bbgo_origin/pkg/cmd/orders.go

package cmd

import (
	"context"
	"fmt"
	"os"
	"os/signal"
	"strings"
	"syscall"
	"time"

	"github.com/google/uuid"
	"github.com/pkg/errors"
	log "github.com/sirupsen/logrus"
	"github.com/spf13/cobra"

	"github.com/c9s/bbgo/pkg/fixedpoint"

	"github.com/c9s/bbgo/pkg/bbgo"
	"github.com/c9s/bbgo/pkg/exchange/ftx"
	"github.com/c9s/bbgo/pkg/types"
	"github.com/c9s/bbgo/pkg/util"
)

// go run ./cmd/bbgo list-orders [open|closed] --session=ftx --symbol=BTCUSDT
var listOrdersCmd = &cobra.Command{
	Use:  "list-orders [status]",
	Args: cobra.OnlyValidArgs,
	// default is open which means we query open orders if you haven't provided args.
	ValidArgs:    []string{"", "open", "closed"},
	SilenceUsage: true,
	RunE: func(cmd *cobra.Command, args []string) error {
		ctx := context.Background()

		configFile, err := cmd.Flags().GetString("config")
		if err != nil {
			return err
		}

		if len(configFile) == 0 {
			return fmt.Errorf("--config option is required")
		}

		// if config file exists, use the config loaded from the config file.
		// otherwise, use a empty config object
		var userConfig *bbgo.Config
		if _, err := os.Stat(configFile); err == nil {
			// load successfully
			userConfig, err = bbgo.Load(configFile, false)
			if err != nil {
				return err
			}
		} else if os.IsNotExist(err) {
			// config file doesn't exist
			userConfig = &bbgo.Config{}
		} else {
			// other error
			return err
		}
		environ := bbgo.NewEnvironment()

		if err := environ.ConfigureExchangeSessions(userConfig); err != nil {
			return err
		}

		sessionName, err := cmd.Flags().GetString("session")
		if err != nil {
			return err
		}

		session, ok := environ.Session(sessionName)
		if !ok {
			return fmt.Errorf("session %s not found", sessionName)
		}
		symbol, err := cmd.Flags().GetString("symbol")
		if err != nil {
			return fmt.Errorf("can't get the symbol from flags: %w", err)
		}
		if symbol == "" {
			return fmt.Errorf("symbol is not found")
		}

		status := "open"
		if len(args) != 0 {
			status = args[0]
		}

		var os []types.Order
		switch status {
		case "open":
			os, err = session.Exchange.QueryOpenOrders(ctx, symbol)
			if err != nil {
				return err
			}
		case "closed":
			tradeHistoryService, ok := session.Exchange.(types.ExchangeTradeHistoryService)
			if !ok {
				// skip exchanges that does not support trading history services
				log.Warnf("exchange %s does not implement ExchangeTradeHistoryService, skip syncing closed orders (listOrdersCmd)", session.Exchange.Name())
				return nil
			}

			os, err = tradeHistoryService.QueryClosedOrders(ctx, symbol, time.Now().Add(-3*24*time.Hour), time.Now(), 0)
			if err != nil {
				return err
			}
		default:
			return fmt.Errorf("invalid status %s", status)
		}

		log.Infof("%s ORDERS FROM %s SESSION", strings.ToUpper(status), session.Name)
		for _, o := range os {
			log.Infof("%+v", o)
		}

		return nil
	},
}

var executeOrderCmd = &cobra.Command{
	Use:          "execute-order",
	SilenceUsage: true,
	RunE: func(cmd *cobra.Command, args []string) error {
		ctx := context.Background()

		if userConfig == nil {
			return errors.New("config file is required")
		}

		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
		}

		updateInterval, err := cmd.Flags().GetDuration("update-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()

		execution := &bbgo.TwapExecution{
			Session:        session,
			Symbol:         symbol,
			Side:           side,
			TargetQuantity: targetQuantity,
			SliceQuantity:  sliceQuantity,
			StopPrice:      stopPrice,
			NumOfTicks:     numOfPriceTicks,
			UpdateInterval: updateInterval,
			DeadlineTime:   deadlineTime,
		}

		if err := execution.Run(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 sig := <-sigC:
			log.Warnf("signal %v", sig)
			log.Infof("shutting down order executor...")
			shutdownCtx, cancelShutdown := context.WithDeadline(ctx, time.Now().Add(10*time.Second))
			execution.Shutdown(shutdownCtx)
			cancelShutdown()

		case <-execution.Done():
			log.Infof("the order execution is completed")

		case <-ctx.Done():

		}

		return nil
	},
}

// go run ./cmd/bbgo submit-order --session=ftx --symbol=BTCUSDT --side=buy --price=18000 --quantity=0.001
var submitOrderCmd = &cobra.Command{
	Use:          "submit-order --session SESSION --symbol SYMBOL --side SIDE --quantity QUANTITY [--price PRICE]",
	SilenceUsage: true,
	RunE: func(cmd *cobra.Command, args []string) error {
		ctx := context.Background()

		if userConfig == nil {
			return errors.New("config file is required")
		}

		sessionName, err := cmd.Flags().GetString("session")
		if err != nil {
			return err
		}

		symbol, err := cmd.Flags().GetString("symbol")
		if err != nil {
			return fmt.Errorf("can't get the symbol from flags: %w", err)
		}
		if symbol == "" {
			return fmt.Errorf("symbol is not found")
		}

		side, err := cmd.Flags().GetString("side")
		if err != nil {
			return fmt.Errorf("can't get side: %w", err)
		}

		price, err := cmd.Flags().GetString("price")
		if err != nil {
			return fmt.Errorf("can't get price: %w", err)
		}

		quantity, err := cmd.Flags().GetString("quantity")
		if err != nil {
			return fmt.Errorf("can't get quantity: %w", err)
		}

		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)
		}

		market, ok := session.Market(symbol)
		if !ok {
			return fmt.Errorf("market definition %s not found", symbol)
		}

		so := types.SubmitOrder{
			ClientOrderID:  uuid.New().String(),
			Symbol:         symbol,
			Side:           types.SideType(ftx.TrimUpperString(side)),
			Type:           types.OrderTypeLimit,
			Quantity:       util.MustParseFloat(quantity),
			QuantityString: quantity,
			Price:          util.MustParseFloat(price),
			PriceString:    price,
			Market:         market,
			TimeInForce:    "GTC",
		}

		co, err := session.Exchange.SubmitOrders(ctx, so)
		if err != nil {
			return err
		}

		log.Infof("submitted order: %+v\ncreated order: %+v", so, co[0])
		return nil
	},
}

func init() {
	listOrdersCmd.Flags().String("session", "", "the exchange session name for sync")
	listOrdersCmd.Flags().String("symbol", "", "the trading pair, like btcusdt")

	submitOrderCmd.Flags().String("session", "", "the exchange session name for sync")
	submitOrderCmd.Flags().String("symbol", "", "the trading pair, like btcusdt")
	submitOrderCmd.Flags().String("side", "", "the trading side: buy or sell")
	submitOrderCmd.Flags().String("price", "", "the trading price")
	submitOrderCmd.Flags().String("quantity", "", "the trading quantity")

	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().Duration("update-interval", time.Second*10, "order update time")
	executeOrderCmd.Flags().Duration("deadline", 0, "deadline of the order execution")
	executeOrderCmd.Flags().Int("price-ticks", 0, "the number of price tick for the jump spread, default to 0")

	RootCmd.AddCommand(listOrdersCmd)
	RootCmd.AddCommand(submitOrderCmd)
	RootCmd.AddCommand(executeOrderCmd)
}