async def _create_initial_arbitrage_order(self, arbitrage_container):
current_symbol_holding, current_market_holding, market_quantity, price, symbol_market = \
await trading_personal_data.get_pre_order_data(self.exchange_manager,
symbol=self.trading_mode.symbol,
timeout=trading_constants.ORDER_DATA_FETCHING_TIMEOUT)
created_orders = []
order_type = trading_enums.TraderOrderType.BUY_LIMIT if arbitrage_container.state is trading_enums.EvaluatorStates.LONG \
else trading_enums.TraderOrderType.SELL_LIMIT
quantity = self._get_quantity_from_holdings(current_symbol_holding,
market_quantity,
arbitrage_container.state)
if order_type is trading_enums.TraderOrderType.SELL_LIMIT:
quantity = trading_personal_data.add_dusts_to_quantity_if_necessary(
quantity, price, symbol_market, current_symbol_holding)
for order_quantity, order_price in trading_personal_data.check_and_adapt_order_details_if_necessary(
quantity, arbitrage_container.own_exchange_price,
symbol_market):
current_order = trading_personal_data.create_order_instance(
trader=self.exchange_manager.trader,
order_type=order_type,
symbol=self.trading_mode.symbol,
current_price=arbitrage_container.own_exchange_price,
quantity=order_quantity,
price=order_price)
created_order = await self.exchange_manager.trader.create_order(
current_order)
created_orders.append(created_order)
arbitrage_container.initial_limit_order_id = created_order.order_id
self.open_arbitrages.append(arbitrage_container)
# only create one order per arbitrage
return created_orders
async def _create_secondary_arbitrage_order(self, arbitrage_container,
quantity):
created_orders = []
current_symbol_holding, current_market_holding, market_quantity, price, symbol_market = \
await trading_personal_data.get_pre_order_data(self.exchange_manager,
symbol=self.trading_mode.symbol,
timeout=trading_constants.ORDER_DATA_FETCHING_TIMEOUT)
now_selling = arbitrage_container.state is trading_enums.EvaluatorStates.LONG
if now_selling:
quantity = trading_personal_data.add_dusts_to_quantity_if_necessary(
quantity, price, symbol_market, current_symbol_holding)
for order_quantity, order_price in trading_personal_data.check_and_adapt_order_details_if_necessary(
quantity, arbitrage_container.target_price, symbol_market):
current_order = trading_personal_data.create_order_instance(
trader=self.exchange_manager.trader,
order_type=trading_enums.TraderOrderType.SELL_LIMIT
if now_selling else trading_enums.TraderOrderType.BUY_LIMIT,
symbol=self.trading_mode.symbol,
current_price=arbitrage_container.own_exchange_price,
quantity=order_quantity,
price=order_price)
created_order = await self.exchange_manager.trader.create_order(
current_order)
created_orders.append(created_order)
arbitrage_container.secondary_limit_order_id = created_order.order_id
stop_price = self._get_stop_loss_price(
symbol_market, arbitrage_container.own_exchange_price,
now_selling)
current_order = trading_personal_data.create_order_instance(
trader=self.exchange_manager.trader,
order_type=trading_enums.TraderOrderType.STOP_LOSS,
symbol=self.trading_mode.symbol,
current_price=arbitrage_container.own_exchange_price,
quantity=order_quantity,
price=stop_price,
linked_to=created_order,
side=trading_enums.TradeOrderSide.SELL
if now_selling else trading_enums.TradeOrderSide.BUY)
await self.exchange_manager.trader.create_order(current_order)
arbitrage_container.secondary_stop_order_id = current_order.order_id
return created_orders
async def create_new_orders(self, symbol, final_note, state, **kwargs):
current_order = None
timeout = kwargs.pop("timeout",
trading_constants.ORDER_DATA_FETCHING_TIMEOUT)
try:
current_symbol_holding, current_market_holding, market_quantity, price, symbol_market = \
await trading_personal_data.get_pre_order_data(self.exchange_manager, symbol=symbol, timeout=timeout)
quote, _ = symbol_util.split_symbol(symbol)
created_orders = []
if state == trading_enums.EvaluatorStates.VERY_SHORT.value and not self.DISABLE_SELL_ORDERS:
quantity = self._get_market_quantity_from_risk(
final_note, current_symbol_holding, quote, True)
quantity = trading_personal_data.add_dusts_to_quantity_if_necessary(
quantity, price, symbol_market, current_symbol_holding)
for order_quantity, order_price in self._check_and_adapt_order_details_if_necessary(
quantity, price, symbol_market):
current_order = trading_personal_data.create_order_instance(
trader=self.trader,
order_type=trading_enums.TraderOrderType.SELL_MARKET,
symbol=symbol,
current_price=float(order_price),
quantity=float(order_quantity),
price=float(order_price))
await self.trader.create_order(current_order)
created_orders.append(current_order)
elif state == trading_enums.EvaluatorStates.SHORT.value and not self.DISABLE_SELL_ORDERS:
quantity = await self._get_sell_limit_quantity_from_risk(
final_note, current_symbol_holding, quote)
quantity = trading_personal_data.add_dusts_to_quantity_if_necessary(
quantity, price, symbol_market, current_symbol_holding)
