first max token market maker

bbgo/exchange/max/maxapi/order.go

@@ -32,20 +32,20 @@ type OrderService struct {
 type Order struct {
 	ID              uint64    `json:"id,omitempty" db:"exchange_id"`
 	Side            string    `json:"side" db:"side"`
-	OrderType       string    `json:"ord_type" db:"order_type"`
+	OrderType       string    `json:"ord_type,omitempty" db:"order_type"`
 	Price           string    `json:"price" db:"price"`
 	AveragePrice    string    `json:"avg_price,omitempty" db:"average_price"`
 	State           string    `json:"state,omitempty" db:"state"`
-	Market          string    `json:"market" db:"market"`
+	Market          string    `json:"market,omitempty" db:"market"`
 	Volume          string    `json:"volume" db:"volume"`
 	RemainingVolume string    `json:"remaining_volume,omitempty" db:"remaining_volume"`
 	ExecutedVolume  string    `json:"executed_volume,omitempty" db:"executed_volume"`
 	TradesCount     int64     `json:"trades_count,omitempty" db:"trades_count"`
 	GroupID         int64     `json:"group_id,omitempty" db:"group_id"`
 	ClientOID       string    `json:"client_oid,omitempty" db:"client_oid"`
-	CreatedAt       time.Time `db:"created_at"`
+	CreatedAt       time.Time `json:"-" db:"created_at"`
 	CreatedAtMs     int64     `json:"created_at_in_ms,omitempty"`
-	InsertedAt      time.Time `db:"inserted_at"`
+	InsertedAt      time.Time `json:"-" db:"inserted_at"`
 }
 
 // All returns all orders for the authenticated account.
@@ -182,20 +182,22 @@ func (s *OrderService) Get(orderID uint64) (*Order, error) {
 // Create multiple order in a single request
 func (s *OrderService) CreateMulti(market string, orders []Order) ([]Order, error) {
 	var returnOrders []Order
-	req, err := s.client.newAuthenticatedRequest("POST", "v2/orders/multi", map[string]interface{}{
+	req, err := s.client.newAuthenticatedRequest("POST", "v2/orders/multi/onebyone", map[string]interface{}{
 		"market": market,
 		"orders": orders,
 	})
 	if err != nil {
 		return returnOrders, errors.Wrapf(err, "failed to create %s orders", market)
 	}
+
 	response, err := s.client.sendRequest(req)
 	if err != nil {
 		return returnOrders, err
 	}
+
 	if errJson := response.DecodeJSON(&returnOrders); errJson != nil {
 		return returnOrders, errJson
 	}
+
 	return returnOrders, err
 }
-

bbgo/exchange/max/maxapi/userdata.go

@@ -3,6 +3,9 @@ package max
 import (
 	"github.com/pkg/errors"
 	"github.com/valyala/fastjson"
+
+	"github.com/c9s/bbgo/pkg/bbgo/types"
+	"github.com/c9s/bbgo/pkg/util"
 )
 
 type BaseEvent struct {
@@ -165,6 +168,24 @@ type BalanceMessage struct {
 	Locked    string `json:"l"`
 }
 
+func (m *BalanceMessage) Balance() (*types.Balance, error) {
+	available, err := util.ParseFloat(m.Available)
+	if err != nil {
+		return nil, err
+	}
+
+	locked, err := util.ParseFloat(m.Locked)
+	if err != nil {
+		return nil, err
+	}
+
+	return &types.Balance{
+		Currency: m.Currency,
+		Locked: locked,
+		Available: available,
+	}, nil
+}
+
 func parseBalance(v *fastjson.Value) BalanceMessage {
 	return BalanceMessage{
 		Currency:  string(v.GetStringBytes("cu")),

bbgo/fixedpoint/convert.go

@@ -15,6 +15,10 @@ func (v Value) Float64() float64 {
 	return float64(v) / DefaultPow
 }
 
