Swap validation changed

AndreyMashukov · Jul 8, 2024 · c134b91 · c134b91
1 parent 1838083
commit c134b91
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Showing 9 changed files with 156 additions and 93 deletions.
diff --git a/src/config/container.go b/src/config/container.go
@@ -207,16 +207,25 @@ func InitServiceContainer() Container {
 		SwapRepository:   &swapRepository,
 		Formatter:        &formatter,
 		SBSSwapFinder: &exchange.SBSSwapFinder{
-			ExchangeRepository: &exchangeRepository,
-			Formatter:          &formatter,
+			ExchangeRepository:       &exchangeRepository,
+			Formatter:                &formatter,
+			SwapFirstAmendmentSteps:  10,
+			SwapSecondAmendmentSteps: 50,
+			SwapThirdAmendmentSteps:  250,
 		},
 		SSBSwapFinder: &exchange.SSBSwapFinder{
-			ExchangeRepository: &exchangeRepository,
-			Formatter:          &formatter,
+			ExchangeRepository:       &exchangeRepository,
+			Formatter:                &formatter,
+			SwapFirstAmendmentSteps:  10,
+			SwapSecondAmendmentSteps: 50,
+			SwapThirdAmendmentSteps:  250,
 		},
 		SBBSwapFinder: &exchange.SBBSwapFinder{
-			ExchangeRepository: &exchangeRepository,
-			Formatter:          &formatter,
+			ExchangeRepository:       &exchangeRepository,
+			Formatter:                &formatter,
+			SwapFirstAmendmentSteps:  10,
+			SwapSecondAmendmentSteps: 50,
+			SwapThirdAmendmentSteps:  250,
 		},
 	}
 
@@ -401,13 +410,16 @@ func InitServiceContainer() Container {
 		CallbackManager:    &callbackManager,
 		SwapRepository:     &swapRepository,
 		SwapExecutor: &exchange.SwapExecutor{
-			BalanceService:  &balanceService,
-			SwapRepository:  &swapRepository,
-			OrderRepository: &orderRepository,
-			Binance:         exchangeApi,
-			Formatter:       &formatter,
-			TimeService:     &timeService,
-			CurrentBot:      currentBot,
+			BalanceService:           &balanceService,
+			SwapRepository:           &swapRepository,
+			OrderRepository:          &orderRepository,
+			Binance:                  exchangeApi,
+			Formatter:                &formatter,
+			TimeService:              &timeService,
+			CurrentBot:               currentBot,
+			SwapFirstAmendmentSteps:  10,
+			SwapSecondAmendmentSteps: 50,
+			SwapThirdAmendmentSteps:  250,
 		},
 		SwapValidator:          &swapValidator,
 		Formatter:              &formatter,

diff --git a/src/service/exchange/sbb_swap_finder.go b/src/service/exchange/sbb_swap_finder.go
@@ -11,8 +11,11 @@ import (
 )
 
 type SBBSwapFinder struct {
-	ExchangeRepository repository.SwapPairRepositoryInterface
-	Formatter          *utils.Formatter
+	ExchangeRepository       repository.SwapPairRepositoryInterface
+	Formatter                *utils.Formatter
+	SwapFirstAmendmentSteps  float64
+	SwapSecondAmendmentSteps float64
+	SwapThirdAmendmentSteps  float64
 }
 
 func (s *SBBSwapFinder) Find(asset string) model.BBSArbitrageChain {
@@ -35,7 +38,7 @@ func (s *SBBSwapFinder) Find(asset string) model.BBSArbitrageChain {
 
 		// Do not validate first order for gainer/looser and bull/bear
 
-		option0Price := option0.SellPrice - (option0.MinPrice * SwapFirstAmendmentSteps)
+		option0Price := option0.SellPrice - (option0.MinPrice * s.SwapFirstAmendmentSteps)
 		option0Price = s.Formatter.FormatPrice(option0, option0Price)
 		//log.Printf("[%s] formatted [3] %f -> %f", option0.Symbol, option0.SellPrice, option0Price)
 		sell0Quantity := initialBalance //s.Formatter.FormatQuantity(option0, initialBalance)
@@ -68,7 +71,7 @@ func (s *SBBSwapFinder) Find(asset string) model.BBSArbitrageChain {
 				continue
 			}
 
