FEATURE: cancel maker orders and open take profit order

pkg/strategy/dca2/openPosition.go

@@ -9,6 +9,10 @@ import (
 	"github.com/c9s/bbgo/pkg/types"
 )
 
+type cancelOrdersByGroupIDApi interface {
+	CancelOrdersByGroupID(ctx context.Context, groupID int64) ([]types.Order, error)
+}
+
 func (s *Strategy) placeOpenPositionOrders(ctx context.Context) error {
 	s.logger.Infof("[DCA] start placing open position orders")
 	price, err := getBestPriceUntilSuccess(ctx, s.Session.Exchange, s.Symbol, s.Short)
@@ -111,3 +115,24 @@ func calculateNotionalAndNum(market types.Market, short bool, budget fixedpoint.
 
 	return fixedpoint.Zero, 0
 }
+
+func (s *Strategy) cancelOpenPositionOrders(ctx context.Context) error {
+	s.logger.Info("[DCA] cancel open position orders")
+	e, ok := s.Session.Exchange.(cancelOrdersByGroupIDApi)
+	if ok {
+		cancelledOrders, err := e.CancelOrdersByGroupID(ctx, int64(s.OrderGroupID))
+		if err != nil {
+			return err
+		}
+
+		for _, cancelledOrder := range cancelledOrders {
+			s.logger.Info("CANCEL ", cancelledOrder.String())
+		}
+	} else {
+		if err := s.OrderExecutor.ActiveMakerOrders().GracefulCancel(ctx, s.Session.Exchange); err != nil {
+			return err
+		}
+	}
+
+	return nil
+}

pkg/strategy/dca2/openPosition_test.go

@@ -32,9 +32,13 @@ func newTestStrategy(va ...string) *Strategy {
 
 	market := newTestMarket()
 	s := &Strategy{
-		logger: logrus.NewEntry(logrus.New()),
+		logger:          logrus.NewEntry(logrus.New()),
-		Symbol: symbol,
+		Symbol:          symbol,
-		Market: market,
+		Market:          market,
+		Short:           false,
+		TakeProfitRatio: Number("10%"),
+		makerSide:       types.SideTypeBuy,
+		takeProfitSide:  types.SideTypeSell,
 	}
 	return s
 }

pkg/strategy/dca2/takeProfit.go

@@ -0,0 +1,42 @@
+package dca2
+
+import (
+	"context"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func (s *Strategy) openTakeProfitOrders(ctx context.Context) error {
+	s.logger.Info("[DCA] open take profit orders")
+	takeProfitOrder := s.generateTakeProfitOrder(s.Short, s.Position)
+	createdOrders, err := s.OrderExecutor.SubmitOrders(ctx, takeProfitOrder)
+	if err != nil {
+		return err
+	}
+
+	for _, createdOrder := range createdOrders {
+		s.logger.Info("SUBMIT TAKE PROFIT ORDER ", createdOrder.String())
+	}
+
+	return nil
+}
+
+func (s *Strategy) generateTakeProfitOrder(short bool, position *types.Position) types.SubmitOrder {
+	takeProfitRatio := s.TakeProfitRatio
+	if s.Short {
+		takeProfitRatio = takeProfitRatio.Neg()
+	}
+	takeProfitPrice := s.Market.TruncatePrice(position.AverageCost.Mul(fixedpoint.One.Add(takeProfitRatio)))
+	return types.SubmitOrder{
+		Symbol:      s.Symbol,
+		Market:      s.Market,
+		Type:        types.OrderTypeLimit,
+		Price:       takeProfitPrice,
+		Side:        s.takeProfitSide,
+		TimeInForce: types.TimeInForceGTC,
+		Quantity:    position.GetBase().Abs(),
+		Tag:         orderTag,
+		GroupID:     s.OrderGroupID,
+	}
+}

pkg/strategy/dca2/takeProfit_test.go

@@ -0,0 +1,47 @@
+package dca2
+
+import (
+	"testing"
+
+	. "github.com/c9s/bbgo/pkg/testing/testhelper"
+	"github.com/c9s/bbgo/pkg/types"
+	"github.com/stretchr/testify/assert"
+)
+
+func TestGenerateTakeProfitOrder(t *testing.T) {
+	assert := assert.New(t)
+
+	strategy := newTestStrategy()
+
+	position := types.NewPositionFromMarket(strategy.Market)
+	position.AddTrade(types.Trade{
+		Symbol:        "BTCUSDT",
+		Side:          types.SideTypeBuy,
+		Price:         Number("28500"),
+		Quantity:      Number("1"),
+		QuoteQuantity: Number("28500"),
+		Fee:           Number("0.0015"),
+		FeeCurrency:   strategy.Market.BaseCurrency,
+	})
+
+	o := strategy.generateTakeProfitOrder(false, position)
+	assert.Equal(Number("31397.09"), o.Price)
+	assert.Equal(Number("0.9985"), o.Quantity)
+	assert.Equal(types.SideTypeSell, o.Side)
+	assert.Equal(strategy.Symbol, o.Symbol)
+
+	position.AddTrade(types.Trade{
+		Side:          types.SideTypeBuy,
+		Price:         Number("27000"),
+		Quantity:      Number("0.5"),
+		QuoteQuantity: Number("13500"),
+		Fee:           Number("0.00075"),
+		FeeCurrency:   strategy.Market.BaseCurrency,
+	})
+	o = strategy.generateTakeProfitOrder(false, position)
+	assert.Equal(Number("30846.26"), o.Price)
+	assert.Equal(Number("1.49775"), o.Quantity)
+	assert.Equal(types.SideTypeSell, o.Side)
+	assert.Equal(strategy.Symbol, o.Symbol)
+
+}