package bbgo import ( "context" "errors" "fmt" "strings" log "github.com/sirupsen/logrus" "go.uber.org/multierr" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/types" ) type NotifyFunc func(obj interface{}, args ...interface{}) // GeneralOrderExecutor implements the general order executor for strategy type GeneralOrderExecutor struct { session *ExchangeSession symbol string strategy string strategyInstanceID string position *types.Position activeMakerOrders *ActiveOrderBook orderStore *OrderStore tradeCollector *TradeCollector } func NewGeneralOrderExecutor(session *ExchangeSession, symbol, strategy, strategyInstanceID string, position *types.Position) *GeneralOrderExecutor { // Always update the position fields position.Strategy = strategy position.StrategyInstanceID = strategyInstanceID orderStore := NewOrderStore(symbol) return &GeneralOrderExecutor{ session: session, symbol: symbol, strategy: strategy, strategyInstanceID: strategyInstanceID, position: position, activeMakerOrders: NewActiveOrderBook(symbol), orderStore: orderStore, tradeCollector: NewTradeCollector(symbol, position, orderStore), } } func (e *GeneralOrderExecutor) ActiveMakerOrders() *ActiveOrderBook { return e.activeMakerOrders } func (e *GeneralOrderExecutor) BindEnvironment(environ *Environment) { e.tradeCollector.OnProfit(func(trade types.Trade, profit *types.Profit) { environ.RecordPosition(e.position, trade, profit) }) } func (e *GeneralOrderExecutor) BindTradeStats(tradeStats *types.TradeStats) { e.tradeCollector.OnProfit(func(trade types.Trade, profit *types.Profit) { if profit == nil { return } tradeStats.Add(profit) }) } func (e *GeneralOrderExecutor) BindProfitStats(profitStats *types.ProfitStats) { e.tradeCollector.OnProfit(func(trade types.Trade, profit *types.Profit) { profitStats.AddTrade(trade) if profit == nil { return } profitStats.AddProfit(*profit) Notify(profit) Notify(profitStats) }) } func (e *GeneralOrderExecutor) Bind() { e.activeMakerOrders.BindStream(e.session.UserDataStream) e.orderStore.BindStream(e.session.UserDataStream) // trade notify e.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) { Notify(trade) }) e.tradeCollector.OnPositionUpdate(func(position *types.Position) { log.Infof("position changed: %s", position) Notify(position) }) e.tradeCollector.BindStream(e.session.UserDataStream) } // CancelOrders cancels the given order objects directly func (e *GeneralOrderExecutor) CancelOrders(ctx context.Context, orders ...types.Order) error { err := e.session.Exchange.CancelOrders(ctx, orders...) if err != nil { // Retry once err = e.session.Exchange.CancelOrders(ctx, orders...) } return err } func (e *GeneralOrderExecutor) SubmitOrders(ctx context.Context, submitOrders ...types.SubmitOrder) (types.OrderSlice, error) { formattedOrders, err := e.session.FormatOrders(submitOrders) if err != nil { return nil, err } createdOrders, errIdx, err := BatchPlaceOrder(ctx, e.session.Exchange, formattedOrders...) if len(errIdx) > 0 { createdOrders2, err2 := BatchRetryPlaceOrder(ctx, e.session.Exchange, errIdx, formattedOrders...) if err2 != nil { err = multierr.Append(err, err2) } else { createdOrders = append(createdOrders, createdOrders2...) } } e.orderStore.Add(createdOrders...) e.activeMakerOrders.Add(createdOrders...) e.tradeCollector.Process() return createdOrders, err } type OpenPositionOptions struct { // Long is for open a long position // Long or Short must be set, avoid loading it from the config file // it should be set from the strategy code Long bool `json:"-" yaml:"-"` // Short is for open a short position // Long or Short must be set Short bool `json:"-" yaml:"-"` // Leverage is used for leveraged position and account // Leverage is not effected when using non-leverage spot account Leverage fixedpoint.Value `json:"leverage,omitempty"` // Quantity will be used first, it will override the leverage if it's given Quantity fixedpoint.Value `json:"quantity,omitempty"` // MarketOrder set to true to open a position with a market order // default is MarketOrder = true MarketOrder bool `json:"marketOrder,omitempty"` // LimitOrder set to true to open a position with a limit order LimitOrder bool `json:"limitOrder,omitempty"` // LimitOrderTakerRatio is used when LimitOrder = true, it adjusts the price of the limit order with a ratio. // So you can ensure that the limit order can be a taker order. Higher the ratio, higher the chance it could be a taker order. // // limitOrderTakerRatio is the price ratio to adjust your limit order as a taker order. e.g., 0.1% // for sell order, 0.1% ratio means your final price = price * (1 - 0.1%) // for