twap: implement orderUpdater

pkg/bbgo/order_executor_general.go

@@ -27,7 +27,9 @@ var quantityReduceDelta = fixedpoint.NewFromFloat(0.005)
 // This is for the maximum retries
 const submitOrderRetryLimit = 5
 
+// BaseOrderExecutor provides the common accessors for order executor
 type BaseOrderExecutor struct {
+	exchange          types.Exchange
 	session           *ExchangeSession
 	activeMakerOrders *ActiveOrderBook
 	orderStore        *core.OrderStore
@@ -43,8 +45,8 @@ func (e *BaseOrderExecutor) ActiveMakerOrders() *ActiveOrderBook {
 
 // GracefulCancel cancels all active maker orders if orders are not given, otherwise cancel all the given orders
 func (e *BaseOrderExecutor) GracefulCancel(ctx context.Context, orders ...types.Order) error {
-	if err := e.activeMakerOrders.GracefulCancel(ctx, e.session.Exchange, orders...); err != nil {
-		return errors.Wrap(err, "graceful cancel error")
+	if err := e.activeMakerOrders.GracefulCancel(ctx, e.exchange, orders...); err != nil {
+		return errors.Wrap(err, "graceful cancel order error")
 	}
 
 	return nil
@@ -83,6 +85,7 @@ func NewGeneralOrderExecutor(
 
 	executor := &GeneralOrderExecutor{
 		BaseOrderExecutor: BaseOrderExecutor{
+			exchange:          session.Exchange,
 			session:           session,
 			exchange:          session.Exchange,
 			activeMakerOrders: NewActiveOrderBook(symbol),
@@ -112,7 +115,7 @@ func (e *GeneralOrderExecutor) SetMaxRetries(maxRetries uint) {
 }
 
 func (e *GeneralOrderExecutor) startMarginAssetUpdater(ctx context.Context) {
-	marginService, ok := e.session.Exchange.(types.MarginBorrowRepayService)
+	marginService, ok := e.exchange.(types.MarginBorrowRepayService)
 	if !ok {
 		log.Warnf("session %s (%T) exchange does not support MarginBorrowRepayService", e.session.Name, e.session.Exchange)
 		return

pkg/twap/v2/bbomonitor.go

@@ -0,0 +1,53 @@
+package twap
+
+import (
+	"time"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// BboMonitor monitors the best bid and ask price and volume.
+//
+//go:generate callbackgen -type BboMonitor
+type BboMonitor struct {
+	Bid         types.PriceVolume
+	Ask         types.PriceVolume
+	UpdatedTime time.Time
+
+	updateCallbacks []func(bid, ask types.PriceVolume)
+}
+
+func NewBboMonitor() *BboMonitor {
+	return &BboMonitor{}
+}
+
+func (m *BboMonitor) OnUpdateFromBook(book *types.StreamOrderBook) bool {
+	bestBid, ok1 := book.BestBid()
+	bestAsk, ok2 := book.BestAsk()
+	if !ok1 || !ok2 {
+		return false
+	}
+
+	return m.Update(bestBid, bestAsk, book.LastUpdateTime())
+}
+
+func (m *BboMonitor) Update(bid, ask types.PriceVolume, t time.Time) bool {
+	changed := false
+	if m.Bid.Price.Compare(bid.Price) != 0 || m.Bid.Volume.Compare(bid.Volume) != 0 {
+		changed = true
+	}
+
+	if m.Ask.Price.Compare(ask.Price) != 0 || m.Ask.Volume.Compare(ask.Volume) != 0 {
+		changed = true
+	}
+
+	m.Bid = bid
+	m.Ask = ask
+	m.UpdatedTime = t
+
+	if changed {
+		m.EmitUpdate(bid, ask)
+	}
+
+	return changed
+}

pkg/twap/v2/bbomonitor_callbacks.go

@@ -0,0 +1,17 @@
+// Code generated by "callbackgen -type BboMonitor"; DO NOT EDIT.
+
+package twap
+
+import (
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func (m *BboMonitor) OnUpdate(cb func(bid types.PriceVolume, ask types.PriceVolume)) {
+	m.updateCallbacks = append(m.updateCallbacks, cb)
+}
+
+func (m *BboMonitor) EmitUpdate(bid types.PriceVolume, ask types.PriceVolume) {
+	for _, cb := range m.updateCallbacks {
+		cb(bid, ask)
+	}
+}

pkg/twap/v2/stream_executor.go

@@ -3,6 +3,7 @@ package twap
 import (
 	"context"
 	"errors"
+	"fmt"
 	"sync"
 	"time"
 
