mirror of
https://github.com/c9s/bbgo.git
synced 2024-09-20 00:01:09 +00:00
cmd: pull out and refine twap order executor command
This commit is contained in:
c9s
parent
6d3a18ad55
commit
48029f95cc
193
pkg/cmd/execute_order.go
Normal file
193
pkg/cmd/execute_order.go
Normal file
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@ -0,0 +1,193 @@
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package cmd
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import (
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"context"
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"fmt"
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"os"
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"os/signal"
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"syscall"
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"time"
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"github.com/pkg/errors"
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"github.com/sirupsen/logrus"
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"github.com/spf13/cobra"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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_ "github.com/c9s/bbgo/pkg/twap"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/twap/v2"
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)
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func init() {
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executeOrderCmd.Flags().String("session", "", "the exchange session name for sync")
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executeOrderCmd.Flags().String("symbol", "", "the trading pair, like btcusdt")
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executeOrderCmd.Flags().String("side", "", "the trading side: buy or sell")
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executeOrderCmd.Flags().String("target-quantity", "", "target quantity")
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executeOrderCmd.Flags().String("slice-quantity", "", "slice quantity")
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executeOrderCmd.Flags().String("stop-price", "0", "stop price")
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executeOrderCmd.Flags().Duration("update-interval", time.Second*10, "order update time")
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executeOrderCmd.Flags().Duration("delay-interval", time.Second*3, "order delay time after filled")
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executeOrderCmd.Flags().Duration("deadline", 0, "deadline duration of the order execution, e.g. 1h")
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executeOrderCmd.Flags().Int("price-ticks", 0, "the number of price tick for the jump spread, default to 0")
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RootCmd.AddCommand(executeOrderCmd)
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}
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var executeOrderCmd = &cobra.Command{
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Use: "execute-order --session SESSION --symbol SYMBOL --side SIDE --target-quantity TOTAL_QUANTITY --slice-quantity SLICE_QUANTITY",
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Short: "execute buy/sell on the balance/position you have on specific symbol",
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SilenceUsage: true,
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PreRunE: cobraInitRequired([]string{
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"symbol",
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"side",
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"target-quantity",
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"slice-quantity",
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}),
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RunE: func(cmd *cobra.Command, args []string) error {
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ctx := context.Background()
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sessionName, err := cmd.Flags().GetString("session")
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if err != nil {
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return err
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}
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symbol, err := cmd.Flags().GetString("symbol")
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if err != nil {
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return fmt.Errorf("can not get the symbol from flags: %w", err)
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}
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if symbol == "" {
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return fmt.Errorf("symbol not found")
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}
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sideS, err := cmd.Flags().GetString("side")
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if err != nil {
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return fmt.Errorf("can't get side: %w", err)
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}
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side, err := types.StrToSideType(sideS)
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if err != nil {
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return err
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}
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targetQuantityS, err := cmd.Flags().GetString("target-quantity")
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if err != nil {
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return err
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}
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if len(targetQuantityS) == 0 {
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return errors.New("--target-quantity can not be empty")
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}
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targetQuantity, err := fixedpoint.NewFromString(targetQuantityS)
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if err != nil {
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return err
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}
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sliceQuantityS, err := cmd.Flags().GetString("slice-quantity")
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if err != nil {
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return err
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}
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if len(sliceQuantityS) == 0 {
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return errors.New("--slice-quantity can not be empty")
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}
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sliceQuantity, err := fixedpoint.NewFromString(sliceQuantityS)
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if err != nil {
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return err
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}
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numOfPriceTicks, err := cmd.Flags().GetInt("price-ticks")
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if err != nil {
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return err
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}
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stopPriceS, err := cmd.Flags().GetString("stop-price")
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if err != nil {
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return err
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}
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stopPrice, err := fixedpoint.NewFromString(stopPriceS)
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if err != nil {
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return err
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}
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updateInterval, err := cmd.Flags().GetDuration("update-interval")
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if err != nil {
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return err
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}
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deadlineDuration, err := cmd.Flags().GetDuration("deadline")
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if err != nil {
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return err
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}
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var deadlineTime time.Time
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if deadlineDuration > 0 {
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deadlineTime = time.Now().Add(deadlineDuration)
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}
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environ := bbgo.NewEnvironment()
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if err := environ.ConfigureExchangeSessions(userConfig); err != nil {
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return err
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}
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if err := environ.Init(ctx); err != nil {
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return err
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}
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session, ok := environ.Session(sessionName)
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if !ok {
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return fmt.Errorf("session %s not found", sessionName)
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}
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executionCtx, cancelExecution := context.WithCancel(ctx)
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defer cancelExecution()
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market, ok := session.Market(symbol)
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if !ok {
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return fmt.Errorf("market %s not found", symbol)
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}
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executor := twap.NewStreamExecutor(session.Exchange, symbol, market, side, targetQuantity, sliceQuantity)
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executor.SetUpdateInterval(updateInterval)
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if stopPrice.Sign() > 0 {
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executor.SetStopPrice(stopPrice)
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}
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// NumOfTicks: numOfPriceTicks,
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if !deadlineTime.IsZero() {
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executor.SetDeadlineTime(deadlineTime)
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}
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if numOfPriceTicks > 0 {
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executor.SetNumOfTicks(numOfPriceTicks)
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}
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if err := executor.Start(executionCtx); err != nil {
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return err
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}
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var sigC = make(chan os.Signal, 1)
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signal.Notify(sigC, syscall.SIGINT, syscall.SIGTERM)
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defer signal.Stop(sigC)
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select {
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case <-ctx.Done():
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case sig := <-sigC:
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logrus.Warnf("signal %v", sig)
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logrus.Infof("shutting down order executor...")
