fix quantity format

cmd/bbgo-desktop/main.go

@@ -114,7 +114,6 @@ func main() {
 		}
 
 		// for setup mode, we don't start the trader
-		trader.Subscribe()
 		if err := trader.Run(ctx); err != nil {
 			log.WithError(err).Error("failed to start trader")
 			return

go.sum

@@ -140,7 +140,6 @@ github.com/google/go-cmp v0.5.0/go.mod h1:v8dTdLbMG2kIc/vJvl+f65V22dbkXbowE6jgT/
 github.com/google/go-cmp v0.5.3 h1:x95R7cp+rSeeqAMI2knLtQ0DKlaBhv2NrtrOvafPHRo=
 github.com/google/go-cmp v0.5.3/go.mod h1:v8dTdLbMG2kIc/vJvl+f65V22dbkXbowE6jgT/gNBxE=
 github.com/google/gofuzz v1.0.0/go.mod h1:dBl0BpW6vV/+mYPU4Po3pmUjxk6FQPldtuIdl/M65Eg=
-github.com/google/martian v2.1.0+incompatible/go.mod h1:9I4somxYTbIHy5NJKHRl3wXiIaQGbYVAs8BPL6v8lEs=
 github.com/google/pprof v0.0.0-20181206194817-3ea8567a2e57/go.mod h1:zfwlbNMJ+OItoe0UupaVj+oy1omPYYDuagoSzA8v9mc=
 github.com/google/pprof v0.0.0-20190515194954-54271f7e092f/go.mod h1:zfwlbNMJ+OItoe0UupaVj+oy1omPYYDuagoSzA8v9mc=
 github.com/google/renameio v0.1.0/go.mod h1:KWCgfxg9yswjAJkECMjeO8J8rahYeXnNhOm40UhjYkI=

pkg/backtest/matching_test.go

@@ -40,7 +40,6 @@ func TestSimplePriceMatching_LimitOrder(t *testing.T) {
 		BaseCurrency:    "BTC",
 		MinNotional:     0.001,
 		MinAmount:       10.0,
-		MinLot:          0.001,
 		MinQuantity:     0.001,
 	}
 

pkg/bbgo/order_execution.go

@@ -6,7 +6,7 @@ import (
 	"math"
 
 	"github.com/pkg/errors"
-	"github.com/sirupsen/logrus"
+	log "github.com/sirupsen/logrus"
 
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
@@ -33,7 +33,7 @@ type ExchangeOrderExecutionRouter struct {
 func (e *ExchangeOrderExecutionRouter) SubmitOrdersTo(ctx context.Context, session string, orders ...types.SubmitOrder) (types.OrderSlice, error) {
 	es, ok := e.sessions[session]
 	if !ok {
-		return nil, fmt.Errorf("exchange Session %s not found", session)
+		return nil, fmt.Errorf("exchange session %s not found", session)
 	}
 
 	formattedOrders, err := formatOrders(es, orders)
@@ -85,7 +85,7 @@ func (e *ExchangeOrderExecutor) SubmitOrders(ctx context.Context, orders ...type
 			e.Notify(":memo: Submitting %s %s %s order with quantity: %s", order.Symbol, order.Type, order.Side, order.QuantityString, order)
 		}
 
-		logrus.Infof("submitting order: %s", order.String())
+		log.Infof("submitting order: %s", order.String())
 	}
 
 	e.notifySubmitOrders(formattedOrders...)
@@ -94,7 +94,7 @@ func (e *ExchangeOrderExecutor) SubmitOrders(ctx context.Context, orders ...type
 }
 
 type BasicRiskController struct {
-	Logger *logrus.Logger
+	Logger *log.Logger
 
 	MaxOrderAmount      fixedpoint.Value `json:"maxOrderAmount,omitempty"`
 	MinQuoteBalance     fixedpoint.Value `json:"minQuoteBalance,omitempty"`
@@ -258,12 +258,12 @@ func (c *BasicRiskController) ProcessOrders(session *ExchangeSession, orders ...
 				continue
 			}
 
