mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-21 22:43:52 +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
|
|
@ -0,0 +1,193 @@
|
|||
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/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().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
|
||||
}
|
||||
|
||||
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()
|
||||
|
||||
market, ok := session.Market(symbol)
|
||||
if !ok {
|
||||
return fmt.Errorf("market %s not found", symbol)
|
||||
}
|
||||
|
||||
executor := twap.NewStreamExecutor(session.Exchange, symbol, market, side, targetQuantity, sliceQuantity)
|
||||
executor.SetUpdateInterval(updateInterval)
|
||||
|
||||
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
|
||||
},
|
||||
}
|
||||
|
|
@ -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)
|
||||
}
|
||||
|
|
|
|||
|
|
@ -197,6 +197,14 @@ 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 {
|
||||
|
|
@ -350,24 +358,28 @@ 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) {
|
||||
logrus.Infof("the current order is already on the best ask price %s", orderPrice.String())
|
||||
if tickSpread.Sign() > 0 && orderPrice.Compare(second.Price.Add(tickSpread)) == 0 {
|
||||
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) {
|
||||
logrus.Infof("the current order is already on the best ask price %s", orderPrice.String())
|
||||
if tickSpread.Sign() > 0 && orderPrice.Compare(second.Price.Sub(tickSpread)) == 0 {
|
||||
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
|
||||
}
|
||||
}
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user