForFee: false
+  ftx:
+    exchange: ftx
+    envVarPrefix: FTX
+    takerFeeRate: 0
+    makerFeeRate: 0
+    modifyOrderAmountForFee: true
 
 exchangeStrategies:
 - on: ["binance"]

pkg/exchange/ftx/exchange.go

@@ -40,6 +40,7 @@ type Exchange struct {
 	key, secret             string
 	subAccount              string
 	restEndpoint            *url.URL
+	orderAmountReduceFactor fixedpoint.Value
 }
 
 type MarketTicker struct {
@@ -93,6 +94,7 @@ func NewExchange(key, secret string, subAccount string) *Exchange {
 		// pragma: allowlist nextline secret
 		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

@@ -107,6 +107,10 @@ 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)