Merge pull request #1541 from c9s/narumi/price-type

FEATURE: [rebalance] add price type

config/autobuy.yaml

@@ -6,8 +6,8 @@ exchangeStrategies:
       symbol: MAXTWD
       schedule: "@every 1s"
       threshold: 200
-      # price type: buy, sell, last or mid
+      # price type: LAST, BUY, SELL, MID, TAKER, MAKER
-      priceType: buy
+      priceType: BUY
 
       # order quantity or amount
       # quantity: 100

config/rebalance.yaml

@@ -11,5 +11,6 @@ exchangeStrategies:
       threshold: 1%
       maxAmount: 1_000 # max amount to buy or sell per order
       orderType: LIMIT_MAKER # LIMIT, LIMIT_MAKER or MARKET
+      priceType: MAKER # LAST, MID, TAKER or MAKER
       dryRun: true
       onStart: true

pkg/strategy/autobuy/strategy.go

@@ -18,8 +18,6 @@ const ID = "autobuy"
 
 var log = logrus.WithField("strategy", ID)
 
-var two = fixedpoint.NewFromInt(2)
-
 func init() {
 	bbgo.RegisterStrategy(ID, &Strategy{})
 }
@@ -33,7 +31,7 @@ type Strategy struct {
 	Symbol    string                  `json:"symbol"`
 	Schedule  string                  `json:"schedule"`
 	Threshold fixedpoint.Value        `json:"threshold"`
-	PriceType PriceType               `json:"priceType"`
+	PriceType types.PriceType         `json:"priceType"`
 	Bollinger *types.BollingerSetting `json:"bollinger"`
 	DryRun    bool                    `json:"dryRun"`
 
@@ -67,7 +65,7 @@ func (s *Strategy) Validate() error {
 
 func (s *Strategy) Defaults() error {
 	if s.PriceType == "" {
-		s.PriceType = PriceTypeBuy
+		s.PriceType = types.PriceTypeMaker
 	}
 	return nil
 }
@@ -122,19 +120,8 @@ func (s *Strategy) autobuy(ctx context.Context) {
 		return
 	}
 
-	var price fixedpoint.Value
+	side := types.SideTypeBuy
-	switch s.PriceType {
+	price := s.PriceType.Map(ticker, side)
-	case PriceTypeLast:
-		price = ticker.Last
-	case PriceTypeBuy:
-		price = ticker.Buy
-	case PriceTypeSell:
-		price = ticker.Sell
-	case PriceTypeMid:
-		price = ticker.Buy.Add(ticker.Sell).Div(two)
-	default:
-		price = ticker.Buy
-	}
 
 	if price.Float64() > s.boll.UpBand.Last(0) {
 		log.Infof("price %s is higher than upper band %f, skip", price.String(), s.boll.UpBand.Last(0))
@@ -150,7 +137,7 @@ func (s *Strategy) autobuy(ctx context.Context) {
 	quantity := s.CalculateQuantity(price)
 	submitOrder := types.SubmitOrder{
 		Symbol:   s.Symbol,
-		Side:     types.SideTypeBuy,
+		Side:     side,
 		Type:     types.OrderTypeLimitMaker,
 		Quantity: quantity,
 		Price:    price,

pkg/strategy/autobuy/types.go

@@ -1,10 +0,0 @@
-package autobuy
-
-type PriceType string
-
-const (
-	PriceTypeLast = PriceType("last")
-	PriceTypeBuy  = PriceType("buy")
-	PriceTypeSell = PriceType("sell")
-	PriceTypeMid  = PriceType("mid")
-)

pkg/strategy/rebalance/strategy.go

@@ -33,6 +33,7 @@ type Strategy struct {
 	Threshold     fixedpoint.Value `json:"threshold"`
 	MaxAmount     fixedpoint.Value `json:"maxAmount"` // max amount to buy or sell per order
 	OrderType     types.OrderType  `json:"orderType"`
+	PriceType     types.PriceType  `json:"priceType"`
 	DryRun        bool             `json:"dryRun"`
 	OnStart       bool             `json:"onStart"` // rebalance on start
 
@@ -46,6 +47,10 @@ func (s *Strategy) Defaults() error {
 	if s.OrderType == "" {
 		s.OrderType = types.OrderTypeLimitMaker
 	}
+
+	if s.PriceType == "" {
+		s.PriceType = types.PriceTypeMaker
+	}
 	return nil
 }
 
@@ -243,12 +248,11 @@ func (s *Strategy) generateOrder(ctx context.Context) (*types.SubmitOrder, error
 			return nil, err
 		}
 
-		var price fixedpoint.Value
+		price := s.PriceType.Map(ticker, side)
+
 		if side == types.SideTypeBuy {
-			price = ticker.Buy
+			quantity = fixedpoint.Min(quantity, balances[s.QuoteCurrency].Available.Div(price))
-			quantity = fixedpoint.Min(quantity, balances[s.QuoteCurrency].Available.Div(ticker.Sell))
 		} else if side == types.SideTypeSell {
-			price = ticker.Sell
 			quantity = fixedpoint.Min(quantity, balances[market.BaseCurrency].Available)
 		}
 

pkg/types/price_type.go

@@ -0,0 +1,87 @@
+package types
+
+import (
+	"encoding/json"
+	"strings"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/pkg/errors"
+)
+
+type PriceType string
+
+const (
+	PriceTypeLast  PriceType = "LAST"
+	PriceTypeBuy   PriceType = "BUY"  // BID
+	PriceTypeSell  PriceType = "SELL" // ASK
+	PriceTypeMid   PriceType = "MID"
+	PriceTypeMaker PriceType = "MAKER"
+	PriceTypeTaker PriceType = "TAKER"
+)
+
+var ErrInvalidPriceType = errors.New("invalid price type")
+
+func StrToPriceType(s string) (price PriceType, err error) {
+	switch strings.ToLower(s) {
+	case "last":
+		price = PriceTypeLast
+	case "buy":
+		price = PriceTypeBuy
+	case "sell":
+		price = PriceTypeSell
+	case "mid":
+		price = PriceTypeMid
+	case "maker":
+		price = PriceTypeMaker
+	case "taker":
+		price = PriceTypeTaker
+	default:
+		err = ErrInvalidPriceType
+	}
+	return price, err
+}
+
+func (p *PriceType) UnmarshalJSON(data []byte) error {
+	var s string
+
+	if err := json.Unmarshal(data, &s); err != nil {
+		return err
+	}
+
+	t, err := StrToPriceType(s)
+	if err != nil {
+		return err
+	}
+
+	*p = t
+	return nil
+}
+
+func (p PriceType) Map(ticker *Ticker, side SideType) fixedpoint.Value {
+	price := ticker.Last
+
+	switch p {
+	case PriceTypeLast:
+		price = ticker.Last
+	case PriceTypeBuy:
+		price = ticker.Buy
+	case PriceTypeSell:
+		price = ticker.Sell
+	case PriceTypeMid:
+		price = ticker.Buy.Add(ticker.Sell).Div(fixedpoint.NewFromInt(2))
+	case PriceTypeMaker:
+		if side == SideTypeBuy {
+			price = ticker.Buy
+		} else if side == SideTypeSell {
+			price = ticker.Sell
+		}
+	case PriceTypeTaker:
+		if side == SideTypeBuy {
+			price = ticker.Sell
+		} else if side == SideTypeSell {
+			price = ticker.Buy
+		}
+	}
+
+	return price
+}