[Staggered] fix order sizing when no recent trades are available

Author: GuillaumeDSM

Trading/Mode/grid_trading_mode/tests/test_grid_trading_mode.py

@@ -911,7 +911,7 @@ async def test_start_after_offline_x_filled_and_price_back_should_buy_to_recreat
         _check_created_orders(producer, trading_api.get_open_orders(exchange_manager), 200)
 
 
-async def test_start_after_offline_x_filled_and_missing_should_recreate_sell():
+async def test_start_after_offline_x_filled_and_missing_should_recreate_1_sell():
     symbol = "BTC/USDT"
     async with _get_tools(symbol) as (producer, _, exchange_manager):
         # forced config
@@ -981,6 +981,174 @@ async def test_start_after_offline_x_filled_and_missing_should_recreate_sell():
         assert len([order for order in open_orders if order.side is trading_enums.TradeOrderSide.SELL]) == 6
         # there is now 4 buy orders
         assert len([order for order in open_orders if order.side is trading_enums.TradeOrderSide.BUY]) == 4
+        # quantity is preserved
+        assert all(
+            decimal.Decimal("0.00028") < order.origin_quantity < decimal.Decimal("0.00029")
+            for order in open_orders
+        )
+        _check_created_orders(producer, trading_api.get_open_orders(exchange_manager), initial_price)
+
+
+async def test_start_after_offline_x_filled_and_missing_should_recreate_5_sell_orders_no_recent_trade():
+    symbol = "BTC/USDT"
+    async with _get_tools(symbol) as (producer, _, exchange_manager):
+        # forced config
+        producer.buy_funds = producer.sell_funds = 0
+        producer.allow_order_funds_redispatch = True
+        producer.buy_orders_count = producer.sell_orders_count = 5
+        producer.compensate_for_missed_mirror_order = True
+        producer.enable_trailing_down = False
+        producer.enable_trailing_up = True
+        producer.flat_increment = decimal.Decimal(100)
+        producer.flat_spread = decimal.Decimal(300)
+        producer.reinvest_profits = False
+        producer.sell_volume_per_order = producer.buy_volume_per_order = False
+        producer.starting_price = 0
+        producer.use_existing_orders_only = False
+        producer.use_fixed_volume_for_mirror_orders = False
+
+        orders_count = producer.buy_orders_count + producer.sell_orders_count
+
+        initial_price = decimal.Decimal("105278.1")
+        trading_api.force_set_mark_price(exchange_manager, producer.symbol, initial_price)
+        btc_pf = trading_api.get_portfolio_currency(exchange_manager, "BTC")
+        usdt_pf = trading_api.get_portfolio_currency(exchange_manager, "USDT")
+        btc_pf.available = decimal.Decimal("0.00141858")
+        btc_pf.total = decimal.Decimal("0.00141858")
+        usdt_pf.available = decimal.Decimal("150.505098")
+        usdt_pf.total = decimal.Decimal("150.505098")
+
+        await producer._ensure_staggered_orders()
+        await asyncio.create_task(_check_open_orders_count(exchange_manager, orders_count))
+        original_orders = copy.copy(trading_api.get_open_orders(exchange_manager))
+        assert len(original_orders) == orders_count
+        assert sorted([
+            order.origin_price for order in original_orders
+        ]) == [
+            # buy orders
+            decimal.Decimal('104728.1'), decimal.Decimal('104828.1'), decimal.Decimal('104928.1'),
+            decimal.Decimal('105028.1'), decimal.Decimal('105128.1'),
+            # sell orders
+            decimal.Decimal('105428.1'), decimal.Decimal('105528.1'), decimal.Decimal('105628.1'),
+            decimal.Decimal('105728.1'), decimal.Decimal('105828.1')
+        ]
+
+        # price goes down to 104720, all buy order get filled
+        price = decimal.Decimal("104720")
+        offline_filled = [order for order in original_orders if order.origin_price <= decimal.Decimal('105128.1')]
+        assert len(offline_filled) == 5
+        assert all(o.side == trading_enums.TradeOrderSide.BUY for o in offline_filled)
+        for order in offline_filled:
+            await _fill_order(order, exchange_manager, trigger_update_callback=False, producer=producer)
+        assert len(trading_api.get_open_orders(exchange_manager)) == orders_count - len(offline_filled)
+        assert btc_pf.available == decimal.Decimal("0.00143356799")
+        assert btc_pf.total == decimal.Decimal("0.00284915799")
+        assert usdt_pf.available == decimal.Decimal("0.247225519")
+        assert usdt_pf.total == decimal.Decimal("0.247225519")
+
+        # clear trades
+        exchange_manager.exchange_personal_data.trades_manager.trades.clear()
+
+        # back online: restore orders according to current price
+        trading_api.force_set_mark_price(exchange_manager, producer.symbol, price)
+        with _assert_missing_orders_count(producer, len(offline_filled)):
+            await producer._ensure_staggered_orders()
+        # create buy orders equivalent sell orders
+        await asyncio.create_task(_check_open_orders_count(exchange_manager, orders_count))
+        open_orders = trading_api.get_open_orders(exchange_manager)
+        # there is now 10 sell orders