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shutdownCtx, cancelShutdown := context.WithDeadline(ctx, time.Now().Add(10*time.Second))
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executor.Shutdown(shutdownCtx)
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cancelShutdown()
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case <-executor.Done():
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logrus.Infof("the order execution is completed")
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}
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return nil
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},
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}
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@ -3,20 +3,14 @@ package cmd
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import (
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"context"
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"fmt"
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"os"
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"os/signal"
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"strings"
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"syscall"
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"time"
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"github.com/pkg/errors"
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log "github.com/sirupsen/logrus"
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"github.com/spf13/cobra"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/twap"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -146,155 +140,6 @@ var listOrdersCmd = &cobra.Command{
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},
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}
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var executeOrderCmd = &cobra.Command{
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Use: "execute-order --session SESSION --symbol SYMBOL --side SIDE --target-quantity TOTAL_QUANTITY --slice-quantity SLICE_QUANTITY",
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Short: "execute buy/sell on the balance/position you have on specific symbol",
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SilenceUsage: true,
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PreRunE: cobraInitRequired([]string{
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"symbol",
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"side",
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"target-quantity",
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"slice-quantity",
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}),
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RunE: func(cmd *cobra.Command, args []string) error {
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ctx := context.Background()
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sessionName, err := cmd.Flags().GetString("session")
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if err != nil {
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return err
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}
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symbol, err := cmd.Flags().GetString("symbol")
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if err != nil {
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return fmt.Errorf("can not get the symbol from flags: %w", err)
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}
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if symbol == "" {
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return fmt.Errorf("symbol not found")
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}
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sideS, err := cmd.Flags().GetString("side")
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if err != nil {
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return fmt.Errorf("can't get side: %w", err)
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}
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side, err := types.StrToSideType(sideS)
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if err != nil {
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return err
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}
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targetQuantityS, err := cmd.Flags().GetString("target-quantity")
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if err != nil {
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return err
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}
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if len(targetQuantityS) == 0 {
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return errors.New("--target-quantity can not be empty")
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}
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targetQuantity, err := fixedpoint.NewFromString(targetQuantityS)
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if err != nil {
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return err
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}
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sliceQuantityS, err := cmd.Flags().GetString("slice-quantity")
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if err != nil {
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return err
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}
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if len(sliceQuantityS) == 0 {
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return errors.New("--slice-quantity can not be empty")
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}
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sliceQuantity, err := fixedpoint.NewFromString(sliceQuantityS)
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if err != nil {
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return err
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}
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numOfPriceTicks, err := cmd.Flags().GetInt("price-ticks")
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if err != nil {
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return err
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}
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stopPriceS, err := cmd.Flags().GetString("stop-price")
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if err != nil {
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return err
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}
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stopPrice, err := fixedpoint.NewFromString(stopPriceS)
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if err != nil {
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return err
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}
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updateInterval, err := cmd.Flags().GetDuration("update-interval")
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if err != nil {
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return err
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}
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deadlineDuration, err := cmd.Flags().GetDuration("deadline")
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if err != nil {
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return err
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}
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var deadlineTime time.Time
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if deadlineDuration > 0 {
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deadlineTime = time.Now().Add(deadlineDuration)
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}
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environ := bbgo.NewEnvironment()
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if err := environ.ConfigureExchangeSessions(userConfig); err != nil {
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return err
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}
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if err := environ.Init(ctx); err != nil {
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return err
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}
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session, ok := environ.Session(sessionName)
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if !ok {
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return fmt.Errorf("session %s not found", sessionName)
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}
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executionCtx, cancelExecution := context.WithCancel(ctx)
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defer cancelExecution()
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execution := &twap.StreamExecutor{
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Session: session,
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Symbol: symbol,
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Side: side,
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TargetQuantity: targetQuantity,
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SliceQuantity: sliceQuantity,
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StopPrice: stopPrice,
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NumOfTicks: numOfPriceTicks,
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UpdateInterval: updateInterval,
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DeadlineTime: deadlineTime,
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}
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if err := execution.Run(executionCtx); err != nil {
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return err
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}
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var sigC = make(chan os.Signal, 1)
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signal.Notify(sigC, syscall.SIGINT, syscall.SIGTERM)
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defer signal.Stop(sigC)
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select {
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case sig := <-sigC:
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log.Warnf("signal %v", sig)
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log.Infof("shutting down order executor...")
