Merge pull request #1438 from c9s/feature/xdepthmaker

STRATEGY: add xdepthmaker strategy

.github/workflows/go.yml

@@ -16,9 +16,9 @@ jobs:
     strategy:
       matrix:
         redis-version:
-        - 6.2
+        - "6.2"
         go-version:
-        - 1.18
+        - "1.20"
     env:
       MYSQL_DATABASE: bbgo
       MYSQL_USER: "root"

.github/workflows/release.yml

@@ -20,7 +20,7 @@ jobs:
       - name: Install Go
         uses: actions/setup-go@v2
         with:
-          go-version: 1.18
+          go-version: 1.19
       - name: Install Node
         uses: actions/setup-node@v2
         with:

config/xdepthmaker.yaml

@@ -0,0 +1,67 @@
+---
+notifications:
+  slack:
+    defaultChannel: "dev-bbgo"
+    errorChannel: "bbgo-error"
+
+  switches:
+    trade: true
+    orderUpdate: false
+    submitOrder: false
+
+persistence:
+  json:
+    directory: var/data
+  redis:
+    host: 127.0.0.1
+    port: 6379
+    db: 0
+
+logging:
+  trade: true
+  order: true
+  fields:
+    env: staging
+
+sessions:
+  max:
+    exchange: max
+    envVarPrefix: max
+
+  binance:
+    exchange: binance
+    envVarPrefix: binance
+
+crossExchangeStrategies:
+
+- xdepthmaker:
+    symbol: "BTCUSDT"
+    makerExchange: max
+    hedgeExchange: binance
+
+    # disableHedge disables the hedge orders on the source exchange
+    # disableHedge: true
+
+    hedgeInterval: 10s
+    notifyTrade: true
+
+    margin: 0.004
+    askMargin: 0.4%
+    bidMargin: 0.4%
+
+    depthScale:
+      byLayer:
+        linear:
+          domain: [1, 30]
+          range: [50, 20_000]
+
+    # numLayers means how many order we want to place on each side. 3 means we want 3 bid orders and 3 ask orders
+    numLayers: 30
+
+    # pips is the fraction numbers between each order. for BTC, 1 pip is 0.1,
+    # 0.1 pip is 0.01, here we use 10, so we will get 18000.00, 18001.00 and
+    # 18002.00
+    pips: 10
+    persistence:
+      type: redis
+

pkg/bbgo/activeorderbook.go

@@ -10,7 +10,6 @@ import (
 	"github.com/pkg/errors"
 	log "github.com/sirupsen/logrus"
 
-	"github.com/c9s/bbgo/pkg/core"
 	"github.com/c9s/bbgo/pkg/sigchan"
 	"github.com/c9s/bbgo/pkg/types"
 )
@@ -179,7 +178,7 @@ func (b *ActiveOrderBook) GracefulCancel(ctx context.Context, ex types.Exchange,
 	waitTime := CancelOrderWaitTime
 
 	startTime := time.Now()
-	// ensure every order is cancelled
+	// ensure every order is canceled
 	for {
 		// Some orders in the variable are not created on the server side yet,
 		// If we cancel these orders directly, we will get an unsent order error
@@ -204,25 +203,28 @@ func (b *ActiveOrderBook) GracefulCancel(ctx context.Context, ex types.Exchange,
 		// verify the current open orders via the RESTful API
 		log.Warnf("[ActiveOrderBook] using REStful API to verify active orders...")
 
-		var symbols = map[string]struct{}{}
+		var symbolOrdersMap = map[string]types.OrderSlice{}
 		for _, order := range orders {
-			symbols[order.Symbol] = struct{}{}
+			symbolOrdersMap[order.Symbol] = append(symbolOrdersMap[order.Symbol], order)
-
 		}
-		var leftOrders []types.Order
 
-		for symbol := range symbols {
+		var leftOrders []types.Order
+		for symbol := range symbolOrdersMap {
+			symbolOrders, ok := symbolOrdersMap[symbol]
+			if !ok {
+				continue
+			}
+
 			openOrders, err := ex.QueryOpenOrders(ctx, symbol)
 			if err != nil {
 				log.WithError(err).Errorf("can not query %s open orders", symbol)
 				continue
 			}
 
-			openOrderStore := core.NewOrderStore(symbol)
+			orderMap := types.NewOrderMap(openOrders...)
-			openOrderStore.Add(openOrders...)
+			for _, o := range symbolOrders {
-			for _, o := range orders {
 				// if it's not on the order book (open orders), we should remove it from our local side
-				if !openOrderStore.Exists(o.OrderID) {
+				if !orderMap.Exists(o.OrderID) {
 					b.Remove(o)
 				} else {
 					leftOrders = append(leftOrders, o)
@@ -230,6 +232,7 @@ func (b *ActiveOrderBook) GracefulCancel(ctx context.Context, ex types.Exchange,
 			}
 		}
 
+		// update order slice for the next try
 		orders = leftOrders
 	}
 

pkg/bbgo/order_executor_general.go

@@ -68,8 +68,12 @@ type GeneralOrderExecutor struct {
 	disableNotify bool
 }
 
+// NewGeneralOrderExecutor allocates a GeneralOrderExecutor
+// which has its own order store, trade collector
 func NewGeneralOrderExecutor(
-	session *ExchangeSession, symbol, strategy, strategyInstanceID string, position *types.Position,
+	session *ExchangeSession,
+	symbol, strategy, strategyInstanceID string,
+	position *types.Position,
 ) *GeneralOrderExecutor {
 	// Always update the position fields
 	position.Strategy = strategy

pkg/bbgo/scale.go

@@ -1,6 +1,7 @@
 package bbgo
 
 import (
+	"encoding/json"
 	"fmt"
 	"math"
 
@@ -318,6 +319,18 @@ type LayerScale struct {
 	LayerRule *SlideRule `json:"byLayer"`
 }
 
+func (s *LayerScale) UnmarshalJSON(data []byte) error {
+	type T LayerScale
+	var p T
+	err := json.Unmarshal(data, &p)
+	if err != nil {
+		return err
+	}
+
+	*s = LayerScale(p)
+	return nil
+}
+
 func (s *LayerScale) Scale(layer int) (quantity float64, err error) {
 	if s.LayerRule == nil {
 		err = errors.New("either price or volume scale is not defined")

pkg/bbgo/scale_test.go

@@ -1,6 +1,7 @@
 package bbgo
 
 import (
+	"encoding/json"
 	"testing"
 
 	"github.com/stretchr/testify/assert"
@@ -8,6 +9,24 @@ import (
 
 const delta = 1e-9
 
+func TestLayerScale_UnmarshalJSON(t *testing.T) {
+	var s LayerScale
+	err := json.Unmarshal([]byte(`{
+		"byLayer": {
+			"linear": {
+				"domain": [ 1, 3 ],
+				"range": [ 10000.0, 30000.0 ]
+			}
+		}
+	}`), &s)
+	assert.NoError(t, err)
+
+	if assert.NotNil(t, s.LayerRule) {
+		assert.NotNil(t, s.LayerRule.LinearScale.Range)
+		assert.NotNil(t, s.LayerRule.LinearScale.Domain)
+	}
+}
+
 func TestExponentialScale(t *testing.T) {
 	// graph see: https://www.desmos.com/calculator/ip0ijbcbbf
 	scale := ExponentialScale{

pkg/cmd/strategy/builtin.go

@@ -45,10 +45,10 @@ import (
 	_ "github.com/c9s/bbgo/pkg/strategy/wall"
 	_ "github.com/c9s/bbgo/pkg/strategy/xalign"
 	_ "github.com/c9s/bbgo/pkg/strategy/xbalance"
+	_ "github.com/c9s/bbgo/pkg/strategy/xdepthmaker"
 	_ "github.com/c9s/bbgo/pkg/strategy/xfixedmaker"
 	_ "github.com/c9s/bbgo/pkg/strategy/xfunding"
 	_ "github.com/c9s/bbgo/pkg/strategy/xgap"
 	_ "github.com/c9s/bbgo/pkg/strategy/xmaker"
 	_ "github.com/c9s/bbgo/pkg/strategy/xnav"
-	_ "github.com/c9s/bbgo/pkg/strategy/xpuremaker"
 )

pkg/exchange/bitget/stream.go

@@ -75,7 +75,7 @@ func (s *Stream) syncSubscriptions(opType WsEventType) error {
 	}
 
 	logger := log.WithField("opType", opType)
-	args := []WsArg{}
+	var args []WsArg
 	for _, subscription := range s.Subscriptions {
 		arg, err := convertSubscription(subscription)
 		if err != nil {
@@ -244,9 +244,11 @@ func convertSubscription(sub types.Subscription) (WsArg, error) {
 		arg.Channel = ChannelOrderBook5
 
 		switch sub.Options.Depth {
-		case types.DepthLevel15:
+		case types.DepthLevel5:
+			arg.Channel = ChannelOrderBook5
+		case types.DepthLevel15, types.DepthLevelMedium:
 			arg.Channel = ChannelOrderBook15
-		case types.DepthLevel200:
+		case types.DepthLevel200, types.DepthLevelFull:
 			log.Warn("*** The subscription events for the order book may return fewer than 200 bids/asks at a depth of 200. ***")
 			arg.Channel = ChannelOrderBook
 		}

pkg/exchange/retry/order.go

@@ -3,6 +3,7 @@ package retry
 import (
 	"context"
 	"errors"
+	"fmt"
 	"strconv"
 
