fix: Improve decimal precision handling across all exchange clients
- Add strict_precision parameter to _dec_str methods - Modify quantity normalization methods to return (Decimal, precision) tuple - Infer precision from stepSize/lotSz/qtyStep for accurate formatting - Update all order placement methods to use precision information - Fix LOT_SIZE filter errors by strictly limiting decimal places Affected exchanges: - Binance Spot & Futures - OKX - Bybit - Bitget Spot & Futures - Deepcoin This ensures order quantities are formatted with correct precision matching exchange requirements.
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TIANHE
@@ -52,16 +52,41 @@ class OkxClient(BaseRestClient):
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self._lev_cache_ttl_sec = 60.0
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@staticmethod
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def _dec_str(d: Decimal, max_decimals: int = 18) -> str:
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def _dec_str(d: Decimal, max_decimals: int = 18, strict_precision: Optional[int] = None) -> str:
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"""
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Convert Decimal to a non-scientific string with controlled precision.
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OKX expects plain decimal strings matching lotSz precision.
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Args:
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d: Decimal value to format
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max_decimals: Maximum decimal places (fallback if strict_precision not provided)
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strict_precision: If provided, strictly limit to this many decimal places
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"""
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try:
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if d == 0:
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return "0"
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# Normalize to remove unnecessary trailing zeros
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normalized = d.normalize()
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# If strict_precision is provided, use it and strictly limit decimal places
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if strict_precision is not None:
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try:
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prec = int(strict_precision)
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if prec < 0:
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prec = 0
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if prec > 18:
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prec = 18
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# Use quantize to ensure exact precision
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from decimal import ROUND_DOWN
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q = Decimal("1").scaleb(-prec)
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quantized = normalized.quantize(q, rounding=ROUND_DOWN)
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s = format(quantized, f".{prec}f")
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if '.' in s:
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s = s.rstrip('0').rstrip('.')
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return s if s else "0"
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except Exception:
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pass
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# Format with max_decimals and remove trailing zeros
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s = format(normalized, f".{max_decimals}f")
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if '.' in s:
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@@ -72,6 +97,16 @@ class OkxClient(BaseRestClient):
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f = float(d)
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if f == 0:
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return "0"
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if strict_precision is not None:
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try:
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prec = int(strict_precision)
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if 0 <= prec <= 18:
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s = format(f, f".{prec}f")
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if '.' in s:
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s = s.rstrip('0').rstrip('.')
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return s if s else "0"
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except Exception:
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pass
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s = format(f, f".{max_decimals}f")
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if '.' in s:
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s = s.rstrip('0').rstrip('.')
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@@ -81,6 +116,16 @@ class OkxClient(BaseRestClient):
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if 'e' in s.lower() or 'E' in s:
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try:
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f = float(s)
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if strict_precision is not None:
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try:
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prec = int(strict_precision)
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if 0 <= prec <= 18:
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s = format(f, f".{prec}f")
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if '.' in s:
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s = s.rstrip('0').rstrip('.')
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return s if s else "0"
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except Exception:
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pass
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s = format(f, f".{max_decimals}f")
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if '.' in s:
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s = s.rstrip('0').rstrip('.')
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@@ -146,19 +191,22 @@ class OkxClient(BaseRestClient):
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self._inst_cache[key] = (now, first)
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return first if isinstance(first, dict) else {}
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def _normalize_order_size(self, *, inst_id: str, market_type: str, size: float) -> Decimal:
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def _normalize_order_size(self, *, inst_id: str, market_type: str, size: float) -> Tuple[Decimal, Optional[int]]:
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"""
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Normalize requested size to OKX constraints:
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- Spot: size is base currency quantity; align to lotSz/minSz.
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- Swap: OKX sz is in contracts; convert base qty -> contracts using ctVal, then align to lotSz/minSz.
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Note: this system passes `amount` around as base-asset quantity across exchanges.
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Returns:
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Tuple of (normalized_size, precision) where precision is the number of decimal places required.
