84 lines
2.6 KiB
Go
84 lines
2.6 KiB
Go
package tri
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import (
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"fmt"
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"git.qtrade.icu/lychiyu/bbgo/pkg/types"
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)
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type Path struct {
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marketA, marketB, marketC *ArbMarket
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dirA, dirB, dirC int
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}
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func (p *Path) solveDirection() error {
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// check if we should reverse the rate
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// ETHUSDT -> ETHBTC
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if p.marketA.QuoteCurrency == p.marketB.BaseCurrency || p.marketA.QuoteCurrency == p.marketB.QuoteCurrency {
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p.dirA = 1
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} else if p.marketA.BaseCurrency == p.marketB.BaseCurrency || p.marketA.BaseCurrency == p.marketB.QuoteCurrency {
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p.dirA = -1
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} else {
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return fmt.Errorf("marketA and marketB is not related")
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}
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if p.marketB.QuoteCurrency == p.marketC.BaseCurrency || p.marketB.QuoteCurrency == p.marketC.QuoteCurrency {
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p.dirB = 1
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} else if p.marketB.BaseCurrency == p.marketC.BaseCurrency || p.marketB.BaseCurrency == p.marketC.QuoteCurrency {
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p.dirB = -1
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} else {
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return fmt.Errorf("marketB and marketC is not related")
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}
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if p.marketC.QuoteCurrency == p.marketA.BaseCurrency || p.marketC.QuoteCurrency == p.marketA.QuoteCurrency {
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p.dirC = 1
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} else if p.marketC.BaseCurrency == p.marketA.BaseCurrency || p.marketC.BaseCurrency == p.marketA.QuoteCurrency {
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p.dirC = -1
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} else {
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return fmt.Errorf("marketC and marketA is not related")
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}
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return nil
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}
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func (p *Path) Ready() bool {
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return !(p.marketA.bestAsk.Price.IsZero() || p.marketA.bestBid.Price.IsZero() ||
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p.marketB.bestAsk.Price.IsZero() || p.marketB.bestBid.Price.IsZero() ||
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p.marketC.bestAsk.Price.IsZero() || p.marketC.bestBid.Price.IsZero())
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}
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func (p *Path) String() string {
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return p.marketA.String() + " " + p.marketB.String() + " " + p.marketC.String()
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}
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func (p *Path) newOrders(balances types.BalanceMap, sign int) [3]types.SubmitOrder {
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var orders [3]types.SubmitOrder
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var transitingQuantity float64
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initialBalance, _ := p.marketA.getInitialBalance(balances, p.dirA*sign)
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orderA, _ := p.marketA.newOrder(p.dirA*sign, initialBalance.Float64())
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orders[0] = orderA
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q, _ := orderA.Out()
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transitingQuantity = q.Float64()
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// orderB
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orderB, rateB := p.marketB.newOrder(p.dirB*sign, transitingQuantity)
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orders = adjustOrderQuantityByRate(orders, rateB)
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q, _ = orderB.Out()
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transitingQuantity = q.Float64()
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orders[1] = orderB
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orderC, rateC := p.marketC.newOrder(p.dirC*sign, transitingQuantity)
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orders = adjustOrderQuantityByRate(orders, rateC)
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q, _ = orderC.Out()
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orders[2] = orderC
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orders[0].Quantity = p.marketA.market.TruncateQuantity(orders[0].Quantity)
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orders[1].Quantity = p.marketB.market.TruncateQuantity(orders[1].Quantity)
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orders[2].Quantity = p.marketC.market.TruncateQuantity(orders[2].Quantity)
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return orders
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}
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