mirror of
https://github.com/c9s/bbgo.git
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335 lines
11 KiB
Go
335 lines
11 KiB
Go
package bbgo
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import (
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"context"
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"fmt"
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"github.com/pkg/errors"
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log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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type OrderExecutor interface {
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SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error)
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CancelOrders(ctx context.Context, orders ...types.Order) error
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OnTradeUpdate(cb func(trade types.Trade))
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OnOrderUpdate(cb func(order types.Order))
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EmitTradeUpdate(trade types.Trade)
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EmitOrderUpdate(order types.Order)
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}
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type OrderExecutionRouter interface {
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// SubmitOrdersTo submit order to a specific exchange Session
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SubmitOrdersTo(ctx context.Context, session string, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error)
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CancelOrdersTo(ctx context.Context, session string, orders ...types.Order) error
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}
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type ExchangeOrderExecutionRouter struct {
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Notifiability
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sessions map[string]*ExchangeSession
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executors map[string]OrderExecutor
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}
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func (e *ExchangeOrderExecutionRouter) SubmitOrdersTo(ctx context.Context, session string, orders ...types.SubmitOrder) (types.OrderSlice, error) {
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if executor, ok := e.executors[session]; ok {
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return executor.SubmitOrders(ctx, orders...)
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}
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es, ok := e.sessions[session]
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if !ok {
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return nil, fmt.Errorf("exchange session %s not found", session)
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}
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formattedOrders, err := formatOrders(es, orders)
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if err != nil {
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return nil, err
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}
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return es.Exchange.SubmitOrders(ctx, formattedOrders...)
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}
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func (e *ExchangeOrderExecutionRouter) CancelOrdersTo(ctx context.Context, session string, orders ...types.Order) error {
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if executor, ok := e.executors[session]; ok {
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return executor.CancelOrders(ctx, orders...)
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}
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es, ok := e.sessions[session]
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if !ok {
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return fmt.Errorf("exchange session %s not found", session)
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}
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return es.Exchange.CancelOrders(ctx, orders...)
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}
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// ExchangeOrderExecutor is an order executor wrapper for single exchange instance.
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//go:generate callbackgen -type ExchangeOrderExecutor
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type ExchangeOrderExecutor struct {
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// MinQuoteBalance fixedpoint.Value `json:"minQuoteBalance,omitempty" yaml:"minQuoteBalance,omitempty"`
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Notifiability `json:"-" yaml:"-"`
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Session *ExchangeSession `json:"-" yaml:"-"`
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// private trade update callbacks
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tradeUpdateCallbacks []func(trade types.Trade)
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// private order update callbacks
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orderUpdateCallbacks []func(order types.Order)
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}
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func (e *ExchangeOrderExecutor) notifySubmitOrders(orders ...types.SubmitOrder) {
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for _, order := range orders {
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// pass submit order as an interface object.
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channel, ok := e.RouteObject(&order)
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if ok {
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e.NotifyTo(channel, ":memo: Submitting %s %s %s order with quantity: %f @ %f, order: %v", order.Symbol, order.Type, order.Side, order.Quantity.Float64(), order.Price.Float64(), &order)
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} else {
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e.Notify(":memo: Submitting %s %s %s order with quantity: %f @ %f, order: %v", order.Symbol, order.Type, order.Side, order.Quantity.Float64(), order.Price.Float64(), &order)
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}
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}
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}
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func (e *ExchangeOrderExecutor) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (types.OrderSlice, error) {
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formattedOrders, err := formatOrders(e.Session, orders)
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if err != nil {
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return nil, err
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}
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for _, order := range formattedOrders {
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// pass submit order as an interface object.
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channel, ok := e.RouteObject(&order)
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if ok {
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e.NotifyTo(channel, ":memo: Submitting %s %s %s order with quantity: %f, order: %v", order.Symbol, order.Type, order.Side, order.Quantity.Float64(), &order)
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} else {
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e.Notify(":memo: Submitting %s %s %s order with quantity: %f: %v", order.Symbol, order.Type, order.Side, order.Quantity.Float64(), &order)
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}
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log.Infof("submitting order: %s", order.String())
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}
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e.notifySubmitOrders(formattedOrders...)