 	"github.com/cenkalti/backoff/v4"
@@ -16,6 +17,34 @@ type advancedOrderCancelService interface {
 	CancelOrdersByGroupID(ctx context.Context, groupID uint32) ([]types.Order, error)
 }
 
+func QueryOrderUntilCanceled(
+	ctx context.Context, queryOrderService types.ExchangeOrderQueryService, symbol string, orderId uint64,
+) (o *types.Order, err error) {
+	var op = func() (err2 error) {
+		o, err2 = queryOrderService.QueryOrder(ctx, types.OrderQuery{
+			Symbol:  symbol,
+			OrderID: strconv.FormatUint(orderId, 10),
+		})
+
+		if err2 != nil {
+			return err2
+		}
+
+		if o == nil {
+			return fmt.Errorf("order #%d response is nil", orderId)
+		}
+
+		if o.Status == types.OrderStatusCanceled || o.Status == types.OrderStatusFilled {
+			return nil
+		}
+
+		return fmt.Errorf("order #%d is not canceled yet: %s", o.OrderID, o.Status)
+	}
+
+	err = GeneralBackoff(ctx, op)
+	return o, err
+}
+
 func QueryOrderUntilFilled(
 	ctx context.Context, queryOrderService types.ExchangeOrderQueryService, symbol string, orderId uint64,
 ) (o *types.Order, err error) {

pkg/fixedpoint/dec.go

@@ -1197,7 +1197,7 @@ func align(x, y *Value) bool {
 	}
 	yshift = e
 	// check(0 <= yshift && yshift <= 20)
-	//y.coef = (y.coef + halfpow10[yshift]) / pow10[yshift]
+	// y.coef = (y.coef + halfpow10[yshift]) / pow10[yshift]
 	y.coef = (y.coef) / pow10[yshift]
 	// check(int(y.exp)+yshift == int(x.exp))
 	return true
@@ -1364,4 +1364,4 @@ func (x Value) Clamp(min, max Value) Value {
 		return max
 	}
 	return x
-}
+}

pkg/strategy/xdepthmaker/aggregate.go

@@ -0,0 +1,32 @@
+package xdepthmaker
+
+import (
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func aggregatePrice(pvs types.PriceVolumeSlice, requiredQuantity fixedpoint.Value) (price fixedpoint.Value) {
+	q := requiredQuantity
+	totalAmount := fixedpoint.Zero
+
+	if len(pvs) == 0 {
+		price = fixedpoint.Zero
+		return price
+	} else if pvs[0].Volume.Compare(requiredQuantity) >= 0 {
+		return pvs[0].Price
+	}
+
+	for i := 0; i < len(pvs); i++ {
+		pv := pvs[i]
+		if pv.Volume.Compare(q) >= 0 {
+			totalAmount = totalAmount.Add(q.Mul(pv.Price))
+			break
+		}
+
+		q = q.Sub(pv.Volume)
+		totalAmount = totalAmount.Add(pv.Volume.Mul(pv.Price))
+	}
+
+	price = totalAmount.Div(requiredQuantity.Sub(q))
+	return price
+}

pkg/strategy/xdepthmaker/state.go

@@ -0,0 +1,68 @@
+package xdepthmaker
+
+import (
+	"sync"
+	"time"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type State struct {
+	CoveredPosition fixedpoint.Value `json:"coveredPosition,omitempty"`
+
+	// Deprecated:
+	Position *types.Position `json:"position,omitempty"`
+
+	// Deprecated:
+	ProfitStats ProfitStats `json:"profitStats,omitempty"`
+}
+
+type ProfitStats struct {
+	*types.ProfitStats
+
+	lock sync.Mutex
+
+	MakerExchange types.ExchangeName `json:"makerExchange"`
+
+	AccumulatedMakerVolume    fixedpoint.Value `json:"accumulatedMakerVolume,omitempty"`
+	AccumulatedMakerBidVolume fixedpoint.Value `json:"accumulatedMakerBidVolume,omitempty"`
+	AccumulatedMakerAskVolume fixedpoint.Value `json:"accumulatedMakerAskVolume,omitempty"`
+
+	TodayMakerVolume    fixedpoint.Value `json:"todayMakerVolume,omitempty"`
+	TodayMakerBidVolume fixedpoint.Value `json:"todayMakerBidVolume,omitempty"`
+	TodayMakerAskVolume fixedpoint.Value `json:"todayMakerAskVolume,omitempty"`
+}
+
+func (s *ProfitStats) AddTrade(trade types.Trade) {
+	s.ProfitStats.AddTrade(trade)
+
+	if trade.Exchange == s.MakerExchange {
+		s.lock.Lock()
+		s.AccumulatedMakerVolume = s.AccumulatedMakerVolume.Add(trade.Quantity)
+		s.TodayMakerVolume = s.TodayMakerVolume.Add(trade.Quantity)
+
+		switch trade.Side {
+
+		case types.SideTypeSell:
+			s.AccumulatedMakerAskVolume = s.AccumulatedMakerAskVolume.Add(trade.Quantity)
+			s.TodayMakerAskVolume = s.TodayMakerAskVolume.Add(trade.Quantity)
+
+		case types.SideTypeBuy:
+			s.AccumulatedMakerBidVolume = s.AccumulatedMakerBidVolume.Add(trade.Quantity)
+			s.TodayMakerBidVolume = s.TodayMakerBidVolume.Add(trade.Quantity)
+
+		}
+		s.lock.Unlock()
+	}
+}
+
+func (s *ProfitStats) ResetToday() {
+	s.ProfitStats.ResetToday(time.Now())
+
+	s.lock.Lock()
+	s.TodayMakerVolume = fixedpoint.Zero
+	s.TodayMakerBidVolume = fixedpoint.Zero
+	s.TodayMakerAskVolume = fixedpoint.Zero
+	s.lock.Unlock()
+}

