mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
twap: move twap execution to a single package
This commit is contained in:
c9s
parent
daa1def6d9
commit
621a2b86cf
|
|
@ -14,6 +14,7 @@ import (
|
|||
"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/types"
|
||||
|
|
@ -255,7 +256,7 @@ var executeOrderCmd = &cobra.Command{
|
|||
executionCtx, cancelExecution := context.WithCancel(ctx)
|
||||
defer cancelExecution()
|
||||
|
||||
execution := &bbgo.TwapExecution{
|
||||
execution := &twap.Execution{
|
||||
Session: session,
|
||||
Symbol: symbol,
|
||||
Side: side,
|
||||
|
|
|
|||
|
|
@ -1,4 +1,4 @@
|
|||
package bbgo
|
||||
package twap
|
||||
|
||||
import (
|
||||
"context"
|
||||
|
|
@ -7,16 +7,17 @@ import (
|
|||
"time"
|
||||
|
||||
"github.com/pkg/errors"
|
||||
log "github.com/sirupsen/logrus"
|
||||
"github.com/sirupsen/logrus"
|
||||
"golang.org/x/time/rate"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/bbgo"
|
||||
"github.com/c9s/bbgo/pkg/core"
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
type TwapExecution struct {
|
||||
Session *ExchangeSession
|
||||
type Execution struct {
|
||||
Session *bbgo.ExchangeSession
|
||||
Symbol string
|
||||
Side types.SideType
|
||||
TargetQuantity fixedpoint.Value
|
||||
|
|
@ -37,7 +38,7 @@ type TwapExecution struct {
|
|||
currentPrice fixedpoint.Value
|
||||
activePosition fixedpoint.Value
|
||||
|
||||
activeMakerOrders *ActiveOrderBook
|
||||
activeMakerOrders *bbgo.ActiveOrderBook
|
||||
orderStore *core.OrderStore
|
||||
position *types.Position
|
||||
|
||||
|
|
@ -51,21 +52,21 @@ type TwapExecution struct {
|
|||
mu sync.Mutex
|
||||
}
|
||||
|
||||
func (e *TwapExecution) connectMarketData(ctx context.Context) {
|
||||
log.Infof("connecting market data stream...")
|
||||
func (e *Execution) connectMarketData(ctx context.Context) {
|
||||
logrus.Infof("connecting market data stream...")
|
||||
if err := e.marketDataStream.Connect(ctx); err != nil {
|
||||
log.WithError(err).Errorf("market data stream connect error")
|
||||
logrus.WithError(err).Errorf("market data stream connect error")
|
||||
}
|
||||
}
|
||||
|
||||
func (e *TwapExecution) connectUserData(ctx context.Context) {
|
||||
log.Infof("connecting user data stream...")
|
||||
func (e *Execution) connectUserData(ctx context.Context) {
|
||||
logrus.Infof("connecting user data stream...")