limit_price = trading_personal_data.adapt_price(
symbol_market,
price * self._get_limit_price_from_risk(final_note))
for order_quantity, order_price in self._check_and_adapt_order_details_if_necessary(
quantity, limit_price, symbol_market):
current_order = trading_personal_data.create_order_instance(
trader=self.trader,
order_type=trading_enums.TraderOrderType.SELL_LIMIT,
symbol=symbol,
current_price=price,
quantity=float(order_quantity),
price=float(order_price))
updated_limit = await self.trader.create_order(
current_order)
created_orders.append(updated_limit)
if self.USE_STOP_ORDERS:
stop_price = trading_personal_data.adapt_price(
symbol_market,
price * self._get_stop_price_from_risk())
current_order = trading_personal_data.create_order_instance(
trader=self.trader,
order_type=trading_enums.TraderOrderType.STOP_LOSS,
symbol=symbol,
current_price=price,
quantity=float(order_quantity),
price=stop_price,
linked_to=updated_limit)
await self.trader.create_order(current_order)
elif state == trading_enums.EvaluatorStates.NEUTRAL.value:
return []
# TODO : stop loss
elif state == trading_enums.EvaluatorStates.LONG.value and not self.DISABLE_BUY_ORDERS:
quantity = self._get_buy_limit_quantity_from_risk(
final_note, market_quantity, quote)
quantity = quantity * await self._get_quantity_ratio(quote)
limit_price = trading_personal_data.adapt_price(
symbol_market,
price * self._get_limit_price_from_risk(final_note))
for order_quantity, order_price in self._check_and_adapt_order_details_if_necessary(
quantity, limit_price, symbol_market):
current_order = trading_personal_data.create_order_instance(
trader=self.trader,
order_type=trading_enums.TraderOrderType.BUY_LIMIT,
symbol=symbol,
current_price=price,
quantity=float(order_quantity),
price=float(order_price))
await self.trader.create_order(current_order)
created_orders.append(current_order)
elif state == trading_enums.EvaluatorStates.VERY_LONG.value and not self.DISABLE_BUY_ORDERS:
quantity = self._get_market_quantity_from_risk(
final_note, market_quantity, quote)
quantity = quantity * await self._get_quantity_ratio(quote)
for order_quantity, order_price in self._check_and_adapt_order_details_if_necessary(
quantity, price, symbol_market):
current_order = trading_personal_data.create_order_instance(
trader=self.trader,
order_type=trading_enums.TraderOrderType.BUY_MARKET,
symbol=symbol,
current_price=float(order_price),
quantity=float(order_quantity),
price=float(order_price))
await self.trader.create_order(current_order)
created_orders.append(current_order)
if created_orders:
return created_orders
raise trading_errors.MissingMinimalExchangeTradeVolume()
except (trading_errors.MissingFunds,
trading_errors.MissingMinimalExchangeTradeVolume):
raise
except asyncio.TimeoutError as e:
self.logger.error(
f"Impossible to create order for {symbol} on {self.exchange_manager.exchange_name}: {e} "
f"and is necessary to compute the order details.")
return []
except Exception as e:
self.logger.exception(e, True, f"Failed to create order : {e}.")
return []
async def test_get_additional_dusts_to_quantity_if_necessary():
symbol_market = {
Ecmsc.LIMITS.value: {
Ecmsc.LIMITS_AMOUNT.value: {
Ecmsc.LIMITS_AMOUNT_MIN.value: 0.5
},
Ecmsc.LIMITS_COST.value: {
Ecmsc.LIMITS_COST_MIN.value: 1
}
}
}
current_symbol_holding = 5
quantity = 3
price = 1
assert personal_data.add_dusts_to_quantity_if_necessary(
quantity, price, symbol_market, current_symbol_holding) == quantity + 0
current_symbol_holding = 5
quantity = 4
price = 1
assert personal_data.add_dusts_to_quantity_if_necessary(
quantity, price, symbol_market, current_symbol_holding) == quantity + 1
current_symbol_holding = 5
quantity = 4.5
price = 1
assert personal_data.add_dusts_to_quantity_if_necessary(
quantity, price, symbol_market,
current_symbol_holding) == quantity + 0.5
symbol_market = {
Ecmsc.LIMITS.value: {
Ecmsc.LIMITS_AMOUNT.value: {
Ecmsc.LIMITS_AMOUNT_MIN.value: 0.005
},
Ecmsc.LIMITS_COST.value: {
Ecmsc.LIMITS_COST_MIN.value: 0.00005
}
}
}
current_symbol_holding = 0.99000000001
quantity = 0.9
price = 0.5
assert personal_data.add_dusts_to_quantity_if_necessary(
quantity, price, symbol_market, current_symbol_holding) == quantity + 0
current_symbol_holding = 0.99000000001
quantity = 0.0215245845
price = 0.5
assert personal_data.add_dusts_to_quantity_if_necessary(
quantity, price, symbol_market, current_symbol_holding) == quantity + 0
current_symbol_holding = 0.99999999
quantity = 0.99999
price = 0.5
assert personal_data.add_dusts_to_quantity_if_necessary(
quantity, price, symbol_market, current_symbol_holding) == 0.99999999
current_symbol_holding = 0.88
quantity = 0.7055680057024826
price = 0.0002
assert personal_data.add_dusts_to_quantity_if_necessary(
quantity, price, symbol_market, current_symbol_holding) == 0.88
# price = 0 => no dust
assert personal_data.add_dusts_to_quantity_if_necessary(
quantity, 0, symbol_market, current_symbol_holding) == quantity
