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bollgrid: check balance before submit reverse order

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This commit is contained in:
Larry850806 2021-04-14 20:50:11 +08:00
parent 9f97947717
commit f1309c46fc
1 changed files with 11 additions and 4 deletions
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15
pkg/strategy/bollgrid/strategy.go
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@ -3,6 +3,7 @@ package bollgrid
import (
"context"
"fmt"
"math"
"sync"
"github.com/sirupsen/logrus"
@ -275,24 +276,30 @@ func (s *Strategy) updateOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.
s.activeOrders.Print()
}
func (s *Strategy) submitReverseOrder(order types.Order) {
func (s *Strategy) submitReverseOrder(order types.Order, session *bbgo.ExchangeSession) {
balances := session.Account.Balances()
var side = order.Side.Reverse()
var price = order.Price
var quantity = order.Quantity
switch side {
case types.SideTypeSell:
price += s.ProfitSpread.Float64()
maxQuantity := balances[s.Market.BaseCurrency].Available.Float64()
quantity = math.Min(quantity, maxQuantity)
case types.SideTypeBuy:
price -= s.ProfitSpread.Float64()
maxQuantity := balances[s.Market.QuoteCurrency].Available.Float64() / price
quantity = math.Min(quantity, maxQuantity)
}
submitOrder := types.SubmitOrder{
Symbol: s.Symbol,
Side: side,
Type: types.OrderTypeLimit,
Quantity: order.Quantity,
Quantity: quantity,
Price: price,
TimeInForce: "GTC",
}
@ -325,7 +332,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
// we don't persist orders so that we can not clear the previous orders for now. just need time to support this.
s.activeOrders = bbgo.NewLocalActiveOrderBook()
s.activeOrders.OnFilled(func(o types.Order) {
s.submitReverseOrder(o)
s.submitReverseOrder(o, session)
})
s.activeOrders.BindStream(session.Stream)