+func (v Value) Int64() int64 {
+	return int64(v)
+}
+
 func (v Value) Mul(v2 Value) Value {
 	return NewFromFloat(v.Float64() * v2.Float64())
 }
@@ -43,3 +47,11 @@ func NewFromString(input string) (Value, error) {
 func NewFromFloat(val float64) Value {
 	return Value(int64(math.Round(val * DefaultPow)))
 }
+
+func NewFromInt(val int) Value {
+	return Value(int64(val * DefaultPow))
+}
+
+func NewFromInt64(val int64) Value {
+	return Value(val * DefaultPow)
+}

bbgo/types/account.go

@@ -13,3 +13,13 @@ type Account struct {
 	AccountType string
 	Balances map[string]Balance
 }
+
+func (a *Account) UpdateBalance(b Balance) {
+	a.Balances[b.Currency] = b
+}
+
+func NewAccount() *Account {
+	return &Account{
+		Balances: make(map[string]Balance),
+	}
+}

bbgo/types/orderbook.go

@@ -3,6 +3,7 @@ package types
 import (
 	"fmt"
 	"sort"
+	"sync"
 
 	"github.com/c9s/bbgo/pkg/bbgo/fixedpoint"
 )
@@ -34,14 +35,27 @@ func (slice PriceVolumeSlice) Trim() (pvs PriceVolumeSlice) {
 }
 
 func (slice PriceVolumeSlice) Copy() PriceVolumeSlice {
-	// this is faster than make
+	// this is faster than make (however it's only for simple types)
 	return append(slice[:0:0], slice...)
 }
 
+func (slice PriceVolumeSlice) IndexByVolumeDepth(requiredVolume fixedpoint.Value) int {
+	var tv int64 = 0
+	for x, el := range slice {
+		tv += el.Volume.Int64()
+		if tv >= requiredVolume.Int64() {
+			return x
+		}
+	}
+
+	// not deep enough
+	return -1
+}
+
 func (slice PriceVolumeSlice) InsertAt(idx int, pv PriceVolume) PriceVolumeSlice {
 	rear := append([]PriceVolume{}, slice[idx:]...)
-	slice = append(slice[:idx], pv)
-	return append(slice, rear...)
+	newSlice := append(slice[:idx], pv)
+	return append(newSlice, rear...)
 }
 
 func (slice PriceVolumeSlice) Remove(price fixedpoint.Value, descending bool) PriceVolumeSlice {
@@ -89,13 +103,26 @@ func (slice PriceVolumeSlice) Upsert(pv PriceVolume, descending bool) PriceVolum
 	return slice
 }
 
+//go:generate callbackgen -type OrderBook
 type OrderBook struct {
 	Symbol string
 	Bids   PriceVolumeSlice
 	Asks   PriceVolumeSlice
+
+	loadCallbacks       []func(book *OrderBook)
+	updateCallbacks     []func(book *OrderBook)
+	bidsChangeCallbacks []func(pvs PriceVolumeSlice)
+	asksChangeCallbacks []func(pvs PriceVolumeSlice)
 }
 
-func (b *OrderBook) UpdateAsks(pvs PriceVolumeSlice) {
+func (b *OrderBook) Copy() (book OrderBook) {
+	book = *b
+	book.Bids = b.Bids.Copy()
+	book.Asks = b.Asks.Copy()
+	return book
+}
+
+func (b *OrderBook) updateAsks(pvs PriceVolumeSlice) {
 	for _, pv := range pvs {
 		if pv.Volume == 0 {
 			b.Asks = b.Asks.Remove(pv.Price, false)
@@ -103,9 +130,11 @@ func (b *OrderBook) UpdateAsks(pvs PriceVolumeSlice) {
 			b.Asks = b.Asks.Upsert(pv, false)
 		}
 	}
+
+	b.EmitAsksChange(b.Asks)
 }
 