-			option1Price := option1.BuyPrice + (option1.MinPrice * SwapSecondAmendmentSteps)
+			option1Price := option1.BuyPrice + (option1.MinPrice * s.SwapSecondAmendmentSteps)
 			option1Price = s.Formatter.FormatPrice(option1, option1Price)
 			//log.Printf("[%s] formatted [4] %f -> %f", option1.Symbol, option1.BuyPrice, option1Price)
 			buy0Quantity := sell0.Balance //s.Formatter.FormatQuantity(option1, sell0.Balance)
@@ -101,7 +104,7 @@ func (s *SBBSwapFinder) Find(asset string) model.BBSArbitrageChain {
 					continue
 				}
 
-				option2Price := option2.BuyPrice + (option2.MinPrice * SwapThirdAmendmentSteps)
+				option2Price := option2.BuyPrice + (option2.MinPrice * s.SwapThirdAmendmentSteps)
 				option2Price = s.Formatter.FormatPrice(option2, option2Price)
 				//log.Printf("[%s] formatted [5] %f -> %f", option2.Symbol, option2.BuyPrice, option2Price)
 				buy1Quantity := buy0.Balance //s.Formatter.FormatQuantity(option2, buy0.Balance)

diff --git a/src/service/exchange/sbs_swap_finder.go b/src/service/exchange/sbs_swap_finder.go
@@ -11,8 +11,11 @@ import (
 )
 
 type SBSSwapFinder struct {
-	ExchangeRepository repository.SwapPairRepositoryInterface
-	Formatter          *utils.Formatter
+	ExchangeRepository       repository.SwapPairRepositoryInterface
+	Formatter                *utils.Formatter
+	SwapFirstAmendmentSteps  float64
+	SwapSecondAmendmentSteps float64
+	SwapThirdAmendmentSteps  float64
 }
 
 func (s *SBSSwapFinder) Find(asset string) model.BBSArbitrageChain {
@@ -35,7 +38,7 @@ func (s *SBSSwapFinder) Find(asset string) model.BBSArbitrageChain {
 
 		// Do not validate first order for gainer/looser and bull/bear
 
-		option0Price := option0.SellPrice - (option0.MinPrice * SwapFirstAmendmentSteps)
+		option0Price := option0.SellPrice - (option0.MinPrice * s.SwapFirstAmendmentSteps)
 		option0Price = s.Formatter.FormatPrice(option0, option0Price)
 		//log.Printf("[%s] formatted [3] %f -> %f", option0.Symbol, option0.SellPrice, option0Price)
 		sell0Quantity := initialBalance //s.Formatter.FormatQuantity(option0, initialBalance)
@@ -68,7 +71,7 @@ func (s *SBSSwapFinder) Find(asset string) model.BBSArbitrageChain {
 				continue
 			}
 
-			option1Price := option1.BuyPrice + (option1.MinPrice * SwapSecondAmendmentSteps)
+			option1Price := option1.BuyPrice + (option1.MinPrice * s.SwapSecondAmendmentSteps)
 			option1Price = s.Formatter.FormatPrice(option1, option1Price)
 			//log.Printf("[%s] formatted [4] %f -> %f", option1.Symbol, option1.BuyPrice, option1Price)
 			buy0Quantity := sell0.Balance //s.Formatter.FormatQuantity(option1, sell0.Balance)
@@ -101,7 +104,7 @@ func (s *SBSSwapFinder) Find(asset string) model.BBSArbitrageChain {
 					continue
 				}
 
-				option2Price := option2.SellPrice - (option2.MinPrice * SwapThirdAmendmentSteps)
+				option2Price := option2.SellPrice - (option2.MinPrice * s.SwapThirdAmendmentSteps)
 				option2Price = s.Formatter.FormatPrice(option2, option2Price)
 				//log.Printf("[%s] formatted [5] %f -> %f", option2.Symbol, option2.BuyPrice, option2Price)
 				buy1Quantity := buy0.Balance //s.Formatter.FormatQuantity(option2, buy0.Balance)

diff --git a/src/service/exchange/ssb_swap_finder.go b/src/service/exchange/ssb_swap_finder.go
@@ -11,8 +11,11 @@ import (
 )
 
 type SSBSwapFinder struct {
-	ExchangeRepository repository.SwapPairRepositoryInterface
-	Formatter          *utils.Formatter
+	ExchangeRepository       repository.SwapPairRepositoryInterface
+	Formatter                *utils.Formatter
+	SwapFirstAmendmentSteps  float64
+	SwapSecondAmendmentSteps float64
+	SwapThirdAmendmentSteps  float64
 }
 
 func (s *SSBSwapFinder) Find(asset string) model.BBSArbitrageChain {
@@ -35,7 +38,7 @@ func (s *SSBSwapFinder) Find(asset string) model.BBSArbitrageChain {
 