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return e.Session.Exchange.SubmitOrders(ctx, formattedOrders...)
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}
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func (e *ExchangeOrderExecutor) CancelOrders(ctx context.Context, orders ...types.Order) error {
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for _, order := range orders {
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log.Infof("cancelling order: %s", order)
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}
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return e.Session.Exchange.CancelOrders(ctx, orders...)
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}
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type BasicRiskController struct {
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Logger *log.Logger
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MaxOrderAmount fixedpoint.Value `json:"maxOrderAmount,omitempty" yaml:"maxOrderAmount,omitempty"`
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MinQuoteBalance fixedpoint.Value `json:"minQuoteBalance,omitempty" yaml:"minQuoteBalance,omitempty"`
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MaxBaseAssetBalance fixedpoint.Value `json:"maxBaseAssetBalance,omitempty" yaml:"maxBaseAssetBalance,omitempty"`
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MinBaseAssetBalance fixedpoint.Value `json:"minBaseAssetBalance,omitempty" yaml:"minBaseAssetBalance,omitempty"`
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}
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// ProcessOrders filters and modifies the submit order objects by:
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// 1. Increase the quantity by the minimal requirement
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// 2. Decrease the quantity by risk controls
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// 3. If the quantity does not meet minimal requirement, we should ignore the submit order.
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func (c *BasicRiskController) ProcessOrders(session *ExchangeSession, orders ...types.SubmitOrder) (outOrders []types.SubmitOrder, errs []error) {
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balances := session.GetAccount().Balances()
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addError := func(err error) {
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errs = append(errs, err)
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}
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accumulativeQuoteAmount := fixedpoint.Zero
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accumulativeBaseSellQuantity := fixedpoint.Zero
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increaseFactor := fixedpoint.NewFromFloat(1.01)
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for _, order := range orders {
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lastPrice, ok := session.LastPrice(order.Symbol)
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if !ok {
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addError(fmt.Errorf("the last price of symbol %q is not found, order: %s", order.Symbol, order.String()))
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continue
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}
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market, ok := session.Market(order.Symbol)
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if !ok {
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addError(fmt.Errorf("the market config of symbol %q is not found, order: %s", order.Symbol, order.String()))
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continue
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}
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price := order.Price
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quantity := order.Quantity
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switch order.Type {
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case types.OrderTypeMarket:
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price = lastPrice
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}
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switch order.Side {
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case types.SideTypeBuy:
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minAmount := market.MinAmount.Mul(increaseFactor)
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// Critical conditions for placing buy orders
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quoteBalance, ok := balances[market.QuoteCurrency]
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if !ok {
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addError(fmt.Errorf("can not place buy order, quote balance %s not found", market.QuoteCurrency))
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continue
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}
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if quoteBalance.Available.Compare(c.MinQuoteBalance) < 0 {
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addError(errors.Wrapf(ErrQuoteBalanceLevelTooLow, "can not place buy order, quote balance level is too low: %s < %s, order: %s",
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types.USD.FormatMoney(quoteBalance.Available),
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types.USD.FormatMoney(c.MinQuoteBalance), order.String()))
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continue
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}
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// Increase the quantity if the amount is not enough,
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// this is the only increase op, later we will decrease the quantity if it meets the criteria
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quantity = AdjustFloatQuantityByMinAmount(quantity, price, minAmount)
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if c.MaxOrderAmount.Sign() > 0 {
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quantity = AdjustFloatQuantityByMaxAmount(quantity, price, c.MaxOrderAmount)
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}
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quoteAssetQuota := fixedpoint.Max(
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fixedpoint.Zero, quoteBalance.Available.Sub(c.MinQuoteBalance))
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if quoteAssetQuota.Compare(market.MinAmount) < 0 {
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addError(
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errors.Wrapf(
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ErrInsufficientQuoteBalance,
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"can not place buy order, insufficient quote balance: quota %s < min amount %s, order: %s",
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quoteAssetQuota.String(), market.MinAmount.String(), order.String()))
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continue
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}
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quantity = AdjustFloatQuantityByMaxAmount(quantity, price, quoteAssetQuota)
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// if MaxBaseAssetBalance is enabled, we should check the current base asset balance
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if baseBalance, hasBaseAsset := balances[market.BaseCurrency]; hasBaseAsset && c.MaxBaseAssetBalance.Sign() > 0 {
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if baseBalance.Available.Compare(c.MaxBaseAssetBalance) > 0 {
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addError(
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errors.Wrapf(
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ErrAssetBalanceLevelTooHigh,
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"should not place buy order, asset balance level is too high: %s > %s, order: %s",
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baseBalance.Available.String(),
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c.MaxBaseAssetBalance.String(),
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order.String()))
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continue
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}
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baseAssetQuota := fixedpoint.Max(fixedpoint.Zero, c.MaxBaseAssetBalance.Sub(baseBalance.Available))
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if quantity.Compare(baseAssetQuota) > 0 {
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quantity = baseAssetQuota
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}
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}
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// if the amount is still too small, we should skip it.
