Merge pull request #1460 from c9s/c9s/fix-xnav-price-query

FIX: fix and improve session UpdatePrice method

pkg/bbgo/environment.go

@@ -1020,7 +1020,7 @@ func (session *ExchangeSession) getSessionSymbols(defaultSymbols ...string) ([]s
 		return defaultSymbols, nil
 	}
 
-	return session.FindPossibleSymbols()
+	return session.FindPossibleAssetSymbols()
 }
 
 func defaultSyncSinceTime() time.Time {

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 +703,15 @@ 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
+		possibleSymbols := findPossibleMarketSymbols(markets, c, fiat)
+		symbols = append(symbols, possibleSymbols...)
+	}
+
+	if len(symbols) == 0 {
+		return nil
 	}
 
 	tickers, err := session.Exchange.QueryTickers(ctx, symbols...)
@@ -717,7 +722,17 @@ 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
 		}
@@ -727,7 +742,7 @@ func (session *ExchangeSession) UpdatePrices(ctx context.Context, currencies []s
 	return err
 }
 
-func (session *ExchangeSession) FindPossibleSymbols() (symbols []string, err error) {
+func (session *ExchangeSession) FindPossibleAssetSymbols() (symbols []string, err error) {
 	// If the session is an isolated margin session, there will be only the isolated margin symbol
 	if session.Margin && session.IsolatedMargin {
 		return []string{
@@ -1011,3 +1026,24 @@ func (session *ExchangeSession) FormatOrders(orders []types.SubmitOrder) (format
 
 	return formattedOrders, err
 }
+
+func findPossibleMarketSymbols(markets types.MarketMap, c, fiat string) (symbols []string) {
+	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
+		}
+	}
+
+	return symbols
+}

pkg/bbgo/session_test.go

@@ -0,0 +1,44 @@
+package bbgo
+
+import (
+	"testing"
+
+	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func Test_findPossibleMarketSymbols(t *testing.T) {
+	t.Run("btcusdt", func(t *testing.T) {
+		markets := types.MarketMap{
+			"BTCUSDT": types.Market{},
+			"BTCUSDC": types.Market{},
+			"BTCUSD":  types.Market{},
+			"BTCBUSD": types.Market{},
+		}
+		symbols := findPossibleMarketSymbols(markets, "BTC", "USDT")
+		if assert.Len(t, symbols, 1) {
+			assert.Equal(t, "BTCUSDT", symbols[0])
+		}
+	})
+
+	t.Run("btcusd only", func(t *testing.T) {
+		markets := types.MarketMap{
+			"BTCUSD": types.Market{},
+		}
+		symbols := findPossibleMarketSymbols(markets, "BTC", "USDT")
+		if assert.Len(t, symbols, 1) {
+			assert.Equal(t, "BTCUSD", symbols[0])
+		}
+	})
+
+	t.Run("usd to stable coin", func(t *testing.T) {
+		markets := types.MarketMap{
+			"BTCUSDT": types.Market{},
+		}
+		symbols := findPossibleMarketSymbols(markets, "BTC", "USD")
+		if assert.Len(t, symbols, 1) {
+			assert.Equal(t, "BTCUSDT", symbols[0])
+		}
+	})
+}

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 {

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
+}