 		// Do not validate first order for gainer/looser and bull/bear
 
-		option0Price := option0.SellPrice - (option0.MinPrice * SwapFirstAmendmentSteps)
+		option0Price := option0.SellPrice - (option0.MinPrice * s.SwapFirstAmendmentSteps)
 		option0Price = s.Formatter.FormatPrice(option0, option0Price)
 		//log.Printf("[%s] formatted [1] %f -> %f", option0.Symbol, option0.BuyPrice, option0Price)
 		buy0Quantity := initialBalance //s.Formatter.FormatQuantity(option0, initialBalance)
@@ -64,7 +67,7 @@ func (s *SSBSwapFinder) Find(asset string) model.BBSArbitrageChain {
 				continue
 			}
 
-			option1Price := option1.SellPrice - (option1.MinPrice * SwapSecondAmendmentSteps)
+			option1Price := option1.SellPrice - (option1.MinPrice * s.SwapSecondAmendmentSteps)
 			option1Price = s.Formatter.FormatPrice(option1, option1Price)
 			//log.Printf("[%s] formatted [1] %f -> %f", option1.Symbol, option1.BuyPrice, option1Price)
 			buy1Quantity := buy0.Balance //s.Formatter.FormatQuantity(option1, buy0.Balance)
@@ -97,7 +100,7 @@ func (s *SSBSwapFinder) Find(asset string) model.BBSArbitrageChain {
 					continue
 				}
 
-				option2Price := option2.BuyPrice + (option2.MinPrice * SwapThirdAmendmentSteps)
+				option2Price := option2.BuyPrice + (option2.MinPrice * s.SwapThirdAmendmentSteps)
 				option2Price = s.Formatter.FormatPrice(option2, option2Price)
 				//log.Printf("[%s] formatted [2] %f -> %f", option2.Symbol, option2.BuyPrice, option2Price)
 				sell1Quantity := buy1.Balance //s.Formatter.FormatQuantity(option2, buy1.Balance)

diff --git a/src/service/exchange/swap_executor.go b/src/service/exchange/swap_executor.go
@@ -13,23 +13,26 @@ import (
 	"time"
 )
 
-const SwapFirstAmendmentSteps = 5
-const SwapSecondAmendmentSteps = 10
-const SwapThirdAmendmentSteps = 15
+const SwapFirstAmendmentSteps = 10
+const SwapSecondAmendmentSteps = 50
+const SwapThirdAmendmentSteps = 250
 const SwapStepCommission = 0.002
 
 type SwapExecutorInterface interface {
 	Execute(order model.Order)
 }
 
 type SwapExecutor struct {
-	SwapRepository  repository.SwapBasicRepositoryInterface
-	OrderRepository repository.OrderUpdaterInterface
-	BalanceService  BalanceServiceInterface
-	Binance         client.ExchangeOrderAPIInterface
-	TimeService     utils.TimeServiceInterface
-	Formatter       *utils.Formatter
-	CurrentBot      *model.Bot
+	SwapRepository           repository.SwapBasicRepositoryInterface
+	OrderRepository          repository.OrderUpdaterInterface
+	BalanceService           BalanceServiceInterface
+	Binance                  client.ExchangeOrderAPIInterface
+	TimeService              utils.TimeServiceInterface
+	Formatter                *utils.Formatter
+	CurrentBot               *model.Bot
+	SwapFirstAmendmentSteps  float64
+	SwapSecondAmendmentSteps float64
+	SwapThirdAmendmentSteps  float64
 }
 
 func (s *SwapExecutor) Execute(order model.Order) {
@@ -112,7 +115,7 @@ func (s *SwapExecutor) ExecuteSwapOne(swapAction *model.SwapAction, order model.
 		swapPrice := swapAction.SwapOnePrice
 		swapPair, err := s.SwapRepository.GetSwapPairBySymbol(swapAction.SwapOneSymbol)
 		// Price can grow before we start processing, take max price for swap
-		swapPrice = math.Max(swapPrice, swapPair.SellPrice-(swapPair.MinPrice*SwapFirstAmendmentSteps))
+		swapPrice = math.Max(swapPrice, swapPair.SellPrice-(swapPair.MinPrice*s.SwapFirstAmendmentSteps))
 
 		binanceOrder, err := s.Binance.LimitOrder(
 			swapAction.SwapOneSymbol,
@@ -310,7 +313,7 @@ func (s *SwapExecutor) ExecuteSwapTwo(
 
