fix minVolume amounts when offsetting trades in mirror strategy, closes

#136 (#138)

cmd/trade.go

@@ -87,6 +87,10 @@ func validateBotConfig(l logger.Logger, botConfig trader.BotConfig) {
 	if botConfig.IsTradingSdex() && botConfig.Fee == nil {
 		logger.Fatal(l, fmt.Errorf("The `FEE` object needs to exist in the trader config file when trading on SDEX"))
 	}
+
+	if !botConfig.IsTradingSdex() && botConfig.MinCentralizedBaseVolume == 0.0 {
+		logger.Fatal(l, fmt.Errorf("need to specify non-zero MIN_CENTRALIZED_BASE_VOLUME config param in trader config file when not trading on SDEX"))
+	}
 }
 
 func init() {
@@ -283,12 +287,17 @@ func makeBot(
 	if e != nil {
 		l.Infof("Unable to set up monitoring for alert type '%s' with the given API key\n", botConfig.AlertType)
 	}
+	minCentralizedBaseVolume := &botConfig.MinCentralizedBaseVolume
+	if botConfig.IsTradingSdex() {
+		minCentralizedBaseVolume = nil
+	}
 	bot := trader.MakeBot(
 		client,
 		ieif,
 		botConfig.AssetBase(),
 		botConfig.AssetQuote(),
 		tradingPair,
+		minCentralizedBaseVolume,
 		botConfig.TradingAccount(),
 		sdex,
 		exchangeShim,

examples/configs/trader/sample_mirror.cfg

@@ -36,6 +36,11 @@ VOLUME_DIVIDE_BY=500.0
 # in this example the spread is 0.5%
 PER_LEVEL_SPREAD=0.005
 
+# minimum volume of base units needed to place an order on the backing exchange
+# minimum values for Kraken: https://support.kraken.com/hc/en-us/articles/205893708-What-is-the-minimum-order-size-volume-
+# minimum order value for Binance: https://support.binance.com/hc/en-us/articles/115000594711-Trading-Rule
+MIN_BASE_VOLUME=30.0
+
 # set to true if you want the bot to offset your trades onto the backing exchange to realize the per_level_spread against each trade
 # requires you to specify the EXCHANGE_API_KEYS below
 #OFFSET_TRADES=true

examples/configs/trader/sample_trader.cfg

@@ -85,6 +85,10 @@ MAX_OP_FEE_STROOPS=5000
 # Google authentication.
 #ACCEPTABLE_GOOGLE_EMAILS=""
 
+# minimum volume of base units needed to place an order on the non-sdex (centralized) exchange
+# minimum values for Kraken: https://support.kraken.com/hc/en-us/articles/205893708-What-is-the-minimum-order-size-volume-
+# minimum order value for Binance: https://support.binance.com/hc/en-us/articles/115000594711-Trading-Rule
+#MIN_CENTRALIZED_BASE_VOLUME=30.0
 # uncomment lines below to use kraken. Can use "sdex" or leave out to trade on the Stellar Decentralized Exchange.
 # can alternatively use any of the ccxt-exchanges marked as "Trading" (run `kelp exchanges` for full list)
 #TRADING_EXCHANGE="kraken"