pkg/strategy/xdepthmaker/strategy.go

@@ -0,0 +1,822 @@
+package xdepthmaker
+
+import (
+	"context"
+	stderrors "errors"
+	"fmt"
+	"sync"
+	"time"
+
+	"github.com/pkg/errors"
+	"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"
+	"github.com/c9s/bbgo/pkg/util"
+)
+
+var lastPriceModifier = fixedpoint.NewFromFloat(1.001)
+var minGap = fixedpoint.NewFromFloat(1.02)
+var defaultMargin = fixedpoint.NewFromFloat(0.003)
+
+var Two = fixedpoint.NewFromInt(2)
+
+const priceUpdateTimeout = 30 * time.Second
+
+const ID = "xdepthmaker"
+
+var log = logrus.WithField("strategy", ID)
+
+func init() {
+	bbgo.RegisterStrategy(ID, &Strategy{})
+}
+
+func notifyTrade(trade types.Trade, _, _ fixedpoint.Value) {
+	bbgo.Notify(trade)
+}
+
+type CrossExchangeMarketMakingStrategy struct {
+	ctx, parent context.Context
+	cancel      context.CancelFunc
+
+	Environ *bbgo.Environment
+
+	makerSession, hedgeSession *bbgo.ExchangeSession
+	makerMarket, hedgeMarket   types.Market
+
+	// persistence fields
+	Position        *types.Position    `json:"position,omitempty" persistence:"position"`
+	ProfitStats     *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
+	CoveredPosition fixedpoint.Value   `json:"coveredPosition,omitempty" persistence:"covered_position"`
+
+	MakerOrderExecutor, HedgeOrderExecutor *bbgo.GeneralOrderExecutor
+
+	// orderStore is a shared order store between the maker session and the hedge session
+	orderStore *core.OrderStore
+
+	// tradeCollector is a shared trade collector between the maker session and the hedge session
+	tradeCollector *core.TradeCollector
+}
+
+func (s *CrossExchangeMarketMakingStrategy) Initialize(
+	ctx context.Context, environ *bbgo.Environment,
+	makerSession, hedgeSession *bbgo.ExchangeSession,
+	symbol, strategyID, instanceID string,
+) error {
+	s.parent = ctx
+	s.ctx, s.cancel = context.WithCancel(ctx)
+
+	s.Environ = environ
+
+	s.makerSession = makerSession
+	s.hedgeSession = hedgeSession
+
+	var ok bool
+	s.hedgeMarket, ok = s.hedgeSession.Market(symbol)
+	if !ok {
+		return fmt.Errorf("source session market %s is not defined", symbol)
+	}
+
+	s.makerMarket, ok = s.makerSession.Market(symbol)
+	if !ok {
+		return fmt.Errorf("maker session market %s is not defined", symbol)
+	}
+
+	if s.ProfitStats == nil {
+		s.ProfitStats = types.NewProfitStats(s.makerMarket)
+	}
+
+	if s.Position == nil {
+		s.Position = types.NewPositionFromMarket(s.makerMarket)
+	}
+
+	// Always update the position fields
+	s.Position.Strategy = strategyID
+	s.Position.StrategyInstanceID = instanceID
+
+	// if anyone of the fee rate is defined, this assumes that both are defined.
+	// so that zero maker fee could be applied
+	for _, ses := range []*bbgo.ExchangeSession{makerSession, hedgeSession} {
+		if ses.MakerFeeRate.Sign() > 0 || ses.TakerFeeRate.Sign() > 0 {
+			s.Position.SetExchangeFeeRate(ses.ExchangeName, types.ExchangeFee{
+				MakerFeeRate: ses.MakerFeeRate,
+				TakerFeeRate: ses.TakerFeeRate,
+			})
+		}
+	}
+
+	s.MakerOrderExecutor = bbgo.NewGeneralOrderExecutor(
+		makerSession,
+		s.makerMarket.Symbol,
+		strategyID, instanceID,
+		s.Position)
+	s.MakerOrderExecutor.BindEnvironment(environ)
+	s.MakerOrderExecutor.BindProfitStats(s.ProfitStats)
+	s.MakerOrderExecutor.Bind()
+	s.MakerOrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
+		// bbgo.Sync(ctx, s)
+	})
+
+	s.HedgeOrderExecutor = bbgo.NewGeneralOrderExecutor(
+		hedgeSession,
+		s.hedgeMarket.Symbol,
+		strategyID, instanceID,
+		s.Position)
+	s.HedgeOrderExecutor.BindEnvironment(environ)
+	s.HedgeOrderExecutor.BindProfitStats(s.ProfitStats)
+	s.HedgeOrderExecutor.Bind()
+	s.HedgeOrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
+		// bbgo.Sync(ctx, s)
+	})
+
+	s.orderStore = core.NewOrderStore(s.Position.Symbol)
+	s.orderStore.BindStream(hedgeSession.UserDataStream)
+	s.orderStore.BindStream(makerSession.UserDataStream)
+
+	s.tradeCollector = core.NewTradeCollector(symbol, s.Position, s.orderStore)
+	s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
+		c := trade.PositionChange()
+
+		// sync covered position
+		// sell trade -> negative delta ->
+		// 	  1) long position -> reduce long position
+		//    2) short position -> increase short position
+		// buy trade -> positive delta ->
+		// 	  1) short position -> reduce short position
+		// 	  2) short position -> increase short position
+		if trade.Exchange == s.hedgeSession.ExchangeName {
+			// TODO: make this atomic
+			s.CoveredPosition = s.CoveredPosition.Add(c)
+		}
+
+		s.ProfitStats.AddTrade(trade)
+
+		if profit.Compare(fixedpoint.Zero) == 0 {
+			s.Environ.RecordPosition(s.Position, trade, nil)
+		} else {
+			log.Infof("%s generated profit: %v", symbol, profit)
+
+			p := s.Position.NewProfit(trade, profit, netProfit)
+			bbgo.Notify(&p)
+			s.ProfitStats.AddProfit(p)
+
+			s.Environ.RecordPosition(s.Position, trade, &p)
+		}
+	})
+	s.tradeCollector.BindStream(s.hedgeSession.UserDataStream)
+	s.tradeCollector.BindStream(s.makerSession.UserDataStream)
+
+	return nil
+}
+
+type Strategy struct {
+	*CrossExchangeMarketMakingStrategy
+
+	Environment *bbgo.Environment
+
+	Symbol string `json:"symbol"`
+
+	// HedgeExchange session name
+	HedgeExchange string `json:"hedgeExchange"`
+
+	// MakerExchange session name
+	MakerExchange string `json:"makerExchange"`
+
+	UpdateInterval types.Duration `json:"updateInterval"`
+	HedgeInterval  types.Duration `json:"hedgeInterval"`
+
+	FullReplenishInterval types.Duration `json:"fullReplenishInterval"`
+
+	OrderCancelWaitTime types.Duration `json:"orderCancelWaitTime"`
+
+	Margin    fixedpoint.Value `json:"margin"`
+	BidMargin fixedpoint.Value `json:"bidMargin"`
+	AskMargin fixedpoint.Value `json:"askMargin"`
+
+	StopHedgeQuoteBalance fixedpoint.Value `json:"stopHedgeQuoteBalance"`
+	StopHedgeBaseBalance  fixedpoint.Value `json:"stopHedgeBaseBalance"`
+
+	// Quantity is used for fixed quantity of the first layer
+	Quantity fixedpoint.Value `json:"quantity"`
+
+	// QuantityScale helps user to define the quantity by layer scale
+	QuantityScale *bbgo.LayerScale `json:"quantityScale,omitempty"`
+
+	// DepthScale helps user to define the depth by layer scale
+	DepthScale *bbgo.LayerScale `json:"depthScale,omitempty"`
+
+	// MaxExposurePosition defines the unhedged quantity of stop
+	MaxExposurePosition fixedpoint.Value `json:"maxExposurePosition"`
+
+	NotifyTrade bool `json:"notifyTrade"`
+
+	// RecoverTrade tries to find the missing trades via the REStful API
+	RecoverTrade bool `json:"recoverTrade"`
+
+	RecoverTradeScanPeriod types.Duration `json:"recoverTradeScanPeriod"`
+
+	NumLayers int `json:"numLayers"`
+
+	// Pips is the pips of the layer prices
+	Pips fixedpoint.Value `json:"pips"`
+
+	// --------------------------------
+	// private fields
+	// --------------------------------
+
+	// pricingBook is the order book (depth) from the hedging session
+	pricingBook *types.StreamOrderBook
+
+	hedgeErrorLimiter         *rate.Limiter
+	hedgeErrorRateReservation *rate.Reservation
+
+	askPriceHeartBeat, bidPriceHeartBeat *types.PriceHeartBeat
+
+	lastPrice fixedpoint.Value
+
+	stopC chan struct{}
+}
+
+func (s *Strategy) ID() string {
+	return ID
+}
+
+func (s *Strategy) InstanceID() string {
+	return fmt.Sprintf("%s:%s", ID, s.Symbol)
+}
+
+func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
+	makerSession, hedgeSession, err := selectSessions2(sessions, s.MakerExchange, s.HedgeExchange)
+	if err != nil {
+		panic(err)
+	}
+
+	hedgeSession.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{
+		Depth: types.DepthLevelMedium,
+		Speed: types.SpeedLow,
+	})
+
+	hedgeSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
+	makerSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
+}
+
+func (s *Strategy) Validate() error {
+	if s.MakerExchange == "" {
