Merge pull request #1699 from c9s/c9s/refactor-twap

REFACTOR: [twap] upgrade twap command and add optional order update rate limiter

pkg/cmd/execute_order.go

@@ -0,0 +1,221 @@
+package cmd
+
+import (
+	"context"
+	"fmt"
+	"os"
+	"os/signal"
+	"syscall"
+	"time"
+
+	"github.com/pkg/errors"
+	"github.com/sirupsen/logrus"
+	"github.com/spf13/cobra"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	_ "github.com/c9s/bbgo/pkg/twap"
+	"github.com/c9s/bbgo/pkg/types"
+	"github.com/c9s/bbgo/pkg/util"
+
+	"github.com/c9s/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
+	},
+}

pkg/cmd/orders.go

@@ -3,20 +3,14 @@ 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/twap"
-
 	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -146,155 +140,6 @@ var listOrdersCmd = &cobra.Command{
 	},
 }
 
-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
-		}
-
-		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 := &twap.StreamExecutor{
-			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]",
@@ -414,18 +259,7 @@ func init() {
 	submitOrderCmd.Flags().Bool("market", false, "submit order as a market order")
 	submitOrderCmd.Flags().String("margin-side-effect", "", "margin order side effect")
 
-	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)
 }

pkg/twap/v2/bbomonitor.go

@@ -21,7 +21,7 @@ func NewBboMonitor() *BboMonitor {
 	return &BboMonitor{}
 }
 
-func (m *BboMonitor) OnUpdateFromBook(book *types.StreamOrderBook) bool {
+func (m *BboMonitor) UpdateFromBook(book *types.StreamOrderBook) bool {
 	bestBid, ok1 := book.BestBid()
 	bestAsk, ok2 := book.BestAsk()
 	if !ok1 || !ok2 {

pkg/twap/v2/done.go

@@ -0,0 +1,39 @@
+package twap
+
+import "sync"
+
+type DoneSignal struct {
+	doneC chan struct{}
+	mu    sync.Mutex
+}
+
+func NewDoneSignal() *DoneSignal {
+	return &DoneSignal{
+		doneC: make(chan struct{}),
+	}
+}
+
+func (e *DoneSignal) Emit() {
+	e.mu.Lock()
+	if e.doneC == nil {
+		e.doneC = make(chan struct{})
+	}
+
+	close(e.doneC)
+	e.mu.Unlock()
+}
+
+// Chan returns a channel that emits a signal when the execution is done.
+func (e *DoneSignal) Chan() (c <-chan struct{}) {
+	// if the channel is not allocated, it means it's not started yet, we need to return a closed channel
+	e.mu.Lock()
+	if e.doneC == nil {
+		e.doneC = make(chan struct{})
+		c = e.doneC
+	} else {
+		c = e.doneC
+	}
+	e.mu.Unlock()
+
+	return c
+}

pkg/twap/v2/stream_executor.go

@@ -8,6 +8,7 @@ import (
 	"time"
 
 	"github.com/sirupsen/logrus"
+	"golang.org/x/time/rate"
 
 	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/core"
@@ -17,42 +18,6 @@ import (
 
 var defaultUpdateInterval = time.Minute
 
-type DoneSignal struct {
-	doneC chan struct{}
-	mu    sync.Mutex
-}
-
-func NewDoneSignal() *DoneSignal {
-	return &DoneSignal{
-		doneC: make(chan struct{}),
-	}
-}
-
-func (e *DoneSignal) Emit() {
-	e.mu.Lock()
-	if e.doneC == nil {
-		e.doneC = make(chan struct{})
-	}
-
-	close(e.doneC)
-	e.mu.Unlock()
-}
-
-// Chan returns a channel that emits a signal when the execution is done.
-func (e *DoneSignal) Chan() (c <-chan struct{}) {
-	// if the channel is not allocated, it means it's not started yet, we need to return a closed channel
-	e.mu.Lock()
-	if e.doneC == nil {
-		e.doneC = make(chan struct{})
-		c = e.doneC
-	} else {
-		c = e.doneC
-	}
-	e.mu.Unlock()
-
-	return c
-}
-
 // FixedQuantityExecutor is a TWAP executor that places orders on the exchange using the exchange's stream API.
 // It uses a fixed target quantity to place orders.
 type FixedQuantityExecutor struct {
@@ -94,10 +59,11 @@ type FixedQuantityExecutor struct {
 
