Fix binance product update (#1795)

* Engine: Split code about check of minimal order size into a function

The function avoid code duplication and is more easily readable.

Small behavior change: the new function accept products with both `min_size` and `min_total`.
Previously, only the first one available was checked.

* Binance: rewrite update-products to fix bugs

Changes with the previous version:
- Binance filters are selected by type rather than by index. It fixes #1794
- No more useless removal of trailing zeros of 'increment' and 'asset_increment'
- Binance notional filter is set in `product.min_total` rather than roughly modifying `product.min_size`.
  It fixes #1793

extensions/exchanges/binance/update-products.sh

@@ -4,44 +4,24 @@ let ccxt = require('ccxt')
 new ccxt.binance().fetch_markets().then(function(markets) {
   var products = []
 
-  markets.forEach(function (market) {
-    var currStepSize = market.info.filters[0].tickSize
-    for (i = currStepSize.length - 1; i > 0; i--) {
-      if (currStepSize[i] === '0')
-        currStepSize = currStepSize.slice(0, i)
-      else
-        break;
-    }
-
-    var assetStepSize = market.info.filters[1].stepSize
-    for (i = assetStepSize.length - 1; i > 0; i--) {
-      if (assetStepSize[i] === '0')
-        assetStepSize = assetStepSize.slice(0, i)
-      else
-        break
-    }
+  var products = markets.map(function (market) {
+    const filters = market.info.filters
+    const price_filter = filters.find(f => f.filterType === 'PRICE_FILTER')
+    const lot_size_filter = filters.find(f => f.filterType === 'LOT_SIZE')
+    const notional_filter = filters.find(f => f.filterType === 'MIN_NOTIONAL')
 
-    // The MIN_NOTIONAL filter defines the minimum notional value allowed for an order on a symbol.
-    // An orders notional value is the price * quantity.
-    // In order to know the Value it is necessary to know the price which does not come on this JSon.
-    // But I have the maxPrice which seems to be: price * 10
-    var maxPrice       = Number(market.info.filters[0].maxPrice);
-    var curPrice       = maxPrice / 10;
-    var minNotional    = Number(market.info.filters[2].minNotional);
-    var minNotionalQty = minNotional / curPrice;
-    var minQty         = Number(market.info.filters[1].minQty);
-    var min_size       = Math.max(minQty, minNotionalQty).toString();
-
-    products.push({
+    // NOTE: price_filter also contains minPrice and maxPrice
+    return {
       id: market.id,
       asset: market.base,
       currency: market.quote,
-      min_size: min_size,
-      max_size: market.info.filters[1].maxQty,
-      increment: currStepSize,
-      asset_increment: assetStepSize,
+      min_size: lot_size_filter.minQty,
+      max_size: lot_size_filter.maxQty,
+      min_total: notional_filter.minNotional,
+      increment: price_filter.tickSize,
+      asset_increment: lot_size_filter.stepSize,
       label: market.base + '/' + market.quote
-    })
+    }
   })
 
   var target = require('path').resolve(__dirname, 'products.json')

lib/engine.js

@@ -305,6 +305,14 @@ module.exports = function (s, conf) {
     })
   }
 
+  function isOrderTooSmall(product, quantity, price) {
+    if (product.min_size && Number(quantity) < Number(product.min_size))
+      return true
+    if (product.min_total && n(quantity).multiply(price).value() < Number(product.min_total))
+      return true
+    return false
+  }
+
   // if s.signal
   // 1. sync balance
   // 2. get quote
@@ -395,7 +403,7 @@ module.exports = function (s, conf) {
           size = n(trade_balance).subtract(expected_fee).divide(price).format(s.product.asset_increment ? s.product.asset_increment : '0.00000000')
         }
 
-        if ((s.product.min_size && Number(size) >= Number(s.product.min_size)) || ('min_total' in s.product && s.product.min_total && n(size).multiply(price).value() >= Number(s.product.min_total))) {
+        if (!isOrderTooSmall(s.product, size, price)) {
           if (s.product.max_size && Number(size) > Number(s.product.max_size)) {
             size = s.product.max_size
           }
@@ -446,7 +454,7 @@ module.exports = function (s, conf) {
         }
         size = n(s.balance.asset).multiply(sell_pct / 100).format(s.product.asset_increment ? s.product.asset_increment : '0.00000000')
 
-        if ((s.product.min_size && Number(size) >= Number(s.product.min_size)) || (s.product.min_total && n(size).multiply(price).value() >= Number(s.product.min_total))) {
+        if (!isOrderTooSmall(s.product, size, price)) {
           if (s.product.max_size && Number(size) > Number(s.product.max_size)) {
             size = s.product.max_size
           }