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"""
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mt = (market_type or "swap").strip().lower()
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iid = str(inst_id or "").strip()
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req = self._to_dec(size)
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if req <= 0:
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return Decimal("0")
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return (Decimal("0"), None)
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inst_type = "SPOT" if mt == "spot" else "SWAP"
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inst: Dict[str, Any] = {}
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@@ -180,11 +228,29 @@ class OkxClient(BaseRestClient):
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# Align to lot size step.
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if lot_sz > 0:
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req = self._floor_to_step(req, lot_sz)
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# Infer precision from lotSz
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size_precision = None
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if lot_sz > 0:
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try:
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lot_sz_normalized = lot_sz.normalize()
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lot_sz_str = str(lot_sz_normalized)
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if '.' in lot_sz_str:
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decimal_part = lot_sz_str.split('.')[1]
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size_precision = len(decimal_part)
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if size_precision < 0:
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size_precision = 0
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if size_precision > 18:
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size_precision = 18
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else:
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size_precision = 0
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except Exception:
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pass
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# Enforce min size best-effort.
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if min_sz > 0 and req < min_sz:
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return Decimal("0")
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return req
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return (Decimal("0"), size_precision)
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return (req, size_precision)
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def _iso_ts(self) -> str:
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# OKX requires RFC3339 timestamp with milliseconds, e.g. 2020-12-08T09:08:57.715Z
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@@ -390,7 +456,7 @@ class OkxClient(BaseRestClient):
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if sd not in ("buy", "sell"):
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raise LiveTradingError(f"Invalid side: {side}")
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sz_raw = float(size or 0.0)
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sz_dec = self._normalize_order_size(inst_id=inst_id, market_type=mt, size=sz_raw)
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sz_dec, sz_precision = self._normalize_order_size(inst_id=inst_id, market_type=mt, size=sz_raw)
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if float(sz_dec or 0) <= 0:
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raise LiveTradingError(f"Invalid size (below lot/min size): requested={sz_raw}")
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@@ -400,7 +466,7 @@ class OkxClient(BaseRestClient):
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"tdMode": "cash",
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"side": sd,
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"ordType": "market",
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"sz": self._dec_str(sz_dec),
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"sz": self._dec_str(sz_dec, strict_precision=sz_precision),
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# Follow hummingbot approach so "sz" is in base currency.
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"tgtCcy": "base_ccy",
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}
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@@ -462,7 +528,7 @@ class OkxClient(BaseRestClient):
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if mt == "spot":
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inst_id = to_okx_spot_inst_id(symbol)
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sz_dec = self._normalize_order_size(inst_id=inst_id, market_type=mt, size=sz_raw)
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sz_dec, sz_precision = self._normalize_order_size(inst_id=inst_id, market_type=mt, size=sz_raw)
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if float(sz_dec or 0) <= 0:
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raise LiveTradingError(f"Invalid size (below lot/min size): requested={sz_raw}")
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body: Dict[str, Any] = {
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@@ -470,13 +536,13 @@ class OkxClient(BaseRestClient):
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"tdMode": "cash",
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"side": sd,
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"ordType": "limit",
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"sz": self._dec_str(sz_dec),
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"sz": self._dec_str(sz_dec, strict_precision=sz_precision),
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"px": str(px),
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}
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else:
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inst_id = to_okx_swap_inst_id(symbol)
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ps = self._resolve_pos_side(requested_pos_side=pos_side, market_type=mt)
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sz_dec = self._normalize_order_size(inst_id=inst_id, market_type=mt, size=sz_raw)
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sz_dec, sz_precision = self._normalize_order_size(inst_id=inst_id, market_type=mt, size=sz_raw)
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if float(sz_dec or 0) <= 0:
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raise LiveTradingError(f"Invalid size (below lot/min size): requested={sz_raw}")
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td = (td_mode or "cross").lower()
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@@ -488,7 +554,7 @@ class OkxClient(BaseRestClient):
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"side": sd,
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"posSide": ps,
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"ordType": "limit",
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"sz": self._dec_str(sz_dec),
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"sz": self._dec_str(sz_dec, strict_precision=sz_precision),
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"px": str(px),
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}
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if reduce_only:
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