+		return errors.New("maker exchange is not configured")
+	}
+
+	if s.HedgeExchange == "" {
+		return errors.New("maker exchange is not configured")
+	}
+
+	if s.DepthScale == nil {
+		return errors.New("depthScale can not be empty")
+	}
+
+	if len(s.Symbol) == 0 {
+		return errors.New("symbol is required")
+	}
+
+	return nil
+}
+
+func (s *Strategy) Defaults() error {
+	if s.UpdateInterval == 0 {
+		s.UpdateInterval = types.Duration(time.Second)
+	}
+
+	if s.FullReplenishInterval == 0 {
+		s.FullReplenishInterval = types.Duration(15 * time.Minute)
+	}
+
+	if s.HedgeInterval == 0 {
+		s.HedgeInterval = types.Duration(3 * time.Second)
+	}
+
+	if s.NumLayers == 0 {
+		s.NumLayers = 1
+	}
+
+	if s.Margin.IsZero() {
+		s.Margin = defaultMargin
+	}
+
+	if s.BidMargin.IsZero() {
+		if !s.Margin.IsZero() {
+			s.BidMargin = s.Margin
+		} else {
+			s.BidMargin = defaultMargin
+		}
+	}
+
+	if s.AskMargin.IsZero() {
+		if !s.Margin.IsZero() {
+			s.AskMargin = s.Margin
+		} else {
+			s.AskMargin = defaultMargin
+		}
+	}
+
+	s.hedgeErrorLimiter = rate.NewLimiter(rate.Every(1*time.Minute), 1)
+	return nil
+}
+
+func (s *Strategy) Initialize() error {
+	s.bidPriceHeartBeat = types.NewPriceHeartBeat(priceUpdateTimeout)
+	s.askPriceHeartBeat = types.NewPriceHeartBeat(priceUpdateTimeout)
+	return nil
+}
+
+func (s *Strategy) CrossRun(
+	ctx context.Context, _ bbgo.OrderExecutionRouter,
+	sessions map[string]*bbgo.ExchangeSession,
+) error {
+	makerSession, hedgeSession, err := selectSessions2(sessions, s.MakerExchange, s.HedgeExchange)
+	if err != nil {
+		return err
+	}
+
+	s.CrossExchangeMarketMakingStrategy = &CrossExchangeMarketMakingStrategy{}
+	if err := s.CrossExchangeMarketMakingStrategy.Initialize(ctx, s.Environment, makerSession, hedgeSession, s.Symbol, ID, s.InstanceID()); err != nil {
+		return err
+	}
+
+	s.pricingBook = types.NewStreamBook(s.Symbol)
+	s.pricingBook.BindStream(s.hedgeSession.MarketDataStream)
+
+	if s.NotifyTrade {
+		s.tradeCollector.OnTrade(notifyTrade)
+	}
+
+	s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
+		bbgo.Notify(position)
+	})
+
+	s.stopC = make(chan struct{})
+
+	if s.RecoverTrade {
+		s.tradeCollector.OnRecover(func(trade types.Trade) {
+			bbgo.Notify("Recovered trade", trade)
+		})
+
+		go s.runTradeRecover(ctx)
+	}
+
+	go func() {
+		posTicker := time.NewTicker(util.MillisecondsJitter(s.HedgeInterval.Duration(), 200))
+		defer posTicker.Stop()
+
+		fullReplenishTicker := time.NewTicker(util.MillisecondsJitter(s.FullReplenishInterval.Duration(), 200))
+		defer fullReplenishTicker.Stop()
+
+		s.updateQuote(ctx, 0)
+
+		for {
+			select {
+
+			case <-s.stopC:
+				log.Warnf("%s maker goroutine stopped, due to the stop signal", s.Symbol)
+				return
+
+			case <-ctx.Done():
+				log.Warnf("%s maker goroutine stopped, due to the cancelled context", s.Symbol)
+				return
+
+			case <-fullReplenishTicker.C:
+				s.updateQuote(ctx, 0)
+
+			case sig, ok := <-s.pricingBook.C:
+				// when any book change event happened
+				if !ok {
+					return
+				}
+
+				switch sig.Type {
+				case types.BookSignalSnapshot:
+					s.updateQuote(ctx, 0)
+
+				case types.BookSignalUpdate:
+					s.updateQuote(ctx, 5)
+				}
+
+			case <-posTicker.C:
+				// For positive position and positive covered position:
+				// uncover position = +5 - +3 (covered position) = 2
+				//
+				// For positive position and negative covered position:
+				// uncover position = +5 - (-3) (covered position) = 8
+				//
+				// meaning we bought 5 on MAX and sent buy order with 3 on binance
+				//
+				// For negative position:
+				// uncover position = -5 - -3 (covered position) = -2
+				s.tradeCollector.Process()
+
+				position := s.Position.GetBase()
+
+				uncoverPosition := position.Sub(s.CoveredPosition)
+				absPos := uncoverPosition.Abs()
+				if absPos.Compare(s.hedgeMarket.MinQuantity) > 0 {
+					log.Infof("%s base position %v coveredPosition: %v uncoverPosition: %v",
+						s.Symbol,
+						position,
+						s.CoveredPosition,
+						uncoverPosition,
+					)
+
+					s.Hedge(ctx, uncoverPosition.Neg())
+				}
+			}
+		}
+	}()
+
+	bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
+		defer wg.Done()
+
+		close(s.stopC)
+
+		// wait for the quoter to stop
+		time.Sleep(s.UpdateInterval.Duration())
+
+		shutdownCtx, cancelShutdown := context.WithTimeout(context.TODO(), time.Minute)
+		defer cancelShutdown()
+
+		if err := s.MakerOrderExecutor.GracefulCancel(shutdownCtx); err != nil {
+			log.WithError(err).Errorf("graceful cancel %s order error", s.Symbol)
+		}
+
+		if err := s.HedgeOrderExecutor.GracefulCancel(shutdownCtx); err != nil {
+			log.WithError(err).Errorf("graceful cancel %s order error", s.Symbol)
+		}
+
+		bbgo.Notify("%s: %s position", ID, s.Symbol, s.Position)
+	})
+
+	return nil
+}
+
+func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
+	side := types.SideTypeBuy
+	if pos.IsZero() {
+		return
+	}
+
+	quantity := pos.Abs()
+
+	if pos.Sign() < 0 {
+		side = types.SideTypeSell
+	}
+
+	lastPrice := s.lastPrice
+	sourceBook := s.pricingBook.CopyDepth(1)
+	switch side {
+
+	case types.SideTypeBuy:
+		if bestAsk, ok := sourceBook.BestAsk(); ok {
+			lastPrice = bestAsk.Price
+		}
+
+	case types.SideTypeSell:
+		if bestBid, ok := sourceBook.BestBid(); ok {
+			lastPrice = bestBid.Price
+		}
+	}
+
+	notional := quantity.Mul(lastPrice)
+	if notional.Compare(s.hedgeMarket.MinNotional) <= 0 {
+		log.Warnf("%s %v less than min notional, skipping hedge", s.Symbol, notional)
+		return
+	}
+
+	// adjust quantity according to the balances
+	account := s.hedgeSession.GetAccount()
+	switch side {
+
+	case types.SideTypeBuy:
+		// check quote quantity
+		if quote, ok := account.Balance(s.hedgeMarket.QuoteCurrency); ok {
+			if quote.Available.Compare(notional) < 0 {
+				// adjust price to higher 0.1%, so that we can ensure that the order can be executed
+				quantity = bbgo.AdjustQuantityByMaxAmount(quantity, lastPrice.Mul(lastPriceModifier), quote.Available)
+				quantity = s.hedgeMarket.TruncateQuantity(quantity)
+			}
+		}
+
+	case types.SideTypeSell:
+		// check quote quantity
+		if base, ok := account.Balance(s.hedgeMarket.BaseCurrency); ok {
+			if base.Available.Compare(quantity) < 0 {
+				quantity = base.Available
+			}
+		}
+	}
+
+	// truncate quantity for the supported precision
+	quantity = s.hedgeMarket.TruncateQuantity(quantity)
+
+	if notional.Compare(s.hedgeMarket.MinNotional.Mul(minGap)) <= 0 {
+		log.Warnf("the adjusted amount %v is less than minimal notional %v, skipping hedge", notional, s.hedgeMarket.MinNotional)
+		return
+	}
+
+	if quantity.Compare(s.hedgeMarket.MinQuantity.Mul(minGap)) <= 0 {
+		log.Warnf("the adjusted quantity %v is less than minimal quantity %v, skipping hedge", quantity, s.hedgeMarket.MinQuantity)
+		return
+	}
+
+	if s.hedgeErrorRateReservation != nil {
+		if !s.hedgeErrorRateReservation.OK() {
+			return
+		}
+		bbgo.Notify("Hit hedge error rate limit, waiting...")
+		time.Sleep(s.hedgeErrorRateReservation.Delay())
+		s.hedgeErrorRateReservation = nil
+	}
+
+	log.Infof("submitting %s hedge order %s %v", s.Symbol, side.String(), quantity)
+	bbgo.Notify("Submitting %s hedge order %s %v", s.Symbol, side.String(), quantity)
+
+	createdOrders, err := s.HedgeOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
+		Market:   s.hedgeMarket,
+		Symbol:   s.Symbol,
+		Type:     types.OrderTypeMarket,
+		Side:     side,
+		Quantity: quantity,
+	})
+
+	if err != nil {
+		s.hedgeErrorRateReservation = s.hedgeErrorLimiter.Reserve()
+		log.WithError(err).Errorf("market order submit error: %s", err.Error())
+		return
+	}
+
+	s.orderStore.Add(createdOrders...)
+
+	// if the hedge is on sell side, then we should add positive position
+	switch side {
+	case types.SideTypeSell:
+		s.CoveredPosition = s.CoveredPosition.Add(quantity)
+	case types.SideTypeBuy:
