diff --git a/pkg/cmd/execute_order.go b/pkg/cmd/execute_order.go new file mode 100644 index 000000000..84eb63ec8 --- /dev/null +++ b/pkg/cmd/execute_order.go @@ -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 + }, +} diff --git a/pkg/cmd/orders.go b/pkg/cmd/orders.go index 6d7ae236a..0188097bb 100644 --- a/pkg/cmd/orders.go +++ b/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) } diff --git a/pkg/twap/v2/stream_executor.go b/pkg/twap/v2/stream_executor.go index b58fe4f6e..47e030e11 100644 --- a/pkg/twap/v2/stream_executor.go +++ b/pkg/twap/v2/stream_executor.go @@ -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 } }