package bbgo import ( "github.com/pkg/errors" ) var ( ErrQuoteBalanceLevelTooLow = errors.New("quote balance level is too low") ErrInsufficientQuoteBalance = errors.New("insufficient quote balance") ErrAssetBalanceLevelTooLow = errors.New("asset balance level too low") ErrInsufficientAssetBalance = errors.New("insufficient asset balance") ErrAssetBalanceLevelTooHigh = errors.New("asset balance level too high") ) /* tradingCtx := p.OrderExecutor.Context currentPrice := tradingCtx.CurrentPrice market := order.Market quantity := order.Quantity tradingCtx.Lock() defer tradingCtx.Unlock() switch order.Side { case types.SideTypeBuy: if balance, ok := tradingCtx.Balances[market.QuoteCurrency]; ok { if balance.Available < p.MinQuoteBalance { return errors.Wrapf(ErrQuoteBalanceLevelTooLow, "quote balance level is too low: %s < %s", types.USD.FormatMoneyFloat64(balance.Available), types.USD.FormatMoneyFloat64(p.MinQuoteBalance)) } if baseBalance, ok := tradingCtx.Balances[market.BaseCurrency]; ok { if util.NotZero(p.MaxAssetBalance) && baseBalance.Available > p.MaxAssetBalance { return errors.Wrapf(ErrAssetBalanceLevelTooHigh, "asset balance level is too high: %f > %f", baseBalance.Available, p.MaxAssetBalance) } } available := math.Max(0.0, balance.Available-p.MinQuoteBalance) if available < market.MinAmount { return errors.Wrapf(ErrInsufficientQuoteBalance, "insufficient quote balance: %f < min amount %f", available, market.MinAmount) } quantity = adjustQuantityByMinAmount(quantity, currentPrice, market.MinAmount*1.01) quantity = adjustQuantityByMaxAmount(quantity, currentPrice, available) amount := quantity * currentPrice if amount < market.MinAmount { return fmt.Errorf("amount too small: %f < min amount %f", amount, market.MinAmount) } } case types.SideTypeSell: if balance, ok := tradingCtx.Balances[market.BaseCurrency]; ok { if util.NotZero(p.MinAssetBalance) && balance.Available < p.MinAssetBalance { return errors.Wrapf(ErrAssetBalanceLevelTooLow, "asset balance level is too low: %f > %f", balance.Available, p.MinAssetBalance) } quantity = adjustQuantityByMinAmount(quantity, currentPrice, market.MinNotional*1.01) available := balance.Available quantity = math.Min(quantity, available) if quantity < market.MinQuantity { return errors.Wrapf(ErrInsufficientAssetBalance, "insufficient asset balance: %f > minimal quantity %f", available, market.MinQuantity) } notional := quantity * currentPrice if notional < tradingCtx.Market.MinNotional { return fmt.Errorf("notional %f < min notional: %f", notional, market.MinNotional) } // price tick10 // 2 -> 0.01 -> 0.1 // 4 -> 0.0001 -> 0.001 tick10 := math.Pow10(-market.PricePrecision + 1) minProfitSpread := math.Max(p.MinProfitSpread, tick10) estimatedFee := currentPrice * 0.0015 * 2 // double the fee targetPrice := currentPrice - estimatedFee - minProfitSpread stockQuantity := tradingCtx.StockManager.Stocks.QuantityBelowPrice(targetPrice) if math.Round(stockQuantity*1e8) == 0.0 { return fmt.Errorf("profitable stock not found: target price %f, profit spread: %f", targetPrice, minProfitSpread) } quantity = math.Min(quantity, stockQuantity) if quantity < market.MinLot { return fmt.Errorf("quantity %f less than min lot %f", quantity, market.MinLot) } notional = quantity * currentPrice if notional < tradingCtx.Market.MinNotional { return fmt.Errorf("notional %f < min notional: %f", notional, market.MinNotional) } } } order.Quantity = quantity order.QuantityString = market.FormatVolume(quantity) */ func adjustQuantityByMinAmount(quantity float64, currentPrice float64, minAmount float64) float64 { // modify quantity for the min amount amount := currentPrice * quantity if amount < minAmount { ratio := minAmount / amount quantity *= ratio } return quantity } func adjustQuantityByMaxAmount(quantity float64, currentPrice float64, maxAmount float64) float64 { amount := currentPrice * quantity if amount > maxAmount { ratio := maxAmount / amount quantity *= ratio } return quantity }