+		s.CoveredPosition = s.CoveredPosition.Add(quantity.Neg())
+	}
+}
+
+func (s *Strategy) runTradeRecover(ctx context.Context) {
+	tradeScanInterval := s.RecoverTradeScanPeriod.Duration()
+	if tradeScanInterval == 0 {
+		tradeScanInterval = 30 * time.Minute
+	}
+
+	tradeScanOverlapBufferPeriod := 5 * time.Minute
+
+	tradeScanTicker := time.NewTicker(tradeScanInterval)
+	defer tradeScanTicker.Stop()
+
+	for {
+		select {
+		case <-ctx.Done():
+			return
+
+		case <-tradeScanTicker.C:
+			log.Infof("scanning trades from %s ago...", tradeScanInterval)
+
+			if s.RecoverTrade {
+				startTime := time.Now().Add(-tradeScanInterval).Add(-tradeScanOverlapBufferPeriod)
+
+				if err := s.tradeCollector.Recover(ctx, s.hedgeSession.Exchange.(types.ExchangeTradeHistoryService), s.Symbol, startTime); err != nil {
+					log.WithError(err).Errorf("query trades error")
+				}
+
+				if err := s.tradeCollector.Recover(ctx, s.makerSession.Exchange.(types.ExchangeTradeHistoryService), s.Symbol, startTime); err != nil {
+					log.WithError(err).Errorf("query trades error")
+				}
+			}
+		}
+	}
+}
+
+func (s *Strategy) generateMakerOrders(pricingBook *types.StreamOrderBook, maxLayer int) ([]types.SubmitOrder, error) {
+	bestBid, bestAsk, hasPrice := pricingBook.BestBidAndAsk()
+	if !hasPrice {
+		return nil, nil
+	}
+
+	bestBidPrice := bestBid.Price
+	bestAskPrice := bestAsk.Price
+
+	lastMidPrice := bestBidPrice.Add(bestAskPrice).Div(Two)
+	_ = lastMidPrice
+
+	var submitOrders []types.SubmitOrder
+	var accumulatedBidQuantity = fixedpoint.Zero
+	var accumulatedAskQuantity = fixedpoint.Zero
+	var accumulatedBidQuoteQuantity = fixedpoint.Zero
+
+	dupPricingBook := pricingBook.CopyDepth(0)
+
+	if maxLayer == 0 || maxLayer > s.NumLayers {
+		maxLayer = s.NumLayers
+	}
+
+	for _, side := range []types.SideType{types.SideTypeBuy, types.SideTypeSell} {
+		for i := 1; i <= maxLayer; i++ {
+			requiredDepthFloat, err := s.DepthScale.Scale(i)
+			if err != nil {
+				return nil, errors.Wrapf(err, "depthScale scale error")
+			}
+
+			// requiredDepth is the required depth in quote currency
+			requiredDepth := fixedpoint.NewFromFloat(requiredDepthFloat)
+
+			sideBook := dupPricingBook.SideBook(side)
+			index := sideBook.IndexByQuoteVolumeDepth(requiredDepth)
+
+			pvs := types.PriceVolumeSlice{}
+			if index == -1 {
+				pvs = sideBook[:]
+			} else {
+				pvs = sideBook[0 : index+1]
+			}
+
+			log.Infof("required depth: %f, pvs: %+v", requiredDepth.Float64(), pvs)
+
+			depthPrice, err := averageDepthPrice(pvs)
+			if err != nil {
+				log.WithError(err).Errorf("error aggregating depth price")
+				continue
+			}
+
+			switch side {
+			case types.SideTypeBuy:
+				if s.BidMargin.Sign() > 0 {
+					depthPrice = depthPrice.Mul(fixedpoint.One.Sub(s.BidMargin))
+				}
+
+				depthPrice = depthPrice.Round(s.makerMarket.PricePrecision+1, fixedpoint.Down)
+
+			case types.SideTypeSell:
+				if s.AskMargin.Sign() > 0 {
+					depthPrice = depthPrice.Mul(fixedpoint.One.Add(s.AskMargin))
+				}
+
+				depthPrice = depthPrice.Round(s.makerMarket.PricePrecision+1, fixedpoint.Up)
+			}
+
+			depthPrice = s.makerMarket.TruncatePrice(depthPrice)
+
+			quantity := requiredDepth.Div(depthPrice)
+			quantity = s.makerMarket.TruncateQuantity(quantity)
+			log.Infof("side: %s required depth: %f price: %f quantity: %f", side, requiredDepth.Float64(), depthPrice.Float64(), quantity.Float64())
+
+			switch side {
+			case types.SideTypeBuy:
+				quantity = quantity.Sub(accumulatedBidQuantity)
+
+				accumulatedBidQuantity = accumulatedBidQuantity.Add(quantity)
+				quoteQuantity := fixedpoint.Mul(quantity, depthPrice)
+				quoteQuantity = quoteQuantity.Round(s.makerMarket.PricePrecision, fixedpoint.Up)
+				accumulatedBidQuoteQuantity = accumulatedBidQuoteQuantity.Add(quoteQuantity)
+
+			case types.SideTypeSell:
+				quantity = quantity.Sub(accumulatedAskQuantity)
+				accumulatedAskQuantity = accumulatedAskQuantity.Add(quantity)
+
+			}
+
+			submitOrders = append(submitOrders, types.SubmitOrder{
+				Symbol:   s.Symbol,
+				Type:     types.OrderTypeLimitMaker,
+				Market:   s.makerMarket,
+				Side:     side,
+				Price:    depthPrice,
+				Quantity: quantity,
+			})
+		}
+	}
+
+	return submitOrders, nil
+}
+
+func (s *Strategy) partiallyCancelOrders(ctx context.Context, maxLayer int) error {
+	buyOrders, sellOrders := s.MakerOrderExecutor.ActiveMakerOrders().Orders().SeparateBySide()
+	buyOrders = types.SortOrdersByPrice(buyOrders, true)
+	sellOrders = types.SortOrdersByPrice(sellOrders, false)
+
+	buyOrdersToCancel := buyOrders[0:min(maxLayer, len(buyOrders))]
+	sellOrdersToCancel := sellOrders[0:min(maxLayer, len(sellOrders))]
+
+	err1 := s.MakerOrderExecutor.GracefulCancel(ctx, buyOrdersToCancel...)
+	err2 := s.MakerOrderExecutor.GracefulCancel(ctx, sellOrdersToCancel...)
+	return stderrors.Join(err1, err2)
+}
+
+func (s *Strategy) updateQuote(ctx context.Context, maxLayer int) {
+	if maxLayer == 0 {
+		if err := s.MakerOrderExecutor.GracefulCancel(ctx); err != nil {
+			log.WithError(err).Warnf("there are some %s orders not canceled, skipping placing maker orders", s.Symbol)
+			s.MakerOrderExecutor.ActiveMakerOrders().Print()
+			return
+		}
+	} else {
+		if err := s.partiallyCancelOrders(ctx, maxLayer); err != nil {
+			log.WithError(err).Warnf("%s partial order cancel failed", s.Symbol)
+			return
+		}
+	}
+
+	numOfMakerOrders := s.MakerOrderExecutor.ActiveMakerOrders().NumOfOrders()
+	if numOfMakerOrders > 0 {
+		log.Warnf("maker orders are not all canceled")
+		return
+	}
+
+	bestBid, bestAsk, hasPrice := s.pricingBook.BestBidAndAsk()
+	if !hasPrice {
+		return
+	}
+
+	bestBidPrice := bestBid.Price
+	bestAskPrice := bestAsk.Price
+	log.Infof("%s book ticker: best ask / best bid = %v / %v", s.Symbol, bestAskPrice, bestBidPrice)
+
+	s.lastPrice = bestBidPrice.Add(bestAskPrice).Div(Two)
+
+	bookLastUpdateTime := s.pricingBook.LastUpdateTime()
+
+	if _, err := s.bidPriceHeartBeat.Update(bestBid); err != nil {
+		log.WithError(err).Errorf("quote update error, %s price not updating, order book last update: %s ago",
+			s.Symbol,
+			time.Since(bookLastUpdateTime))
+		return
+	}
+
+	if _, err := s.askPriceHeartBeat.Update(bestAsk); err != nil {
+		log.WithError(err).Errorf("quote update error, %s price not updating, order book last update: %s ago",
+			s.Symbol,
+			time.Since(bookLastUpdateTime))
+		return
+	}
+
+	submitOrders, err := s.generateMakerOrders(s.pricingBook, maxLayer)
+	if err != nil {
+		log.WithError(err).Errorf("generate order error")
+		return
+	}
+
+	if len(submitOrders) == 0 {
+		log.Warnf("no orders are generated")
+		return
+	}
+
+	createdOrders, err := s.MakerOrderExecutor.SubmitOrders(ctx, submitOrders...)
+	if err != nil {
+		log.WithError(err).Errorf("order error: %s", err.Error())
+		return
+	}
+
+	s.orderStore.Add(createdOrders...)
+}
+
+func selectSessions2(
+	sessions map[string]*bbgo.ExchangeSession, n1, n2 string,
+) (s1, s2 *bbgo.ExchangeSession, err error) {
+	for _, n := range []string{n1, n2} {
+		if _, ok := sessions[n]; !ok {
+			return nil, nil, fmt.Errorf("session %s is not defined", n)
+		}
+	}
+
+	s1 = sessions[n1]
+	s2 = sessions[n2]
+	return s1, s2, nil
+}
+
+func averageDepthPrice(pvs types.PriceVolumeSlice) (price fixedpoint.Value, err error) {
+	if len(pvs) == 0 {
+		return fixedpoint.Zero, fmt.Errorf("empty pv slice")
+	}
+
+	totalQuoteAmount := fixedpoint.Zero
+	totalQuantity := fixedpoint.Zero
+
+	for i := 0; i < len(pvs); i++ {
+		pv := pvs[i]
+		quoteAmount := fixedpoint.Mul(pv.Volume, pv.Price)
+		totalQuoteAmount = totalQuoteAmount.Add(quoteAmount)
+		totalQuantity = totalQuantity.Add(pv.Volume)
+	}
+
+	price = totalQuoteAmount.Div(totalQuantity)
+	return price, nil
+}
+
+func min(a, b int) int {
+	if a < b {
+		return a
+	}
+
+	return b
+}

