fix: use ZeroAssetError, refactor

pkg/bbgo/order_executor_general.go

@@ -219,7 +219,23 @@ type OpenPositionOptions struct {
 	Tags  []string         `json:"-" yaml:"-"`
 }
 
-var Delta fixedpoint.Value = fixedpoint.NewFromFloat(0.005)
+// Delta used to modify the order to submit, especially for the market order
+var QuantityReduceDelta fixedpoint.Value = fixedpoint.NewFromFloat(0.005)
+
+func (e *GeneralOrderExecutor) reduceQuantityAndSubmitOrder(ctx context.Context, price fixedpoint.Value, submitOrder types.SubmitOrder) (types.OrderSlice, error) {
+	for {
+		createdOrder, err2 := e.SubmitOrders(ctx, submitOrder)
+		if err2 != nil {
+			submitOrder.Quantity = submitOrder.Quantity.Mul(fixedpoint.One.Sub(QuantityReduceDelta))
+			if e.position.Market.IsDustQuantity(submitOrder.Quantity, price) {
+				return nil, err2
+			}
+			continue
+		}
+		log.Infof("created order: %+v", createdOrder)
+		return createdOrder, nil
+	}
+}
 
 func (e *GeneralOrderExecutor) OpenPosition(ctx context.Context, options OpenPositionOptions) (types.OrderSlice, error) {
 	price := options.Price
@@ -252,24 +268,16 @@ func (e *GeneralOrderExecutor) OpenPosition(ctx context.Context, options OpenPos
 
 	quantity := options.Quantity
 
-	market, ok := e.session.Market(e.symbol)
-	if !ok {
-		return nil, errors.New("cannot find market with symbol " + e.symbol)
-	}
-
 	if options.Long {
 		if quantity.IsZero() {
 			quoteQuantity, err := CalculateQuoteQuantity(ctx, e.session, e.position.QuoteCurrency, options.Leverage)
-			if quoteQuantity.IsZero() {
-				log.Warnf("dust quantity: %v", quantity)
-				return nil, nil
-			}
 			if err != nil {
 				return nil, err
 			}
+
 			quantity = quoteQuantity.Div(price)
 		}
-		if market.IsDustQuantity(quantity, price) {
+		if e.position.Market.IsDustQuantity(quantity, price) {
 			log.Warnf("dust quantity: %v", quantity)
 			return nil, nil
 		}
@@ -284,31 +292,16 @@ func (e *GeneralOrderExecutor) OpenPosition(ctx context.Context, options OpenPos
 		submitOrder.Quantity = quantity
 
 		Notify("Opening %s long position with quantity %v at price %v", e.position.Symbol, quantity, price)
-		for {
+		return e.reduceQuantityAndSubmitOrder(ctx, price, submitOrder)
-			createdOrder, err2 := e.SubmitOrders(ctx, submitOrder)
-			if err2 != nil {
-				submitOrder.Quantity = submitOrder.Quantity.Mul(fixedpoint.One.Sub(Delta))
-				if market.IsDustQuantity(submitOrder.Quantity, price) {
-					return nil, err2
-				}
-				continue
-			}
-			log.Infof("created order: %+v", createdOrder)
-			return createdOrder, nil
-		}
 	} else if options.Short {
 		if quantity.IsZero() {
 			var err error
 			quantity, err = CalculateBaseQuantity(e.session, e.position.Market, price, quantity, options.Leverage)
-			if quantity.IsZero() {
-				log.Warnf("dust quantity: %v", quantity)
-				return nil, nil
-			}
 			if err != nil {
 				return nil, err
 			}
 		}
-		if market.IsDustQuantity(quantity, price) {
+		if e.position.Market.IsDustQuantity(quantity, price) {
 			log.Warnf("dust quantity: %v", quantity)
 			return nil, nil
 		}
@@ -323,18 +316,7 @@ func (e *GeneralOrderExecutor) OpenPosition(ctx context.Context, options OpenPos
 		submitOrder.Quantity = quantity
 