buy order, 0.1% ratio means your final price = price * (1 + 0.1%) // this is only enabled when the limitOrder option set to true LimitOrderTakerRatio fixedpoint.Value `json:"limitOrderTakerRatio,omitempty"` Price fixedpoint.Value `json:"-" yaml:"-"` Tags []string `json:"-" yaml:"-"` } func (e *GeneralOrderExecutor) OpenPosition(ctx context.Context, options OpenPositionOptions) error { price := options.Price submitOrder := types.SubmitOrder{ Symbol: e.position.Symbol, Type: types.OrderTypeMarket, MarginSideEffect: types.SideEffectTypeMarginBuy, Tag: strings.Join(options.Tags, ","), } if !options.LimitOrderTakerRatio.IsZero() { if options.Long { // use higher price to buy (this ensures that our order will be filled) price = price.Mul(one.Add(options.LimitOrderTakerRatio)) } else if options.Short { // use lower price to sell (this ensures that our order will be filled) price = price.Mul(one.Sub(options.LimitOrderTakerRatio)) } } if options.MarketOrder { submitOrder.Type = types.OrderTypeMarket } else if options.LimitOrder { submitOrder.Type = types.OrderTypeLimit submitOrder.Price = price } quantity := options.Quantity if options.Long { if quantity.IsZero() { quoteQuantity, err := CalculateQuoteQuantity(ctx, e.session, e.position.QuoteCurrency, options.Leverage) if err != nil { return err } quantity = quoteQuantity.Div(price) } submitOrder.Side = types.SideTypeBuy submitOrder.Quantity = quantity Notify("Opening %s long position with quantity %f at price %f", e.position.Symbol, quantity.Float64(), price.Float64()) createdOrder, err2 := e.SubmitOrders(ctx, submitOrder) if err2 != nil { return err2 } _ = createdOrder return nil } else if options.Short { if quantity.IsZero() { var err error quantity, err = CalculateBaseQuantity(e.session, e.position.Market, price, quantity, options.Leverage) if err != nil { return err } } submitOrder.Side = types.SideTypeSell submitOrder.Quantity = quantity Notify("Opening %s short position with quantity %f at price %f", e.position.Symbol, quantity.Float64(), price.Float64()) createdOrder, err2 := e.SubmitOrders(ctx, submitOrder) if err2 != nil { return err2 } _ = createdOrder return nil } return errors.New("options Long or Short must be set") } // GracefulCancelActiveOrderBook cancels the orders from the active orderbook. func (e *GeneralOrderExecutor) GracefulCancelActiveOrderBook(ctx context.Context, activeOrders *ActiveOrderBook) error { if activeOrders.NumOfOrders() == 0 { return nil } if err := activeOrders.GracefulCancel(ctx, e.session.Exchange); err != nil { // Retry once if err = activeOrders.GracefulCancel(ctx, e.session.Exchange); err != nil { return fmt.Errorf("graceful cancel order error: %w", err) } } e.tradeCollector.Process() return nil } func (e *GeneralOrderExecutor) GracefulCancelOrder(ctx context.Context, order types.Order) error { if e.activeMakerOrders.NumOfOrders() == 0 { return nil } if err := e.activeMakerOrders.Cancel(ctx, e.session.Exchange, order); err != nil { // Retry once if err = e.activeMakerOrders.Cancel(ctx, e.session.Exchange, order); err != nil { return fmt.Errorf("cancel order error: %w", err) } } e.tradeCollector.Process() return nil } // GracefulCancel cancels all active maker orders func (e *GeneralOrderExecutor) GracefulCancel(ctx context.Context) error { return e.GracefulCancelActiveOrderBook(ctx, e.activeMakerOrders) } // ClosePosition closes the current position by a percentage. // percentage 0.1 means close 10% position // tag is the order tag you want to attach, you may pass multiple tags, the tags will be combined into one tag string by commas. func (e *GeneralOrderExecutor) ClosePosition(ctx context.Context, percentage fixedpoint.Value, tags ...string) error { submitOrder := e.position.NewMarketCloseOrder(percentage) if submitOrder == nil { return nil } // check base balance and adjust the close position order if e.position.IsLong() { if baseBalance, ok := e.session.Account.Balance(e.position.Market.BaseCurrency); ok { submitOrder.Quantity = fixedpoint.Min(submitOrder.Quantity, baseBalance.Available) } if submitOrder.Quantity.IsZero() { return fmt.Errorf("insufficient base balance, can not sell: %+v", submitOrder) } } tagStr := strings.Join(tags, ",") submitOrder.Tag = tagStr Notify("closing %s position %s with tags: %v", e.symbol, percentage.Percentage(), tagStr) _, err := e.SubmitOrders(ctx, *submitOrder) return err } func (e *GeneralOrderExecutor) TradeCollector() *TradeCollector { return e.tradeCollector } func (e *GeneralOrderExecutor) Session() *ExchangeSession { return e.session } func (e *GeneralOrderExecutor) Position() *types.Position { return e.position }