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round forex lot sizes to 0.01 #689

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round forex lot sizes to 0.01 #689

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20 changes: 11 additions & 9 deletions vali_objects/utils/limit_order/market_order_manager.py
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Original file line number Diff line number Diff line change
Expand Up @@ -2,6 +2,7 @@

Modularize the logic that was originally in validator.py. No IPC communication here.
"""
import math
import time
import uuid
import threading
Expand Down Expand Up @@ -290,7 +291,7 @@ def _add_order_to_existing_position(self, existing_position: Position, trade_pai
order_resized = True

if order_resized:
order_sizes = self.parse_order_size({"value": order.value}, usd_base_price, trade_pair, existing_position.account_size)
order_sizes = self.parse_order_size({"value": order.value}, usd_base_price, trade_pair, existing_position.account_size, use_floor=True)
order.quantity, order.leverage, order.value = order_sizes
bt.logging.info(f"[ADD_ORDER_DETAIL] order resized to ${order.value} (max position: {max_position_value}, max_cash: {buying_power}")

Expand Down Expand Up @@ -378,7 +379,7 @@ def enforce_order_cooldown(self, trade_pair_id, now_ms, miner_hotkey) -> str:
return msg

@staticmethod
def parse_order_size(signal, usd_base_conversion, trade_pair, portfolio_value):
def parse_order_size(signal, usd_base_conversion, trade_pair, portfolio_value, use_floor=False):
"""
parses an order signal and calculates leverage, value, and quantity
"""
Expand All @@ -390,16 +391,17 @@ def parse_order_size(signal, usd_base_conversion, trade_pair, portfolio_value):
if sum(fields_set) != 1:
raise ValueError("Exactly one of 'leverage', 'value', or 'quantity' must be set")

if quantity is not None:
value = quantity * trade_pair.lot_size / usd_base_conversion
leverage = value / portfolio_value
elif leverage is not None:
value = leverage * portfolio_value
quantity = (value * usd_base_conversion) / trade_pair.lot_size
if leverage is not None:
quantity = (leverage * portfolio_value * usd_base_conversion) / trade_pair.lot_size
elif value is not None:
leverage = value / portfolio_value
quantity = (value * usd_base_conversion) / trade_pair.lot_size

if trade_pair.is_forex:
quantity = math.trunc(quantity / 0.01) * 0.01 if use_floor else round(quantity / 0.01) * 0.01

value = quantity * trade_pair.lot_size / usd_base_conversion
leverage = value / portfolio_value

return quantity, leverage, value

def process_flat_all_order(self, order_uuid, miner_repo_version, miner_hotkey, now_ms):
Expand Down
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