 		Notify("Opening %s short position with quantity %v at price %v", e.position.Symbol, quantity, price)
-		for {
+		return e.reduceQuantityAndSubmitOrder(ctx, price, submitOrder)
-			createdOrder, err2 := e.SubmitOrders(ctx, submitOrder)
-			if err2 != nil {
-				submitOrder.Quantity = submitOrder.Quantity.Mul(fixedpoint.One.Sub(Delta))
-				if market.IsDustQuantity(submitOrder.Quantity, price) {
-					return nil, err2
-				}
-				continue
-			}
-			log.Infof("created order: %+v", createdOrder)
-			return createdOrder, nil
-		}
 	}
 
 	return nil, errors.New("options Long or Short must be set")

pkg/bbgo/risk.go

@@ -5,6 +5,7 @@ import (
 	"fmt"
 	"time"
 
+	"github.com/pkg/errors"
 	log "github.com/sirupsen/logrus"
 
 	"github.com/c9s/bbgo/pkg/fixedpoint"
@@ -243,7 +244,8 @@ func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price,
 			}
 		}
 
-		return quantity, fmt.Errorf("quantity is zero, can not submit sell order, please check your quantity settings, your account balances: %+v", balances)
+		return quantity, types.NewZeroAssetError(
+			fmt.Errorf("quantity is zero, can not submit sell order, please check your quantity settings, your account balances: %+v", balances))
 	}
 
 	usdBalances, restBalances := usdFiatBalances(balances)
@@ -329,7 +331,8 @@ func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price,
 		return maxPositionQuantity, nil
 	}
 
-	return quantity, fmt.Errorf("quantity is zero, can not submit sell order, please check your settings")
+	return quantity, types.NewZeroAssetError(
+		errors.New("quantity is zero, can not submit sell order, please check your settings"))
 }
 
 func CalculateQuoteQuantity(ctx context.Context, session *ExchangeSession, quoteCurrency string, leverage fixedpoint.Value) (fixedpoint.Value, error) {

pkg/dynamic/field.go

@@ -36,7 +36,8 @@ func GetModifiableFields(val reflect.Value, callback func(tagName, name string))
 	if !val.IsValid() {
 		return
 	}
-	for i := 0; i < val.Type().NumField(); i++ {
+	num := val.Type().NumField()
+	for i := 0; i < num; i++ {
 		t := val.Type().Field(i)
 		if !t.IsExported() {
 			continue

pkg/dynamic/field_test.go

@@ -2,7 +2,6 @@ package dynamic
 
 import (
 	"encoding/json"
-	"fmt"
 	"reflect"
 	"testing"
 
@@ -35,7 +34,6 @@ func TestGetModifiableFields(t *testing.T) {
 		assert.NotEqual(t, name, "Field2")
 		assert.NotEqual(t, tagName, "field3")
 		assert.NotEqual(t, name, "Field3")
-		fmt.Println(tagName, name)
 	})
 }
 

pkg/strategy/drift/strategy.go

@@ -384,7 +384,7 @@ func (s *Strategy) initTickerFunctions(ctx context.Context) {
 				s.trailingCheck(pricef, "long"))
 			if exitShortCondition || exitLongCondition {
 				if s.ClosePosition(ctx, fixedpoint.One) {
-					log.Infof("Close position by orderbook changes")
+					log.Infof("close position by orderbook changes")
 				}
 			} else {
 				s.positionLock.Unlock()
@@ -752,11 +752,14 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
 		opt.Price = source
 		opt.Tags = []string{"long"}
 		createdOrders, err := s.GeneralOrderExecutor.OpenPosition(ctx, opt)
-		log.Infof("orders %v", createdOrders)
 		if err != nil {
+			if _, ok := err.(types.ZeroAssetError); ok {
+				return
+			}
 			log.WithError(err).Errorf("cannot place buy order")
 			return
 		}
+		log.Infof("orders %v", createdOrders)
 		if createdOrders != nil {
 			s.orderPendingCounter[createdOrders[0].OrderID] = s.minutesCounter
 		}
@@ -786,11 +789,14 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
 		opt.Price = source
 		opt.Tags = []string{"long"}
 		createdOrders, err := s.GeneralOrderExecutor.OpenPosition(ctx, opt)
-		log.Infof("orders %v", createdOrders)
 		if err != nil {
+			if _, ok := err.(types.ZeroAssetError); ok {
+				return
+			}
 			log.WithError(err).Errorf("cannot place buy order")
 			return
 		}
+		log.Infof("orders %v", createdOrders)
 		if createdOrders != nil {
 			s.orderPendingCounter[createdOrders[0].OrderID] = s.minutesCounter
 		}

