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Fix #35: Ensure grid prices respect Binance tick size #38

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Fix #35: Ensure grid prices respect Binance tick size #38

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7 changes: 6 additions & 1 deletion gridtrader/trader/strategies/spot_grid_strategy.py
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Original file line number Diff line number Diff line change
Expand Up @@ -204,6 +204,7 @@ def on_tick(self, tick: TickData):

for i in range(self.max_open_orders):
price = self.bottom_price + (mid_count - i - 1) * self.step_price
price = float(floor_to(price, self.contract_data.price_tick))
if price < self.bottom_price:
return

Expand All @@ -216,6 +217,7 @@ def on_tick(self, tick: TickData):
if len(self.short_orders_dict.keys()) == 0:
for i in range(self.max_open_orders):
price = self.bottom_price + (mid_count + i + 1) * self.step_price
price = float(floor_to(price, self.contract_data.price_tick))
if price > self.upper_price:
return

Expand Down Expand Up @@ -243,7 +245,7 @@ def on_order(self, order: OrderData):
self.trade_times += 1

short_price = float(order.price) + float(self.step_price)

short_price = float(floor_to(short_price, self.contract_data.price_tick))
if short_price <= self.upper_price:

orders_ids = self.sell(short_price, self.order_volume)
Expand All @@ -254,6 +256,7 @@ def on_order(self, order: OrderData):
if len(self.long_orders_dict.keys()) < self.max_open_orders:
count = len(self.long_orders_dict.keys()) + 1
long_price = float(order.price) - float(self.step_price) * count
long_price = float(floor_to(long_price, self.contract_data.price_tick))

if long_price >= self.bottom_price:
orders_ids = self.buy(long_price, self.order_volume)
Expand All @@ -265,6 +268,7 @@ def on_order(self, order: OrderData):

self.trade_times += 1
long_price = float(order.price) - float(self.step_price)
long_price = float(floor_to(long_price, self.contract_data.price_tick))

if long_price >= self.bottom_price:
orders_ids = self.buy(long_price, self.order_volume)
Expand All @@ -274,6 +278,7 @@ def on_order(self, order: OrderData):
if len(self.short_orders_dict.keys()) < self.max_open_orders:
count = len(self.short_orders_dict.keys()) + 1
short_price = float(order.price) + float(self.step_price) * count
short_price = float(floor_to(short_price, self.contract_data.price_tick))

if short_price <= self.upper_price:
orders_ids = self.sell(short_price, self.order_volume)
Expand Down