pkg/strategy/xdepthmaker/strategy_test.go

@@ -0,0 +1,74 @@
+//go:build !dnum
+
+package xdepthmaker
+
+import (
+	"testing"
+	"time"
+
+	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+	. "github.com/c9s/bbgo/pkg/testing/testhelper"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func newTestBTCUSDTMarket() types.Market {
+	return types.Market{
+		BaseCurrency:    "BTC",
+		QuoteCurrency:   "USDT",
+		TickSize:        Number(0.01),
+		StepSize:        Number(0.000001),
+		PricePrecision:  2,
+		VolumePrecision: 8,
+		MinNotional:     Number(8.0),
+		MinQuantity:     Number(0.0003),
+	}
+}
+
+func TestStrategy_generateMakerOrders(t *testing.T) {
+	s := &Strategy{
+		Symbol:    "BTCUSDT",
+		NumLayers: 3,
+		DepthScale: &bbgo.LayerScale{
+			LayerRule: &bbgo.SlideRule{
+				LinearScale: &bbgo.LinearScale{
+					Domain: [2]float64{1.0, 3.0},
+					Range:  [2]float64{1000.0, 15000.0},
+				},
+			},
+		},
+		CrossExchangeMarketMakingStrategy: &CrossExchangeMarketMakingStrategy{
+			makerMarket: newTestBTCUSDTMarket(),
+		},
+	}
+
+	pricingBook := types.NewStreamBook("BTCUSDT")
+	pricingBook.OrderBook.Load(types.SliceOrderBook{
+		Symbol: "BTCUSDT",
+		Bids: types.PriceVolumeSlice{
+			{Price: Number("25000.00"), Volume: Number("0.1")},
+			{Price: Number("24900.00"), Volume: Number("0.2")},
+			{Price: Number("24800.00"), Volume: Number("0.3")},
+			{Price: Number("24700.00"), Volume: Number("0.4")},
+		},
+		Asks: types.PriceVolumeSlice{
+			{Price: Number("25100.00"), Volume: Number("0.1")},
+			{Price: Number("25200.00"), Volume: Number("0.2")},
+			{Price: Number("25300.00"), Volume: Number("0.3")},
+			{Price: Number("25400.00"), Volume: Number("0.4")},
+		},
+		Time: time.Now(),
+	})
+
+	orders, err := s.generateMakerOrders(pricingBook, 0)
+	assert.NoError(t, err)
+	AssertOrdersPriceSideQuantity(t, []PriceSideQuantityAssert{
+		{Side: types.SideTypeBuy, Price: Number("25000"), Quantity: Number("0.04")},        // =~ $1000.00
+		{Side: types.SideTypeBuy, Price: Number("24866.66"), Quantity: Number("0.281715")}, // =~ $7005.3111219, accumulated amount =~ $1000.00 + $7005.3111219 = $8005.3111219
+		{Side: types.SideTypeBuy, Price: Number("24800"), Quantity: Number("0.283123")},    // =~ $7021.4504, accumulated amount =~ $1000.00 + $7005.3111219 + $7021.4504 = $8005.3111219 + $7021.4504 =~ $15026.7615219
+		{Side: types.SideTypeSell, Price: Number("25100"), Quantity: Number("0.03984")},
+		{Side: types.SideTypeSell, Price: Number("25233.33"), Quantity: Number("0.2772")},
+		{Side: types.SideTypeSell, Price: Number("25233.33"), Quantity: Number("0.277411")},
+	}, orders)
+}

pkg/strategy/xmaker/strategy.go

@@ -112,7 +112,7 @@ type Strategy struct {
 	orderStore     *core.OrderStore
 	tradeCollector *core.TradeCollector
 
-	askPriceHeartBeat, bidPriceHeartBeat types.PriceHeartBeat
+	askPriceHeartBeat, bidPriceHeartBeat *types.PriceHeartBeat
 
 	lastPrice fixedpoint.Value
 	groupID   uint32
@@ -170,6 +170,12 @@ func aggregatePrice(pvs types.PriceVolumeSlice, requiredQuantity fixedpoint.Valu
 	return price
 }
 
+func (s *Strategy) Initialize() error {
+	s.bidPriceHeartBeat = types.NewPriceHeartBeat(priceUpdateTimeout)
+	s.askPriceHeartBeat = types.NewPriceHeartBeat(priceUpdateTimeout)
+	return nil
+}
+
 func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter) {
 	if err := s.activeMakerOrders.GracefulCancel(ctx, s.makerSession.Exchange); err != nil {
 		log.Warnf("there are some %s orders not canceled, skipping placing maker orders", s.Symbol)
@@ -191,14 +197,14 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
 
 	bookLastUpdateTime := s.book.LastUpdateTime()
 
-	if _, err := s.bidPriceHeartBeat.Update(bestBid, priceUpdateTimeout); err != nil {
+	if _, err := s.bidPriceHeartBeat.Update(bestBid); err != nil {
 		log.WithError(err).Errorf("quote update error, %s price not updating, order book last update: %s ago",
 			s.Symbol,
 			time.Since(bookLastUpdateTime))
 		return
 	}
 
-	if _, err := s.askPriceHeartBeat.Update(bestAsk, priceUpdateTimeout); err != nil {
+	if _, err := s.askPriceHeartBeat.Update(bestAsk); err != nil {
 		log.WithError(err).Errorf("quote update error, %s price not updating, order book last update: %s ago",
 			s.Symbol,
 			time.Since(bookLastUpdateTime))
@@ -639,7 +645,9 @@ func (s *Strategy) Validate() error {
 	return nil
 }
 
-func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession) error {
+func (s *Strategy) CrossRun(
+	ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession,
+) error {
 	if s.BollBandInterval == "" {
 		s.BollBandInterval = types.Interval1m
 	}

pkg/strategy/xpuremaker/strategy.go

@@ -1,197 +0,0 @@
-package xpuremaker
-
-import (
-	"context"
-	"math"
-	"time"
-
-	log "github.com/sirupsen/logrus"
-
-	"github.com/c9s/bbgo/pkg/bbgo"
-	"github.com/c9s/bbgo/pkg/fixedpoint"
-	"github.com/c9s/bbgo/pkg/types"
-)
-
-const ID = "xpuremaker"
-
-var Ten = fixedpoint.NewFromInt(10)
-
-func init() {
-	bbgo.RegisterStrategy(ID, &Strategy{})
-}
-
-type Strategy struct {
-	Symbol       string           `json:"symbol"`
-	Side         string           `json:"side"`
-	NumOrders    int              `json:"numOrders"`
-	BehindVolume fixedpoint.Value `json:"behindVolume"`
-	PriceTick    fixedpoint.Value `json:"priceTick"`
-	BaseQuantity fixedpoint.Value `json:"baseQuantity"`
-	BuySellRatio float64          `json:"buySellRatio"`
-
-	book         *types.StreamOrderBook
-	activeOrders map[string]types.Order
-}
-
-func (s *Strategy) ID() string {
-	return ID
-}
-
-func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
-	session.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
-}
-
-func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
-
-	s.book = types.NewStreamBook(s.Symbol)
-	s.book.BindStream(session.UserDataStream)
-
-	s.activeOrders = make(map[string]types.Order)
-
-	// We can move the go routine to the parent level.
-	go func() {
-		ticker := time.NewTicker(1 * time.Minute)
-		defer ticker.Stop()
-
-		s.update(orderExecutor, session)
-
-		for {
-			select {
-			case <-ctx.Done():
-				return
-
-			case <-s.book.C:
-				s.update(orderExecutor, session)
-
-			case <-ticker.C:
-				s.update(orderExecutor, session)
-			}
-		}
-	}()
-
-	return nil
-}
-
-func (s *Strategy) cancelOrders(session *bbgo.ExchangeSession) {
-	var deletedIDs []string
-	for clientOrderID, o := range s.activeOrders {
-		log.Infof("canceling order: %+v", o)
-
-		if err := session.Exchange.CancelOrders(context.Background(), o); err != nil {
-			log.WithError(err).Error("cancel order error")
-			continue
-		}
-
-		deletedIDs = append(deletedIDs, clientOrderID)
-	}
-	s.book.C.Drain(1*time.Second, 3*time.Second)
-
-	for _, id := range deletedIDs {
-		delete(s.activeOrders, id)
-	}
-}
-
-func (s *Strategy) update(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
-	s.cancelOrders(session)
-
-	switch s.Side {
-	case "buy":
-		s.updateOrders(orderExecutor, session, types.SideTypeBuy)
-	case "sell":
-		s.updateOrders(orderExecutor, session, types.SideTypeSell)
-	case "both":
-		s.updateOrders(orderExecutor, session, types.SideTypeBuy)
-		s.updateOrders(orderExecutor, session, types.SideTypeSell)
-
-	default:
-		log.Panicf("undefined side: %s", s.Side)
-	}
-
-	s.book.C.Drain(1*time.Second, 3*time.Second)
-}
-
-func (s *Strategy) updateOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession, side types.SideType) {
-	var book = s.book.Copy()
-	var pvs = book.SideBook(side)
-	if len(pvs) == 0 {
-		log.Warnf("empty side: %s", side)
-		return
-	}
-
-	log.Infof("placing order behind volume: %f", s.BehindVolume.Float64())
-
-	idx := pvs.IndexByVolumeDepth(s.BehindVolume)
-	if idx == -1 || idx > len(pvs)-1 {
-		// do not place orders
-		log.Warn("depth is not enough")
-		return
-	}
-
-	var depthPrice = pvs[idx].Price
-	var orders = s.generateOrders(s.Symbol, side, depthPrice, s.PriceTick, s.BaseQuantity, s.NumOrders)
-	if len(orders) == 0 {
-		log.Warn("empty orders")
-		return
-	}
-
-	createdOrders, err := orderExecutor.SubmitOrders(context.Background(), orders...)
-	if err != nil {
-		log.WithError(err).Errorf("order submit error")
-		return
-	}
-
-	// add created orders to the list
-	for i, o := range createdOrders {
-		s.activeOrders[o.ClientOrderID] = createdOrders[i]
-	}
-}
-
-func (s *Strategy) generateOrders(symbol string, side types.SideType, price, priceTick, baseQuantity fixedpoint.Value, numOrders int) (orders []types.SubmitOrder) {
-	var expBase = fixedpoint.Zero
-
-	switch side {
-	case types.SideTypeBuy:
-		if priceTick.Sign() > 0 {
-			priceTick = priceTick.Neg()
-		}
-
-	case types.SideTypeSell:
-		if priceTick.Sign() < 0 {
-			priceTick = priceTick.Neg()
-		}
-	}
-
-	decdigits := priceTick.Abs().NumIntDigits()
-	step := priceTick.Abs().MulExp(-decdigits + 1)
-
-	for i := 0; i < numOrders; i++ {
-		quantityExp := fixedpoint.NewFromFloat(math.Exp(expBase.Float64()))
-		volume := baseQuantity.Mul(quantityExp)
-		amount := volume.Mul(price)
-		// skip order less than 10usd
-		if amount.Compare(Ten) < 0 {
-			log.Warnf("amount too small (< 10usd). price=%s volume=%s amount=%s",
-				price.String(), volume.String(), amount.String())
-			continue
-		}
-
-		orders = append(orders, types.SubmitOrder{
-			Symbol:   symbol,
-			Side:     side,
-			Type:     types.OrderTypeLimit,
-			Price:    price,
-			Quantity: volume,
-		})
-
-		log.Infof("%s order: %s @ %s", side, volume.String(), price.String())
-
-		if len(orders) >= numOrders {
-			break
-		}
-
-		price = price.Add(priceTick)
-		expBase = expBase.Add(step)
-	}
-
-	return orders
-}