 	userDataStream types.Stream
 
-	activeMakerOrders *bbgo.ActiveOrderBook
+	orderUpdateRateLimit *rate.Limiter
-	orderStore        *core.OrderStore
+	activeMakerOrders    *bbgo.ActiveOrderBook
-	position          *types.Position
+	orderStore           *core.OrderStore
-	tradeCollector    *core.TradeCollector
+	position             *types.Position
+	tradeCollector       *core.TradeCollector
 
 	logger logrus.FieldLogger
 
@@ -108,7 +74,7 @@ type FixedQuantityExecutor struct {
 	done                     *DoneSignal
 }
 
-func NewStreamExecutor(
+func NewFixedQuantityExecutor(
 	exchange types.Exchange,
 	symbol string,
 	market types.Market,
@@ -197,6 +163,14 @@ func (e *FixedQuantityExecutor) SetUpdateInterval(updateInterval time.Duration)
 	e.updateInterval = updateInterval
 }
 
+func (e *FixedQuantityExecutor) SetNumOfTicks(numOfTicks int) {
+	e.numOfTicks = numOfTicks
+}
+
+func (e *FixedQuantityExecutor) SetStopPrice(price fixedpoint.Value) {
+	e.stopPrice = price
+}
+
 func (e *FixedQuantityExecutor) connectMarketData(ctx context.Context) {
 	e.logger.Infof("connecting market data stream...")
 	if err := e.marketDataStream.Connect(ctx); err != nil {
@@ -234,6 +208,10 @@ func (e *FixedQuantityExecutor) cancelContextIfTargetQuantityFilled() bool {
 	return false
 }
 
+func (e *FixedQuantityExecutor) SetOrderUpdateRateLimit(rateLimit *rate.Limiter) {
+	e.orderUpdateRateLimit = rateLimit
+}
+
 func (e *FixedQuantityExecutor) cancelActiveOrders(ctx context.Context) error {
 	gracefulCtx, gracefulCancel := context.WithTimeout(ctx, 30*time.Second)
 	defer gracefulCancel()
@@ -241,8 +219,6 @@ func (e *FixedQuantityExecutor) cancelActiveOrders(ctx context.Context) error {
 }
 
 func (e *FixedQuantityExecutor) orderUpdater(ctx context.Context) {
-	// updateLimiter := rate.NewLimiter(rate.Every(3*time.Second), 2)
-
 	defer func() {
 		if err := e.cancelActiveOrders(ctx); err != nil {
 			e.logger.WithError(err).Error("cancel active orders error")
@@ -263,18 +239,12 @@ func (e *FixedQuantityExecutor) orderUpdater(ctx context.Context) {
 			return
 
 		case <-e.orderBook.C:
-			changed := monitor.OnUpdateFromBook(e.orderBook)
+			changed := monitor.UpdateFromBook(e.orderBook)
 			if !changed {
 				continue
 			}
 
 			// orderBook.C sends a signal when any price or quantity changes in the order book
-			/*
-				if !updateLimiter.Allow() {
-					break
-				}
-			*/
-
 			if e.cancelContextIfTargetQuantityFilled() {
 				return
 			}
@@ -286,17 +256,11 @@ func (e *FixedQuantityExecutor) orderUpdater(ctx context.Context) {
 			}
 
 		case <-ticker.C:
-			changed := monitor.OnUpdateFromBook(e.orderBook)
+			changed := monitor.UpdateFromBook(e.orderBook)
 			if !changed {
 				continue
 			}
 
