def test_quantize(self):
x = Decimal('100.0001')
precision = Decimal('0.01')
self.assertEqual(quantize(x, precision, down=True), Decimal('100'))
self.assertEqual(quantize(x, precision, down=False), Decimal('100.01'))
precision = Decimal('0.01000000')
self.assertEqual(quantize(x, precision, down=True), Decimal('100'))
self.assertEqual(quantize(x, precision, down=False), Decimal('100.01'))
def _validate_order(self, order, price_estimates=None):
resources = self.get_resources()
symbol = ''.join(order.product.split('_'))
filt = self.filters[symbol]
if order._quantity < filt['min_order_size']:
return
if order._quantity > filt['max_order_size']:
order._quantity = filt['max_order_size']
order._quantity = quantize(order._quantity, filt['order_step'])
if order._price is not None:
if order._price < filt['min_price']:
return
if order._price > filt['max_price']:
return
if order._price % filt['price_step'] != 0:
order._price = quantize(order._price,
filt['price_step'],
down=order._action.name == 'BUY')
if order._price is None:
value = (price_estimates[filt['commodity']] /
price_estimates[filt['base']]) * order._quantity
else:
value = order._price * order._quantity
if value < filt['min_notional']:
return
if order._action.name == 'SELL':
if resources[filt['commodity']] < order._quantity:
order._quantity = resources[filt['commodity']]
order = self._validate_order(order, price_estimates)
else:
if order._price is None:
price_commodity = price_estimates[filt['commodity']]
price_base = price_estimates[filt['base']]
price = price_commodity / price_base
else:
price = order._price
if resources[filt['base']] < order._quantity * price:
order._quantity = resources[filt['base']] / (price *
Decimal('1.0001'))
# any number
order = self._validate_order(order, price_estimates)
return order
def _validate_order(self, order, price_estimates=None):
resources = self.get_resources()
symbol = order.product.replace('_', '-')
filt = self.filters[symbol]
base, commodity = filt['base'], filt['commodity']
# quantity
if order._quantity < filt['min_order_size']:
return
if order._quantity > filt['max_order_size']:
order._quantity = filt['max_order_size']
if order._quantity % filt['order_step'] > 0:
order._quantity = quantize(order._quantity, filt['order_step'])
# price
if order._price is not None:
if order._price % filt['price_step'] > 0:
order._price = quantize(order._price, filt['price_step'],
down=(order._action.name == 'BUY'))
# resources
if order._action.name == 'SELL':
if order._quantity > resources[commodity]:
order._quantity = resources[commodity]
order = self._validate_order(order, price_estimates)
else:
epsilon = Decimal('1.0001')
if order._price is not None:
price = order._price
if price * order._quantity > resources[base]:
order._quantity = resources[base] / (
price * epsilon)
order = self._validate_order(order, price_estimates)
else:
price = price_estimates[commodity] / price_estimates[base]
fee = self.get_taker_fee(order.product) + 1
if price * order._quantity * fee > resources[base]:
order._quantity = resources[base] / (price * fee * epsilon)
order = self._validate_order(order, price_estimates)
return order