Merge pull request #1436 from c9s/kbearXD/dca2/open-takeprofit-orders

FEATURE: cancel maker orders and open take profit order

pkg/strategy/dca2/open_position.go

@@ -9,6 +9,10 @@ import (
 	"github.com/c9s/bbgo/pkg/types"
 )
 
+type cancelOrdersByGroupIDApi interface {
+	CancelOrdersByGroupID(ctx context.Context, groupID int64) ([]types.Order, error)
+}
+
 func (s *Strategy) placeOpenPositionOrders(ctx context.Context) error {
 	s.logger.Infof("[DCA] start placing open position orders")
 	price, err := getBestPriceUntilSuccess(ctx, s.Session.Exchange, s.Symbol, s.Short)
@@ -16,7 +20,7 @@ func (s *Strategy) placeOpenPositionOrders(ctx context.Context) error {
 		return err
 	}
 
-	orders, err := s.generateOpenPositionOrders(s.Short, s.Budget, price, s.PriceDeviation, s.MaxOrderNum)
+	orders, err := generateOpenPositionOrders(s.Market, s.Short, s.Budget, price, s.PriceDeviation, s.MaxOrderNum, s.OrderGroupID)
 	if err != nil {
 		return err
 	}
@@ -44,7 +48,7 @@ func getBestPriceUntilSuccess(ctx context.Context, ex types.Exchange, symbol str
 	}
 }
 
-func (s *Strategy) generateOpenPositionOrders(short bool, budget, price, priceDeviation fixedpoint.Value, maxOrderNum int64) ([]types.SubmitOrder, error) {
+func generateOpenPositionOrders(market types.Market, short bool, budget, price, priceDeviation fixedpoint.Value, maxOrderNum int64, orderGroupID uint32) ([]types.SubmitOrder, error) {
 	factor := fixedpoint.One.Sub(priceDeviation)
 	if short {
 		factor = fixedpoint.One.Add(priceDeviation)
@@ -56,32 +60,37 @@ func (s *Strategy) generateOpenPositionOrders(short bool, budget, price, priceDe
 		if i > 0 {
 			price = price.Mul(factor)
 		}
-		price = s.Market.TruncatePrice(price)
+		price = market.TruncatePrice(price)
-		if price.Compare(s.Market.MinPrice) < 0 {
+		if price.Compare(market.MinPrice) < 0 {
 			break
 		}
 
 		prices = append(prices, price)
 	}
 
-	notional, orderNum := calculateNotionalAndNum(s.Market, short, budget, prices)
+	notional, orderNum := calculateNotionalAndNum(market, short, budget, prices)
 	if orderNum == 0 {
 		return nil, fmt.Errorf("failed to calculate notional and num of open position orders, price: %s, budget: %s", price, budget)
 	}
 
+	side := types.SideTypeBuy
+	if short {
+		side = types.SideTypeSell
+	}
+
 	var submitOrders []types.SubmitOrder
 	for i := 0; i < orderNum; i++ {
-		quantity := s.Market.TruncateQuantity(notional.Div(prices[i]))
+		quantity := market.TruncateQuantity(notional.Div(prices[i]))
 		submitOrders = append(submitOrders, types.SubmitOrder{
-			Symbol:      s.Symbol,
+			Symbol:      market.Symbol,
-			Market:      s.Market,
+			Market:      market,
 			Type:        types.OrderTypeLimit,
 			Price:       prices[i],
-			Side:        s.makerSide,
+			Side:        side,
 			TimeInForce: types.TimeInForceGTC,
 			Quantity:    quantity,
 			Tag:         orderTag,
-			GroupID:     s.OrderGroupID,
+			GroupID:     orderGroupID,
 		})
 	}
 
@@ -111,3 +120,24 @@ func calculateNotionalAndNum(market types.Market, short bool, budget fixedpoint.
 
 	return fixedpoint.Zero, 0
 }
+
+func (s *Strategy) cancelOpenPositionOrders(ctx context.Context) error {
+	s.logger.Info("[DCA] cancel open position orders")
+	e, ok := s.Session.Exchange.(cancelOrdersByGroupIDApi)
+	if ok {
+		cancelledOrders, err := e.CancelOrdersByGroupID(ctx, int64(s.OrderGroupID))
+		if err != nil {
+			return err
+		}
+
+		for _, cancelledOrder := range cancelledOrders {
+			s.logger.Info("CANCEL ", cancelledOrder.String())
+		}
+	} else {
+		if err := s.OrderExecutor.ActiveMakerOrders().GracefulCancel(ctx, s.Session.Exchange); err != nil {
+			return err
+		}
+	}
+
+	return nil
+}

pkg/strategy/dca2/open_position_test.go

@@ -12,6 +12,7 @@ import (
 
 func newTestMarket() types.Market {
 	return types.Market{
+		Symbol:          "BTCUSDT",
 		BaseCurrency:    "BTC",
 		QuoteCurrency:   "USDT",
 		TickSize:        Number(0.01),
@@ -32,9 +33,13 @@ func newTestStrategy(va ...string) *Strategy {
 
