fix a size bug on partially filled single leg

bitrinjani · Dec 27, 2017 · c7410f0 · c7410f0
1 parent 22e81b5
commit c7410f0
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Showing 2 changed files with 11 additions and 9 deletions.
diff --git a/src/ArbitragerImpl.ts b/src/ArbitragerImpl.ts
@@ -23,7 +23,7 @@ import t from './intl';
 import { padEnd, hr, delay, calculateCommission, findBrokerConfig } from './util';
 import Quote from './Quote';
 import symbols from './symbols';
-import { fatalErrors } from './constants';
+import { fatalErrors, LOT_MIN_DECIMAL_PLACE } from './constants';
 
 @injectable()
 export default class ArbitragerImpl implements Arbitrager {
@@ -256,11 +256,12 @@ export default class ArbitragerImpl implements Arbitrager {
     const filledLeg = orders.filter(o => o.filled)[0];
     const sign = filledLeg.side === OrderSide.Buy ? -1 : 1;
     const price = _.round(filledLeg.price * (1 + sign * options.limitMovePercent / 100));
-    this.log.info(t`ReverseFilledLeg`, filledLeg.toShortString(), price.toLocaleString());
+    const size = _.floor(filledLeg.filledSize, LOT_MIN_DECIMAL_PLACE);
+    this.log.info(t`ReverseFilledLeg`, filledLeg.toShortString(), price.toLocaleString(), size);
     const reversalOrder = new Order(
       filledLeg.broker,
       filledLeg.side === OrderSide.Buy ? OrderSide.Sell : OrderSide.Buy,
-      filledLeg.size,
+      size,
       price,
       filledLeg.cashMarginType,
       OrderType.Limit,
@@ -273,11 +274,12 @@ export default class ArbitragerImpl implements Arbitrager {
     const unfilledLeg = orders.filter(o => !o.filled)[0];
     const sign = unfilledLeg.side === OrderSide.Buy ? 1 : -1;
     const price = _.round(unfilledLeg.price * (1 + sign * options.limitMovePercent / 100));
-    this.log.info(t`ExecuteUnfilledLeg`, unfilledLeg.toShortString(), price.toLocaleString());
+    const size = _.floor(unfilledLeg.pendingSize, LOT_MIN_DECIMAL_PLACE);
+    this.log.info(t`ExecuteUnfilledLeg`, unfilledLeg.toShortString(), price.toLocaleString(), size);
     const revisedOrder = new Order(
       unfilledLeg.broker,
       unfilledLeg.side,
-      unfilledLeg.size,
+      size,
       price,
       unfilledLeg.cashMarginType,
       OrderType.Limit,

diff --git a/src/stringResources.ts b/src/stringResources.ts
@@ -48,8 +48,8 @@ export const en = {
   OpenPairs: 'Open pairs:',
   SendingOrderTtl: '>>Sending an order with TTL %d ms...',
   NotFilledTtl: '>>The order was not filled within TTL %d ms. Cancelling the order.',
-  ExecuteUnfilledLeg: '>>Trying to execute the unfilled leg %s at new price %s',
-  ReverseFilledLeg: '>>Trying to reverse the filled leg %s at new price %s'
+  ExecuteUnfilledLeg: '>>Trying to execute the unfilled leg %s at new price %s, size %s BTC',
+  ReverseFilledLeg: '>>Trying to reverse the filled leg %s at new price %s, size %s BTC'
 };
 
 export const ja = {
@@ -101,6 +101,6 @@ export const ja = {
   OpenPairs: 'オープン状態のオーダーペア:',
   SendingOrderTtl: '>>TTL %d msのオーダーを送信中...',
   NotFilledTtl: '>>TTL %d msの間にオーダーは約定しませんでした。キャンセルします。',
-  ExecuteUnfilledLeg: '>>約定しなかったオーダー %s を価格 %s で再送信中...',
-  ReverseFilledLeg: '>>約定したオーダー %s を価格 %s で反対売買中...'
+  ExecuteUnfilledLeg: '>>約定しなかったオーダー %s を価格 %s 数量 %s で再送信中...',
+  ReverseFilledLeg: '>>約定したオーダー %s を価格 %s 数量 %s で反対売買中...'
 };