|
||||
if err := e.userDataStream.Connect(ctx); err != nil {
|
||||
log.WithError(err).Errorf("user data stream connect error")
|
||||
logrus.WithError(err).Errorf("user data stream connect error")
|
||||
}
|
||||
}
|
||||
|
||||
func (e *TwapExecution) newBestPriceOrder() (orderForm types.SubmitOrder, err error) {
|
||||
func (e *Execution) newBestPriceOrder() (orderForm types.SubmitOrder, err error) {
|
||||
book := e.orderBook.Copy()
|
||||
sideBook := book.SideBook(e.Side)
|
||||
|
||||
|
|
@ -111,7 +112,7 @@ func (e *TwapExecution) newBestPriceOrder() (orderForm types.SubmitOrder, err er
|
|||
switch e.Side {
|
||||
case types.SideTypeSell:
|
||||
if newPrice.Compare(e.StopPrice) < 0 {
|
||||
log.Infof("%s order price %s is lower than the stop sell price %s, setting order price to the stop sell price %s",
|
||||
logrus.Infof("%s order price %s is lower than the stop sell price %s, setting order price to the stop sell price %s",
|
||||
e.Symbol,
|
||||
newPrice.String(),
|
||||
e.StopPrice.String(),
|
||||
|
|
@ -121,7 +122,7 @@ func (e *TwapExecution) newBestPriceOrder() (orderForm types.SubmitOrder, err er
|
|||
|
||||
case types.SideTypeBuy:
|
||||
if newPrice.Compare(e.StopPrice) > 0 {
|
||||
log.Infof("%s order price %s is higher than the stop buy price %s, setting order price to the stop buy price %s",
|
||||
logrus.Infof("%s order price %s is higher than the stop buy price %s, setting order price to the stop buy price %s",
|
||||
e.Symbol,
|
||||
newPrice.String(),
|
||||
e.StopPrice.String(),
|
||||
|
|
@ -157,7 +158,7 @@ func (e *TwapExecution) newBestPriceOrder() (orderForm types.SubmitOrder, err er
|
|||
}
|
||||
|
||||
minNotional := e.market.MinNotional
|
||||
orderQuantity = AdjustQuantityByMinAmount(orderQuantity, newPrice, minNotional)
|
||||
orderQuantity = bbgo.AdjustQuantityByMinAmount(orderQuantity, newPrice, minNotional)
|
||||
|
||||
switch e.Side {
|
||||
case types.SideTypeSell:
|
||||
|
|
@ -169,11 +170,11 @@ func (e *TwapExecution) newBestPriceOrder() (orderForm types.SubmitOrder, err er
|
|||
case types.SideTypeBuy:
|
||||
// check base balance for sell, try to sell as more as possible
|
||||
if b, ok := e.Session.GetAccount().Balance(e.market.QuoteCurrency); ok {
|
||||
orderQuantity = AdjustQuantityByMaxAmount(orderQuantity, newPrice, b.Available)
|
||||
orderQuantity = bbgo.AdjustQuantityByMaxAmount(orderQuantity, newPrice, b.Available)
|
||||
}
|
||||
}
|
||||
|
||||
if e.DeadlineTime != emptyTime {
|
||||
if !e.DeadlineTime.IsZero() {
|
||||
now := time.Now()
|
||||
if now.After(e.DeadlineTime) {
|
||||
orderForm = types.SubmitOrder{
|
||||
|
|
@ -200,7 +201,7 @@ func (e *TwapExecution) newBestPriceOrder() (orderForm types.SubmitOrder, err er
|
|||
return orderForm, err
|
||||
}
|
||||
|
||||
func (e *TwapExecution) updateOrder(ctx context.Context) error {
|
||||
func (e *Execution) updateOrder(ctx context.Context) error {
|
||||
book := e.orderBook.Copy()
|
||||
sideBook := book.SideBook(e.Side)
|
||||
|
||||
|
|
@ -224,7 +225,7 @@ func (e *TwapExecution) updateOrder(ctx context.Context) error {
|
|||
orders := e.activeMakerOrders.Orders()
|
||||
|
||||
if len(orders) > 1 {
|
||||
log.Warnf("more than 1 %s open orders in the strategy...", e.Symbol)
|
||||
logrus.Warnf("more than 1 %s open orders in the strategy...", e.Symbol)
|
||||
}
|
||||
|
||||
// get the first order
|
||||
|
|
@ -234,7 +235,7 @@ func (e *TwapExecution) updateOrder(ctx context.Context) error {
|
|||
|
||||
