Fee Validation on Market orders

[jafri]

Trying to understand why taker/maker commission is added to validation for amounts when doing a market sell or buy on Binance

Lets say I have 10 ETH as balance, if I try to sell 10 ETH with bot currently, validate will fail ErrInsufficientFunds since it adds TakerCommission

How should I calculate the size to pass to a sell amount? Should I calculate it as 10 / (1 + b.userInfo.TakerCommission)?

[rodrigo-brito]

Hi @jafri, to sell all the open positions, you have to consider the fee. For Binance, it is 0.1%.
I normally use small sizes than 100% (risk control issues).

I recommend you to keep a small amount in (USDT, BNB, BUSD) to take these fees.
For example, when you use: assetPosition, quotePosition, err := broker.Position(df.Pair) for buy 100% of your quote. Use quotePosition * 0.99 (1% reserved for fees). Then, you have a large margin of error when executing it in production.

Using quotePosition * 0.999 (0.1% for fees) is very dangerous because the price can change in a second and the fee increases.

[jafri]

@rodrigo-brito wouldn't that make it not possible to sell 100% of your holdings?

When using Binance UI directly, I can simply select 100% of the asset to sell and it will sell 100% and automatically deduct fees

[rodrigo-brito]

Yes, but it considers the calculation of the fee in this 100% and notices that it is not accurate. After selling 100%, always rest a small amount of coins in your wallet.

Another important point, the exchange accepts precision for the order size. You can check these limits here: https://api.binance.com/api/v1/exchangeInfo

For example, this is the restrictions for BTCUSDT

{
          "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": "0.00000100",
          "maxQty": "9000.00000000",
          "stepSize": "0.00000100"
        },
        {
          "filterType": "MIN_NOTIONAL",
          "minNotional": "10.00000000",
          "applyToMarket": true,
          "avgPriceMins": 5
        },
        {
          "filterType": "ICEBERG_PARTS",
          "limit": 10
        },
        {
          "filterType": "MARKET_LOT_SIZE",
          "minQty": "0.00000000",
          "maxQty": "138.57632811",
          "stepSize": "0.00000000"
        },
        {
          "filterType": "MAX_NUM_ORDERS",
          "maxNumOrders": 200
        },
        {
          "filterType": "MAX_NUM_ALGO_ORDERS",
          "maxNumAlgoOrders": 5
        }

[jafri]

I understand that a little bit of coins are left due to precision size

Here is the code I am discussing

ninjabot/pkg/exchange/binance.go

Lines 135 to 139 in 63062e8

	commissionFactor := 1 + b.userInfo.MakerCommission
	if typ == model.OrderTypeMarket || typ == model.OrderTypeLimitMaker ||
	typ == model.OrderTypeStopLoss || typ == model.OrderTypeTakeProfit {
	commissionFactor = 1 + b.userInfo.TakerCommission
	}

In ninjabot, if my balance is 1 BTC and I try selling 1 BTC, it will fail at validate since it tries to add taker fee on top of the 1 BTC instead of from it.

In binance API, if my balance is 1 BTC, and I pass quantity as 1 on a SELL MARKET order through binance, wouldn't that execute successfully?

Also, does b.formatQuantity(symbol, quantity) round down always, or will it also round up if the last digit is >= 5?

[rodrigo-brito]

I will make some tests, maybe it works.
About the precision, it rounds up.

We use FloatFormat:

ninjabot/pkg/exchange/binance.go

Lines 258 to 264 in 6b4b9b8

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

Example: https://play.golang.org/p/GG-xUA8-CNC

[rodrigo-brito]

Hi @jafri, I make some tests and are you shure, we do not need this validation. I will refactor the code and will remove it.

[jafri]

I'm not 100% sure that just removing validation is what is needed @rodrigo-brito, I just know my order with amount was failing through this library which succeeded doing the same amount in UI

[rodrigo-brito]

I will try to remove it and change the format function to avoid problems with aproximation

[rodrigo-brito]

Hi @jafri, i fixed this in the last release.