pkg/testing/testhelper/assert_priceside.go

@@ -32,7 +32,7 @@ type PriceSideQuantityAssert struct {
 func AssertOrdersPriceSideQuantity(
 	t *testing.T, asserts []PriceSideQuantityAssert, orders []types.SubmitOrder,
 ) {
-	assert.Equalf(t, len(orders), len(asserts), "expecting %d orders", len(asserts))
+	assert.Equalf(t, len(asserts), len(orders), "expecting %d orders", len(asserts))
 
 	var assertPrices, orderPrices fixedpoint.Slice
 	var assertPricesFloat, orderPricesFloat []float64

pkg/types/orderbook.go

@@ -7,7 +7,6 @@ import (
 	"time"
 
 	"github.com/c9s/bbgo/pkg/fixedpoint"
-	"github.com/c9s/bbgo/pkg/sigchan"
 )
 
 type OrderBook interface {
@@ -114,13 +113,26 @@ func (b *MutexOrderBook) Update(update SliceOrderBook) {
 	b.Unlock()
 }
 
-//go:generate callbackgen -type StreamOrderBook
+type BookSignalType string
+
+const (
+	BookSignalSnapshot BookSignalType = "snapshot"
+	BookSignalUpdate   BookSignalType = "update"
+)
+
+type BookSignal struct {
+	Type BookSignalType
+	Book SliceOrderBook
+}
+
 // StreamOrderBook receives streaming data from websocket connection and
 // update the order book with mutex lock, so you can safely access it.
+//
+//go:generate callbackgen -type StreamOrderBook
 type StreamOrderBook struct {
 	*MutexOrderBook
 
-	C sigchan.Chan
+	C chan BookSignal
 
 	updateCallbacks   []func(update SliceOrderBook)
 	snapshotCallbacks []func(snapshot SliceOrderBook)
@@ -129,7 +141,7 @@ type StreamOrderBook struct {
 func NewStreamBook(symbol string) *StreamOrderBook {
 	return &StreamOrderBook{
 		MutexOrderBook: NewMutexOrderBook(symbol),
-		C:              sigchan.New(60),
+		C:              make(chan BookSignal, 1),
 	}
 }
 
@@ -141,7 +153,9 @@ func (sb *StreamOrderBook) BindStream(stream Stream) {
 
 		sb.Load(book)
 		sb.EmitSnapshot(book)
-		sb.C.Emit()
+
+		// when it's snapshot, it's very important to push the snapshot signal to the caller
+		sb.C <- BookSignal{Type: BookSignalSnapshot, Book: book}
 	})
 
 	stream.OnBookUpdate(func(book SliceOrderBook) {
@@ -151,6 +165,10 @@ func (sb *StreamOrderBook) BindStream(stream Stream) {
 
 		sb.Update(book)
 		sb.EmitUpdate(book)
-		sb.C.Emit()
+
+		select {
+		case sb.C <- BookSignal{Type: BookSignalUpdate, Book: book}:
+		default:
+		}
 	})
 }

pkg/types/ordermap.go

@@ -8,6 +8,14 @@ import (
 // OrderMap is used for storing orders by their order id
 type OrderMap map[uint64]Order
 
+func NewOrderMap(os ...Order) OrderMap {
+	m := OrderMap{}
+	if len(os) > 0 {
+		m.Add(os...)
+	}
+	return m
+}
+
 func (m OrderMap) Backup() (orderForms []SubmitOrder) {
 	for _, order := range m {
 		orderForms = append(orderForms, order.Backup())
@@ -17,8 +25,10 @@ func (m OrderMap) Backup() (orderForms []SubmitOrder) {
 }
 
 // Add the order the the map
-func (m OrderMap) Add(o Order) {
+func (m OrderMap) Add(os ...Order) {
-	m[o.OrderID] = o
+	for _, o := range os {
+		m[o.OrderID] = o
+	}
 }
 
 // Update only updates the order when the order ID exists in the map
@@ -243,3 +253,16 @@ func (m *SyncOrderMap) Orders() (slice OrderSlice) {
 }
 
 type OrderSlice []Order
+
+func (s OrderSlice) SeparateBySide() (buyOrders, sellOrders []Order) {
+	for _, o := range s {
+		switch o.Side {
+		case SideTypeBuy:
+			buyOrders = append(buyOrders, o)
+		case SideTypeSell:
+			sellOrders = append(sellOrders, o)
+		}
+	}
+
+	return buyOrders, sellOrders
+}

pkg/types/price_volume_heartbeat.go

@@ -7,24 +7,38 @@ import (
 
 // PriceHeartBeat is used for monitoring the price volume update.
 type PriceHeartBeat struct {
-	PriceVolume PriceVolume
+	last            PriceVolume
-	LastTime    time.Time
+	lastUpdatedTime time.Time
+	timeout         time.Duration
+}
+
+func NewPriceHeartBeat(timeout time.Duration) *PriceHeartBeat {
+	return &PriceHeartBeat{
+		timeout: timeout,
+	}
+}
+
+func (b *PriceHeartBeat) Last() PriceVolume {
+	return b.last
 }
 
 // Update updates the price volume object and the last update time
 // It returns (bool, error), when the price is successfully updated, it returns true.
 // If the price is not updated (same price) and the last time exceeded the timeout,
 // Then false, and an error will be returned
-func (b *PriceHeartBeat) Update(pv PriceVolume, timeout time.Duration) (bool, error) {
+func (b *PriceHeartBeat) Update(current PriceVolume) (bool, error) {
-	if b.PriceVolume.Price.IsZero() || b.PriceVolume != pv {
+	if b.last.Price.IsZero() || b.last != current {
-		b.PriceVolume = pv
+		b.last = current
-		b.LastTime = time.Now()
+		b.lastUpdatedTime = time.Now()
 		return true, nil // successfully updated
-	} else if time.Since(b.LastTime) > timeout {
+	} else {
-		return false, fmt.Errorf("price %s has not been updating for %s, last update: %s, skip quoting",
+		// if price and volume is not changed
-			b.PriceVolume.String(),
+		if b.last.Equals(current) && time.Since(b.lastUpdatedTime) > b.timeout {
-			time.Since(b.LastTime),
+			return false, fmt.Errorf("price %s has not been updating for %s, last update: %s, skip quoting",
-			b.LastTime)
+				b.last.String(),
+				time.Since(b.lastUpdatedTime),
+				b.lastUpdatedTime)
+		}
 	}
 
 	return false, nil

pkg/types/price_volume_heartbeat_test.go

@@ -10,20 +10,21 @@ import (
 )
 
 func TestPriceHeartBeat_Update(t *testing.T) {
-	hb := PriceHeartBeat{}
+	hb := NewPriceHeartBeat(time.Minute)
-	updated, err := hb.Update(PriceVolume{Price: fixedpoint.NewFromFloat(22.0), Volume: fixedpoint.NewFromFloat(100.0)}, time.Minute)
+
+	updated, err := hb.Update(PriceVolume{Price: fixedpoint.NewFromFloat(22.0), Volume: fixedpoint.NewFromFloat(100.0)})
 	assert.NoError(t, err)
 	assert.True(t, updated)
 
-	updated, err = hb.Update(PriceVolume{Price: fixedpoint.NewFromFloat(22.0), Volume: fixedpoint.NewFromFloat(100.0)}, time.Minute)
+	updated, err = hb.Update(PriceVolume{Price: fixedpoint.NewFromFloat(22.0), Volume: fixedpoint.NewFromFloat(100.0)})
 	assert.NoError(t, err)
 	assert.False(t, updated, "should not be updated when pv is not changed")
 
