volumeFilter should be configurable to include "exact" amounts (closes …

…#327) (#328)

* 1 - add exact and ignore params to the volume filter in sample_trader.cfg

* 2 - read in exact/ignore mode to volume filter config

* 3 - implement exact mode in volumeFilter

* 4 - update filterOps to correctly count kept vs. transformed operations with the newly added capability in volumeFilter

* 5 - separate out handling for non-offer-ops which makes things a little simpler with typing

* 6 - remove TODO about this issue form volumeFilter

* 7 - fix big bug which resulted in submission failures (non-increment of index)

* 8 - update comment

* 9 - add comment to filterOps about "no update operations problem"

* 10 - refactor filterOps: add "ignored" field to filterCounter for buy/sell offers

* 11 - refactor filterOps: fold original amount and price into originalMSO variable

* 12 - refactor filterOps: extract out selectBuySellList and selectOpOrOffer

* 13 - refactor filterOps: extract out logic that handles calling and result of the filterFn for reuse

* 14 - fix bug with originalMSO getting modified along with newOp

* 15 - refactor filterOps: add fix to handle remainingOffers correctly with common function for buy/sell sides

includes logic to ignore offers in ignore list

* 16 - moved exchange constraints filter to be last

cmd/trade.go

@@ -357,9 +357,7 @@ func makeBot(
 	}
 
 	// start make filters
-	submitFilters := []plugins.SubmitFilter{
-		plugins.MakeFilterOrderConstraints(exchangeShim.GetOrderConstraints(tradingPair), assetBase, assetQuote),
-	}
+	submitFilters := []plugins.SubmitFilter{}
 	if submitMode == api.SubmitModeMakerOnly {
 		submitFilters = append(submitFilters,
 			plugins.MakeFilterMakerMode(exchangeShim, sdex, tradingPair),
@@ -389,6 +387,11 @@ func makeBot(
 		}
 		submitFilters = append(submitFilters, filter)
 	}
+	// exchange constraints filter is last so we catch any modifications made by previous filters. this ensures that the exchange is
+	// less likely to reject our updates
+	submitFilters = append(submitFilters,
+		plugins.MakeFilterOrderConstraints(exchangeShim.GetOrderConstraints(tradingPair), assetBase, assetQuote),
+	)
 	// end make filters
 
 	return trader.MakeTrader(

examples/configs/trader/sample_trader.cfg

@@ -96,10 +96,24 @@ HORIZON_URL="https://horizon-testnet.stellar.org"
 # the best way to use these filters is to uncomment the one you want to use and update the price (last param) accordingly.
 #FILTERS = [
 #    # limit the amount of the base asset that is sold every day, denominated in units of the base asset (needs POSTGRES_DB)
-#    "volume/sell/base/3500.0",
+#    # The fifth param can be either "exact" or "ignore" ("exact" is recommended):
+#    #     - "exact" indicates that the volume filter should modify the amount of the offer that will cause the capacity limit
+#    #        to be exceeded (when daily sold amounts are close to the limit). This will result in the exact number of units of
+#    #        the asset to be sold for the given day.
+#    #     - "ignore" indicates that the volume filter should not modify the values of any offer and the offer which will cause
+#    #        the capacity limit to be exceeded should be dropped or ignored. This will result in a less than or equal amount
+#    #        of the asset to be sold for the given day.
+#    "volume/sell/base/3500.0/exact",
 #
 #    # limit the amount of the base asset that is sold every day, denominated in units of the quote asset (needs POSTGRES_DB)
-#    "volume/sell/quote/1000.0",
+#    # The fifth param can be either "exact" or "ignore" ("exact" is recommended):
+#    #     - "exact" indicates that the volume filter should modify the amount of the offer that will cause the capacity limit
+#    #        to be exceeded (when daily sold amounts are close to the limit). This will result in the exact number of units of
+#    #        the asset to be sold for the given day.
+#    #     - "ignore" indicates that the volume filter should not modify the values of any offer and the offer which will cause
+#    #        the capacity limit to be exceeded should be dropped or ignored. This will result in a less than or equal amount
+#    #        of the asset to be sold for the given day.
+#    "volume/sell/quote/1000.0/ignore",
 #
 #    # limit offers based on a minimim price requirement
 #    "price/min/0.04",

plugins/filterFactory.go

@@ -43,11 +43,15 @@ func (f *FilterFactory) MakeFilter(configInput string) (SubmitFilter, error) {
 
 func filterVolume(f *FilterFactory, configInput string) (SubmitFilter, error) {
 	parts := strings.Split(configInput, "/")
-	if len(parts) != 4 {
-		return nil, fmt.Errorf("invalid input (%s), needs 4 parts separated by the delimiter (/)", configInput)
+	if len(parts) != 5 {
+		return nil, fmt.Errorf("invalid input (%s), needs 5 parts separated by the delimiter (/)", configInput)
 	}
 
-	config := &VolumeFilterConfig{}
+	mode, e := parseVolumeFilterMode(parts[4])
+	if e != nil {
+		return nil, fmt.Errorf("could not parse volume filter mode from input (%s): %s", configInput, e)
+	}
+	config := &VolumeFilterConfig{mode: mode}
 	if parts[1] != "sell" {
 		return nil, fmt.Errorf("invalid input (%s), the second part needs to be \"sell\"", configInput)
 	}