Merge pull request hummingbot#6578 from yancong001/fix/kucoinperpetua…

…l_position_wrong_amount fix/ kucoin perpetual incorrect pozition size for market order
Polygant · Sep 26, 2023 · 63f257c · 63f257c
2 parents b8e3778 + 1bb2d1b
commit 63f257c
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Showing 2 changed files with 164 additions and 9 deletions.
diff --git a/hummingbot/connector/derivative/kucoin_perpetual/kucoin_perpetual_derivative.py b/hummingbot/connector/derivative/kucoin_perpetual/kucoin_perpetual_derivative.py
@@ -419,7 +419,7 @@ async def _update_balances(self):
         self._account_balances.clear()
 
         if wallet_balance["data"] is not None:
-            if type(wallet_balance["data"]) == list:
+            if isinstance(wallet_balance["data"], list):
                 for balance_data in wallet_balance["data"]:
                     currency = str(balance_data["currency"])
                     self._account_balances[currency] = Decimal(str(balance_data["marginBalance"]))
@@ -456,7 +456,7 @@ async def _update_positions(self):
             data = position
             ex_trading_pair = data.get("symbol")
             hb_trading_pair = await self.trading_pair_associated_to_exchange_symbol(ex_trading_pair)
-            amount = self.get_value_of_contracts(hb_trading_pair, int(str(data["currentQty"])))
+            amount = self.get_value_of_contracts(hb_trading_pair, int(data["currentQty"]))
             position_side = PositionSide.SHORT if amount < 0 else PositionSide.LONG
             unrealized_pnl = Decimal(str(data["unrealisedPnl"]))
             entry_price = Decimal(str(data["avgEntryPrice"]))
@@ -591,7 +591,7 @@ async def _user_stream_event_listener(self):
                         self._order_tracker.process_order_update(order_update=order_update)
 
                 elif endpoint == CONSTANTS.WS_SUBSCRIPTION_WALLET_ENDPOINT_NAME:
-                    if type(payload) == list:
+                    if isinstance(payload, list):
                         for wallet_msg in payload:
                             self._process_wallet_event_message(wallet_msg)
                     else:
@@ -615,7 +615,7 @@ async def _process_account_position_event(self, position_msg: Dict[str, Any]):
         if "changeReason" in position_msg and position_msg["changeReason"] != "markPriceChange":
             ex_trading_pair = position_msg["symbol"]
             trading_pair = await self.trading_pair_associated_to_exchange_symbol(symbol=ex_trading_pair)
-            amount = Decimal(str(position_msg["currentQty"]))
+            amount = self.get_value_of_contracts(trading_pair, int(position_msg["currentQty"]))
             position_side = PositionSide.SHORT if amount < 0 else PositionSide.LONG
             entry_price = Decimal(str(position_msg["avgEntryPrice"]))
             leverage = Decimal(str(position_msg["realLeverage"]))
@@ -830,8 +830,7 @@ async def _get_last_traded_price(self, trading_pair: str) -> float:
             path_url=CONSTANTS.LATEST_SYMBOL_INFORMATION_ENDPOINT.format(symbol=exchange_symbol),
             limit_id=CONSTANTS.LATEST_SYMBOL_INFORMATION_ENDPOINT,
         )
-
-        if type(resp_json["data"]) == list:
+        if isinstance(resp_json["data"], list):
             if "lastTradePrice" in resp_json["data"][0]:
                 price = float(resp_json["data"][0]["lastTradePrice"])
             else:

diff --git a/test/hummingbot/connector/derivative/kucoin_perpetual/test_kucoin_perpetual_derivative.py b/test/hummingbot/connector/derivative/kucoin_perpetual/test_kucoin_perpetual_derivative.py
@@ -15,10 +15,11 @@
 from hummingbot.client.config.client_config_map import ClientConfigMap
 from hummingbot.client.config.config_helpers import ClientConfigAdapter
 from hummingbot.connector.derivative.kucoin_perpetual.kucoin_perpetual_derivative import KucoinPerpetualDerivative
+from hummingbot.connector.derivative.position import Position
 from hummingbot.connector.test_support.perpetual_derivative_test import AbstractPerpetualDerivativeTests
 from hummingbot.connector.trading_rule import TradingRule
 from hummingbot.connector.utils import combine_to_hb_trading_pair
-from hummingbot.core.data_type.common import OrderType, PositionAction, PositionMode, TradeType
+from hummingbot.core.data_type.common import OrderType, PositionAction, PositionMode, PositionSide, TradeType
 from hummingbot.core.data_type.funding_info import FundingInfo
 from hummingbot.core.data_type.in_flight_order import InFlightOrder
 from hummingbot.core.data_type.trade_fee import AddedToCostTradeFee, TokenAmount, TradeFeeBase
@@ -974,7 +975,7 @@ def trade_event_for_full_fill_websocket_update(self, order: InFlightOrder):
                 "size": float(order.amount) * 1000,
                 "fee": str(self.expected_fill_fee.percent),
                 "remainSize": "0",
-                "matchSize": float(order.amount) * 1000,
+                "matchSize": float(order.amount) * 1000000,
