bbgo_origin/pkg/backtest/matching.go

468 lines
11 KiB
Go

package backtest
import (
"fmt"
"sync"
"sync/atomic"
"time"
"github.com/pkg/errors"
"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
var orderID uint64 = 1
var tradeID uint64 = 1
func incOrderID() uint64 {
return atomic.AddUint64(&orderID, 1)
}
func incTradeID() uint64 {
return atomic.AddUint64(&tradeID, 1)
}
var klineMatchingLogger = logrus.WithField("backtest", "klineEngine")
// SimplePriceMatching implements a simple kline data driven matching engine for backtest
//go:generate callbackgen -type SimplePriceMatching
type SimplePriceMatching struct {
Symbol string
Market types.Market
mu sync.Mutex
bidOrders []types.Order
askOrders []types.Order
closedOrders []types.Order
LastPrice fixedpoint.Value
LastKLine types.KLine
CurrentTime time.Time
Account *types.Account
tradeUpdateCallbacks []func(trade types.Trade)
orderUpdateCallbacks []func(order types.Order)
balanceUpdateCallbacks []func(balances types.BalanceMap)
}
func (m *SimplePriceMatching) CancelOrder(o types.Order) (types.Order, error) {
found := false
switch o.Side {
case types.SideTypeBuy:
m.mu.Lock()
var orders []types.Order
for _, order := range m.bidOrders {
if o.OrderID == order.OrderID {
found = true
continue
}
orders = append(orders, order)
}
m.bidOrders = orders
m.mu.Unlock()
case types.SideTypeSell:
m.mu.Lock()
var orders []types.Order
for _, order := range m.askOrders {
if o.OrderID == order.OrderID {
found = true
continue
}
orders = append(orders, order)
}
m.askOrders = orders
m.mu.Unlock()
}
if !found {
return o, fmt.Errorf("cancel order failed, order %d not found: %+v", o.OrderID, o)
}
switch o.Side {
case types.SideTypeBuy:
if err := m.Account.UnlockBalance(m.Market.QuoteCurrency, o.Price.Mul(o.Quantity)); err != nil {
return o, err
}
case types.SideTypeSell:
if err := m.Account.UnlockBalance(m.Market.BaseCurrency, o.Quantity); err != nil {
return o, err
}
}
o.Status = types.OrderStatusCanceled
m.EmitOrderUpdate(o)
m.EmitBalanceUpdate(m.Account.Balances())
return o, nil
}
func (m *SimplePriceMatching) PlaceOrder(o types.SubmitOrder) (closedOrders *types.Order, trades *types.Trade, err error) {
// price for checking account balance, default price
price := o.Price
switch o.Type {
case types.OrderTypeMarket:
if m.LastPrice.IsZero() {
panic("unexpected: last price can not be zero")
}
price = m.LastPrice
case types.OrderTypeLimit, types.OrderTypeLimitMaker:
price = o.Price
}
if o.Quantity.Compare(m.Market.MinQuantity) < 0 {
return nil, nil, fmt.Errorf("order quantity %s is less than minQuantity %s, order: %+v", o.Quantity.String(), m.Market.MinQuantity.String(), o)
}
quoteQuantity := o.Quantity.Mul(price)
if quoteQuantity.Compare(m.Market.MinNotional) < 0 {
return nil, nil, fmt.Errorf("order amount %s is less than minNotional %s, order: %+v", quoteQuantity.String(), m.Market.MinNotional.String(), o)
}
switch o.Side {
case types.SideTypeBuy:
if err := m.Account.LockBalance(m.Market.QuoteCurrency, quoteQuantity); err != nil {
return nil, nil, err
}
case types.SideTypeSell:
if err := m.Account.LockBalance(m.Market.BaseCurrency, o.Quantity); err != nil {
return nil, nil, err
}
}
m.EmitBalanceUpdate(m.Account.Balances())
// start from one
orderID := incOrderID()
order := m.newOrder(o, orderID)
if o.Type == types.OrderTypeMarket {
m.EmitOrderUpdate(order)
// emit trade before we publish order
trade := m.newTradeFromOrder(&order, false)
m.executeTrade(trade)
// update the order status
order.Status = types.OrderStatusFilled
order.ExecutedQuantity = order.Quantity
order.Price = price
order.IsWorking = false
m.EmitOrderUpdate(order)
return &order, &trade, nil
}
// for limit maker orders