remainingQuantity := order.Quantity.Sub(order.ExecutedQuantity)
|
||||
if remainingQuantity.Compare(e.market.MinQuantity) <= 0 {
|
||||
log.Infof("order remaining quantity %s is less than the market minimal quantity %s, skip updating order", remainingQuantity.String(), e.market.MinQuantity.String())
|
||||
logrus.Infof("order remaining quantity %s is less than the market minimal quantity %s, skip updating order", remainingQuantity.String(), e.market.MinQuantity.String())
|
||||
return nil
|
||||
}
|
||||
|
||||
|
|
@ -243,24 +244,24 @@ func (e *TwapExecution) updateOrder(ctx context.Context) error {
|
|||
// DO NOT UPDATE IF:
|
||||
// tickSpread > 0 AND current order price == second price + tickSpread
|
||||
// current order price == first price
|
||||
log.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 first.Price = %s second.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) {
|
||||
log.Infof("the current order is already on the best ask price %s", orderPrice.String())
|
||||
logrus.Infof("the current order is already on the best ask price %s", orderPrice.String())
|
||||
return nil
|
||||
} else if orderPrice == first.Price {
|
||||
log.Infof("the current order is already on the best bid price %s", orderPrice.String())
|
||||
logrus.Infof("the current order is already on the best bid price %s", orderPrice.String())
|
||||
return nil
|
||||
}
|
||||
|
||||
case types.SideTypeSell:
|
||||
if tickSpread.Sign() > 0 && orderPrice == second.Price.Sub(tickSpread) {
|
||||
log.Infof("the current order is already on the best ask price %s", orderPrice.String())
|
||||
logrus.Infof("the current order is already on the best ask price %s", orderPrice.String())
|
||||
return nil
|
||||
} else if orderPrice == first.Price {
|
||||
log.Infof("the current order is already on the best ask price %s", orderPrice.String())
|
||||
logrus.Infof("the current order is already on the best ask price %s", orderPrice.String())
|
||||
return nil
|
||||
}
|
||||
}
|
||||
|
|
@ -283,13 +284,13 @@ func (e *TwapExecution) updateOrder(ctx context.Context) error {
|
|||
return nil
|
||||
}
|
||||
|
||||
func (e *TwapExecution) cancelActiveOrders() {
|
||||
func (e *Execution) cancelActiveOrders() {
|
||||
gracefulCtx, gracefulCancel := context.WithTimeout(context.TODO(), 30*time.Second)
|
||||
defer gracefulCancel()
|
||||
e.activeMakerOrders.GracefulCancel(gracefulCtx, e.Session.Exchange)
|
||||
}
|
||||
|
||||
func (e *TwapExecution) orderUpdater(ctx context.Context) {
|
||||
func (e *Execution) orderUpdater(ctx context.Context) {
|
||||
updateLimiter := rate.NewLimiter(rate.Every(3*time.Second), 1)
|
||||
ticker := time.NewTimer(e.UpdateInterval)
|
||||
defer ticker.Stop()
|
||||
|
|
@ -317,9 +318,9 @@ func (e *TwapExecution) orderUpdater(ctx context.Context) {
|
|||
return
|
||||
}
|
||||
|
||||
log.Infof("%s order book changed, checking order...", e.Symbol)
|
||||
logrus.Infof("%s order book changed, checking order...", e.Symbol)
|
||||
if err := e.updateOrder(ctx); err != nil {
|
||||
log.WithError(err).Errorf("order update failed")
|
||||
logrus.WithError(err).Errorf("order update failed")
|
||||
}
|
||||
|
||||
case <-ticker.C:
|
||||
|
|
@ -332,25 +333,25 @@ func (e *TwapExecution) orderUpdater(ctx context.Context) {
|
|||
}
|
||||
|
||||
if err := e.updateOrder(ctx); err != nil {
|
||||
log.WithError(err).Errorf("order update failed")
|
||||
logrus.WithError(err).Errorf("order update failed")
|
||||
}
|
||||
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