pkg/types/error.go

@@ -21,3 +21,13 @@ func NewOrderError(e error, o Order) error {
 		order: o,
 	}
 }
+
+type ZeroAssetError struct {
+	error
+}
+
+func NewZeroAssetError(e error) ZeroAssetError {
+	return ZeroAssetError{
+		error: e,
+	}
+}

pkg/types/filter.go

@@ -0,0 +1,51 @@
+package types
+
+type FilterResult struct {
+	a      Series
+	b      func(int, float64) bool
+	length int
+	c      []int
+}
+
+func (f *FilterResult) Last() float64 {
+	return f.Index(0)
+}
+
+func (f *FilterResult) Index(j int) float64 {
+	if j >= f.length {
+		return 0
+	}
+	if len(f.c) > j {
+		return f.a.Index(f.c[j])
+	}
+	l := f.a.Length()
+	k := len(f.c)
+	i := 0
+	if k > 0 {
+		i = f.c[k-1] + 1
+	}
+	for ; i < l; i++ {
+		tmp := f.a.Index(i)
+		if f.b(i, tmp) {
+			f.c = append(f.c, i)
+			if j == k {
+				return tmp
+			}
+			k++
+		}
+	}
+	return 0
+}
+
+func (f *FilterResult) Length() int {
+	return f.length
+}
+
+// Filter function filters Series by using a boolean function.
+// When the boolean function returns true, the Series value at index i will be included in the returned Series.
+// The returned Series will find at most `length` latest matching elements from the input Series.
+// Query index larger or equal than length from the returned Series will return 0 instead.
+// Notice that any Update on the input Series will make the previously returned Series outdated.
+func Filter(a Series, b func(i int, value float64) bool, length int) SeriesExtend {
+	return NewSeries(&FilterResult{a, b, length, nil})
+}

pkg/types/indicator.go

@@ -998,51 +998,6 @@ func Rolling(a Series, window int) *RollingResult {
 	return &RollingResult{a, window}
 }
 
-type FilterResult struct {
-	a      Series
-	b      func(int, float64) bool
-	length int
-	c      []int
-}
-
-func (f *FilterResult) Last() float64 {
-	return f.Index(0)
-}
-
-func (f *FilterResult) Index(j int) float64 {
-	if j >= f.length {
-		return 0
-	}
-	if len(f.c) > j {
-		return f.a.Index(f.c[j])
-	}
-	l := f.a.Length()
-	k := len(f.c)
-	i := 0
-	if k > 0 {
-		i = f.c[k-1] + 1
-	}
-	for ; i < l; i++ {
-		tmp := f.a.Index(i)
-		if f.b(i, tmp) {
-			f.c = append(f.c, i)
-			if j == k {
-				return tmp
-			}
-			k++
-		}
-	}
-	return 0
-}
-
-func (f *FilterResult) Length() int {
-	return f.length
-}
-
-func Filter(a Series, b func(i int, value float64) bool, length int) SeriesExtend {
-	return NewSeries(&FilterResult{a, b, length, nil})
-}
-
 type SigmoidResult struct {
 	a Series
 }