bbgo/pkg/cmd/execute_order.go

222 lines
5.5 KiB
Go

package cmd
import (
"context"
"fmt"
"os"
"os/signal"
"syscall"
"time"
"github.com/pkg/errors"
"github.com/sirupsen/logrus"
"github.com/spf13/cobra"
"git.qtrade.icu/lychiyu/bbgo/pkg/bbgo"
"git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint"
_ "git.qtrade.icu/lychiyu/bbgo/pkg/twap"
"git.qtrade.icu/lychiyu/bbgo/pkg/types"
"git.qtrade.icu/lychiyu/bbgo/pkg/util"
"git.qtrade.icu/lychiyu/bbgo/pkg/twap/v2"
)
func init() {
executeOrderCmd.Flags().String("session", "", "the exchange session name for sync")
executeOrderCmd.Flags().String("symbol", "", "the trading pair, like btcusdt")
executeOrderCmd.Flags().String("side", "", "the trading side: buy or sell")
executeOrderCmd.Flags().String("target-quantity", "", "target quantity")
executeOrderCmd.Flags().String("slice-quantity", "", "slice quantity")
executeOrderCmd.Flags().String("stop-price", "0", "stop price")
executeOrderCmd.Flags().String("order-update-rate-limit", "1s", "order update rate limit, syntax: 1+1/1m")
executeOrderCmd.Flags().Duration("update-interval", time.Second*10, "order update time")
executeOrderCmd.Flags().Duration("delay-interval", time.Second*3, "order delay time after filled")
executeOrderCmd.Flags().Duration("deadline", 0, "deadline duration of the order execution, e.g. 1h")
executeOrderCmd.Flags().Int("price-ticks", 0, "the number of price tick for the jump spread, default to 0")
RootCmd.AddCommand(executeOrderCmd)
}
var executeOrderCmd = &cobra.Command{
Use: "execute-order --session SESSION --symbol SYMBOL --side SIDE --target-quantity TOTAL_QUANTITY --slice-quantity SLICE_QUANTITY",
Short: "execute buy/sell on the balance/position you have on specific symbol",
SilenceUsage: true,
PreRunE: cobraInitRequired([]string{
"symbol",
"side",
"target-quantity",
"slice-quantity",
}),
RunE: func(cmd *cobra.Command, args []string) error {
ctx := context.Background()
sessionName, err := cmd.Flags().GetString("session")
if err != nil {
return err
}
symbol, err := cmd.Flags().GetString("symbol")
if err != nil {
return fmt.Errorf("can not get the symbol from flags: %w", err)
}
if symbol == "" {
return fmt.Errorf("symbol not found")
}
sideS, err := cmd.Flags().GetString("side")
if err != nil {
return fmt.Errorf("can't get side: %w", err)
}
side, err := types.StrToSideType(sideS)
if err != nil {
return err
}
targetQuantityS, err := cmd.Flags().GetString("target-quantity")
if err != nil {
return err
}
if len(targetQuantityS) == 0 {
return errors.New("--target-quantity can not be empty")
}
targetQuantity, err := fixedpoint.NewFromString(targetQuantityS)
if err != nil {
return err
}
sliceQuantityS, err := cmd.Flags().GetString("slice-quantity")
if err != nil {
return err
}
if len(sliceQuantityS) == 0 {
return errors.New("--slice-quantity can not be empty")
}
sliceQuantity, err := fixedpoint.NewFromString(sliceQuantityS)
if err != nil {
return err
}
numOfPriceTicks, err := cmd.Flags().GetInt("price-ticks")
if err != nil {
return err
}
stopPriceS, err := cmd.Flags().GetString("stop-price")
if err != nil {
return err
}
stopPrice, err := fixedpoint.NewFromString(stopPriceS)
if err != nil {
return err
}
orderUpdateRateLimitStr, err := cmd.Flags().GetString("order-update-rate-limit")
if err != nil {
return err
}
updateInterval, err := cmd.Flags().GetDuration("update-interval")
if err != nil {
return err
}
delayInterval, err := cmd.Flags().GetDuration("delay-interval")
if err != nil {
return err
}
deadlineDuration, err := cmd.Flags().GetDuration("deadline")
if err != nil {
return err
}
var deadlineTime time.Time
if deadlineDuration > 0 {
deadlineTime = time.Now().Add(deadlineDuration)
}
environ := bbgo.NewEnvironment()
if err := environ.ConfigureExchangeSessions(userConfig); err != nil {
return err
}
if err := environ.Init(ctx); err != nil {
return err
}
session, ok := environ.Session(sessionName)
if !ok {
return fmt.Errorf("session %s not found", sessionName)
}
executionCtx, cancelExecution := context.WithCancel(ctx)
defer cancelExecution()
market, ok := session.Market(symbol)
if !ok {
return fmt.Errorf("market %s not found", symbol)
}
executor := twap.NewFixedQuantityExecutor(session.Exchange, symbol, market, side, targetQuantity, sliceQuantity)
if updateInterval > 0 {
executor.SetUpdateInterval(updateInterval)
}
if len(orderUpdateRateLimitStr) > 0 {
rateLimit, err := util.ParseRateLimitSyntax(orderUpdateRateLimitStr)
if err != nil {
return err
}
executor.SetOrderUpdateRateLimit(rateLimit)
}
if delayInterval > 0 {
executor.SetDelayInterval(delayInterval)
}
if stopPrice.Sign() > 0 {
executor.SetStopPrice(stopPrice)
}
// NumOfTicks: numOfPriceTicks,
if !deadlineTime.IsZero() {
executor.SetDeadlineTime(deadlineTime)
}
if numOfPriceTicks > 0 {
executor.SetNumOfTicks(numOfPriceTicks)
}
if err := executor.Start(executionCtx); err != nil {
return err
}
var sigC = make(chan os.Signal, 1)
signal.Notify(sigC, syscall.SIGINT, syscall.SIGTERM)
defer signal.Stop(sigC)
select {
case <-ctx.Done():
case sig := <-sigC:
logrus.Warnf("signal %v", sig)
logrus.Infof("shutting down order executor...")
shutdownCtx, cancelShutdown := context.WithDeadline(ctx, time.Now().Add(10*time.Second))
executor.Shutdown(shutdownCtx)
cancelShutdown()
case <-executor.Done():
logrus.Infof("the order execution is completed")
}
return nil
},
}