types,strategy: refactor price type and add more bbo (best bid offer)

pkg/strategy/autobuy/strategy.go

@@ -5,13 +5,14 @@ import (
 	"fmt"
 	"sync"
 
+	"github.com/robfig/cron/v3"
+	"github.com/sirupsen/logrus"
+
 	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	indicatorv2 "github.com/c9s/bbgo/pkg/indicator/v2"
 	"github.com/c9s/bbgo/pkg/strategy/common"
 	"github.com/c9s/bbgo/pkg/types"
-	"github.com/robfig/cron/v3"
-	"github.com/sirupsen/logrus"
 )
 
 const ID = "autobuy"
@@ -128,7 +129,7 @@ func (s *Strategy) autobuy(ctx context.Context) {
 	}
 
 	side := types.SideTypeBuy
-	price := s.PriceType.Map(ticker, side)
+	price := s.PriceType.GetPrice(ticker, side)
 
 	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))

pkg/strategy/rebalance/strategy.go

@@ -262,7 +262,7 @@ func (s *Strategy) generateOrder(ctx context.Context) (*types.SubmitOrder, error
 		}
 		quantity = market.RoundDownQuantityByPrecision(quantity)
 
-		price := s.PriceType.Map(ticker, side)
+		price := s.PriceType.GetPrice(ticker, side)
 
 		if s.MaxAmount.Float64() > 0 {
 			quantity = bbgo.AdjustQuantityByMaxAmount(quantity, price, s.MaxAmount)

pkg/types/price_type.go

@@ -4,19 +4,37 @@ import (
 	"encoding/json"
 	"strings"
 
-	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/pkg/errors"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
 )
 
 type PriceType string
 
 const (
+	// PriceTypeLast uses the last price from the given ticker
 	PriceTypeLast PriceType = "LAST"
-	PriceTypeBuy   PriceType = "BUY"  // BID
+
-	PriceTypeSell  PriceType = "SELL" // ASK
+	// PriceTypeBid uses the bid price from the given ticker
+	PriceTypeBid PriceType = "BID"
+
+	// PriceTypeAsk uses the ask price from the given ticker
+	PriceTypeAsk PriceType = "ASK"
+
+	// PriceTypeMid calculates the middle price from the given ticker
 	PriceTypeMid PriceType = "MID"
+
 	PriceTypeMaker PriceType = "MAKER"
 	PriceTypeTaker PriceType = "TAKER"
+
+	// See best bid offer types
+	// https://www.binance.com/en/support/faq/understanding-and-using-bbo-orders-on-binance-futures-7f93c89ef09042678cfa73e8a28612e8
+
+	PriceTypeBestBidOfferCounterParty1 PriceType = "COUNTERPARTY1"
+	PriceTypeBestBidOfferCounterParty5 PriceType = "COUNTERPARTY5"
+
+	PriceTypeBestBidOfferQueue1 PriceType = "QUEUE1"
+	PriceTypeBestBidOfferQueue5 PriceType = "QUEUE5"
 )
 
 var ErrInvalidPriceType = errors.New("invalid price type")
@@ -24,7 +42,10 @@ var ErrInvalidPriceType = errors.New("invalid price type")
 func ParsePriceType(s string) (p PriceType, err error) {
 	p = PriceType(strings.ToUpper(s))
 	switch p {
-	case PriceTypeLast, PriceTypeBuy, PriceTypeSell, PriceTypeMid, PriceTypeMaker, PriceTypeTaker:
+	case PriceTypeLast, PriceTypeBid, PriceTypeAsk,
+		PriceTypeMid, PriceTypeMaker, PriceTypeTaker,
+		PriceTypeBestBidOfferCounterParty1, PriceTypeBestBidOfferCounterParty5,
+		PriceTypeBestBidOfferQueue1, PriceTypeBestBidOfferQueue5:
 		return p, err
 	}
 	return p, ErrInvalidPriceType
@@ -47,25 +68,26 @@ func (p *PriceType) UnmarshalJSON(data []byte) error {
 	return nil
 }
 
-func (p PriceType) Map(ticker *Ticker, side SideType) fixedpoint.Value {
+// GetPrice returns the price from the given ticker based on the price type
+func (p PriceType) GetPrice(ticker *Ticker, side SideType) fixedpoint.Value {
 	price := ticker.Last
 
 	switch p {
 	case PriceTypeLast:
 		price = ticker.Last
-	case PriceTypeBuy:
+	case PriceTypeBid:
 		price = ticker.Buy
-	case PriceTypeSell:
+	case PriceTypeAsk:
 		price = ticker.Sell
 	case PriceTypeMid:
 		price = ticker.Buy.Add(ticker.Sell).Div(fixedpoint.NewFromInt(2))
-	case PriceTypeMaker:
+	case PriceTypeMaker, PriceTypeBestBidOfferQueue1:
 		if side == SideTypeBuy {
 			price = ticker.Buy
 		} else if side == SideTypeSell {
 			price = ticker.Sell
 		}
-	case PriceTypeTaker:
+	case PriceTypeTaker, PriceTypeBestBidOfferCounterParty1:
 		if side == SideTypeBuy {
 			price = ticker.Sell
 		} else if side == SideTypeSell {