                 "canceledSize": "0",
                 "clientOid": order.client_order_id or "",
                 "orderTime": 1545914149935808589,
@@ -1018,7 +1019,7 @@ def position_event_for_full_fill_websocket_update(self, order: InFlightOrder, un
                 "changeReason": "positionChange",
                 "currentCost": str(position_value),
                 "openingTimestamp": 1558433191000,
-                "currentQty": -float(order.amount),
+                "currentQty": -int(order.amount),
                 "delevPercentage": 0.52,
                 "currentComm": 0.00000271,
                 "realisedGrossCost": 0E-8,
@@ -1555,3 +1556,158 @@ def test_start_network_update_trading_rules(self, mock_api):
         self.assertEqual(1, len(self.exchange.trading_rules))
         self.assertIn(self.trading_pair, self.exchange.trading_rules)
         self.assertEqual(repr(self.expected_trading_rule), repr(self.exchange.trading_rules[self.trading_pair]))
+
+    @aioresponses()
+    def test_user_stream_update_for_order_full_fill(self, mock_api):
+        self.exchange._set_current_timestamp(1640780000)
+        self._simulate_trading_rules_initialized()
+        leverage = 2
+        self.exchange._perpetual_trading.set_leverage(self.trading_pair, leverage)
+        self.exchange.start_tracking_order(
+            order_id=self.client_order_id_prefix + "1",
+            exchange_order_id=self.exchange_order_id_prefix + "1",
+            trading_pair=self.trading_pair,
+            order_type=OrderType.LIMIT,
+            trade_type=TradeType.SELL,
+            price=Decimal("10000"),
+            amount=Decimal("1"),
+            position_action=PositionAction.OPEN,
+        )
+        order = self.exchange.in_flight_orders[self.client_order_id_prefix + "1"]
+
+        order_event = self.order_event_for_full_fill_websocket_update(order=order)
+        trade_event = self.trade_event_for_full_fill_websocket_update(order=order)
+        expected_unrealized_pnl = 12
+        position_event = self.position_event_for_full_fill_websocket_update(
+            order=order, unrealized_pnl=expected_unrealized_pnl
+        )
+
+        mock_queue = AsyncMock()
+        event_messages = []
+        if trade_event:
+            event_messages.append(trade_event)
+        if order_event:
+            event_messages.append(order_event)
+        if position_event:
+            event_messages.append(position_event)
+        event_messages.append(asyncio.CancelledError)
+        mock_queue.get.side_effect = event_messages
+        self.exchange._user_stream_tracker._user_stream = mock_queue
+
+        if self.is_order_fill_http_update_executed_during_websocket_order_event_processing:
+            self.configure_full_fill_trade_response(
+                order=order,
+                mock_api=mock_api)
+
+        try:
+            self.async_run_with_timeout(self.exchange._user_stream_event_listener())
+        except asyncio.CancelledError:
+            pass
+        # Execute one more synchronization to ensure the async task that processes the update is finished
+        self.async_run_with_timeout(order.wait_until_completely_filled())
+
+        fill_event = self.order_filled_logger.event_log[0]
+        self.assertEqual(self.exchange.current_timestamp, fill_event.timestamp)
+        self.assertEqual(order.client_order_id, fill_event.order_id)
+        self.assertEqual(order.trading_pair, fill_event.trading_pair)
+        self.assertEqual(order.trade_type, fill_event.trade_type)
+        self.assertEqual(order.order_type, fill_event.order_type)
+        self.assertEqual(order.price, fill_event.price)
+        self.assertEqual(order.amount, fill_event.amount)
+        expected_fee = self.expected_fill_fee
+        self.assertEqual(expected_fee, fill_event.trade_fee)
+        self.assertEqual(leverage, fill_event.leverage)
+        self.assertEqual(PositionAction.OPEN.value, fill_event.position)
+
+        sell_event = self.sell_order_completed_logger.event_log[0]
+        self.assertEqual(self.exchange.current_timestamp, sell_event.timestamp)
+        self.assertEqual(order.client_order_id, sell_event.order_id)
+        self.assertEqual(order.base_asset, sell_event.base_asset)
+        self.assertEqual(order.quote_asset, sell_event.quote_asset)
+        self.assertEqual(order.amount, sell_event.base_asset_amount)
+        self.assertEqual(order.amount * fill_event.price, sell_event.quote_asset_amount)
+        self.assertEqual(order.order_type, sell_event.order_type)
+        self.assertEqual(order.exchange_order_id, sell_event.exchange_order_id)
+        self.assertNotIn(order.client_order_id, self.exchange.in_flight_orders)
+        self.assertTrue(order.is_filled)
+        self.assertTrue(order.is_done)
+
+        self.assertTrue(
+            self.is_logged(
+                "INFO",
+                f"SELL order {order.client_order_id} completely filled."