-			/*
-				if !updateLimiter.Allow() {
-					break
-				}
-			*/
-
 			if e.cancelContextIfTargetQuantityFilled() {
 				return
 			}
@@ -309,6 +273,11 @@ func (e *FixedQuantityExecutor) orderUpdater(ctx context.Context) {
 }
 
 func (e *FixedQuantityExecutor) updateOrder(ctx context.Context) error {
+	if e.orderUpdateRateLimit != nil && !e.orderUpdateRateLimit.Allow() {
+		e.logger.Infof("rate limit exceeded, skip updating order")
+		return nil
+	}
+
 	book := e.orderBook.Copy()
 	sideBook := book.SideBook(e.side)
 
@@ -350,24 +319,28 @@ func (e *FixedQuantityExecutor) updateOrder(ctx context.Context) error {
 		// DO NOT UPDATE IF:
 		//   tickSpread > 0 AND current order price == second price + tickSpread
 		//   current order price == first price
-		logrus.Infof("orderPrice = %s first.Price = %s second.Price = %s tickSpread = %s", orderPrice.String(), first.Price.String(), second.Price.String(), tickSpread.String())
+		logrus.Infof("orderPrice = %s, best price = %s, second level price = %s, tickSpread = %s",
+			orderPrice.String(),
+			first.Price.String(),
+			second.Price.String(),
+			tickSpread.String())
 
 		switch e.side {
 		case types.SideTypeBuy:
-			if tickSpread.Sign() > 0 && orderPrice == second.Price.Add(tickSpread) {
+			if tickSpread.Sign() > 0 && orderPrice.Compare(second.Price.Add(tickSpread)) == 0 {
-				logrus.Infof("the current order is already on the best ask price %s", orderPrice.String())
+				e.logger.Infof("the current order is already on the best ask price %s, skip update", orderPrice.String())
 				return nil
 			} else if orderPrice == first.Price {
-				logrus.Infof("the current order is already on the best bid price %s", orderPrice.String())
+				e.logger.Infof("the current order is already on the best bid price %s, skip update", orderPrice.String())
 				return nil
 			}
 
 		case types.SideTypeSell:
-			if tickSpread.Sign() > 0 && orderPrice == second.Price.Sub(tickSpread) {
+			if tickSpread.Sign() > 0 && orderPrice.Compare(second.Price.Sub(tickSpread)) == 0 {
-				logrus.Infof("the current order is already on the best ask price %s", orderPrice.String())
+				e.logger.Infof("the current order is already on the best ask price %s, skip update", orderPrice.String())
 				return nil
 			} else if orderPrice == first.Price {
-				logrus.Infof("the current order is already on the best ask price %s", orderPrice.String())
+				e.logger.Infof("the current order is already on the best ask price %s, skip update", orderPrice.String())
 				return nil
 			}
 		}
@@ -379,6 +352,10 @@ func (e *FixedQuantityExecutor) updateOrder(ctx context.Context) error {
 
 	e.tradeCollector.Process()
 
+	if e.delayInterval > 0 {
+		time.Sleep(e.delayInterval)
+	}
+
 	orderForm, err := e.generateOrder()
 	if err != nil {
 		return err
@@ -386,7 +363,11 @@ func (e *FixedQuantityExecutor) updateOrder(ctx context.Context) error {
 		return nil
 	}
 
-	createdOrder, err := e.exchange.SubmitOrder(ctx, *orderForm)
+	return e.submitOrder(ctx, *orderForm)
+}
+
+func (e *FixedQuantityExecutor) submitOrder(ctx context.Context, orderForm types.SubmitOrder) error {
+	createdOrder, err := e.exchange.SubmitOrder(ctx, orderForm)
 	if err != nil {
 		return err
 	}
@@ -603,6 +584,8 @@ func (e *FixedQuantityExecutor) Done() <-chan struct{} {
 // 1. Stop the order updater (by using the execution context)
 // 2. The order updater cancels all open orders and closes the user data stream
 func (e *FixedQuantityExecutor) Shutdown(shutdownCtx context.Context) {
+	e.tradeCollector.Process()
+
 	e.mu.Lock()
 	if e.cancelExecution != nil {
 		e.cancelExecution()

pkg/twap/v2/stream_executor_test.go

@@ -170,7 +170,7 @@ func TestNewStreamExecutor(t *testing.T) {
 	}
 	mockEx.EXPECT().SubmitOrder(gomock.AssignableToTypeOf(ctx), firstSubmitOrder).Return(&firstOrder, nil)
 