plugins/ccxtExchange_test.go

@@ -440,3 +440,51 @@ func TestCancelOrder_Ccxt(t *testing.T) {
 		}
 	}
 }
+
+func TestGetOrderConstraints_Ccxt_Precision(t *testing.T) {
+	testCases := []struct {
+		exchangeName       string
+		pair               *model.TradingPair
+		wantPricePrecision int8
+		wantVolPrecision   int8
+	}{
+		{
+			exchangeName:       "kraken",
+			pair:               &model.TradingPair{Base: model.XLM, Quote: model.USD},
+			wantPricePrecision: 6,
+			wantVolPrecision:   8,
+		}, {
+			exchangeName:       "kraken",
+			pair:               &model.TradingPair{Base: model.XLM, Quote: model.BTC},
+			wantPricePrecision: 8,
+			wantVolPrecision:   8,
+		}, {
+			exchangeName:       "binance",
+			pair:               &model.TradingPair{Base: model.XLM, Quote: model.USDT},
+			wantPricePrecision: 5,
+			wantVolPrecision:   1,
+		}, {
+			exchangeName:       "binance",
+			pair:               &model.TradingPair{Base: model.XLM, Quote: model.BTC},
+			wantPricePrecision: 8,
+			wantVolPrecision:   0,
+		},
+	}
+
+	for _, kase := range testCases {
+		t.Run(kase.exchangeName, func(t *testing.T) {
+			testCcxtExchange, e := makeCcxtExchange(kase.exchangeName, nil, []api.ExchangeAPIKey{emptyAPIKey}, false)
+			if !assert.NoError(t, e) {
+				return
+			}
+
+			result := testCcxtExchange.GetOrderConstraints(kase.pair)
+			if !assert.Equal(t, kase.wantPricePrecision, result.PricePrecision) {
+				return
+			}
+			if !assert.Equal(t, kase.wantVolPrecision, result.VolumePrecision) {
+				return
+			}
+		})
+	}
+}

plugins/mirrorStrategy.go

@@ -36,6 +36,7 @@ type mirrorConfig struct {
 	OrderbookDepth  int32               `valid:"-" toml:"ORDERBOOK_DEPTH"`
 	VolumeDivideBy  float64             `valid:"-" toml:"VOLUME_DIVIDE_BY"`
 	PerLevelSpread  float64             `valid:"-" toml:"PER_LEVEL_SPREAD"`
+	MinBaseVolume   float64             `valid:"-" toml:"MIN_BASE_VOLUME"`
 	OffsetTrades    bool                `valid:"-" toml:"OFFSET_TRADES"`
 	ExchangeAPIKeys exchangeAPIKeysToml `valid:"-" toml:"EXCHANGE_API_KEYS"`
 }
@@ -100,6 +101,10 @@ func makeMirrorStrategy(sdex *SDEX, ieif *IEIF, pair *model.TradingPair, baseAss
 		if e != nil {
 			return nil, e
 		}
+
+		if config.MinBaseVolume == 0.0 {
+			return nil, fmt.Errorf("need to specify non-zero MIN_BASE_VOLUME config param in mirror strategy config file")
+		}
 	} else {
 		exchange, e = MakeExchange(config.Exchange, simMode)
 		if e != nil {
@@ -115,6 +120,11 @@ func makeMirrorStrategy(sdex *SDEX, ieif *IEIF, pair *model.TradingPair, baseAss
 		Quote: exchange.GetAssetConverter().MustFromString(config.ExchangeQuote),
 	}
 	backingConstraints := exchange.GetOrderConstraints(backingPair)
+	if config.OffsetTrades {
+		backingConstraints.MinBaseVolume = *model.NumberFromFloat(config.MinBaseVolume, backingConstraints.VolumePrecision)
+	}
+	log.Printf("primaryPair='%s', primaryConstraints=%s\n", pair, primaryConstraints)
+	log.Printf("backingPair='%s', backingConstraints=%s\n", backingPair, backingConstraints)
 	return &mirrorStrategy{
 		sdex:               sdex,
 		ieif:               ieif,
@@ -457,14 +467,15 @@ func (s *mirrorStrategy) HandleFill(trade model.Trade) error {
 		Volume:      newVolume,
 		Timestamp:   nil,
 	}
-	log.Printf("offset-attempt | tradeID=%s | tradeBaseAmt=%f | tradeQuoteAmt=%f | tradePriceQuote=%f | newOrderAction=%s | baseSurplusTotal=%f | baseSurplusCommitted=%f | newOrderBaseAmt=%f | newOrderQuoteAmt=%f | newOrderPriceQuote=%f\n",
+	log.Printf("offset-attempt | tradeID=%s | tradeBaseAmt=%f | tradeQuoteAmt=%f | tradePriceQuote=%f | newOrderAction=%s | baseSurplusTotal=%f | baseSurplusCommitted=%f | minBaseVolume=%f | newOrderBaseAmt=%f | newOrderQuoteAmt=%f | newOrderPriceQuote=%f\n",
 		trade.TransactionID.String(),
 		trade.Volume.AsFloat(),
 		trade.Volume.Multiply(*trade.Price).AsFloat(),
 		trade.Price.AsFloat(),
 		newOrderAction.String(),
 		s.baseSurplus[newOrderAction].total.AsFloat(),
 		s.baseSurplus[newOrderAction].committed.AsFloat(),
+		s.backingConstraints.MinBaseVolume.AsFloat(),
 		newOrder.Volume.AsFloat(),
 		newOrder.Volume.Multiply(*newOrder.Price).AsFloat(),
 		newOrder.Price.AsFloat())
@@ -480,14 +491,15 @@ func (s *mirrorStrategy) HandleFill(trade model.Trade) error {
 	s.baseSurplus[newOrderAction].total = s.baseSurplus[newOrderAction].total.Subtract(*newVolume)
 	s.baseSurplus[newOrderAction].committed = s.baseSurplus[newOrderAction].committed.Subtract(*newVolume)
 
