Fix backtest errors; enforce QtyDecimalPrecision

[rene-post]

For me, when I do

go run ./examples/backtesting

I get the following:

This seems to be caused by rounding errors in market orders.
My fix enforces QtyDecimalPrecision and this gets rid of the errors.

[rodrigo-brito]

Hi @rene-post, I think it is not necessary for a paper wallet, but I will accept the changes to a better fit with the production mode.

In production mode, we use FormatFloat to solve this issue:

ninjabot/exchange/binance.go

Lines 238 to 244 in 502e375

	func (b *Binance) formatQuantity(pair string, value float64) string {
	precision := -1
	if limits, ok := b.assetsInfo[pair]; ok {
	precision = int(limits.QtyDecimalPrecision)
	}
	return strconv.FormatFloat(value, 'f', precision, 64)
	}

[rene-post]

Hi @rodrigo-brito, thanks for merging the pull request. For Binance you are formatting correctly for CreateMarketOrder but not for CreateMarketOrderQuote. There you use fmt.Sprintf("%.f",quantity) which could potentially lead to the same issue I ran into for the PaperWallet.

Also another question I have. You determine the precision for the quantity based on the stepSize value from the LOT_SIZE filter. I'm just curious, is there a reason you are not using baseAssetPrecision, quotePrecision, or quoteAssetPrecision? Or are these not meant to be used for that?

{
	"symbol":"BTCBUSD",
	"status":"TRADING",
	"baseAsset":"BTC",
	"baseAssetPrecision":8,
	"quoteAsset":"BUSD",
	"quotePrecision":8,
	"quoteAssetPrecision":8,
	"baseCommissionPrecision":8,
	"quoteCommissionPrecision":8,
	"orderTypes":["LIMIT","LIMIT_MAKER","MARKET","STOP_LOSS_LIMIT","TAKE_PROFIT_LIMIT"],
	"icebergAllowed":true,
	"ocoAllowed":true,
	"quoteOrderQtyMarketAllowed":true,
	"allowTrailingStop":true,
	"isSpotTradingAllowed":true,
	"isMarginTradingAllowed":true,
	"filters":[
		{"filterType":"PRICE_FILTER","minPrice":"0.01000000","maxPrice":"1000000.00000000","tickSize":"0.01000000"},
		{"filterType":"PERCENT_PRICE","multiplierUp":"5","multiplierDown":"0.2","avgPriceMins":5},
		{"filterType":"LOT_SIZE","minQty":"0.00001000","maxQty":"9000.00000000","stepSize":"0.00001000"},
		{"filterType":"MIN_NOTIONAL","minNotional":"10.00000000","applyToMarket":true,"avgPriceMins":5},
		{"filterType":"ICEBERG_PARTS","limit":10},
		{"filterType":"MARKET_LOT_SIZE","minQty":"0.00000000","maxQty":"205.49537419","stepSize":"0.00000000"},
		{"filterType":"TRAILING_DELTA","minTrailingAboveDelta":10,"maxTrailingAboveDelta":2000,"minTrailingBelowDelta":10,"maxTrailingBelowDelta":2000},
		{"filterType":"MAX_NUM_ORDERS","maxNumOrders":200},
		{"filterType":"MAX_NUM_ALGO_ORDERS","maxNumAlgoOrders":5}],
	"permissions":["SPOT","MARGIN"]
}

[rodrigo-brito]

In the first versions of the bot, I used order size without the LOT_SIZE control and Binance blocked a lot of requests.
The LOT_SIZE refers to the decimal precision. And baseAssetPrecision / quotePrecision includes non-decimal numbers.

You can read in more details here: https://binance-docs.github.io/apidocs/spot/en/#filters
But the main rules for order size are:

- quantity >= minQty
- quantity <= maxQty
- (quantity-minQty) % stepSize == 0

Then, you have to use always a size in fractions of stepSize

[rene-post]

FYI

For QuoteOrderQuantity you use %.2f format in a market quote order.
According to the following link that should be limited (quoteOrderQty)
It also mentions MIN_NOTIONAL that allows you to not send orders for quantities below eg. $10 for BTCBUSD

W.r.t. the lot size; found a helper function on how to combine precision and lot size in the go-binance package:
AmountToLotSize
This seems to confirm that your approach, assuming that using the stepSize as lot argument is correct for calculating the base asset quantity. The function additionally applies the precision what probably should be the value in baseAssetPrecision

// AmountToLotSize converts an amount to a lot sized amount
func AmountToLotSize(lot float64, precision int, amount float64) float64 {
	return math.Trunc(math.Floor(amount/lot)*lot*math.Pow10(precision)) / math.Pow10(precision)
}

[rodrigo-brito]

Sure, I will do a double-check and replace this soon.
Thank you so much for the information @rene-post!

[rodrigo-brito]

@rene-post fixed