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twap: move twap execution to a single package
This commit is contained in:
c9s
parent
daa1def6d9
commit
621a2b86cf
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@ -14,6 +14,7 @@ import (
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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/types"
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@ -255,7 +256,7 @@ var executeOrderCmd = &cobra.Command{
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executionCtx, cancelExecution := context.WithCancel(ctx)
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defer cancelExecution()
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execution := &bbgo.TwapExecution{
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execution := &twap.Execution{
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Session: session,
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Symbol: symbol,
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Side: side,
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@ -1,4 +1,4 @@
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package bbgo
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package twap
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import (
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"context"
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@ -7,16 +7,17 @@ import (
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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/sirupsen/logrus"
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"golang.org/x/time/rate"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/core"
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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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type TwapExecution struct {
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Session *ExchangeSession
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type Execution struct {
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Session *bbgo.ExchangeSession
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Symbol string
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Side types.SideType
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TargetQuantity fixedpoint.Value
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@ -37,7 +38,7 @@ type TwapExecution struct {
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currentPrice fixedpoint.Value
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activePosition fixedpoint.Value
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activeMakerOrders *ActiveOrderBook
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activeMakerOrders *bbgo.ActiveOrderBook
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orderStore *core.OrderStore
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position *types.Position
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@ -51,21 +52,21 @@ type TwapExecution struct {
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mu sync.Mutex
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}
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func (e *TwapExecution) connectMarketData(ctx context.Context) {
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log.Infof("connecting market data stream...")
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func (e *Execution) connectMarketData(ctx context.Context) {
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logrus.Infof("connecting market data stream...")
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if err := e.marketDataStream.Connect(ctx); err != nil {
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log.WithError(err).Errorf("market data stream connect error")
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logrus.WithError(err).Errorf("market data stream connect error")
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}
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}
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func (e *TwapExecution) connectUserData(ctx context.Context) {
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log.Infof("connecting user data stream...")
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func (e *Execution) connectUserData(ctx context.Context) {
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logrus.Infof("connecting user data stream...")
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if err := e.userDataStream.Connect(ctx); err != nil {
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log.WithError(err).Errorf("user data stream connect error")
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logrus.WithError(err).Errorf("user data stream connect error")
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}
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}
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func (e *TwapExecution) newBestPriceOrder() (orderForm types.SubmitOrder, err error) {
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func (e *Execution) newBestPriceOrder() (orderForm types.SubmitOrder, err error) {
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book := e.orderBook.Copy()
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sideBook := book.SideBook(e.Side)
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@ -111,7 +112,7 @@ func (e *TwapExecution) newBestPriceOrder() (orderForm types.SubmitOrder, err er
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switch e.Side {
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case types.SideTypeSell:
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if newPrice.Compare(e.StopPrice) < 0 {
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log.Infof("%s order price %s is lower than the stop sell price %s, setting order price to the stop sell price %s",
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logrus.Infof("%s order price %s is lower than the stop sell price %s, setting order price to the stop sell price %s",
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e.Symbol,
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newPrice.String(),
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e.StopPrice.String(),
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@ -121,7 +122,7 @@ func (e *TwapExecution) newBestPriceOrder() (orderForm types.SubmitOrder, err er
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case types.SideTypeBuy:
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if newPrice.Compare(e.StopPrice) > 0 {
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log.Infof("%s order price %s is higher than the stop buy price %s, setting order price to the stop buy price %s",
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logrus.Infof("%s order price %s is higher than the stop buy price %s, setting order price to the stop buy price %s",
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e.Symbol,
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newPrice.String(),
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e.StopPrice.String(),
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@ -157,7 +158,7 @@ func (e *TwapExecution) newBestPriceOrder() (orderForm types.SubmitOrder, err er
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}
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minNotional := e.market.MinNotional
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orderQuantity = AdjustQuantityByMinAmount(orderQuantity, newPrice, minNotional)
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orderQuantity = bbgo.AdjustQuantityByMinAmount(orderQuantity, newPrice, minNotional)