 	market := newTestMarket()
 	s := &Strategy{
-		logger: logrus.NewEntry(logrus.New()),
+		logger:           logrus.NewEntry(logrus.New()),
-		Symbol: symbol,
+		Symbol:           symbol,
-		Market: market,
+		Market:           market,
+		Short:            false,
+		TakeProfitRatio:  Number("10%"),
+		openPositionSide: types.SideTypeBuy,
+		takeProfitSide:   types.SideTypeSell,
 	}
 	return s
 }
@@ -48,7 +53,7 @@ func TestGenerateOpenPositionOrders(t *testing.T) {
 		budget := Number("10500")
 		askPrice := Number("30000")
 		margin := Number("0.05")
-		submitOrders, err := strategy.generateOpenPositionOrders(false, budget, askPrice, margin, 4)
+		submitOrders, err := generateOpenPositionOrders(strategy.Market, false, budget, askPrice, margin, 4, strategy.OrderGroupID)
 		if !assert.NoError(err) {
 			return
 		}

pkg/strategy/dca2/strategy.go

@@ -50,7 +50,7 @@ type Strategy struct {
 
 	// private field
 	mu                   sync.Mutex
-	makerSide            types.SideType
+	openPositionSide     types.SideType
 	takeProfitSide       types.SideType
 	takeProfitPrice      fixedpoint.Value
 	startTimeOfNextRound time.Time
@@ -106,10 +106,10 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
 	instanceID := s.InstanceID()
 
 	if s.Short {
-		s.makerSide = types.SideTypeSell
+		s.openPositionSide = types.SideTypeSell
 		s.takeProfitSide = types.SideTypeBuy
 	} else {
-		s.makerSide = types.SideTypeBuy
+		s.openPositionSide = types.SideTypeBuy
 		s.takeProfitSide = types.SideTypeSell
 	}
 

pkg/strategy/dca2/take_profit.go

@@ -0,0 +1,43 @@
+package dca2
+
+import (
+	"context"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func (s *Strategy) placeTakeProfitOrders(ctx context.Context) error {
+	s.logger.Info("[DCA] start placing take profit orders")
+	order := generateTakeProfitOrder(s.Market, s.Short, s.TakeProfitRatio, s.Position, s.OrderGroupID)
+	createdOrders, err := s.OrderExecutor.SubmitOrders(ctx, order)
+	if err != nil {
+		return err
+	}
+
+	for _, createdOrder := range createdOrders {
+		s.logger.Info("SUBMIT TAKE PROFIT ORDER ", createdOrder.String())
+	}
+
+	return nil
+}
+
+func generateTakeProfitOrder(market types.Market, short bool, takeProfitRatio fixedpoint.Value, position *types.Position, orderGroupID uint32) types.SubmitOrder {
+	side := types.SideTypeSell
+	if short {
+		takeProfitRatio = takeProfitRatio.Neg()
+		side = types.SideTypeBuy
+	}
+	takeProfitPrice := market.TruncatePrice(position.AverageCost.Mul(fixedpoint.One.Add(takeProfitRatio)))
+	return types.SubmitOrder{
+		Symbol:      market.Symbol,
+		Market:      market,
+		Type:        types.OrderTypeLimit,
+		Price:       takeProfitPrice,
+		Side:        side,
+		TimeInForce: types.TimeInForceGTC,
+		Quantity:    position.GetBase().Abs(),
+		Tag:         orderTag,
+		GroupID:     orderGroupID,
+	}
+}

pkg/strategy/dca2/take_profit_test.go

@@ -0,0 +1,47 @@
+package dca2
+
+import (
+	"testing"
+
+	. "github.com/c9s/bbgo/pkg/testing/testhelper"
+	"github.com/c9s/bbgo/pkg/types"
+	"github.com/stretchr/testify/assert"
+)
+
+func TestGenerateTakeProfitOrder(t *testing.T) {
+	assert := assert.New(t)
+
+	strategy := newTestStrategy()
+
+	position := types.NewPositionFromMarket(strategy.Market)
+	position.AddTrade(types.Trade{
+		Symbol:        "BTCUSDT",
+		Side:          types.SideTypeBuy,
+		Price:         Number("28500"),
+		Quantity:      Number("1"),
+		QuoteQuantity: Number("28500"),
+		Fee:           Number("0.0015"),
+		FeeCurrency:   strategy.Market.BaseCurrency,
+	})
+
+	o := generateTakeProfitOrder(strategy.Market, false, strategy.TakeProfitRatio, position, strategy.OrderGroupID)
+	assert.Equal(Number("31397.09"), o.Price)
+	assert.Equal(Number("0.9985"), o.Quantity)
+	assert.Equal(types.SideTypeSell, o.Side)
+	assert.Equal(strategy.Symbol, o.Symbol)
+
+	position.AddTrade(types.Trade{
+		Side:          types.SideTypeBuy,
+		Price:         Number("27000"),
+		Quantity:      Number("0.5"),
+		QuoteQuantity: Number("13500"),
+		Fee:           Number("0.00075"),
+		FeeCurrency:   strategy.Market.BaseCurrency,
+	})
+	o = generateTakeProfitOrder(strategy.Market, false, strategy.TakeProfitRatio, position, strategy.OrderGroupID)
+	assert.Equal(Number("30846.26"), o.Price)
+	assert.Equal(Number("1.49775"), o.Quantity)
+	assert.Equal(types.SideTypeSell, o.Side)
+	assert.Equal(strategy.Symbol, o.Symbol)
+
+}