Merge pull request #1086 from c9s/fix/grid2/quote-fee-rounding

FIX: [grid2] round down quoteQuantity/baseQuantity after the fee reduction

Author: c9s

pkg/strategy/grid2/strategy.go

@@ -401,25 +401,14 @@ func (s *Strategy) processFilledOrder(o types.Order) {
 	// will be used for calculating quantity
 	orderExecutedQuoteAmount := o.Quantity.Mul(executedPrice)
 
-	// collect trades
-	feeQuantityReduction := fixedpoint.Zero
-	feeCurrency := ""
-	feePrec := 2
-
-	// feeQuantityReduction calculation is used to reduce the order quantity
+	// collect trades for fee
+	// fee calculation is used to reduce the order quantity
 	// because when 1.0 BTC buy order is filled without FEE token, then we will actually get 1.0 * (1 - feeRate) BTC
 	// if we don't reduce the sell quantity, than we might fail to place the sell order
-	feeQuantityReduction, feeCurrency = s.aggregateOrderFee(o)
+	fee, feeCurrency := s.aggregateOrderFee(o)
 	s.logger.Infof("GRID ORDER #%d %s FEE: %s %s",
 		o.OrderID, o.Side,
-		feeQuantityReduction.String(), feeCurrency)
-
-	feeQuantityReduction, feePrec = roundUpMarketQuantity(s.Market, feeQuantityReduction, feeCurrency)
-	s.logger.Infof("GRID ORDER #%d %s FEE (rounding precision %d): %s %s",
-		o.OrderID, o.Side,
-		feePrec,
-		feeQuantityReduction.String(),
-		feeCurrency)
+		fee.String(), feeCurrency)
 
 	switch o.Side {
 	case types.SideTypeSell:
@@ -437,10 +426,21 @@ func (s *Strategy) processFilledOrder(o types.Order) {
 		if s.Compound || s.EarnBase {
 			// if it's not using the platform fee currency, reduce the quote quantity for the buy order
 			if feeCurrency == s.Market.QuoteCurrency {
-				orderExecutedQuoteAmount = orderExecutedQuoteAmount.Sub(feeQuantityReduction)
+				orderExecutedQuoteAmount = orderExecutedQuoteAmount.Sub(fee)
 			}
 
-			newQuantity = fixedpoint.Max(orderExecutedQuoteAmount.Div(newPrice), s.Market.MinQuantity)
+			// for quote amount, always round down with price precision to prevent the quote currency fund locking rounding issue
+			origQuoteAmount := orderExecutedQuoteAmount
+			orderExecutedQuoteAmount = orderExecutedQuoteAmount.Round(s.Market.PricePrecision, fixedpoint.Down)
+			s.logger.Infof("round down %s %s order quote quantity %s to %s by quote precision %d", s.Symbol, newSide, origQuoteAmount.String(), orderExecutedQuoteAmount.String(), s.Market.PricePrecision)
+
+			newQuantity = orderExecutedQuoteAmount.Div(newPrice)
+
+			origQuantity := newQuantity
+			newQuantity = newQuantity.Round(s.Market.VolumePrecision, fixedpoint.Down)
+			s.logger.Infof("round down %s %s order base quantity %s to %s by base precision %d", s.Symbol, newSide, origQuantity.String(), newQuantity.String(), s.Market.VolumePrecision)
+
+			newQuantity = fixedpoint.Max(newQuantity, s.Market.MinQuantity)
 		} else if s.QuantityOrAmount.Quantity.Sign() > 0 {
 			newQuantity = s.QuantityOrAmount.Quantity
 		}
@@ -449,10 +449,6 @@ func (s *Strategy) processFilledOrder(o types.Order) {
 		profit = s.calculateProfit(o, newPrice, newQuantity)
 
 	case types.SideTypeBuy:
-		if feeCurrency == s.Market.BaseCurrency {
-			newQuantity = newQuantity.Sub(feeQuantityReduction)
-		}
-
 		newSide = types.SideTypeSell
 		if !s.ProfitSpread.IsZero() {
 			newPrice = newPrice.Add(s.ProfitSpread)
@@ -462,9 +458,19 @@ func (s *Strategy) processFilledOrder(o types.Order) {
 			}
 		}
 
+		if feeCurrency == s.Market.BaseCurrency {
+			newQuantity = newQuantity.Sub(fee)
+		}
+
+		// if EarnBase is enabled, we should sell less to get the same quote amount back
 		if s.EarnBase {
-			newQuantity = fixedpoint.Max(orderExecutedQuoteAmount.Div(newPrice).Sub(feeQuantityReduction), s.Market.MinQuantity)
+			newQuantity = fixedpoint.Max(orderExecutedQuoteAmount.Div(newPrice).Sub(fee), s.Market.MinQuantity)
 		}
+
+		// always round down the base quantity for placing sell order to avoid the base currency fund locking issue
+		origQuantity := newQuantity
+		newQuantity = newQuantity.Round(s.Market.VolumePrecision, fixedpoint.Down)
+		s.logger.Infof("round down sell order quantity %s to %s by base quantity precision %d", origQuantity.String(), newQuantity.String(), s.Market.VolumePrecision)
 	}
 
 	orderForm := types.SubmitOrder{
@@ -1869,4 +1875,4 @@ func roundUpMarketQuantity(market types.Market, v fixedpoint.Value, c string) (f
 	}
 
 	return v.Round(prec, fixedpoint.Up), prec
-}
+}

pkg/strategy/grid2/strategy_test.go

@@ -706,7 +706,7 @@ func TestStrategy_handleOrderFilled(t *testing.T) {
 			Type:        types.OrderTypeLimit,
 			Side:        types.SideTypeBuy,
 			Price:       number(11_000.0),
-			Quantity:    number(0.09999999),
+			Quantity:    number(0.09999909),
 			TimeInForce: types.TimeInForceGTC,
 			Market:      s.Market,
 			Tag:         orderTag,
@@ -797,7 +797,7 @@ func TestStrategy_handleOrderFilled(t *testing.T) {
 			Symbol:      "BTCUSDT",
 			Type:        types.OrderTypeLimit,
 			Price:       number(12_000.0),
-			Quantity:    number(0.09998999),
+			Quantity:    number(0.09999),
 			Side:        types.SideTypeSell,
 			TimeInForce: types.TimeInForceGTC,
 			Market:      s.Market,