bbgo_origin/pkg/cmd/orders.go

package cmd

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

	"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/types"
)

var getOrderCmd = &cobra.Command{
	Use:          "get-order --session SESSION --order-id ORDER_ID",
	Short:        "Get order status",
	SilenceUsage: true,
	PreRunE: cobraInitRequired([]string{
		"order-id",
		"symbol",
	}),
	RunE: func(cmd *cobra.Command, args []string) error {
		ctx := context.Background()

		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)
		}

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

		service, ok := session.Exchange.(types.ExchangeOrderQueryService)
		if !ok {
			return fmt.Errorf("query order status is not supported for exchange %T, interface types.ExchangeOrderQueryService is not implemented", session.Exchange)
		}

		order, err := service.QueryOrder(ctx, types.OrderQuery{
			OrderID: orderID,
		})
		if err != nil {
			return err
		}

		log.Infof("%+v", order)

		return nil
	},
}

// go run ./cmd/bbgo list-orders [open|closed] --session=ftx --symbol=BTCUSDT
var listOrdersCmd = &cobra.Command{
	Use:   "list-orders open|closed --session SESSION --symbol SYMBOL",
	Short: "list user's open orders in exchange of a specific trading pair",
	Args:  cobra.OnlyValidArgs,
	// default is open which means we query open orders if you haven't provided args.
	ValidArgs:    []string{"", "open", "closed"},
	SilenceUsage: true,
	PreRunE: cobraInitRequired([]string{
		"config",
		"session",
		"symbol",
	}),
	RunE: func(cmd *cobra.Command, args []string) error {
		ctx := context.Background()

		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 --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{
		"config",
		"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
		}

		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]",
	Short:        "place order to the exchange",
	SilenceUsage: true,
	PreRunE: cobraInitRequired([]string{
		"config",
		"session",
		"symbol",
		"side",
		"price",
		"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'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 not get side: %w", err)
		}

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

		quantity, err := cmd.Flags().GetString("quantity")
		if err != nil {
			return fmt.Errorf("can not 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{
			Symbol:      symbol,
			Side:        types.SideType(strings.ToUpper(side)),
			Type:        types.OrderTypeLimit,
			Quantity:    fixedpoint.MustNewFromString(quantity),
			Price:       fixedpoint.MustNewFromString(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")

	getOrderCmd.Flags().String("session", "", "the exchange session name for sync")
	getOrderCmd.Flags().String("symbol", "", "the trading pair, like btcusdt")
	getOrderCmd.Flags().String("order-id", "", "order id")

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