 		if swapChain.IsSSB() {
 			// Price can grow before we start processing, take max price for swap
-			swapPrice = math.Max(swapPrice, swapPair.SellPrice-(swapPair.MinPrice*SwapSecondAmendmentSteps))
+			swapPrice = math.Max(swapPrice, swapPair.SellPrice-(swapPair.MinPrice*s.SwapSecondAmendmentSteps))
 
 			binanceOrder, err = s.Binance.LimitOrder(
 				swapAction.SwapTwoSymbol,
@@ -323,7 +326,7 @@ func (s *SwapExecutor) ExecuteSwapTwo(
 
 		if swapChain.IsSBB() || swapChain.IsSBS() {
 			// Price can fall down before we start processing, take min price for swap
-			swapPrice = math.Min(swapPrice, swapPair.BuyPrice+(swapPair.MinPrice*SwapSecondAmendmentSteps))
+			swapPrice = math.Min(swapPrice, swapPair.BuyPrice+(swapPair.MinPrice*s.SwapSecondAmendmentSteps))
 
 			binanceOrder, err = s.Binance.LimitOrder(
 				swapAction.SwapTwoSymbol,
@@ -472,6 +475,7 @@ func (s *SwapExecutor) ExecuteSwapThree(
 			quantity = swapTwoOrder.ExecutedQty
 		}
 
+		// todo: check difference and validate...
 		if quantity > balance {
 			quantity = balance
 		}
@@ -492,7 +496,7 @@ func (s *SwapExecutor) ExecuteSwapThree(
 
 		if swapChain.IsSSB() || swapChain.IsSBB() {
 			// Price can fall down before we start processing, take min price for swap
-			swapPrice = math.Min(swapPrice, swapPair.BuyPrice+(swapPair.MinPrice*SwapThirdAmendmentSteps))
+			swapPrice = math.Min(swapPrice, swapPair.BuyPrice+(swapPair.MinPrice*s.SwapThirdAmendmentSteps))
 
 			binanceOrder, err = s.Binance.LimitOrder(
 				swapAction.SwapThreeSymbol,
@@ -505,7 +509,7 @@ func (s *SwapExecutor) ExecuteSwapThree(
 
 		if swapChain.IsSBS() {
 			// Price can grow before we start processing, take max price for swap
-			swapPrice = math.Max(swapPrice, swapPair.SellPrice-(swapPair.MinPrice*SwapThirdAmendmentSteps))
+			swapPrice = math.Max(swapPrice, swapPair.SellPrice-(swapPair.MinPrice*s.SwapThirdAmendmentSteps))
 
 			binanceOrder, err = s.Binance.LimitOrder(
 				swapAction.SwapThreeSymbol,
@@ -709,6 +713,7 @@ func (s *SwapExecutor) TryRollbackSwapTwo(
 		price = swapPair.BuyPrice + (swapPair.MinPrice * i)
 		quantity := swapOneOrder.CummulativeQuoteQty
 
+		// todo: check difference and validate...
 		if quantity > balance {
 			quantity = balance
 		}
@@ -833,6 +838,7 @@ func (s *SwapExecutor) TryForceSwapThree(
 		return err
 	}
 
+	// todo: check difference and validate...
 	if quantity > balance {
 		quantity = balance
 	}

diff --git a/src/validator/swap_validator.go b/src/validator/swap_validator.go
@@ -103,11 +103,11 @@ func (v *SwapValidator) validateSwap(chain model.SwapChainEntity, order model.Or
 		return errors.New(fmt.Sprintf("Swap [%s:%s] price is expired", entity.Operation, entity.Symbol))
 	}
 
-	if entity.IsBuy() && v.Formatter.ComparePercentage(entity.Price, swapCurrentKline.BuyPrice).Gte(100.10) {
+	if entity.IsBuy() && v.Formatter.ComparePercentage(entity.Price, swapCurrentKline.BuyPrice).Gte(100.50) {
 		return errors.New(fmt.Sprintf("Swap [%s:%s] price is too high", entity.Operation, entity.Symbol))
 	}
 
-	if entity.IsSell() && v.Formatter.ComparePercentage(entity.Price, swapCurrentKline.SellPrice).Lte(99.90) {
+	if entity.IsSell() && v.Formatter.ComparePercentage(entity.Price, swapCurrentKline.SellPrice).Lte(99.50) {
 		return errors.New(fmt.Sprintf("Swap [%s:%s] price is too low", entity.Operation, entity.Symbol))
 	}