-	log.Printf("offset-success | tradeID=%s | tradeBaseAmt=%f | tradeQuoteAmt=%f | tradePriceQuote=%f | newOrderAction=%s | baseSurplusTotal=%f | baseSurplusCommitted=%f | newOrderBaseAmt=%f | newOrderQuoteAmt=%f | newOrderPriceQuote=%f | transactionID=%s\n",
+	log.Printf("offset-success | tradeID=%s | tradeBaseAmt=%f | tradeQuoteAmt=%f | tradePriceQuote=%f | newOrderAction=%s | baseSurplusTotal=%f | baseSurplusCommitted=%f | minBaseVolume=%f | newOrderBaseAmt=%f | newOrderQuoteAmt=%f | newOrderPriceQuote=%f | transactionID=%s\n",
 		trade.TransactionID.String(),
 		trade.Volume.AsFloat(),
 		trade.Volume.Multiply(*trade.Price).AsFloat(),
 		trade.Price.AsFloat(),
 		newOrderAction.String(),
 		s.baseSurplus[newOrderAction].total.AsFloat(),
 		s.baseSurplus[newOrderAction].committed.AsFloat(),
+		s.backingConstraints.MinBaseVolume.AsFloat(),
 		newOrder.Volume.AsFloat(),
 		newOrder.Volume.Multiply(*newOrder.Price).AsFloat(),
 		newOrder.Price.AsFloat(),

trader/config.go

@@ -33,6 +33,7 @@ type BotConfig struct {
 	FillTrackerDeleteCyclesThreshold int64      `valid:"-" toml:"FILL_TRACKER_DELETE_CYCLES_THRESHOLD"`
 	HorizonURL                       string     `valid:"-" toml:"HORIZON_URL"`
 	Fee                              *FeeConfig `valid:"-" toml:"FEE"`
+	MinCentralizedBaseVolume         float64    `valid:"-" toml:"MIN_CENTRALIZED_BASE_VOLUME"`
 	AlertType                        string     `valid:"-" toml:"ALERT_TYPE"`
 	AlertAPIKey                      string     `valid:"-" toml:"ALERT_API_KEY"`
 	MonitoringPort                   uint16     `valid:"-" toml:"MONITORING_PORT"`

trader/trader.go

@@ -55,6 +55,7 @@ func MakeBot(
 	assetBase horizon.Asset,
 	assetQuote horizon.Asset,
 	tradingPair *model.TradingPair,
+	minBaseVolume *float64,
 	tradingAccount string,
 	sdex *plugins.SDEX,
 	exchangeShim api.ExchangeShim,
@@ -70,6 +71,9 @@ func MakeBot(
 	submitFilters := []plugins.SubmitFilter{}
 
 	oc := exchangeShim.GetOrderConstraints(tradingPair)
+	if minBaseVolume != nil {
+		oc.MinBaseVolume = *model.NumberFromFloat(*minBaseVolume, oc.VolumePrecision)
+	}
 	orderConstraintsFilter := plugins.MakeFilterOrderConstraints(oc, assetBase, assetQuote)
 	submitFilters = append(submitFilters, orderConstraintsFilter)