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switch e.Side {
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case types.SideTypeSell:
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@ -169,11 +170,11 @@ func (e *TwapExecution) newBestPriceOrder() (orderForm types.SubmitOrder, err er
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case types.SideTypeBuy:
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// check base balance for sell, try to sell as more as possible
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if b, ok := e.Session.GetAccount().Balance(e.market.QuoteCurrency); ok {
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orderQuantity = AdjustQuantityByMaxAmount(orderQuantity, newPrice, b.Available)
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orderQuantity = bbgo.AdjustQuantityByMaxAmount(orderQuantity, newPrice, b.Available)
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}
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}
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if e.DeadlineTime != emptyTime {
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if !e.DeadlineTime.IsZero() {
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now := time.Now()
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if now.After(e.DeadlineTime) {
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orderForm = types.SubmitOrder{
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@ -200,7 +201,7 @@ func (e *TwapExecution) newBestPriceOrder() (orderForm types.SubmitOrder, err er
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return orderForm, err
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}
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func (e *TwapExecution) updateOrder(ctx context.Context) error {
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func (e *Execution) updateOrder(ctx context.Context) error {
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book := e.orderBook.Copy()
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sideBook := book.SideBook(e.Side)
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@ -224,7 +225,7 @@ func (e *TwapExecution) updateOrder(ctx context.Context) error {
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orders := e.activeMakerOrders.Orders()
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if len(orders) > 1 {
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log.Warnf("more than 1 %s open orders in the strategy...", e.Symbol)
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logrus.Warnf("more than 1 %s open orders in the strategy...", e.Symbol)
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}
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// get the first order
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@ -234,7 +235,7 @@ func (e *TwapExecution) updateOrder(ctx context.Context) error {
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remainingQuantity := order.Quantity.Sub(order.ExecutedQuantity)
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if remainingQuantity.Compare(e.market.MinQuantity) <= 0 {
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log.Infof("order remaining quantity %s is less than the market minimal quantity %s, skip updating order", remainingQuantity.String(), e.market.MinQuantity.String())
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logrus.Infof("order remaining quantity %s is less than the market minimal quantity %s, skip updating order", remainingQuantity.String(), e.market.MinQuantity.String())
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return nil
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}
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@ -243,24 +244,24 @@ func (e *TwapExecution) 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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log.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 first.Price = %s second.Price = %s tickSpread = %s", orderPrice.String(), first.Price.String(), second.Price.String(), 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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log.Infof("the current order is already on the best ask price %s", orderPrice.String())
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logrus.Infof("the current order is already on the best ask price %s", orderPrice.String())
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return nil
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} else if orderPrice == first.Price {
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log.Infof("the current order is already on the best bid price %s", orderPrice.String())
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logrus.Infof("the current order is already on the best bid price %s", 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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log.Infof("the current order is already on the best ask price %s", orderPrice.String())
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logrus.Infof("the current order is already on the best ask price %s", orderPrice.String())
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return nil
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} else if orderPrice == first.Price {
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log.Infof("the current order is already on the best ask price %s", orderPrice.String())
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logrus.Infof("the current order is already on the best ask price %s", orderPrice.String())
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return nil
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}
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}
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@ -283,13 +284,13 @@ func (e *TwapExecution) updateOrder(ctx context.Context) error {
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return nil
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}
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func (e *TwapExecution) cancelActiveOrders() {
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func (e *Execution) cancelActiveOrders() {
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gracefulCtx, gracefulCancel := context.WithTimeout(context.TODO(), 30*time.Second)
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defer gracefulCancel()
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e.activeMakerOrders.GracefulCancel(gracefulCtx, e.Session.Exchange)
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}
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func (e *TwapExecution) orderUpdater(ctx context.Context) {
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func (e *Execution) orderUpdater(ctx context.Context) {
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updateLimiter := rate.NewLimiter(rate.Every(3*time.Second), 1)
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ticker := time.NewTimer(e.UpdateInterval)
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defer ticker.Stop()
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@ -317,9 +318,9 @@ func (e *TwapExecution) orderUpdater(ctx context.Context) {
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return
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}
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log.Infof("%s order book changed, checking order...", e.Symbol)
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logrus.Infof("%s order book changed, checking order...", e.Symbol)