-	updated, err = hb.Update(PriceVolume{Price: fixedpoint.NewFromFloat(23.0), Volume: fixedpoint.NewFromFloat(100.0)}, time.Minute)
+	updated, err = hb.Update(PriceVolume{Price: fixedpoint.NewFromFloat(23.0), Volume: fixedpoint.NewFromFloat(100.0)})
 	assert.NoError(t, err)
 	assert.True(t, updated, "should be updated when the price is changed")
 
-	updated, err = hb.Update(PriceVolume{Price: fixedpoint.NewFromFloat(23.0), Volume: fixedpoint.NewFromFloat(200.0)}, time.Minute)
+	updated, err = hb.Update(PriceVolume{Price: fixedpoint.NewFromFloat(23.0), Volume: fixedpoint.NewFromFloat(200.0)})
 	assert.NoError(t, err)
 	assert.True(t, updated, "should be updated when the volume is changed")
 }

pkg/types/price_volume_slice.go

@@ -38,7 +38,7 @@ func (slice PriceVolumeSlice) Trim() (pvs PriceVolumeSlice) {
 }
 
 func (slice PriceVolumeSlice) CopyDepth(depth int) PriceVolumeSlice {
-	if depth > len(slice) {
+	if depth == 0 || depth > len(slice) {
 		return slice.Copy()
 	}
 
@@ -67,8 +67,43 @@ func (slice PriceVolumeSlice) First() (PriceVolume, bool) {
 	return PriceVolume{}, false
 }
 
+func (slice PriceVolumeSlice) IndexByQuoteVolumeDepth(requiredQuoteVolume fixedpoint.Value) int {
+	var totalQuoteVolume = fixedpoint.Zero
+	for x, pv := range slice {
+		// this should use float64 multiply
+		quoteVolume := fixedpoint.Mul(pv.Volume, pv.Price)
+		totalQuoteVolume = totalQuoteVolume.Add(quoteVolume)
+		if totalQuoteVolume.Compare(requiredQuoteVolume) >= 0 {
+			return x
+		}
+	}
+
+	// depth not enough
+	return -1
+}
+
+func (slice PriceVolumeSlice) SumDepth() fixedpoint.Value {
+	var total = fixedpoint.Zero
+	for _, pv := range slice {
+		total = total.Add(pv.Volume)
+	}
+
+	return total
+}
+
+func (slice PriceVolumeSlice) SumDepthInQuote() fixedpoint.Value {
+	var total = fixedpoint.Zero
+
+	for _, pv := range slice {
+		quoteVolume := fixedpoint.Mul(pv.Price, pv.Volume)
+		total = total.Add(quoteVolume)
+	}
+
+	return total
+}
+
 func (slice PriceVolumeSlice) IndexByVolumeDepth(requiredVolume fixedpoint.Value) int {
-	var tv fixedpoint.Value = fixedpoint.Zero
+	var tv = fixedpoint.Zero
 	for x, el := range slice {
 		tv = tv.Add(el.Volume)
 		if tv.Compare(requiredVolume) >= 0 {
@@ -76,7 +111,7 @@ func (slice PriceVolumeSlice) IndexByVolumeDepth(requiredVolume fixedpoint.Value
 		}
 	}
 
-	// not deep enough
+	// depth not enough
 	return -1
 }
 

pkg/types/profit.go

@@ -147,6 +147,24 @@ func (p *Profit) PlainText() string {
 	)
 }
 
+// PeriodProfitStats defined the profit stats for a period
+// TODO: replace AccumulatedPnL and TodayPnL fields from the ProfitStats struct
+type PeriodProfitStats struct {
+	PnL           fixedpoint.Value `json:"pnl,omitempty"`
+	NetProfit     fixedpoint.Value `json:"netProfit,omitempty"`
+	GrossProfit   fixedpoint.Value `json:"grossProfit,omitempty"`
+	GrossLoss     fixedpoint.Value `json:"grossLoss,omitempty"`
+	Volume        fixedpoint.Value `json:"volume,omitempty"`
+	VolumeInQuote fixedpoint.Value `json:"volumeInQuote,omitempty"`
+	MakerVolume   fixedpoint.Value `json:"makerVolume,omitempty"`
+	TakerVolume   fixedpoint.Value `json:"takerVolume,omitempty"`
+
+	// time fields
+	LastTradeTime time.Time `json:"lastTradeTime,omitempty"`
+	StartTime     time.Time `json:"startTime,omitempty"`
+	EndTime       time.Time `json:"endTime,omitempty"`
+}
+
 type ProfitStats struct {
 	Symbol        string `json:"symbol"`
 	QuoteCurrency string `json:"quoteCurrency"`
@@ -164,9 +182,6 @@ type ProfitStats struct {
 	TodayGrossProfit fixedpoint.Value `json:"todayGrossProfit,omitempty"`
 	TodayGrossLoss   fixedpoint.Value `json:"todayGrossLoss,omitempty"`
 	TodaySince       int64            `json:"todaySince,omitempty"`
-
-	//StartTime time.Time
-	//EndTime   time.Time
 }
 
 func NewProfitStats(market Market) *ProfitStats {
@@ -185,8 +200,8 @@ func NewProfitStats(market Market) *ProfitStats {
 		TodayGrossProfit:       fixedpoint.Zero,
 		TodayGrossLoss:         fixedpoint.Zero,
 		TodaySince:             0,
-		//StartTime:              time.Now().UTC(),
+		// StartTime:              time.Now().UTC(),
-		//EndTime:                time.Now().UTC(),
+		// EndTime:                time.Now().UTC(),
 	}
 }
 
@@ -229,7 +244,7 @@ func (s *ProfitStats) AddProfit(profit Profit) {
 		s.TodayGrossLoss = s.TodayGrossLoss.Add(profit.Profit)
 	}
 
-	//s.EndTime = profit.TradedAt.UTC()
+	// s.EndTime = profit.TradedAt.UTC()
 }
 
 func (s *ProfitStats) AddTrade(trade Trade) {

pkg/types/sort.go

@@ -20,6 +20,24 @@ func SortOrdersAscending(orders []Order) []Order {
 	return orders
 }
 
+// SortOrdersByPrice sorts by creation time ascending-ly
+func SortOrdersByPrice(orders []Order, descending bool) []Order {
+	var f func(i, j int) bool
+
+	if descending {
+		f = func(i, j int) bool {
+			return orders[i].Price.Compare(orders[j].Price) > 0
+		}
+	} else {
+		f = func(i, j int) bool {
+			return orders[i].Price.Compare(orders[j].Price) < 0
+		}
+	}
+
+	sort.Slice(orders, f)
+	return orders
+}
+
 // SortOrdersAscending sorts by update time ascending-ly
 func SortOrdersUpdateTimeAscending(orders []Order) []Order {
 	sort.Slice(orders, func(i, j int) bool {

pkg/types/sort_test.go

@@ -5,6 +5,8 @@ import (
 	"time"
 
 	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
 )
 
 func TestSortTradesAscending(t *testing.T) {
@@ -29,3 +31,52 @@ func TestSortTradesAscending(t *testing.T) {
 	trades = SortTradesAscending(trades)
 	assert.True(t, trades[0].Time.Before(trades[1].Time.Time()))
 }
+
+func getOrderPrices(orders []Order) (prices fixedpoint.Slice) {
+	for _, o := range orders {
+		prices = append(prices, o.Price)
+	}
+
+	return prices
+}
+
+func TestSortOrdersByPrice(t *testing.T) {
+
+	t.Run("ascending", func(t *testing.T) {
+		orders := []Order{
+			{SubmitOrder: SubmitOrder{Price: number("10.0")}},
+			{SubmitOrder: SubmitOrder{Price: number("30.0")}},
+			{SubmitOrder: SubmitOrder{Price: number("20.0")}},
+			{SubmitOrder: SubmitOrder{Price: number("25.0")}},
+			{SubmitOrder: SubmitOrder{Price: number("15.0")}},
+		}
+		orders = SortOrdersByPrice(orders, false)
+		prices := getOrderPrices(orders)
+		assert.Equal(t, fixedpoint.Slice{
+			number(10.0),
+			number(15.0),
+			number(20.0),
+			number(25.0),
+			number(30.0),
+		}, prices)
+	})
+
+	t.Run("descending", func(t *testing.T) {
+		orders := []Order{
+			{SubmitOrder: SubmitOrder{Price: number("10.0")}},
+			{SubmitOrder: SubmitOrder{Price: number("30.0")}},
+			{SubmitOrder: SubmitOrder{Price: number("20.0")}},
+			{SubmitOrder: SubmitOrder{Price: number("25.0")}},
+			{SubmitOrder: SubmitOrder{Price: number("15.0")}},
+		}
+		orders = SortOrdersByPrice(orders, true)
+		prices := getOrderPrices(orders)
+		assert.Equal(t, fixedpoint.Slice{
+			number(30.0),
+			number(25.0),
+			number(20.0),
+			number(15.0),
+			number(10.0),
+		}, prices)
+	})
+}

pkg/types/trade.go

@@ -120,6 +120,9 @@ func (trade Trade) CsvRecords() [][]string {
 	}
 }
 
+// PositionChange returns the position delta of this trade
+// BUY trade -> positive quantity
+// SELL trade -> negative quantity
 func (trade Trade) PositionChange() fixedpoint.Value {
 	q := trade.Quantity
 	switch trade.Side {