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notional := quantity.Mul(lastPrice)
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if notional.Compare(market.MinAmount) < 0 {
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addError(
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fmt.Errorf(
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"can not place buy order, quote amount too small: notional %s < min amount %s, order: %s",
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notional.String(),
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market.MinAmount.String(),
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order.String()))
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continue
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}
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accumulativeQuoteAmount = accumulativeQuoteAmount.Add(notional)
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case types.SideTypeSell:
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minNotion := market.MinNotional.Mul(increaseFactor)
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// Critical conditions for placing SELL orders
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baseAssetBalance, ok := balances[market.BaseCurrency]
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if !ok {
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addError(
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fmt.Errorf(
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"can not place sell order, no base asset balance %s, order: %s",
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market.BaseCurrency,
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order.String()))
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continue
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}
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// if the amount is too small, we should increase it.
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quantity = AdjustFloatQuantityByMinAmount(quantity, price, minNotion)
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// we should not SELL too much
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quantity = fixedpoint.Min(quantity, baseAssetBalance.Available)
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if c.MinBaseAssetBalance.Sign() > 0 {
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if baseAssetBalance.Available.Compare(c.MinBaseAssetBalance) < 0 {
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addError(
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errors.Wrapf(
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ErrAssetBalanceLevelTooLow,
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"asset balance level is too low: %s > %s", baseAssetBalance.Available.String(), c.MinBaseAssetBalance.String()))
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continue
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}
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quantity = fixedpoint.Min(quantity, baseAssetBalance.Available.Sub(c.MinBaseAssetBalance))
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if quantity.Compare(market.MinQuantity) < 0 {
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addError(
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errors.Wrapf(
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ErrInsufficientAssetBalance,
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"insufficient asset balance: %s > minimal quantity %s",
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baseAssetBalance.Available.String(),
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market.MinQuantity.String()))
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continue
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}
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}
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if c.MaxOrderAmount.Sign() > 0 {
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quantity = AdjustFloatQuantityByMaxAmount(quantity, price, c.MaxOrderAmount)
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}
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notional := quantity.Mul(lastPrice)
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if notional.Compare(market.MinNotional) < 0 {
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addError(
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fmt.Errorf(
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"can not place sell order, notional %s < min notional: %s, order: %s",
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notional.String(),
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market.MinNotional.String(),
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order.String()))
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continue
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}
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if quantity.Compare(market.MinQuantity) < 0 {
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addError(
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fmt.Errorf(
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"can not place sell order, quantity %s is less than the minimal lot %s, order: %s",
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quantity.String(),
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market.MinQuantity.String(),
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order.String()))
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continue
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}
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accumulativeBaseSellQuantity = accumulativeBaseSellQuantity.Add(quantity)
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}
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// update quantity and format the order
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order.Quantity = quantity
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outOrders = append(outOrders, order)
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}
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return outOrders, nil
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}
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func formatOrders(session *ExchangeSession, orders []types.SubmitOrder) (formattedOrders []types.SubmitOrder, err error) {
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for _, order := range orders {
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o, err := session.FormatOrder(order)
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if err != nil {
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return formattedOrders, err
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}
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formattedOrders = append(formattedOrders, o)
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}
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return formattedOrders, err
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}
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func max(a, b int64) int64 {
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if a > b {
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return a
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}
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return b
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}
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