-	executor := NewStreamExecutor(mockEx, symbol, market, types.SideTypeBuy, targetQuantity, sliceQuantity)
+	executor := NewFixedQuantityExecutor(mockEx, symbol, market, types.SideTypeBuy, targetQuantity, sliceQuantity)
 	executor.SetUpdateInterval(200 * time.Millisecond)
 
 	go func() {

pkg/util/rate_limit.go

@@ -4,6 +4,7 @@ import (
 	"fmt"
 	"time"
 
+	log "github.com/sirupsen/logrus"
 	"golang.org/x/time/rate"
 )
 
@@ -17,3 +18,41 @@ func NewValidLimiter(r rate.Limit, b int) (*rate.Limiter, error) {
 	}
 	return rate.NewLimiter(r, b), nil
 }
+
+// ParseRateLimitSyntax parses the rate limit syntax into the rate.Limiter parameters
+// sample inputs:
+//
+//		 2+1/5s (2 initial tokens, 1 token per 5 seconds)
+//		 5+3/1m (5 initial tokens, 3 tokens per minute)
+//	     3m (3 tokens per minute)
+//	     1/3m (1 token per 3 minutes)
+func ParseRateLimitSyntax(desc string) (*rate.Limiter, error) {
+	var b = 0
+	var r = 1.0
+	var durStr string
+	var duration time.Duration
+
+	_, err := fmt.Sscanf(desc, "%d+%f/%s", &b, &r, &durStr)
+	if err != nil {
+		b = 0
+		r = 1.0
+		_, err = fmt.Sscanf(desc, "%f/%s", &r, &durStr)
+		if err != nil {
+			durStr = desc
+			// need to reset
+			b = 1
+			r = 1.0
+		}
+	}
+
+	duration, err = time.ParseDuration(durStr)
+	if err != nil {
+		return nil, fmt.Errorf("invalid rate limit syntax: b+n/duration, err: %v", err)
+	}
+	if r == 1.0 {
+		return NewValidLimiter(rate.Every(duration), b)
+	}
+
+	log.Infof("%v %v", duration, r)
+	return NewValidLimiter(rate.Every(time.Duration(float64(duration)/r)), b)
+}

pkg/util/rate_limit_test.go

@@ -41,3 +41,32 @@ func TestShouldDelay(t *testing.T) {
 		assert.True(t, ShouldDelay(limiter, minInterval) > 0)
 	}
 }
+
+func TestParseRateLimitSyntax(t *testing.T) {
+	var tests = []struct {
+		desc          string
+		expectedBurst int
+		expectedRate  float64
+
+		wantErr bool
+	}{
+		{"2+1/5s", 2, 1.0 / 5.0, false},
+		{"5+1/3m", 5, 1 / 3 * 60.0, false},
+		{"1m", 1, 1.0 / 60.0, false},
+	}
+	for _, test := range tests {
+		t.Run(test.desc, func(t *testing.T) {
+			limiter, err := ParseRateLimitSyntax(test.desc)
+			if test.wantErr {
+				assert.Error(t, err)
+			} else if assert.NoError(t, err) {
+				assert.NotNil(t, limiter)
+				burst := limiter.Burst()
+				assert.Equal(t, test.expectedBurst, burst)
+
+				limit := limiter.Limit()
+				assert.InDeltaf(t, test.expectedRate, float64(limit), 0.01, "expected rate %f, got %f", test.expectedRate, limit)
+			}
+		})
+	}
+}