cmd: pull out and refine twap order executor command

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
+	},
+}

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/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) {
+			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
 			}
 		}