+            )
+        )
+
+        self.assertEqual(1, len(self.exchange.account_positions))
+
+        position: Position = self.exchange.account_positions[self.trading_pair]
+        self.assertEqual(self.trading_pair, position.trading_pair)
+        self.assertEqual(PositionSide.SHORT, position.position_side)
+        self.assertEqual(expected_unrealized_pnl, position.unrealized_pnl)
+        self.assertEqual(fill_event.price, position.entry_price)
+        self.assertEqual(-fill_event.amount, (self.exchange.get_quantity_of_contracts(self.trading_pair, position.amount)))
+        self.assertEqual(leverage, position.leverage)
+
+    @aioresponses()
+    def test_lost_order_user_stream_full_fill_events_are_processed(self, mock_api):
+        self.exchange._set_current_timestamp(1640780000)
+        self._simulate_trading_rules_initialized()
+        self.exchange.start_tracking_order(
+            order_id=self.client_order_id_prefix + "1",
+            exchange_order_id=str(self.expected_exchange_order_id),
+            trading_pair=self.trading_pair,
+            order_type=OrderType.LIMIT,
+            trade_type=TradeType.BUY,
+            price=Decimal("10000"),
+            amount=Decimal("1"),
+        )
+        order = self.exchange.in_flight_orders[self.client_order_id_prefix + "1"]
+
+        for _ in range(self.exchange._order_tracker._lost_order_count_limit + 1):
+            self.async_run_with_timeout(
+                self.exchange._order_tracker.process_order_not_found(client_order_id=order.client_order_id))
+
+        self.assertNotIn(order.client_order_id, self.exchange.in_flight_orders)
+
+        order_event = self.order_event_for_full_fill_websocket_update(order=order)
+        trade_event = self.trade_event_for_full_fill_websocket_update(order=order)
+
+        mock_queue = AsyncMock()
+        event_messages = []
+        if trade_event:
+            event_messages.append(trade_event)
+        if order_event:
+            event_messages.append(order_event)
+        event_messages.append(asyncio.CancelledError)
+        mock_queue.get.side_effect = event_messages
+        self.exchange._user_stream_tracker._user_stream = mock_queue
+
+        if self.is_order_fill_http_update_executed_during_websocket_order_event_processing:
+            self.configure_full_fill_trade_response(
+                order=order,
+                mock_api=mock_api)
+
+        try:
+            self.async_run_with_timeout(self.exchange._user_stream_event_listener())
+        except asyncio.CancelledError:
+            pass
+        # Execute one more synchronization to ensure the async task that processes the update is finished
+        self.async_run_with_timeout(order.wait_until_completely_filled())
+
+        fill_event = self.order_filled_logger.event_log[0]
+        self.assertEqual(self.exchange.current_timestamp, fill_event.timestamp)
+        self.assertEqual(order.client_order_id, fill_event.order_id)
+        self.assertEqual(order.trading_pair, fill_event.trading_pair)
+        self.assertEqual(order.trade_type, fill_event.trade_type)
+        self.assertEqual(order.order_type, fill_event.order_type)
+        self.assertEqual(order.price, fill_event.price)
+        self.assertEqual(order.amount, fill_event.amount)
+        expected_fee = self.expected_fill_fee
+        self.assertEqual(expected_fee, fill_event.trade_fee)
+
+        self.assertEqual(0, len(self.buy_order_completed_logger.event_log))
+        self.assertNotIn(order.client_order_id, self.exchange.in_flight_orders)
+        self.assertNotIn(order.client_order_id, self.exchange._order_tracker.lost_orders)
+        self.assertTrue(order.is_filled)
+        self.assertTrue(order.is_failure)