-func (b *OrderBook) UpdateBids(pvs PriceVolumeSlice) {
+func (b *OrderBook) updateBids(pvs PriceVolumeSlice) {
 	for _, pv := range pvs {
 		if pv.Volume == 0 {
 			b.Bids = b.Bids.Remove(pv.Price, true)
@@ -113,17 +142,29 @@ func (b *OrderBook) UpdateBids(pvs PriceVolumeSlice) {
 			b.Bids = b.Bids.Upsert(pv, true)
 		}
 	}
+
+	b.EmitBidsChange(b.Bids)
+}
+
+func (b *OrderBook) update(book OrderBook) {
+	b.updateBids(book.Bids)
+	b.updateAsks(book.Asks)
+}
+
+func (b *OrderBook) Reset() {
+	b.Bids = nil
+	b.Asks = nil
 }
 
 func (b *OrderBook) Load(book OrderBook) {
-	b.Bids = nil
-	b.Asks = nil
-	b.Update(book)
+	b.Reset()
+	b.update(book)
+	b.EmitLoad(b)
 }
 
 func (b *OrderBook) Update(book OrderBook) {
-	b.UpdateBids(book.Bids)
-	b.UpdateAsks(book.Asks)
+	b.update(book)
+	b.EmitUpdate(b)
 }
 
 func (b *OrderBook) Print() {
@@ -138,3 +179,36 @@ func (b *OrderBook) Print() {
 		fmt.Printf("- BID: %s\n", bid.String())
 	}
 }
+
+type MutexOrderBook struct {
+	sync.Mutex
+
+	*OrderBook
+}
+
+func NewMutexOrderBook(symbol string) *MutexOrderBook {
+	return &MutexOrderBook{
+		OrderBook: &OrderBook{Symbol: symbol},
+	}
+}
+
+func (b *MutexOrderBook) Load(book OrderBook) {
+	b.Lock()
+	defer b.Unlock()
+
+	b.Reset()
+	b.update(book)
+	b.EmitLoad(b.OrderBook)
+}
+
+func (b *MutexOrderBook) Get() OrderBook {
+	return b.OrderBook.Copy()
+}
+
+func (b *MutexOrderBook) Update(book OrderBook) {
+	b.Lock()
+	defer b.Unlock()
+
+	b.update(book)
+	b.EmitUpdate(b.OrderBook)
+}

bbgo/types/orderbook_callbacks.go

@@ -0,0 +1,45 @@
+// Code generated by "callbackgen -type OrderBook"; DO NOT EDIT.
+
+package types
+
+import ()
+
+func (b *OrderBook) OnLoad(cb func(book *OrderBook)) {
+	b.loadCallbacks = append(b.loadCallbacks, cb)
+}
+
+func (b *OrderBook) EmitLoad(book *OrderBook) {
+	for _, cb := range b.loadCallbacks {
+		cb(book)
+	}
+}
+
+func (b *OrderBook) OnUpdate(cb func(book *OrderBook)) {
+	b.updateCallbacks = append(b.updateCallbacks, cb)
+}
+
+func (b *OrderBook) EmitUpdate(book *OrderBook) {
+	for _, cb := range b.updateCallbacks {
+		cb(book)
+	}
+}
+
+func (b *OrderBook) OnBidsChange(cb func(pvs PriceVolumeSlice)) {
+	b.bidsChangeCallbacks = append(b.bidsChangeCallbacks, cb)
+}
+
+func (b *OrderBook) EmitBidsChange(pvs PriceVolumeSlice) {
+	for _, cb := range b.bidsChangeCallbacks {
+		cb(pvs)
+	}
+}
+
+func (b *OrderBook) OnAsksChange(cb func(pvs PriceVolumeSlice)) {
+	b.asksChangeCallbacks = append(b.asksChangeCallbacks, cb)
+}
+
+func (b *OrderBook) EmitAsksChange(pvs PriceVolumeSlice) {
+	for _, cb := range b.asksChangeCallbacks {
+		cb(pvs)
+	}
+}

util/math.go

@@ -22,6 +22,15 @@ func FormatFloat(val float64, prec int) string {
 	return strconv.FormatFloat(val, 'f', prec, 64)
 }
 
+func ParseFloat(s string) (float64, error) {
+	if len(s) == 0 {
+		return 0.0, nil
+	}
+
+	return strconv.ParseFloat(s, 64)
+}
+
+
 func MustParseFloat(s string) float64 {
 	if len(s) == 0 {
 		return 0.0