-			if quantity < market.MinLot {
+			if quantity < market.MinQuantity {
 				addError(
 					fmt.Errorf(
 						"can not place sell order, quantity %f is less than the minimal lot %f, order: %s",
 						quantity,
-						market.MinLot,
+						market.MinQuantity,
 						order.String()))
 				continue
 			}

pkg/bbgo/trader.go

@@ -148,6 +148,8 @@ func (trader *Trader) Subscribe() {
 }
 
 func (trader *Trader) Run(ctx context.Context) error {
+	trader.Subscribe()
+
 	if err := trader.environment.Init(ctx); err != nil {
 		return err
 	}

pkg/cmd/backtest.go

@@ -214,8 +214,6 @@ var BacktestCmd = &cobra.Command{
 			log.Warnf("backtest does not support CrossExchangeStrategy, strategies won't be added.")
 		}
 
-		trader.Subscribe()
-
 		if err := trader.Run(ctx); err != nil {
 			return err
 		}

pkg/cmd/builtin.go

@@ -8,6 +8,7 @@ import (
 	_ "github.com/c9s/bbgo/pkg/strategy/grid"
 	_ "github.com/c9s/bbgo/pkg/strategy/mirrormaker"
 	_ "github.com/c9s/bbgo/pkg/strategy/pricealert"
+	_ "github.com/c9s/bbgo/pkg/strategy/sat"
 	_ "github.com/c9s/bbgo/pkg/strategy/swing"
 	_ "github.com/c9s/bbgo/pkg/strategy/trailingstop"
 	_ "github.com/c9s/bbgo/pkg/strategy/xpuremaker"

pkg/cmd/run.go

@@ -267,8 +267,6 @@ func runConfig(basectx context.Context, userConfig *bbgo.Config, enableApiServer
 		return err
 	}
 
-	trader.Subscribe()
-
 	if err := trader.Run(ctx); err != nil {
 		return err
 	}

pkg/exchange/binance/exchange.go

@@ -119,10 +119,9 @@ func (e *Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) {
 		//	maxQty defines the maximum quantity/icebergQty allowed.
 		//	stepSize defines the intervals that a quantity/icebergQty can be increased/decreased by.
 		if f := symbol.LotSizeFilter(); f != nil {
-			market.MinLot = util.MustParseFloat(f.MinQuantity)
 			market.MinQuantity = util.MustParseFloat(f.MinQuantity)
 			market.MaxQuantity = util.MustParseFloat(f.MaxQuantity)
-			// market.StepSize = util.MustParseFloat(f.StepSize)
+			market.StepSize = util.MustParseFloat(f.StepSize)
 		}
 
 		if f := symbol.PriceFilter(); f != nil {
@@ -438,8 +437,11 @@ func (e *Exchange) submitMarginOrder(ctx context.Context, order types.SubmitOrde
 	req := e.Client.NewCreateMarginOrderService().
 		Symbol(order.Symbol).
 		Type(orderType).
-		Side(binance.SideType(order.Side)).
+		Side(binance.SideType(order.Side))
-		NewClientOrderID(clientOrderID)
+
+	if len(clientOrderID) > 0 {
+		req.NewClientOrderID(clientOrderID)
+	}
 
 	// use response result format
 	req.NewOrderRespType(binance.NewOrderRespTypeRESULT)
@@ -460,15 +462,19 @@ func (e *Exchange) submitMarginOrder(ctx context.Context, order types.SubmitOrde
 		req.Quantity(strconv.FormatFloat(order.Quantity, 'f', 8, 64))
 	}
 
-	if len(order.PriceString) > 0 {
+	// set price field for limit orders
-		req.Price(order.PriceString)
+	switch order.Type {
-	} else if order.Market.Symbol != "" {
+	case types.OrderTypeStopLimit, types.OrderTypeLimit:
-		req.Price(order.Market.FormatPrice(order.Price))
+		if len(order.PriceString) > 0 {
-	} else {
+			req.Price(order.PriceString)
-		req.Price(strconv.FormatFloat(order.Price, 'f', 8, 64))
+		} else if order.Market.Symbol != "" {
+			req.Price(order.Market.FormatPrice(order.Price))
+		}
 	}
 
