convert: move moq check/adjustment to types.Market

pkg/strategy/convert/strategy.go

@@ -162,7 +162,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 
 	bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
 		s.collectPendingQuantity(ctx)
-	
+
 		_ = s.orderExecutor.GracefulCancel(ctx)
 	})
 
@@ -327,35 +327,24 @@ func (s *Strategy) convertBalance(ctx context.Context, fromAsset string, availab
 	switch fromAsset {
 
 	case market.BaseCurrency:
-		log.Infof("converting %s %s to %s...", available, fromAsset, market.QuoteCurrency)
-
-		available = market.TruncateQuantity(available)
-
-		// from = Base -> action = sell
-		if available.Compare(market.MinQuantity) < 0 {
-			log.Debugf("asset %s %s is less than minQuantity %s, skip convert", available, fromAsset, market.MinQuantity)
-			return nil
-		}
-
 		price := ticker.Sell
 		if s.UseTakerOrder {
 			price = ticker.Buy
 		}
 
-		quoteAmount := price.Mul(available)
-		if quoteAmount.Compare(market.MinNotional) < 0 {
-			log.Debugf("asset %s %s (%s %s) is less than minNotional %s, skip convert",
-				available, fromAsset,
-				quoteAmount, market.QuoteCurrency,
-				market.MinNotional)
+		log.Infof("converting %s %s to %s...", available, fromAsset, market.QuoteCurrency)
+
+		quantity, ok := market.GreaterThanMinimalOrderQuantity(types.SideTypeSell, price, available)
+		if !ok {
+			log.Debugf("asset %s %s is less than MoQ, skip convert", available, fromAsset)
 			return nil
 		}
 
 		orderForm := types.SubmitOrder{
 			Symbol:      market.Symbol,
 			Side:        types.SideTypeSell,
 			Type:        types.OrderTypeLimit,
-			Quantity:    available,
+			Quantity:    quantity,
 			Price:       price,
 			Market:      market,
 			TimeInForce: types.TimeInForceGTC,
@@ -365,36 +354,16 @@ func (s *Strategy) convertBalance(ctx context.Context, fromAsset string, availab
 		}
 
 	case market.QuoteCurrency:
-		log.Infof("converting %s %s to %s...", available, fromAsset, market.BaseCurrency)
-
-		available = market.TruncateQuoteQuantity(available)
-
-		// from = Quote -> action = buy
-		if available.Compare(market.MinNotional) < 0 {
-			log.Debugf("asset %s %s is less than minNotional %s, skip convert", available, fromAsset, market.MinNotional)
-			return nil
-		}
-
 		price := ticker.Buy
 		if s.UseTakerOrder {
 			price = ticker.Sell
 		}
 
-		quantity := available.Div(price)
-		quantity = market.TruncateQuantity(quantity)
-		if quantity.Compare(market.MinQuantity) < 0 {
-			log.Debugf("asset %s %s is less than minQuantity %s, skip convert",
-				quantity, fromAsset,
-				market.MinQuantity)
-			return nil
-		}
+		log.Infof("converting %s %s to %s...", available, fromAsset, market.BaseCurrency)
 
-		notional := quantity.Mul(price)
-		if notional.Compare(market.MinNotional) < 0 {
-			log.Debugf("asset %s %s (%s %s) is less than minNotional %s, skip convert",
-				quantity, fromAsset,
-				notional, market.QuoteCurrency,
-				market.MinNotional)
+		quantity, ok := market.GreaterThanMinimalOrderQuantity(types.SideTypeBuy, price, available)
+		if !ok {
+			log.Debugf("asset %s %s is less than MoQ, skip convert", available, fromAsset)
 			return nil
 		}
 

pkg/types/market.go

@@ -72,6 +72,7 @@ func (m Market) TruncateQuantity(quantity fixedpoint.Value) fixedpoint.Value {
 }
 
 // TruncateQuoteQuantity uses the tick size to truncate floating number, in order to avoid the rounding issue
+// this is usually used for calculating the order size from the quote quantity.
 func (m Market) TruncateQuoteQuantity(quantity fixedpoint.Value) fixedpoint.Value {
 	var ts = m.TickSize.Float64()
 	var prec = int(math.Round(math.Log10(ts) * -1.0))
@@ -84,6 +85,51 @@ func (m Market) TruncateQuoteQuantity(quantity fixedpoint.Value) fixedpoint.Valu
 	return fixedpoint.MustNewFromString(qs)
 }
 
+// GreaterThanMinimalOrderQuantity ensures that your given balance could fit the minimal order quantity
+// when side = sell, then available = base balance
+// when side = buy, then available = quote balance
+// The balance will be truncated first in order to calculate the minimal notional and minimal quantity
+// The adjusted (truncated) order quantity will be returned
+func (m Market) GreaterThanMinimalOrderQuantity(side SideType, price, available fixedpoint.Value) (fixedpoint.Value, bool) {
+	switch side {
+	case SideTypeSell:
+		available = m.TruncateQuantity(available)
+
+		if available.Compare(m.MinQuantity) < 0 {
+			return fixedpoint.Zero, false
+		}
+
+		quoteAmount := price.Mul(available)
+		if quoteAmount.Compare(m.MinNotional) < 0 {
+			return fixedpoint.Zero, false
+		}
+
+		return available, true
+
+	case SideTypeBuy:
+		available = m.TruncateQuoteQuantity(available)
+
+		if available.Compare(m.MinNotional) < 0 {
+			return fixedpoint.Zero, false
+		}
+
+		quantity := available.Div(price)
+		quantity = m.TruncateQuantity(quantity)
+		if quantity.Compare(m.MinQuantity) < 0 {
+			return fixedpoint.Zero, false
+		}
+
+		notional := quantity.Mul(price)
+		if notional.Compare(m.MinNotional) < 0 {
+			return fixedpoint.Zero, false
+		}
+
+		return quantity, true
+	}
+
+	return available, true
+}
+
 // RoundDownQuantityByPrecision uses the volume precision to round down the quantity
 // This is different from the TruncateQuantity, which uses StepSize (it uses fewer fractions to truncate)
 func (m Market) RoundDownQuantityByPrecision(quantity fixedpoint.Value) fixedpoint.Value {

pkg/types/market_test.go

@@ -13,6 +13,31 @@ import (
 
 var s func(string) fixedpoint.Value = fixedpoint.MustNewFromString
 
+func TestMarket_GreaterThanMinimalOrderQuantity(t *testing.T) {
+	market := Market{
+		Symbol:          "BTCUSDT",
+		LocalSymbol:     "BTCUSDT",
+		PricePrecision:  8,
+		VolumePrecision: 8,
+		QuoteCurrency:   "USDT",
+		BaseCurrency:    "BTC",
+		MinNotional:     number(10.0),
+		MinAmount:       number(10.0),
+		MinQuantity:     number(0.0001),
+		StepSize:        number(0.00001),
+		TickSize:        number(0.01),
+	}
+
+	_, ok := market.GreaterThanMinimalOrderQuantity(SideTypeSell, number(20000.0), number(0.00051))
+	assert.True(t, ok)
+
+	_, ok = market.GreaterThanMinimalOrderQuantity(SideTypeBuy, number(20000.0), number(10.0))
+	assert.True(t, ok)
+
+	_, ok = market.GreaterThanMinimalOrderQuantity(SideTypeBuy, number(20000.0), number(0.99999))
+	assert.False(t, ok)
+}
+
 func TestFormatQuantity(t *testing.T) {
 	quantity := formatQuantity(
 		s("0.12511"),