@@ -62,7 +63,7 @@ type FixedQuantityExecutor struct {
 
 	symbol                        string
 	side                          types.SideType
-	targetQuantity fixedpoint.Value
+	targetQuantity, sliceQuantity fixedpoint.Value
 
 	// updateInterval is a fixed update interval for placing new order
 	updateInterval time.Duration
@@ -70,10 +71,13 @@ type FixedQuantityExecutor struct {
 	// delayInterval is the delay interval between each order placement
 	delayInterval time.Duration
 
-	// priceLimit is the price limit for the order
+	// numOfTicks is the number of price ticks behind the best bid to place the order
+	numOfTicks int
+
+	// stopPrice is the price limit for the order
 	// for buy-orders, the price limit is the maximum price
 	// for sell-orders, the price limit is the minimum price
-	priceLimit fixedpoint.Value
+	stopPrice fixedpoint.Value
 
 	// deadlineTime is the deadline time for the order execution
 	deadlineTime *time.Time
@@ -92,6 +96,7 @@ type FixedQuantityExecutor struct {
 	activeMakerOrders *bbgo.ActiveOrderBook
 	orderStore        *core.OrderStore
 	position          *types.Position
+	tradeCollector    *core.TradeCollector
 
 	logger logrus.FieldLogger
 
@@ -105,21 +110,27 @@ func NewStreamExecutor(
 	symbol string,
 	market types.Market,
 	side types.SideType,
-	targetQuantity fixedpoint.Value,
+	targetQuantity, sliceQuantity fixedpoint.Value,
 ) *FixedQuantityExecutor {
+	orderStore := core.NewOrderStore(symbol)
+	position := types.NewPositionFromMarket(market)
+	tradeCollector := core.NewTradeCollector(symbol, position, orderStore)
 	return &FixedQuantityExecutor{
 		exchange:       exchange,
 		symbol:         symbol,
 		side:           side,
 		market:         market,
-		position:       types.NewPositionFromMarket(market),
 		targetQuantity: targetQuantity,
+		sliceQuantity:  sliceQuantity,
 		updateInterval: defaultUpdateInterval,
 		logger: logrus.WithFields(logrus.Fields{
 			"executor": "twapStream",
 			"symbol":   symbol,
 		}),
 
+		orderStore:     orderStore,
+		tradeCollector: tradeCollector,
+		position:       position,
 		done:           NewDoneSignal(),
 	}
 }
@@ -177,7 +188,6 @@ func (e *FixedQuantityExecutor) cancelActiveOrders(ctx context.Context) error {
 
 func (e *FixedQuantityExecutor) orderUpdater(ctx context.Context) {
 	updateLimiter := rate.NewLimiter(rate.Every(3*time.Second), 1)
-	_ = updateLimiter
 
 	defer func() {
 		if err := e.cancelActiveOrders(ctx); err != nil {
@@ -191,12 +201,20 @@ func (e *FixedQuantityExecutor) orderUpdater(ctx context.Context) {
 	ticker := time.NewTimer(e.updateInterval)
 	defer ticker.Stop()
 
+	monitor := NewBboMonitor()
+
 	for {
 		select {
 		case <-ctx.Done():
 			return
 
 		case <-e.orderBook.C:
+			changed := monitor.OnUpdateFromBook(e.orderBook)
+			if !changed {
+				continue
+			}
+
+			// orderBook.C sends a signal when any price or quantity changes in the order book
 			if !updateLimiter.Allow() {
 				break
 			}
@@ -207,13 +225,16 @@ func (e *FixedQuantityExecutor) orderUpdater(ctx context.Context) {
 
 			e.logger.Infof("%s order book changed, checking order...", e.symbol)
 
-			/*
 			if err := e.updateOrder(ctx); err != nil {
 				e.logger.WithError(err).Errorf("order update failed")
 			}
-			*/
 
 		case <-ticker.C:
+			changed := monitor.OnUpdateFromBook(e.orderBook)
+			if !changed {
+				continue
+			}
+
 			if !updateLimiter.Allow() {
 				break
 			}
@@ -222,15 +243,240 @@ func (e *FixedQuantityExecutor) orderUpdater(ctx context.Context) {
 				return
 			}
 
-			/*
 			if err := e.updateOrder(ctx); err != nil {
 				e.logger.WithError(err).Errorf("order update failed")
 			}
-			*/
 		}
 	}
 }
 