+	// set stop price
 	switch order.Type {
+
 	case types.OrderTypeStopLimit, types.OrderTypeStopMarket:
 		if len(order.StopPriceString) == 0 {
 			return nil, fmt.Errorf("stop price string can not be empty")

pkg/exchange/binance/stream.go

@@ -351,7 +351,7 @@ func (s *Stream) read(ctx context.Context) {
 			return
 
 		default:
-			if err := s.Conn.SetReadDeadline(time.Now().Add(1 * time.Minute)); err != nil {
+			if err := s.Conn.SetReadDeadline(time.Now().Add(3 * time.Minute)); err != nil {
 				log.WithError(err).Errorf("set read deadline error: %s", err.Error())
 			}
 

pkg/exchange/max/exchange.go

@@ -113,12 +113,14 @@ func (e *Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) {
 			BaseCurrency:    toGlobalCurrency(m.BaseUnit),
 			MinNotional:     m.MinQuoteAmount,
 			MinAmount:       m.MinQuoteAmount,
-			MinLot:          1.0 / math.Pow10(m.BaseUnitPrecision), // make it like 0.0001
+
-			MinQuantity:     m.MinBaseAmount,
+			MinQuantity: m.MinBaseAmount,
-			MaxQuantity:     10000.0,
+			MaxQuantity: 10000.0,
-			MinPrice:        1.0 / math.Pow10(m.QuoteUnitPrecision), // used in the price formatter
+			StepSize:    1.0 / math.Pow10(m.BaseUnitPrecision), // make it like 0.0001
-			MaxPrice:        10000.0,
+
-			TickSize:        1.0 / math.Pow10(m.QuoteUnitPrecision),
+			MinPrice: 1.0 / math.Pow10(m.QuoteUnitPrecision), // used in the price formatter
+			MaxPrice: 10000.0,
+			TickSize: 1.0 / math.Pow10(m.QuoteUnitPrecision),
 		}
 
 		markets[symbol] = market

pkg/types/market.go

@@ -53,14 +53,15 @@ type Market struct {
 	QuoteCurrency   string
 	BaseCurrency    string
 
-	// The MIN_NOTIONAL filter defines the minimum notional value allowed for an order on a symbol. An order's notional value is the price * quantity
+	// The MIN_NOTIONAL filter defines the minimum notional value allowed for an order on a symbol.
+	// An order's notional value is the price * quantity
 	MinNotional float64
 	MinAmount   float64
 
 	// The LOT_SIZE filter defines the quantity
-	MinLot      float64
 	MinQuantity float64
 	MaxQuantity float64
+	StepSize    float64
 
 	MinPrice float64
 	MaxPrice float64
@@ -86,17 +87,25 @@ func (m Market) FormatPriceCurrency(val float64) string {
 
 func (m Market) FormatPrice(val float64) string {
 	// p := math.Pow10(m.PricePrecision)
-	prec := int(math.Abs(math.Log10(m.MinPrice)))
+	return formatPrice(val, m.TickSize)
+}
+
+func formatPrice(price float64, tickSize float64) string {
+	prec := int(math.Round(math.Abs(math.Log10(tickSize))))
 	p := math.Pow10(prec)
-	val = math.Trunc(val*p) / p
+	price = math.Trunc(price*p) / p
-	return strconv.FormatFloat(val, 'f', prec, 64)
+	return strconv.FormatFloat(price, 'f', prec, 64)
 }
 
 func (m Market) FormatQuantity(val float64) string {
-	prec := int(math.Abs(math.Log10(m.MinLot)))
+	return formatQuantity(val, m.StepSize)
+}
+
+func formatQuantity(quantity float64, lot float64) string {
+	prec := int(math.Round(math.Abs(math.Log10(lot))))
 	p := math.Pow10(prec)
-	val = math.Trunc(val*p) / p
+	quantity = math.Trunc(quantity*p) / p
-	return strconv.FormatFloat(val, 'f', prec, 64)
+	return strconv.FormatFloat(quantity, 'f', prec, 64)
 }
 
 func (m Market) FormatVolume(val float64) string {

pkg/types/market_test.go

@@ -8,6 +8,22 @@ import (
 	"github.com/stretchr/testify/assert"
 )
 
+func TestFormatQuantity(t *testing.T) {
+	quantity := formatQuantity(0.12511, 0.01)
+	assert.Equal(t, "0.12", quantity)
+
+	quantity = formatQuantity(0.12511, 0.001)
+	assert.Equal(t, "0.125", quantity)
+}
+
+func TestFormatPrice(t *testing.T) {
+	price := formatPrice(26.288256, 0.0001)
+	assert.Equal(t, "26.2882", price)
+
+	price = formatPrice(26.288656, 0.001)
+	assert.Equal(t, "26.288", price)
+}
+
 func TestDurationParse(t *testing.T) {
 	type A struct {
 		Duration Duration `json:"duration"`