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if err := e.updateOrder(ctx); err != nil {
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log.WithError(err).Errorf("order update failed")
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logrus.WithError(err).Errorf("order update failed")
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}
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case <-ticker.C:
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@ -332,25 +333,25 @@ func (e *TwapExecution) orderUpdater(ctx context.Context) {
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}
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if err := e.updateOrder(ctx); err != nil {
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log.WithError(err).Errorf("order update failed")
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logrus.WithError(err).Errorf("order update failed")
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}
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}
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}
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}
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func (e *TwapExecution) cancelContextIfTargetQuantityFilled() bool {
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func (e *Execution) cancelContextIfTargetQuantityFilled() bool {
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base := e.position.GetBase()
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if base.Abs().Compare(e.TargetQuantity) >= 0 {
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log.Infof("filled target quantity, canceling the order execution context")
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logrus.Infof("filled target quantity, canceling the order execution context")
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e.cancelExecution()
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return true
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}
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return false
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}
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func (e *TwapExecution) handleTradeUpdate(trade types.Trade) {
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func (e *Execution) handleTradeUpdate(trade types.Trade) {
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// ignore trades that are not in the symbol we interested
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if trade.Symbol != e.Symbol {
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return
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@ -360,21 +361,21 @@ func (e *TwapExecution) handleTradeUpdate(trade types.Trade) {
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return
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}
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log.Info(trade.String())
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logrus.Info(trade.String())
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e.position.AddTrade(trade)
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log.Infof("position updated: %+v", e.position)
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logrus.Infof("position updated: %+v", e.position)
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}
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func (e *TwapExecution) handleFilledOrder(order types.Order) {
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log.Info(order.String())
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func (e *Execution) handleFilledOrder(order types.Order) {
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logrus.Info(order.String())
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// filled event triggers the order removal from the active order store
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// we need to ensure we received every order update event before the execution is done.
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e.cancelContextIfTargetQuantityFilled()
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}
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func (e *TwapExecution) Run(parentCtx context.Context) error {
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func (e *Execution) Run(parentCtx context.Context) error {
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e.mu.Lock()
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e.stoppedC = make(chan struct{})
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e.executionCtx, e.cancelExecution = context.WithCancel(parentCtx)
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@ -409,7 +410,7 @@ func (e *TwapExecution) Run(parentCtx context.Context) error {
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e.orderStore = core.NewOrderStore(e.Symbol)
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e.orderStore.BindStream(e.userDataStream)
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e.activeMakerOrders = NewActiveOrderBook(e.Symbol)
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e.activeMakerOrders = bbgo.NewActiveOrderBook(e.Symbol)
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e.activeMakerOrders.OnFilled(e.handleFilledOrder)
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e.activeMakerOrders.BindStream(e.userDataStream)
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@ -418,7 +419,7 @@ func (e *TwapExecution) Run(parentCtx context.Context) error {
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return nil
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}
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func (e *TwapExecution) emitDone() {
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func (e *Execution) emitDone() {
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e.mu.Lock()
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if e.stoppedC == nil {
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e.stoppedC = make(chan struct{})
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@ -427,7 +428,7 @@ func (e *TwapExecution) emitDone() {
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e.mu.Unlock()
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}
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func (e *TwapExecution) Done() (c <-chan struct{}) {
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func (e *Execution) Done() (c <-chan struct{}) {
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e.mu.Lock()
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// if the channel is not allocated, it means it's not started yet, we need to return a closed channel
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if e.stoppedC == nil {
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@ -447,7 +448,7 @@ func (e *TwapExecution) Done() (c <-chan struct{}) {
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// We need to:
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// 1. stop the order updater (by using the execution context)
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// 2. the order updater cancels all open orders and close the user data stream
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func (e *TwapExecution) Shutdown(shutdownCtx context.Context) {
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func (e *Execution) Shutdown(shutdownCtx context.Context) {
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e.mu.Lock()
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if e.cancelExecution != nil {
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e.cancelExecution()
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