+func (e *FixedQuantityExecutor) updateOrder(ctx context.Context) error {
+	book := e.orderBook.Copy()
+	sideBook := book.SideBook(e.side)
+
+	first, ok := sideBook.First()
+	if !ok {
+		return fmt.Errorf("empty %s %s side book", e.symbol, e.side)
+	}
+
+	// if there is no gap between the first price entry and the second price entry
+	second, ok := sideBook.Second()
+	if !ok {
+		return fmt.Errorf("no secoond price on the %s order book %s, can not update", e.symbol, e.side)
+	}
+
+	tickSize := e.market.TickSize
+	numOfTicks := fixedpoint.NewFromInt(int64(e.numOfTicks))
+	tickSpread := tickSize.Mul(numOfTicks)
+
+	// check and see if we need to cancel the existing active orders
+	for e.activeMakerOrders.NumOfOrders() > 0 {
+		orders := e.activeMakerOrders.Orders()
+
+		if len(orders) > 1 {
+			logrus.Warnf("more than 1 %s open orders in the strategy...", e.symbol)
+		}
+
+		// get the first active order
+		order := orders[0]
+		orderPrice := order.Price
+		// quantity := fixedpoint.NewFromFloat(order.Quantity)
+
+		remainingQuantity := order.Quantity.Sub(order.ExecutedQuantity)
+		if remainingQuantity.Compare(e.market.MinQuantity) <= 0 {
+			logrus.Infof("order remaining quantity %s is less than the market minimal quantity %s, skip updating order", remainingQuantity.String(), e.market.MinQuantity.String())
+			return nil
+		}
+
+		// if the first bid price or first ask price is the same to the current active order
+		// we should skip updating the order
+		// DO NOT UPDATE IF:
+		//   tickSpread > 0 AND current order price == second price + tickSpread
+		//   current order price == first price
+		logrus.Infof("orderPrice = %s first.Price = %s second.Price = %s tickSpread = %s", orderPrice.String(), first.Price.String(), second.Price.String(), tickSpread.String())
+
+		switch e.side {
+		case types.SideTypeBuy:
+			if tickSpread.Sign() > 0 && orderPrice == second.Price.Add(tickSpread) {
+				logrus.Infof("the current order is already on the best ask price %s", orderPrice.String())
+				return nil
+			} else if orderPrice == first.Price {
+				logrus.Infof("the current order is already on the best bid price %s", orderPrice.String())
+				return nil
+			}
+
+		case types.SideTypeSell:
+			if tickSpread.Sign() > 0 && orderPrice == second.Price.Sub(tickSpread) {
+				logrus.Infof("the current order is already on the best ask price %s", orderPrice.String())
+				return nil
+			} else if orderPrice == first.Price {
+				logrus.Infof("the current order is already on the best ask price %s", orderPrice.String())
+				return nil
+			}
+		}
+
+		if err := e.cancelActiveOrders(ctx); err != nil {
+			e.logger.Warnf("cancel active orders error: %v", err)
+		}
+	}
+
+	orderForm, err := e.generateOrder()
+	if err != nil {
+		return err
+	} else if orderForm == nil {
+		return nil
+	}
+
+	createdOrder, err := e.exchange.SubmitOrder(ctx, *orderForm)
+	if err != nil {
+		return err
+	}
+
+	if createdOrder != nil {
+		e.orderStore.Add(*createdOrder)
+		e.activeMakerOrders.Add(*createdOrder)
+		e.tradeCollector.Process()
+	}
+
+	return nil
+}
+
+func (e *FixedQuantityExecutor) getNewPrice() (fixedpoint.Value, error) {
+	newPrice := fixedpoint.Zero
+	book := e.orderBook.Copy()
+	sideBook := book.SideBook(e.side)
+
+	first, ok := sideBook.First()
+	if !ok {
+		return newPrice, fmt.Errorf("empty %s %s side book", e.symbol, e.side)
+	}
+
+	newPrice = first.Price
+	spread, ok := book.Spread()
+	if !ok {
+		return newPrice, errors.New("can not calculate spread, neither bid price or ask price exists")
+	}
+
+	tickSize := e.market.TickSize
+	tickSpread := tickSize.Mul(fixedpoint.NewFromInt(int64(e.numOfTicks)))
+	if spread.Compare(tickSize) > 0 {
+		// there is a gap in the spread
+		tickSpread = fixedpoint.Min(tickSpread, spread.Sub(tickSize))
+		switch e.side {
+		case types.SideTypeSell:
+			newPrice = newPrice.Sub(tickSpread)
+		case types.SideTypeBuy:
+			newPrice = newPrice.Add(tickSpread)
+		}
+	}
+
+	if e.stopPrice.Sign() > 0 {
+		switch e.side {
+		case types.SideTypeSell:
