From ffea4901edd05c6174e232aaf6ad1a7c089046bc Mon Sep 17 00:00:00 2001
From: narumi <toucans-cutouts0f@icloud.com>
Date: Fri, 3 Nov 2023 15:07:24 +0800
Subject: [PATCH] fix buy quantity

---
 pkg/strategy/rebalance/strategy.go | 45 +++++++++++++++++-------------
 1 file changed, 25 insertions(+), 20 deletions(-)

diff --git a/pkg/strategy/rebalance/strategy.go b/pkg/strategy/rebalance/strategy.go
index 22896d24b..40c0fa821 100644
--- a/pkg/strategy/rebalance/strategy.go
+++ b/pkg/strategy/rebalance/strategy.go
@@ -40,7 +40,6 @@ type Strategy struct {
 	DryRun         bool             `json:"dryRun"`
 	OnStart        bool             `json:"onStart"` // rebalance on start
 
-	session         *bbgo.ExchangeSession
 	symbols         []string
 	markets         map[string]types.Market
 	activeOrderBook *bbgo.ActiveOrderBook
@@ -97,11 +96,9 @@ func (s *Strategy) Validate() error {
 func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {}
 
 func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
-	s.session = session
-
 	s.markets = make(map[string]types.Market)
 	for _, symbol := range s.symbols {
-		market, ok := s.session.Market(symbol)
+		market, ok := session.Market(symbol)
 		if !ok {
 			return fmt.Errorf("market %s not found", symbol)
 		}
@@ -112,7 +109,7 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
 	s.MultiMarketStrategy.Initialize(ctx, s.Environment, session, s.markets, ID)
 
 	s.activeOrderBook = bbgo.NewActiveOrderBook("")
-	s.activeOrderBook.BindStream(s.session.UserDataStream)
+	s.activeOrderBook.BindStream(session.UserDataStream)
 
 	session.UserDataStream.OnStart(func() {
 		if s.OnStart {
@@ -137,7 +134,7 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
 
 func (s *Strategy) rebalance(ctx context.Context) {
 	// cancel active orders before rebalance
-	if err := s.session.Exchange.CancelOrders(ctx, s.activeOrderBook.Orders()...); err != nil {
+	if err := s.Session.Exchange.CancelOrders(ctx, s.activeOrderBook.Orders()...); err != nil {
 		log.WithError(err).Errorf("failed to cancel orders")
 	}
 
@@ -174,7 +171,7 @@ func (s *Strategy) queryMidPrices(ctx context.Context) (types.ValueMap, error) {
 			continue
 		}
 
-		ticker, err := s.session.Exchange.QueryTicker(ctx, currency+s.QuoteCurrency)
+		ticker, err := s.Session.Exchange.QueryTicker(ctx, currency+s.QuoteCurrency)
 		if err != nil {
 			return nil, err
 		}
@@ -186,7 +183,7 @@ func (s *Strategy) queryMidPrices(ctx context.Context) (types.ValueMap, error) {
 
 func (s *Strategy) selectBalances() (types.BalanceMap, error) {
 	m := make(types.BalanceMap)
-	balances := s.session.GetAccount().Balances()
+	balances := s.Session.GetAccount().Balances()
 	for currency := range s.TargetWeights {
 		balance, ok := balances[currency]
 		if !ok {
@@ -235,28 +232,36 @@ func (s *Strategy) generateOrder(ctx context.Context) (*types.SubmitOrder, error
 			quantity = quantity.Abs()
 		}
 
-		if s.MaxAmount.Float64() > 0 {
-			quantity = bbgo.AdjustQuantityByMaxAmount(quantity, midPrice, s.MaxAmount)
-			log.Infof("adjust quantity %s (%s %s @ %s) by max amount %s",
-				quantity.String(),
-				symbol,
-				side.String(),
-				midPrice.String(),
-				s.MaxAmount.String())
+		ticker, err := s.Session.Exchange.QueryTicker(ctx, symbol)
+		if err != nil {
+			return nil, err
 		}
 
+		var price fixedpoint.Value
 		if side == types.SideTypeBuy {
-			quantity = fixedpoint.Min(quantity, balances[s.QuoteCurrency].Available.Div(midPrice))
+			price = ticker.Buy
+			quantity = fixedpoint.Min(quantity, balances[s.QuoteCurrency].Available.Div(ticker.Sell))
 		} else if side == types.SideTypeSell {
+			price = ticker.Sell
 			quantity = fixedpoint.Min(quantity, balances[market.BaseCurrency].Available)
 		}
 
-		if market.IsDustQuantity(quantity, midPrice) {
+		if s.MaxAmount.Float64() > 0 {
+			quantity = bbgo.AdjustQuantityByMaxAmount(quantity, price, s.MaxAmount)
+			log.Infof("adjusted quantity %s (%s %s @ %s) by max amount %s",
+				quantity.String(),
+				symbol,
+				side.String(),
+				price.String(),
+				s.MaxAmount.String())
+		}
+
+		if market.IsDustQuantity(quantity, price) {
 			log.Infof("quantity %s (%s %s @ %s) is dust quantity, skip",
 				quantity.String(),
 				symbol,
 				side.String(),
-				midPrice.String())
+				price.String())
 			continue
 		}
 
@@ -265,7 +270,7 @@ func (s *Strategy) generateOrder(ctx context.Context) (*types.SubmitOrder, error
 			Side:     side,
 			Type:     s.OrderType,
 			Quantity: quantity,
-			Price:    midPrice,
+			Price:    price,
 		}, nil
 	}
 	return nil, nil