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https://github.com/c9s/bbgo.git
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move simple price matching to matching.go
This commit is contained in:
c9s
parent
3778adc8c8
commit
5be4aa53db
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@ -9,192 +9,10 @@ import (
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/exchange/binance"
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"github.com/c9s/bbgo/pkg/exchange/max"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/service"
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"github.com/c9s/bbgo/pkg/types"
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)
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type SimplePriceMatching struct {
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bidOrders []types.Order
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askOrders []types.Order
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LastPrice fixedpoint.Value
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CurrentTime time.Time
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OrderID uint64
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}
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func (m *SimplePriceMatching) PlaceOrder(o types.SubmitOrder) (closedOrders []types.Order, trades []types.Trade, err error) {
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// start from one
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m.OrderID++
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if o.Type == types.OrderTypeMarket {
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order := newOrder(o, m.OrderID, m.CurrentTime)
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order.Status = types.OrderStatusFilled
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order.ExecutedQuantity = order.Quantity
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order.Price = m.LastPrice.Float64()
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closedOrders = append(closedOrders, order)
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trade := m.newTradeFromOrder(order, false)
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trades = append(trades, trade)
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return
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}
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switch o.Side {
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case types.SideTypeBuy:
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m.bidOrders = append(m.bidOrders, newOrder(o, m.OrderID, m.CurrentTime))
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case types.SideTypeSell:
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m.askOrders = append(m.askOrders, newOrder(o, m.OrderID, m.CurrentTime))
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}
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return
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}
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func (m *SimplePriceMatching) newTradeFromOrder(order types.Order, isMaker bool) types.Trade {
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return types.Trade{
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ID: 0,
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OrderID: order.OrderID,
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Exchange: "backtest",
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Price: order.Price,
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Quantity: order.Quantity,
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QuoteQuantity: order.Quantity * order.Price,
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Symbol: order.Symbol,
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Side: order.Side,
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IsBuyer: order.Side == types.SideTypeBuy,
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IsMaker: isMaker,
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Time: m.CurrentTime,
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Fee: order.Quantity * order.Price * 0.0015,
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FeeCurrency: "USDT",
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}
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}
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func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders []types.Order, trades []types.Trade) {
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var priceF = price.Float64()
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var askOrders []types.Order
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for _, o := range m.askOrders {
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switch o.Type {
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case types.OrderTypeStopMarket:
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// should we trigger the order
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if priceF >= o.StopPrice {
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o.ExecutedQuantity = o.Quantity
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o.Price = priceF
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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trade := m.newTradeFromOrder(o, false)
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trades = append(trades, trade)
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} else {
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askOrders = append(askOrders, o)
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}
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case types.OrderTypeStopLimit:
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// should we trigger the order
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if priceF >= o.StopPrice {
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o.Type = types.OrderTypeLimit
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if priceF >= o.Price {
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o.ExecutedQuantity = o.Quantity
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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trade := m.newTradeFromOrder(o, false)
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trades = append(trades, trade)
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} else {
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askOrders = append(askOrders, o)
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}
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} else {
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askOrders = append(askOrders, o)
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}
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case types.OrderTypeLimit:
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if priceF >= o.Price {
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o.ExecutedQuantity = o.Quantity
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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trade := m.newTradeFromOrder(o, true)
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trades = append(trades, trade)
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} else {
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askOrders = append(askOrders, o)
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}
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default:
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askOrders = append(askOrders, o)
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}
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}
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m.askOrders = askOrders
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m.LastPrice = price
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return closedOrders, trades
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}
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func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders []types.Order, trades []types.Trade) {
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var sellPrice = price.Float64()
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var bidOrders []types.Order
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for _, o := range m.bidOrders {
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switch o.Type {
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case types.OrderTypeStopMarket:
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// should we trigger the order
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if sellPrice <= o.StopPrice {
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o.ExecutedQuantity = o.Quantity
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o.Price = sellPrice
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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trade := m.newTradeFromOrder(o, false)
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trades = append(trades, trade)
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} else {
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bidOrders = append(bidOrders, o)
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}
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case types.OrderTypeStopLimit:
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// should we trigger the order
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if sellPrice <= o.StopPrice {
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o.Type = types.OrderTypeLimit
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if sellPrice <= o.Price {
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o.ExecutedQuantity = o.Quantity
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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trade := m.newTradeFromOrder(o, false)
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trades = append(trades, trade)
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} else {
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bidOrders = append(bidOrders, o)
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}
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} else {
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bidOrders = append(bidOrders, o)
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}
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case types.OrderTypeLimit:
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if sellPrice <= o.Price {
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o.ExecutedQuantity = o.Quantity
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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trade := m.newTradeFromOrder(o, true)
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trades = append(trades, trade)
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} else {
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bidOrders = append(bidOrders, o)
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}
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default:
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bidOrders = append(bidOrders, o)
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}
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}
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m.bidOrders = bidOrders
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m.LastPrice = price
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return closedOrders, trades
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}
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type Exchange struct {