+        assert len([order for order in open_orders if order.side is trading_enums.TradeOrderSide.SELL]) == 10
+        # quantity is preserved
+        assert all(
+            decimal.Decimal("0.00028") < order.origin_quantity < decimal.Decimal("0.00029")
+            for order in open_orders
+        )
+        # there is now 0 buy order
+        assert len([order for order in open_orders if order.side is trading_enums.TradeOrderSide.BUY]) == 0
+        _check_created_orders(producer, trading_api.get_open_orders(exchange_manager), initial_price)
+
+        assert btc_pf.available == decimal.Decimal("0.00001571799")
+        assert btc_pf.total == decimal.Decimal("0.00284915799")
+        assert usdt_pf.available == decimal.Decimal("0.247225519")
+        assert usdt_pf.total == decimal.Decimal("0.247225519")
+
+
+async def test_start_after_offline_x_filled_and_missing_should_recreate_5_buy_orders_no_recent_trade():
+    symbol = "BTC/USDT"
+    async with _get_tools(symbol) as (producer, _, exchange_manager):
+        # forced config
+        producer.buy_funds = producer.sell_funds = 0
+        producer.allow_order_funds_redispatch = True
+        producer.buy_orders_count = producer.sell_orders_count = 5
+        producer.compensate_for_missed_mirror_order = True
+        producer.enable_trailing_down = False
+        producer.enable_trailing_up = True
+        producer.flat_increment = decimal.Decimal(100)
+        producer.flat_spread = decimal.Decimal(300)
+        producer.reinvest_profits = False
+        producer.sell_volume_per_order = producer.buy_volume_per_order = False
+        producer.starting_price = 0
+        producer.use_existing_orders_only = False
+        producer.use_fixed_volume_for_mirror_orders = False
+
+        orders_count = producer.buy_orders_count + producer.sell_orders_count
+
+        initial_price = decimal.Decimal("105278.1")
+        trading_api.force_set_mark_price(exchange_manager, producer.symbol, initial_price)
+        btc_pf = trading_api.get_portfolio_currency(exchange_manager, "BTC")
+        usdt_pf = trading_api.get_portfolio_currency(exchange_manager, "USDT")
+        btc_pf.available = decimal.Decimal("0.00141858")
+        btc_pf.total = decimal.Decimal("0.00141858")
+        usdt_pf.available = decimal.Decimal("150.505098")
+        usdt_pf.total = decimal.Decimal("150.505098")
+
+        await producer._ensure_staggered_orders()
+        await asyncio.create_task(_check_open_orders_count(exchange_manager, orders_count))
+        original_orders = copy.copy(trading_api.get_open_orders(exchange_manager))
+        assert len(original_orders) == orders_count
+        assert sorted([
+            order.origin_price for order in original_orders
+        ]) == [
+            # buy orders
+            decimal.Decimal('104728.1'), decimal.Decimal('104828.1'), decimal.Decimal('104928.1'),
+            decimal.Decimal('105028.1'), decimal.Decimal('105128.1'),
+            # sell orders
+            decimal.Decimal('105428.1'), decimal.Decimal('105528.1'), decimal.Decimal('105628.1'),
+            decimal.Decimal('105728.1'), decimal.Decimal('105828.1')
+        ]
+
+        # price goes up to 105838, all sell order get filled
+        price = decimal.Decimal("105838")
+        offline_filled = [order for order in original_orders if order.origin_price > decimal.Decimal('105128.1')]
+        assert len(offline_filled) == 5
+        assert all(o.side == trading_enums.TradeOrderSide.SELL for o in offline_filled)
+        for order in offline_filled:
+            await _fill_order(order, exchange_manager, trigger_update_callback=False, producer=producer)
+        assert len(trading_api.get_open_orders(exchange_manager)) == orders_count - len(offline_filled)
+        assert btc_pf.available == decimal.Decimal("0.00000299")
+        assert btc_pf.total == decimal.Decimal("0.00000299")
+        assert usdt_pf.available == decimal.Decimal("149.623458838921")
+        assert usdt_pf.total == decimal.Decimal("299.881331319921")
+
+        # clear trades
+        exchange_manager.exchange_personal_data.trades_manager.trades.clear()
+
+        # back online: restore orders according to current price
+        trading_api.force_set_mark_price(exchange_manager, producer.symbol, price)
+        with _assert_missing_orders_count(producer, len(offline_filled)):
+            await producer._ensure_staggered_orders()
+        # create buy orders equivalent sell orders
+        await asyncio.create_task(_check_open_orders_count(exchange_manager, orders_count))
+        open_orders = trading_api.get_open_orders(exchange_manager)
+        # there is now 0 sell order
+        assert len([order for order in open_orders if order.side is trading_enums.TradeOrderSide.SELL]) == 0
+        # there is now 10 buy orders
+        assert len([order for order in open_orders if order.side is trading_enums.TradeOrderSide.BUY]) == 10
+        # quantity is preserved
+        assert all(
+            decimal.Decimal("0.00028") < order.origin_quantity < decimal.Decimal("0.00029")
+            for order in open_orders
+        )
         _check_created_orders(producer, trading_api.get_open_orders(exchange_manager), initial_price)
 
