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Fix too small new order issue and etc #784

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Fix too small new order issue and etc #784

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1ae001e
Fix too small new order issue and etc
abitmore Aug 1, 2022
b244c05
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abitmore Aug 1, 2022
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31 changes: 29 additions & 2 deletions dexbot/strategies/staggered_orders.py
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Original file line number Diff line number Diff line change
Expand Up @@ -508,6 +508,7 @@ def remove_outside_orders(self, sell_orders, buy_orders):
success = self.cancel_orders_wrapper(orders_to_cancel, batch_only=True)
# Refresh orders to prevent orders outside boundaries being in the future comparisons
self.refresh_orders()
self.refresh_balances(use_cached_orders=True)
# Batch cancel failed, repeat cancelling only one order
if success:
return True
Expand Down Expand Up @@ -741,6 +742,7 @@ def allocate_asset(self, asset, asset_balance):
self.log.debug('Need to allocate {}: {}'.format(asset, asset_balance))
closest_opposite_order = None
closest_opposite_price = 0
closest_opposite_order2 = None # The 2nd closest opposite order
opposite_asset_limit = None
opposite_orders = []
order_type = ''
Expand Down Expand Up @@ -784,6 +786,10 @@ def allocate_asset(self, asset, asset_balance):
if opposite_orders:
closest_opposite_order = opposite_orders[0]
closest_opposite_price = closest_opposite_order['price'] ** -1
try:
closest_opposite_order2 = opposite_orders[1] # Get the 2nd order
except IndexError:
closest_opposite_order2 = opposite_orders[0] # Fall back: get the 1st order
elif asset == 'base':
# For one-sided start, calculate closest_opposite_price empirically
closest_opposite_price = self.market_center_price * (1 + self.target_spread / 2)
Expand Down Expand Up @@ -852,18 +858,32 @@ def allocate_asset(self, asset, asset_balance):
opposite_orders = self.filter_buy_orders(stored_orders, sort='DESC')

try:
opposite_order = opposite_orders[0]
# Note: The 1st opposite order may be a partial order due to
# a) the dust order handling logic (#486), or
# b) on the sell side where partial orders are allowed due to the fall back logic (#485), or
# c) placing max-sized closer order if only one order needed to reach target spread.
# Limiting by it may lead to a lot of small orders being placed, especially when a significant
# price drop or spike occurred on the market. Although they may be upsized later, but if some of
# them got filled before upsizing, it may lead to
# a) small orders being placed on the opposite side which can not be updated to the normal size
# in a relatively long period, and
# b) a lot of "exceeded" funds on the current side which will be used to upsize orders deep down
# in the order book later, which makes the situation worse and harder to recover.
# Using the 2nd closest opposite order mitigates the problem.
# Ideally still need logic to check whether the closest own order is partial and upsize it if so.
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Not easy to check and can not always upsize, especially when orders on one side are significantly larger.

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Done writing some code. Testing locally.

opposite_order = opposite_orders[1]
self.log.debug('Using stored opposite order')
except IndexError:
self.log.debug('Using real opposite order')
opposite_order = closest_opposite_order
opposite_order = closest_opposite_order2

if (
self.mode == 'mountain'
or (self.mode == 'buy_slope' and asset == 'base')
or (self.mode == 'sell_slope' and asset == 'quote')
):
opposite_asset_limit = None
# TODO The amount may need to be calculated due to the 2nd opposite order used
own_asset_limit = opposite_order['quote']['amount']
self.log.debug(
'Limiting {} order by opposite order: {:.{prec}f} {}'.format(
Expand All @@ -876,7 +896,10 @@ def allocate_asset(self, asset, asset_balance):
or (self.mode == 'buy_slope' and asset == 'quote')
or (self.mode == 'sell_slope' and asset == 'base')
):
# TODO The amount may need to be calculated due to the 2nd opposite order used
opposite_asset_limit = opposite_order['base']['amount']
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if self.mode == 'neutral':
opposite_asset_limit = opposite_asset_limit * math.sqrt(1 + self.increment)
own_asset_limit = None
self.log.debug(
'Limiting {} order by opposite order: {:.{prec}f} {}'.format(
Expand Down Expand Up @@ -1560,6 +1583,10 @@ def replace_partially_filled_order(self, order):
order_type, asset_balance['amount'], needed, order['base']['symbol'], prec=precision
)
)
if order_type == 'sell':
self.quote_asset_threshold = needed
else: # order_type == 'buy'
self.base_asset_threshold = needed

def place_closer_order(
self, asset, order, place_order=True, allow_partial=False, own_asset_limit=None, opposite_asset_limit=None
Expand Down