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shutdownCtx, cancelShutdown := context.WithDeadline(ctx, time.Now().Add(10*time.Second))
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execution.Shutdown(shutdownCtx)
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cancelShutdown()
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case <-execution.Done():
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log.Infof("the order execution is completed")
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case <-ctx.Done():
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}
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return nil
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},
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}
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// go run ./cmd/bbgo submit-order --session=ftx --symbol=BTCUSDT --side=buy --price=18000 --quantity=0.001
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var submitOrderCmd = &cobra.Command{
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Use: "submit-order --session SESSION --symbol SYMBOL --side SIDE --quantity QUANTITY [--price PRICE]",
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@ -414,18 +259,7 @@ func init() {
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submitOrderCmd.Flags().Bool("market", false, "submit order as a market order")
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submitOrderCmd.Flags().String("margin-side-effect", "", "margin order side effect")
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executeOrderCmd.Flags().String("session", "", "the exchange session name for sync")
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executeOrderCmd.Flags().String("symbol", "", "the trading pair, like btcusdt")
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executeOrderCmd.Flags().String("side", "", "the trading side: buy or sell")
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executeOrderCmd.Flags().String("target-quantity", "", "target quantity")
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executeOrderCmd.Flags().String("slice-quantity", "", "slice quantity")
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executeOrderCmd.Flags().String("stop-price", "0", "stop price")
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executeOrderCmd.Flags().Duration("update-interval", time.Second*10, "order update time")
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executeOrderCmd.Flags().Duration("deadline", 0, "deadline of the order execution")
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executeOrderCmd.Flags().Int("price-ticks", 0, "the number of price tick for the jump spread, default to 0")
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RootCmd.AddCommand(listOrdersCmd)
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RootCmd.AddCommand(getOrderCmd)
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RootCmd.AddCommand(submitOrderCmd)
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RootCmd.AddCommand(executeOrderCmd)
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}
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@ -197,6 +197,14 @@ func (e *FixedQuantityExecutor) SetUpdateInterval(updateInterval time.Duration)
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e.updateInterval = updateInterval
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}
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func (e *FixedQuantityExecutor) SetNumOfTicks(numOfTicks int) {
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e.numOfTicks = numOfTicks
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}
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func (e *FixedQuantityExecutor) SetStopPrice(price fixedpoint.Value) {
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e.stopPrice = price
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}
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func (e *FixedQuantityExecutor) connectMarketData(ctx context.Context) {
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e.logger.Infof("connecting market data stream...")
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if err := e.marketDataStream.Connect(ctx); err != nil {
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@ -350,24 +358,28 @@ func (e *FixedQuantityExecutor) updateOrder(ctx context.Context) error {
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// DO NOT UPDATE IF:
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// tickSpread > 0 AND current order price == second price + tickSpread
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// current order price == first price
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logrus.Infof("orderPrice = %s first.Price = %s second.Price = %s tickSpread = %s", orderPrice.String(), first.Price.String(), second.Price.String(), tickSpread.String())
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logrus.Infof("orderPrice = %s, best price = %s, second level price = %s, tickSpread = %s",
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orderPrice.String(),
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first.Price.String(),
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second.Price.String(),
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tickSpread.String())
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switch e.side {
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case types.SideTypeBuy:
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if tickSpread.Sign() > 0 && orderPrice == second.Price.Add(tickSpread) {
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logrus.Infof("the current order is already on the best ask price %s", orderPrice.String())
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if tickSpread.Sign() > 0 && orderPrice.Compare(second.Price.Add(tickSpread)) == 0 {
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e.logger.Infof("the current order is already on the best ask price %s, skip update", orderPrice.String())
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return nil
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} else if orderPrice == first.Price {
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logrus.Infof("the current order is already on the best bid price %s", orderPrice.String())
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e.logger.Infof("the current order is already on the best bid price %s, skip update", orderPrice.String())
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return nil
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}
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case types.SideTypeSell:
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if tickSpread.Sign() > 0 && orderPrice == second.Price.Sub(tickSpread) {
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logrus.Infof("the current order is already on the best ask price %s", orderPrice.String())
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if tickSpread.Sign() > 0 && orderPrice.Compare(second.Price.Sub(tickSpread)) == 0 {
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e.logger.Infof("the current order is already on the best ask price %s, skip update", orderPrice.String())
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return nil
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} else if orderPrice == first.Price {
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logrus.Infof("the current order is already on the best ask price %s", orderPrice.String())
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e.logger.Infof("the current order is already on the best ask price %s, skip update", orderPrice.String())
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return nil
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}
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}
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