bbgo: fix and improve session UpdatePrice method

rahulmr · Dec 18, 2023 · 671ce87 · 671ce87
1 parent 3ba46f9
commit 671ce87
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Showing 3 changed files with 49 additions and 5 deletions.
diff --git a/pkg/bbgo/session.go b/pkg/bbgo/session.go
@@ -654,7 +654,7 @@ func (session *ExchangeSession) Market(symbol string) (market types.Market, ok b
 	return market, ok
 }
 
-func (session *ExchangeSession) Markets() map[string]types.Market {
+func (session *ExchangeSession) Markets() types.MarketMap {
 	return session.markets
 }
 
@@ -703,10 +703,30 @@ func (session *ExchangeSession) UpdatePrices(ctx context.Context, currencies []s
 	// 	return nil
 	// }
 
+	markets := session.Markets()
+
 	var symbols []string
 	for _, c := range currencies {
-		symbols = append(symbols, c+fiat) // BTC/USDT
-		symbols = append(symbols, fiat+c) // USDT/TWD
+		var tries []string
+		// expand USD stable coin currencies
+		if types.IsUSDFiatCurrency(fiat) {
+			for _, usdFiat := range types.USDFiatCurrencies {
+				tries = append(tries, c+usdFiat, usdFiat+c)
+			}
+		} else {
+			tries = []string{c + fiat, fiat + c}
+		}
+
+		for _, try := range tries {
+			if markets.Has(try) {
+				symbols = append(symbols, try)
+				break
+			}
+		}
+	}
+
+	if len(symbols) == 0 {
+		return nil
 	}
 
 	tickers, err := session.Exchange.QueryTickers(ctx, symbols...)
@@ -717,7 +737,17 @@ func (session *ExchangeSession) UpdatePrices(ctx context.Context, currencies []s
 	var lastTime time.Time
 	for k, v := range tickers {
 		// for {Crypto}/USDT markets
-		session.lastPrices[k] = v.Last
+		// map things like BTCUSDT = {price}
+		if market, ok := markets[k]; ok {
+			if types.IsFiatCurrency(market.BaseCurrency) {
+				session.lastPrices[k] = v.Last.Div(fixedpoint.One)
+			} else {
+				session.lastPrices[k] = v.Last
+			}
+		} else {
+			session.lastPrices[k] = v.Last
+		}
+
 		if v.Time.After(lastTime) {
 			lastTime = v.Time
 		}

diff --git a/pkg/types/currencies.go b/pkg/types/currencies.go
@@ -24,8 +24,15 @@ var USD = wrapper{accounting.Accounting{Symbol: "$ ", Precision: 2}}
 var BTC = wrapper{accounting.Accounting{Symbol: "BTC ", Precision: 8}}
 var BNB = wrapper{accounting.Accounting{Symbol: "BNB ", Precision: 4}}
 
+const (
+	USDT = "USDT"
+	USDC = "USDC"
+	BUSD = "BUSD"
+)
+
 var FiatCurrencies = []string{"USDC", "USDT", "USD", "TWD", "EUR", "GBP", "BUSD"}
 
+// USDFiatCurrencies lists the USD stable coins
 var USDFiatCurrencies = []string{"USDT", "USDC", "USD", "BUSD"}
 
 func IsUSDFiatCurrency(currency string) bool {

diff --git a/pkg/types/market.go b/pkg/types/market.go
@@ -90,7 +90,9 @@ func (m Market) TruncateQuoteQuantity(quantity fixedpoint.Value) fixedpoint.Valu
 // 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) {
+func (m Market) GreaterThanMinimalOrderQuantity(
+	side SideType, price, available fixedpoint.Value,
+) (fixedpoint.Value, bool) {
 	switch side {
 	case SideTypeSell:
 		available = m.TruncateQuantity(available)
@@ -236,3 +238,8 @@ type MarketMap map[string]Market
 func (m MarketMap) Add(market Market) {
 	m[market.Symbol] = market
 }
+
+func (m MarketMap) Has(symbol string) bool {
+	_, ok := m[symbol]
+	return ok
+}