package bbgo import ( "context" "fmt" "math" "github.com/pkg/errors" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/types" ) type ExchangeOrderExecutionRouter struct { Notifiability sessions map[string]*ExchangeSession } func (e *ExchangeOrderExecutionRouter) SubmitOrdersTo(ctx context.Context, session string, orders ...types.SubmitOrder) (types.OrderSlice, error) { es, ok := e.sessions[session] if !ok { return nil, errors.Errorf("exchange session %s not found", session) } formattedOrders, err := formatOrders(orders, es) if err != nil { return nil, err } // e.Notify(":memo: Submitting order to %s %s %s %s with quantity: %s", session, order.Symbol, order.Type, order.Side, order.QuantityString, order) return es.Exchange.SubmitOrders(ctx, formattedOrders...) } // ExchangeOrderExecutor is an order executor wrapper for single exchange instance. type ExchangeOrderExecutor struct { Notifiability `json:"-"` session *ExchangeSession `json:"-"` } func (e *ExchangeOrderExecutor) notifySubmitOrders(orders ...types.SubmitOrder) { for _, order := range orders { // pass submit order as an interface object. channel, ok := e.RouteObject(&order) if ok { e.NotifyTo(channel, ":memo: Submitting %s %s %s order with quantity: %s", order.Symbol, order.Type, order.Side, order.QuantityString, &order) } else { e.Notify(":memo: Submitting %s %s %s order with quantity: %s", order.Symbol, order.Type, order.Side, order.QuantityString, &order) } } } func (e *ExchangeOrderExecutor) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (types.OrderSlice, error) { formattedOrders, err := formatOrders(orders, e.session) if err != nil { return nil, err } for _, order := range formattedOrders { // pass submit order as an interface object. channel, ok := e.RouteObject(&order) if ok { e.NotifyTo(channel, ":memo: Submitting %s %s %s order with quantity: %s", order.Symbol, order.Type, order.Side, order.QuantityString, order) } else { e.Notify(":memo: Submitting %s %s %s order with quantity: %s", order.Symbol, order.Type, order.Side, order.QuantityString, order) } } e.notifySubmitOrders(formattedOrders...) return e.session.Exchange.SubmitOrders(ctx, formattedOrders...) } type BasicRiskControlOrderExecutor struct { *ExchangeOrderExecutor MinQuoteBalance fixedpoint.Value `json:"minQuoteBalance,omitempty"` MaxAssetBalance fixedpoint.Value `json:"maxBaseAssetBalance,omitempty"` MinAssetBalance fixedpoint.Value `json:"minBaseAssetBalance,omitempty"` MaxOrderAmount fixedpoint.Value `json:"maxOrderAmount,omitempty"` } func (e *BasicRiskControlOrderExecutor) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (types.OrderSlice, error) { var formattedOrders []types.SubmitOrder for _, order := range orders { currentPrice, ok := e.session.LastPrice(order.Symbol) if !ok { return nil, errors.Errorf("the last price of symbol %q is not found", order.Symbol) } market := order.Market quantity := order.Quantity balances := e.session.Account.Balances() switch order.Side { case types.SideTypeBuy: if balance, ok := balances[market.QuoteCurrency]; ok { if balance.Available < e.MinQuoteBalance.Float64() { return nil, errors.Wrapf(ErrQuoteBalanceLevelTooLow, "quote balance level is too low: %s < %s", types.USD.FormatMoneyFloat64(balance.Available), types.USD.FormatMoneyFloat64(e.MinQuoteBalance.Float64())) } if baseBalance, ok := balances[market.BaseCurrency]; ok { if e.MaxAssetBalance > 0 && baseBalance.Available > e.MaxAssetBalance.Float64() { return nil, errors.Wrapf(ErrAssetBalanceLevelTooHigh, "asset balance level is too high: %f > %f", baseBalance.Available, e.MaxAssetBalance.Float64()) } } available := math.Max(0.0, balance.Available-e.MinQuoteBalance.Float64()) if available < market.MinAmount { return nil, errors.Wrapf(ErrInsufficientQuoteBalance, "insufficient quote balance: %f < min amount %f", available, market.MinAmount) } quantity = adjustQuantityByMinAmount(quantity, currentPrice, market.MinAmount*1.01) quantity = adjustQuantityByMaxAmount(quantity, currentPrice, available) amount := quantity * currentPrice if amount < market.MinAmount { return nil, fmt.Errorf("amount too small: %f < min amount %f", amount, market.MinAmount) } } case types.SideTypeSell: if balance, ok := balances[market.BaseCurrency]; ok { if e.MinAssetBalance > 0 && balance.Available < e.MinAssetBalance.Float64() { return nil, errors.Wrapf(ErrAssetBalanceLevelTooLow, "asset balance level is too low: %f > %f", balance.Available, e.MinAssetBalance.Float64()) } quantity = adjustQuantityByMinAmount(quantity, currentPrice, market.MinNotional*1.01) available := balance.Available quantity = math.Min(quantity, available) if quantity < market.MinQuantity { return nil, errors.Wrapf(ErrInsufficientAssetBalance, "insufficient asset balance: %f > minimal quantity %f", available, market.MinQuantity) } notional := quantity * currentPrice if notional < market.MinNotional { return nil, fmt.Errorf("notional %f < min notional: %f", notional, market.MinNotional) } if quantity < market.MinLot { return nil, fmt.Errorf("quantity %f less than min lot %f", quantity, market.MinLot) } notional = quantity * currentPrice if notional < market.MinNotional { return nil, fmt.Errorf("notional %f < min notional: %f", notional, market.MinNotional) } } } // update quantity and format the order order.Quantity = quantity o, err := formatOrder(order, e.session) if err != nil { return nil, err } formattedOrders = append(formattedOrders, o) } e.notifySubmitOrders(formattedOrders...) return e.session.Exchange.SubmitOrders(ctx, formattedOrders...) } func formatOrder(order types.SubmitOrder, session *ExchangeSession) (types.SubmitOrder, error) { market, ok := session.Market(order.Symbol) if !ok { return order, errors.Errorf("market is not defined: %s", order.Symbol) } order.Market = market switch order.Type { case types.OrderTypeMarket, types.OrderTypeStopMarket: order.Price = 0.0 order.PriceString = "" default: order.PriceString = market.FormatPrice(order.Price) } order.QuantityString = market.FormatQuantity(order.Quantity) return order, nil } func formatOrders(orders []types.SubmitOrder, session *ExchangeSession) (formattedOrders []types.SubmitOrder, err error) { for _, order := range orders { o, err := formatOrder(order, session) if err != nil { return formattedOrders, err } formattedOrders = append(formattedOrders, o) } return formattedOrders, err }