+			if newPrice.Compare(e.stopPrice) < 0 {
+				logrus.Infof("%s order price %s is lower than the stop sell price %s, setting order price to the stop sell price %s",
+					e.symbol,
+					newPrice.String(),
+					e.stopPrice.String(),
+					e.stopPrice.String())
+				newPrice = e.stopPrice
+			}
+
+		case types.SideTypeBuy:
+			if newPrice.Compare(e.stopPrice) > 0 {
+				logrus.Infof("%s order price %s is higher than the stop buy price %s, setting order price to the stop buy price %s",
+					e.symbol,
+					newPrice.String(),
+					e.stopPrice.String(),
+					e.stopPrice.String())
+				newPrice = e.stopPrice
+			}
+		}
+	}
+
+	return newPrice, nil
+}
+
+func (e *FixedQuantityExecutor) generateOrder() (orderForm *types.SubmitOrder, err error) {
+	newPrice, err := e.getNewPrice()
+	if err != nil {
+		return nil, err
+	}
+
+	minQuantity := e.market.MinQuantity
+	base := e.position.GetBase()
+
+	restQuantity := e.targetQuantity.Sub(base.Abs())
+
+	if restQuantity.Sign() <= 0 {
+		if e.cancelContextIfTargetQuantityFilled() {
+			return nil, nil
+		}
+	}
+
+	if restQuantity.Compare(minQuantity) < 0 {
+		return nil, fmt.Errorf("can not continue placing orders, rest quantity %s is less than the min quantity %s", restQuantity.String(), minQuantity.String())
+	}
+
+	// when slice = 1000, if we only have 998, we should adjust our quantity to 998
+	orderQuantity := fixedpoint.Min(e.sliceQuantity, restQuantity)
+
+	// if the rest quantity in the next round is not enough, we should merge the rest quantity into this round
+	// if there are rest slices
+	nextRestQuantity := restQuantity.Sub(e.sliceQuantity)
+	if nextRestQuantity.Sign() > 0 && nextRestQuantity.Compare(minQuantity) < 0 {
+		orderQuantity = restQuantity
+	}
+
+	minNotional := e.market.MinNotional
+	orderQuantity = bbgo.AdjustQuantityByMinAmount(orderQuantity, newPrice, minNotional)
+
+	balances, err := e.exchange.QueryAccountBalances(e.executionCtx)
+	if err != nil {
+		return nil, err
+	}
+
+	switch e.side {
+	case types.SideTypeSell:
+		// check base balance for sell, try to sell as more as possible
+		if b, ok := balances[e.market.BaseCurrency]; ok {
+			orderQuantity = fixedpoint.Min(b.Available, orderQuantity)
+		}
+
+	case types.SideTypeBuy:
+		// check base balance for sell, try to sell as more as possible
+		if b, ok := balances[e.market.QuoteCurrency]; ok {
+			orderQuantity = bbgo.AdjustQuantityByMaxAmount(orderQuantity, newPrice, b.Available)
+		}
+	}
+
+	if e.deadlineTime != nil && !e.deadlineTime.IsZero() {
+		now := time.Now()
+		if now.After(*e.deadlineTime) {
+			orderForm = &types.SubmitOrder{
+				Symbol:   e.symbol,
+				Side:     e.side,
+				Type:     types.OrderTypeMarket,
+				Quantity: restQuantity,
+				Market:   e.market,
+			}
+			return orderForm, nil
+		}
+	}
+
+	orderForm = &types.SubmitOrder{
+		Symbol:      e.symbol,
+		Side:        e.side,
+		Type:        types.OrderTypeLimitMaker,
+		Quantity:    orderQuantity,
+		Price:       newPrice,
+		Market:      e.market,
+		TimeInForce: "GTC",
+	}
+
+	return orderForm, err
+}
+
 func (e *FixedQuantityExecutor) Start(ctx context.Context) error {
 	if e.marketDataStream != nil {
 		return errors.New("market data stream is not nil, you can't start the executor twice")
@@ -248,11 +494,16 @@ func (e *FixedQuantityExecutor) Start(ctx context.Context) error {
 	e.orderBook = types.NewStreamBook(e.symbol)
 	e.orderBook.BindStream(e.marketDataStream)
 
-	e.orderStore = core.NewOrderStore(e.symbol)
+	// private channels
+	e.userDataStream = e.exchange.NewStream()
 	e.orderStore.BindStream(e.userDataStream)
 	e.activeMakerOrders = bbgo.NewActiveOrderBook(e.symbol)
 	e.activeMakerOrders.OnFilled(e.handleFilledOrder)
 	e.activeMakerOrders.BindStream(e.userDataStream)
+	e.tradeCollector.OnTrade(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
+		e.logger.Info(trade.String())
+	})
+	e.tradeCollector.BindStream(e.userDataStream)
 
 	go e.connectMarketData(e.executionCtx)
 	go e.connectUserData(e.userDataStreamCtx)