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sourceExchange types.ExchangeName
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publicExchange types.Exchange
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@ -77,6 +77,187 @@ func (slice PriceOrderSlice) Upsert(po PriceOrder, descending bool) PriceOrderSl
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return slice
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}
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type SimplePriceMatching struct {
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bidOrders []types.Order
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askOrders []types.Order
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LastPrice fixedpoint.Value
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CurrentTime time.Time
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OrderID uint64
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}
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func (m *SimplePriceMatching) PlaceOrder(o types.SubmitOrder) (closedOrders []types.Order, trades []types.Trade, err error) {
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// start from one
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m.OrderID++
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if o.Type == types.OrderTypeMarket {
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order := newOrder(o, m.OrderID, m.CurrentTime)
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order.Status = types.OrderStatusFilled
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order.ExecutedQuantity = order.Quantity
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order.Price = m.LastPrice.Float64()
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closedOrders = append(closedOrders, order)
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trade := m.newTradeFromOrder(order, false)
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trades = append(trades, trade)
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return
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}
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switch o.Side {
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case types.SideTypeBuy:
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m.bidOrders = append(m.bidOrders, newOrder(o, m.OrderID, m.CurrentTime))
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case types.SideTypeSell:
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m.askOrders = append(m.askOrders, newOrder(o, m.OrderID, m.CurrentTime))
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}
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return
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}
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func (m *SimplePriceMatching) newTradeFromOrder(order types.Order, isMaker bool) types.Trade {
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return types.Trade{
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ID: 0,
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OrderID: order.OrderID,
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Exchange: "backtest",
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Price: order.Price,
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Quantity: order.Quantity,
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QuoteQuantity: order.Quantity * order.Price,
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Symbol: order.Symbol,
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Side: order.Side,
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IsBuyer: order.Side == types.SideTypeBuy,
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IsMaker: isMaker,
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Time: m.CurrentTime,
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Fee: order.Quantity * order.Price * 0.0015,
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FeeCurrency: "USDT",
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}
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}
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func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders []types.Order, trades []types.Trade) {
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var priceF = price.Float64()
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var askOrders []types.Order
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for _, o := range m.askOrders {
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switch o.Type {
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case types.OrderTypeStopMarket:
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// should we trigger the order
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if priceF >= o.StopPrice {
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o.ExecutedQuantity = o.Quantity
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o.Price = priceF
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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trade := m.newTradeFromOrder(o, false)
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trades = append(trades, trade)
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} else {
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askOrders = append(askOrders, o)
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}
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case types.OrderTypeStopLimit:
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// should we trigger the order
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if priceF >= o.StopPrice {
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o.Type = types.OrderTypeLimit
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if priceF >= o.Price {
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o.ExecutedQuantity = o.Quantity
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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trade := m.newTradeFromOrder(o, false)
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trades = append(trades, trade)
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} else {
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askOrders = append(askOrders, o)
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}
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} else {
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askOrders = append(askOrders, o)
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}
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case types.OrderTypeLimit:
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if priceF >= o.Price {
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o.ExecutedQuantity = o.Quantity
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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trade := m.newTradeFromOrder(o, true)
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trades = append(trades, trade)
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} else {
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askOrders = append(askOrders, o)
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}
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default:
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askOrders = append(askOrders, o)
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}
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}
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m.askOrders = askOrders
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m.LastPrice = price
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return closedOrders, trades
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}
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func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders []types.Order, trades []types.Trade) {
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var sellPrice = price.Float64()
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var bidOrders []types.Order
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for _, o := range m.bidOrders {
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switch o.Type {
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case types.OrderTypeStopMarket:
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// should we trigger the order
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if sellPrice <= o.StopPrice {
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o.ExecutedQuantity = o.Quantity
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o.Price = sellPrice
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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trade := m.newTradeFromOrder(o, false)
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trades = append(trades, trade)
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} else {
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bidOrders = append(bidOrders, o)
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}
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case types.OrderTypeStopLimit:
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// should we trigger the order
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if sellPrice <= o.StopPrice {
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o.Type = types.OrderTypeLimit
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if sellPrice <= o.Price {
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o.ExecutedQuantity = o.Quantity
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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trade := m.newTradeFromOrder(o, false)
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trades = append(trades, trade)
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} else {
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bidOrders = append(bidOrders, o)
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}
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} else {
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bidOrders = append(bidOrders, o)
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}
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case types.OrderTypeLimit:
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if sellPrice <= o.Price {
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o.ExecutedQuantity = o.Quantity
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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trade := m.newTradeFromOrder(o, true)
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trades = append(trades, trade)
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} else {
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bidOrders = append(bidOrders, o)
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}
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default:
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bidOrders = append(bidOrders, o)
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}
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}
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m.bidOrders = bidOrders
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m.LastPrice = price
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return closedOrders, trades
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}
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type Matching struct {
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Symbol string
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Asks PriceOrderSlice
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