 

Trading/Mode/staggered_orders_trading_mode/staggered_orders_trading.py

@@ -1502,7 +1502,7 @@ def _fill_missing_orders(
                         # missing order between similar orders
                         quantity = self._get_surrounded_missing_order_quantity(
                             previous_o, following_o, max_quant_per_order, decimal_missing_order_price, recent_trades,
-                            current_price, sorted_orders
+                            current_price, sorted_orders, side
                         )
                         orders.append(OrderData(missing_order_side, quantity,
                                                 decimal_missing_order_price, self.symbol, False))
@@ -1578,9 +1578,9 @@ def _fill_missing_orders(
 
     def _get_surrounded_missing_order_quantity(
         self, previous_order, following_order, max_quant_per_order, order_price, recent_trades,
-            current_price, sorted_orders
+            current_price, sorted_orders, side
     ):
-        selling = previous_order.side == trading_enums.TradeOrderSide.SELL
+        selling = side == trading_enums.TradeOrderSide.SELL
         if sorted_orders:
             if quantity := self._get_quantity_from_existing_orders(
                 order_price, sorted_orders, selling
@@ -1594,10 +1594,9 @@ def _get_surrounded_missing_order_quantity(
                 min(
                     data_util.mean([previous_order.origin_quantity, following_order.origin_quantity])
                     if following_order else previous_order.origin_quantity,
-                    max_quant_per_order / order_price
+                    (max_quant_per_order if selling else max_quant_per_order / order_price)
                 )
-            )
-        )
+            ))
 
     def _get_spread_missing_order_quantity(
         self, average_order_quantity, side, i, orders_count, price, selling, limiting_amount_from_this_order,