func (e *TwapExecution) cancelContextIfTargetQuantityFilled() bool {
|
||||
func (e *Execution) cancelContextIfTargetQuantityFilled() bool {
|
||||
base := e.position.GetBase()
|
||||
|
||||
if base.Abs().Compare(e.TargetQuantity) >= 0 {
|
||||
log.Infof("filled target quantity, canceling the order execution context")
|
||||
logrus.Infof("filled target quantity, canceling the order execution context")
|
||||
e.cancelExecution()
|
||||
return true
|
||||
}
|
||||
return false
|
||||
}
|
||||
|
||||
func (e *TwapExecution) handleTradeUpdate(trade types.Trade) {
|
||||
func (e *Execution) handleTradeUpdate(trade types.Trade) {
|
||||
// ignore trades that are not in the symbol we interested
|
||||
if trade.Symbol != e.Symbol {
|
||||
return
|
||||
|
|
@ -360,21 +361,21 @@ func (e *TwapExecution) handleTradeUpdate(trade types.Trade) {
|
|||
return
|
||||
}
|
||||
|
||||
log.Info(trade.String())
|
||||
logrus.Info(trade.String())
|
||||
|
||||
e.position.AddTrade(trade)
|
||||
log.Infof("position updated: %+v", e.position)
|
||||
logrus.Infof("position updated: %+v", e.position)
|
||||
}
|
||||
|
||||
func (e *TwapExecution) handleFilledOrder(order types.Order) {
|
||||
log.Info(order.String())
|
||||
func (e *Execution) handleFilledOrder(order types.Order) {
|
||||
logrus.Info(order.String())
|
||||
|
||||
// filled event triggers the order removal from the active order store
|
||||
// we need to ensure we received every order update event before the execution is done.
|
||||
e.cancelContextIfTargetQuantityFilled()
|
||||
}
|
||||
|
||||
func (e *TwapExecution) Run(parentCtx context.Context) error {
|
||||
func (e *Execution) Run(parentCtx context.Context) error {
|
||||
e.mu.Lock()
|
||||
e.stoppedC = make(chan struct{})
|
||||
e.executionCtx, e.cancelExecution = context.WithCancel(parentCtx)
|
||||
|
|
@ -409,7 +410,7 @@ func (e *TwapExecution) Run(parentCtx context.Context) error {
|
|||
|
||||
e.orderStore = core.NewOrderStore(e.Symbol)
|
||||
e.orderStore.BindStream(e.userDataStream)
|
||||
e.activeMakerOrders = NewActiveOrderBook(e.Symbol)
|
||||
e.activeMakerOrders = bbgo.NewActiveOrderBook(e.Symbol)
|
||||
e.activeMakerOrders.OnFilled(e.handleFilledOrder)
|
||||
e.activeMakerOrders.BindStream(e.userDataStream)
|
||||
|
||||
|
|
@ -418,7 +419,7 @@ func (e *TwapExecution) Run(parentCtx context.Context) error {
|
|||
return nil
|
||||
}
|
||||
|
||||
func (e *TwapExecution) emitDone() {
|
||||
func (e *Execution) emitDone() {
|
||||
e.mu.Lock()
|
||||
if e.stoppedC == nil {
|
||||
e.stoppedC = make(chan struct{})
|
||||
|
|
@ -427,7 +428,7 @@ func (e *TwapExecution) emitDone() {
|
|||
e.mu.Unlock()
|
||||
}
|
||||
|
||||
func (e *TwapExecution) Done() (c <-chan struct{}) {
|
||||
func (e *Execution) Done() (c <-chan struct{}) {
|
||||
e.mu.Lock()
|
||||
// if the channel is not allocated, it means it's not started yet, we need to return a closed channel
|
||||
if e.stoppedC == nil {
|
||||
|
|
@ -447,7 +448,7 @@ func (e *TwapExecution) Done() (c <-chan struct{}) {
|
|||
// We need to:
|
||||
// 1. stop the order updater (by using the execution context)
|
||||
// 2. the order updater cancels all open orders and close the user data stream
|
||||
func (e *TwapExecution) Shutdown(shutdownCtx context.Context) {
|
||||
func (e *Execution) Shutdown(shutdownCtx context.Context) {
|
||||
e.mu.Lock()
|
||||
if e.cancelExecution != nil {
|
||||
e.cancelExecution()
|
||||
Loading…
Reference in New Issue
Block a user