package grid2 import ( "fmt" "sort" "strings" "sync" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/types" ) // For grid trading, there are twin orders between a grid // e.g. 100, 200, 300, 400, 500 // BUY 100 and SELL 200 are a twin. // BUY 200 and SELL 300 are a twin. // Because they can't be placed on orderbook at the same time type TwinOrder struct { BuyOrder types.Order SellOrder types.Order } func (t *TwinOrder) IsValid() bool { // XOR return (t.BuyOrder.OrderID == 0) != (t.SellOrder.OrderID == 0) } func (t *TwinOrder) Exist() bool { return t.BuyOrder.OrderID != 0 || t.SellOrder.OrderID != 0 } func (t *TwinOrder) GetOrder() types.Order { if t.BuyOrder.OrderID != 0 { return t.BuyOrder } return t.SellOrder } func (t *TwinOrder) SetOrder(order types.Order) { if order.Side == types.SideTypeBuy { t.BuyOrder = order t.SellOrder = types.Order{} } else { t.SellOrder = order t.BuyOrder = types.Order{} } } type TwinOrderMap map[fixedpoint.Value]TwinOrder func findTwinOrderMapKey(grid *Grid, order types.Order) (fixedpoint.Value, error) { if order.Side == types.SideTypeSell { return order.Price, nil } if order.Side == types.SideTypeBuy { pin, ok := grid.NextHigherPin(order.Price) if !ok { return fixedpoint.Zero, fmt.Errorf("there is no next higher price for this order (%d, price: %s)", order.OrderID, order.Price) } return fixedpoint.Value(pin), nil } return fixedpoint.Zero, fmt.Errorf("unsupported side: %s of this order (%d)", order.Side, order.OrderID) } func (m TwinOrderMap) AscendingOrders() []types.Order { var orders []types.Order for _, twinOrder := range m { // skip empty order if !twinOrder.Exist() { continue } orders = append(orders, twinOrder.GetOrder()) } types.SortOrdersUpdateTimeAscending(orders) return orders } func (m TwinOrderMap) SyncOrderMap() *types.SyncOrderMap { orderMap := types.NewSyncOrderMap() for _, twin := range m { orderMap.Add(twin.GetOrder()) } return orderMap } func (m TwinOrderMap) String() string { var sb strings.Builder var pins []fixedpoint.Value for pin, _ := range m { pins = append(pins, pin) } sort.Slice(pins, func(i, j int) bool { return pins[j].Compare(pins[i]) < 0 }) sb.WriteString("================== TWIN ORDER MAP ==================\n") for _, pin := range pins { twin := m[pin] twinOrder := twin.GetOrder() sb.WriteString(fmt.Sprintf("-> %8s) %s\n", pin, twinOrder.String())) } sb.WriteString("================== END OF PIN ORDER MAP ==================\n") return sb.String() } // TwinOrderBook is to verify grid // For grid trading, there are twin orders between a grid // e.g. 100, 200, 300, 400, 500 // BUY 100 and SELL 200 are a twin. // BUY 200 and SELL 300 are a twin. // Because they can't be placed on orderbook at the same time. // We use sell price to be the twin orderbook's key // New the twin orderbook with pins, and it will sort the pins in asc order. // There must be a non nil TwinOrder on the every pin (except the first one). // But the TwinOrder.Exist() may be false. It means there is no twin order on this grid type TwinOrderBook struct { // used to protect orderbook update mu sync.Mutex // sort in asc order pins []fixedpoint.Value // pin index, use to find the next or last pin in desc order pinIdx map[fixedpoint.Value]int // orderbook m map[fixedpoint.Value]*TwinOrder // size is the amount on twin orderbook size int } func newTwinOrderBook(pins []Pin) *TwinOrderBook { var v []fixedpoint.Value for _, pin := range pins { v = append(v, fixedpoint.Value(pin)) } // sort it in asc order sort.Slice(v, func(i, j int) bool { return v[j].Compare(v[i]) > 0 }) pinIdx := make(map[fixedpoint.Value]int) m := make(map[fixedpoint.Value]*TwinOrder) for i, pin := range v { // we use sell price for twin orderbook's price, so we skip the first pin as price if i > 0 { m[pin] = &TwinOrder{} } pinIdx[pin] = i } return &TwinOrderBook{ pins: v, pinIdx: pinIdx, m: m, size: 0, } } func (b *TwinOrderBook) String() string { var sb strings.Builder sb.WriteString("================== TWIN ORDERBOOK ==================\n") for _, pin := range b.pins { twin := b.m[fixedpoint.Value(pin)] twinOrder := twin.GetOrder() sb.WriteString(fmt.Sprintf("-> %8s) %s\n", pin, twinOrder.String())) } sb.WriteString("================== END OF TWINORDERBOOK ==================\n") return sb.String() } func (b *TwinOrderBook) GetTwinOrderPin(order types.Order) (fixedpoint.Value, error) { idx, exist := b.pinIdx[order.Price] if !exist { return fixedpoint.Zero, fmt.Errorf("the order's (%d) price (%s) is not in pins", order.OrderID, order.Price) } if order.Side == types.SideTypeBuy { // we use sell price as twin orderbook's key, so if the order's side is buy. // we need to find its next price on grid. // e.g. // BUY 100 <- twin -> SELL 200 // BUY 200 <- twin -> SELL 300 // BUY 300 <- twin -> SELL 400 // BUY 400 <- twin -> SELL 500 // if the order is BUY 100, we need to find its twin order's price to be the twin orderbook's key // so we plus 1 here and use sorted pins to find the next price (200) // there must no BUY 500 in the grid, so we need to make sure the idx should always not over the len(pins) // also, there must no SELL 100 in the grid, so we need to make sure the idx should always not be 0 idx++ if idx >= len(b.pins) { return fixedpoint.Zero, fmt.Errorf("this order's twin order price is not in pins, %+v", order) } } else if order.Side == types.SideTypeSell { if idx == 0 { return fixedpoint.Zero, fmt.Errorf("this order's twin order price is at zero index, %+v", order) } // do nothing } else { // should not happen return fixedpoint.Zero, fmt.Errorf("the order's (%d) side (%s) is not supported", order.OrderID, order.Side) } return b.pins[idx], nil } func (b *TwinOrderBook) AddOrder(order types.Order) error { b.mu.Lock() defer b.mu.Unlock() pin, err := b.GetTwinOrderPin(order) if err != nil { return err } // At all the pins, we already create the empty TwinOrder{} // As a result,if the exist is false, it means the pin is not in the twin orderbook. // That's invalid pin, or we have something wrong when new TwinOrderBook twinOrder, exist := b.m[pin] if !exist { // should not happen return fmt.Errorf("no any empty twin order at pins, should not happen, check it") } // Exist == false means there is no twin order on this pin if !twinOrder.Exist() { b.size++ } if b.size >= len(b.pins) { return fmt.Errorf("the maximum size of twin orderbook is len(pins) - 1, need to check it") } twinOrder.SetOrder(order) return nil } func (b *TwinOrderBook) GetTwinOrder(pin fixedpoint.Value) *TwinOrder { return b.m[pin] } func (b *TwinOrderBook) AddTwinOrder(pin fixedpoint.Value, order *TwinOrder) { b.mu.Lock() defer b.mu.Unlock() b.m[pin] = order } // Size is the valid twin order on grid. func (b *TwinOrderBook) Size() int { return b.size } // EmptyTwinOrderSize is the amount of grid there is no twin order on it. func (b *TwinOrderBook) EmptyTwinOrderSize() int { // for grid, there is only pins - 1 order on the grid, so we need to minus 1. return len(b.pins) - 1 - b.size } func (b *TwinOrderBook) SyncOrderMap() *types.SyncOrderMap { orderMap := types.NewSyncOrderMap() for _, twin := range b.m { if twin.Exist() { orderMap.Add(twin.GetOrder()) } } return orderMap }