Merge pull request #1653 from c9s/c9s/xgap-make-source-book-optional

FIX: [xgap] make sourceBook optional

Author: c9s

pkg/strategy/xgap/strategy.go

@@ -221,8 +221,10 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
 		s.mu.Unlock()
 	})
 
-	s.sourceBook = types.NewStreamBook(s.Symbol)
-	s.sourceBook.BindStream(s.sourceSession.MarketDataStream)
+	if s.SourceExchange != "" {
+		s.sourceBook = types.NewStreamBook(s.Symbol)
+		s.sourceBook.BindStream(s.sourceSession.MarketDataStream)
+	}
 
 	s.tradingBook = types.NewStreamBook(s.Symbol)
 	s.tradingBook.BindStream(s.tradingSession.MarketDataStream)
@@ -276,7 +278,7 @@ func (s *Strategy) placeOrders(ctx context.Context) {
 			spread.String(), spreadPercentage.Percentage())
 
 		// use the source book price if the spread percentage greater than 5%
-		if s.SimulatePrice && spreadPercentage.Compare(maxStepPercentageGap) > 0 {
+		if s.SimulatePrice && s.sourceBook != nil && spreadPercentage.Compare(maxStepPercentageGap) > 0 {
 			log.Warnf("spread too large (%s %s), using source book",
 				spread.String(), spreadPercentage.Percentage())
 			bestBid, hasBid = s.sourceBook.BestBid()
@@ -299,7 +301,7 @@ func (s *Strategy) placeOrders(ctx context.Context) {
 			return
 		}
 
-	} else {
+	} else if s.sourceBook != nil {
 		bestBid, hasBid = s.sourceBook.BestBid()
 		bestAsk, hasAsk = s.sourceBook.BestAsk()
 	}
@@ -309,9 +311,15 @@ func (s *Strategy) placeOrders(ctx context.Context) {
 		return
 	}
 
+	if bestBid.Price.IsZero() || bestAsk.Price.IsZero() {
+		log.Warn("bid price or ask price is zero")
+		return
+	}
+
 	var spread = bestAsk.Price.Sub(bestBid.Price)
 	var spreadPercentage = spread.Div(bestAsk.Price)
-	log.Infof("spread=%s %s ask=%s bid=%s",
+
+	log.Infof("spread:%s %s ask:%s bid:%s",
 		spread.String(), spreadPercentage.Percentage(),
 		bestAsk.Price.String(), bestBid.Price.String())
 	// var spreadPercentage = spread.Float64() / bestBid.Price.Float64()
@@ -328,6 +336,7 @@ func (s *Strategy) placeOrders(ctx context.Context) {
 		log.Errorf("base balance %s not found", s.tradingMarket.BaseCurrency)
 		return
 	}
+
 	quoteBalance, ok := balances[s.tradingMarket.QuoteCurrency]
 	if !ok {
 		log.Errorf("quote balance %s not found", s.tradingMarket.QuoteCurrency)
@@ -346,9 +355,14 @@ func (s *Strategy) placeOrders(ctx context.Context) {
 		return
 	}
 
-	maxQuantity := fixedpoint.Min(baseBalance.Available, quoteBalance.Available.Div(price))
+	maxQuantity := baseBalance.Available
+	if !quoteBalance.Available.IsZero() {
+		maxQuantity = fixedpoint.Min(maxQuantity, quoteBalance.Available.Div(price))
+	}
+
 	quantity := minQuantity
 
+	// if we set the fixed quantity, we should use the fixed
 	if s.Quantity.Sign() > 0 {
 		quantity = fixedpoint.Max(s.Quantity, quantity)
 	} else if s.SimulateVolume {
@@ -372,8 +386,12 @@ func (s *Strategy) placeOrders(ctx context.Context) {
 		quantity = quantity.Mul(fixedpoint.NewFromFloat(jitter))
 	}
 
+	log.Infof("%s quantity: %f", s.Symbol, quantity.Float64())
+
 	quantity = fixedpoint.Min(quantity, maxQuantity)
 
+	log.Infof("%s adjusted quantity: %f", s.Symbol, quantity.Float64())
+
 	orderForms := []types.SubmitOrder{
 		{
 			Symbol:   s.Symbol,