// TODO: handle limit taker order
switch o.Side {
case types.SideTypeBuy:
m.mu.Lock()
m.bidOrders = append(m.bidOrders, order)
m.mu.Unlock()
case types.SideTypeSell:
m.mu.Lock()
m.askOrders = append(m.askOrders, order)
m.mu.Unlock()
}
m.EmitOrderUpdate(order)
return &order, nil, nil
}
func (m *SimplePriceMatching) executeTrade(trade types.Trade) {
var err error
// execute trade, update account balances
if trade.IsBuyer {
err = m.Account.UseLockedBalance(m.Market.QuoteCurrency, trade.Price.Mul(trade.Quantity))
m.Account.AddBalance(m.Market.BaseCurrency, trade.Quantity.Sub(trade.Fee.Div(trade.Price)))
} else {
err = m.Account.UseLockedBalance(m.Market.BaseCurrency, trade.Quantity)
m.Account.AddBalance(m.Market.QuoteCurrency, trade.Quantity.Mul(trade.Price).Sub(trade.Fee))
}
if err != nil {
panic(errors.Wrapf(err, "executeTrade exception, wanted to use more than the locked balance"))
}
m.EmitTradeUpdate(trade)
m.EmitBalanceUpdate(m.Account.Balances())
return
}
func (m *SimplePriceMatching) newTradeFromOrder(order *types.Order, isMaker bool) types.Trade {
// BINANCE uses 0.1% for both maker and taker
// MAX uses 0.050% for maker and 0.15% for taker
var feeRate fixedpoint.Value
if isMaker {
feeRate = m.Account.MakerFeeRate
} else {
feeRate = m.Account.TakerFeeRate
}
price := order.Price
switch order.Type {
case types.OrderTypeMarket, types.OrderTypeStopMarket:
if m.LastPrice.IsZero() {
panic("unexpected: last price can not be zero")
}
price = m.LastPrice
}
var fee fixedpoint.Value
var feeCurrency string
switch order.Side {
case types.SideTypeBuy:
fee = order.Quantity.Mul(feeRate)
feeCurrency = m.Market.BaseCurrency
case types.SideTypeSell:
fee = order.Quantity.Mul(price).Mul(feeRate)
feeCurrency = m.Market.QuoteCurrency
}
// update order time
order.UpdateTime = types.Time(m.CurrentTime)
var id = incTradeID()
return types.Trade{
ID: id,
OrderID: order.OrderID,
Exchange: "backtest",
Price: price,
Quantity: order.Quantity,
QuoteQuantity: order.Quantity.Mul(price),
Symbol: order.Symbol,
Side: order.Side,
IsBuyer: order.Side == types.SideTypeBuy,
IsMaker: isMaker,
Time: types.Time(m.CurrentTime),
Fee: fee,
FeeCurrency: feeCurrency,
}
}
func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders []types.Order, trades []types.Trade) {
klineMatchingLogger.Debugf("kline buy to price %s", price.String())
var askOrders []types.Order
for _, o := range m.askOrders {
switch o.Type {
case types.OrderTypeStopMarket:
// should we trigger the order
if price.Compare(o.StopPrice) <= 0 {
// not triggering it, put it back
askOrders = append(askOrders, o)
break
}
o.Type = types.OrderTypeMarket
o.ExecutedQuantity = o.Quantity
o.Price = price
o.Status = types.OrderStatusFilled
closedOrders = append(closedOrders, o)
case types.OrderTypeStopLimit:
// should we trigger the order?
if price.Compare(o.StopPrice) <= 0 {
askOrders = append(askOrders, o)
break
}
o.Type = types.OrderTypeLimit
// is it a taker order?
if price.Compare(o.Price) >= 0 {
if o.Price.Compare(m.LastKLine.Low) < 0 {
o.Price = m.LastKLine.Low
}
o.ExecutedQuantity = o.Quantity
o.Status = types.OrderStatusFilled
closedOrders = append(closedOrders, o)
} else {
// maker order
askOrders = append(askOrders, o)
}
case types.OrderTypeLimit, types.OrderTypeLimitMaker:
if price.Compare(o.Price) >= 0 {
if o.Price.Compare(m.LastKLine.Low) < 0 {
o.Price = m.LastKLine.Low
}
o.ExecutedQuantity = o.Quantity
o.Status = types.OrderStatusFilled
closedOrders = append(closedOrders, o)
} else {
askOrders = append(askOrders, o)
}
default:
askOrders = append(askOrders, o)
}
}
m.askOrders = askOrders
m.LastPrice = price
for i := range closedOrders {
o := closedOrders[i]
trade := m.newTradeFromOrder(&o, true)
m.executeTrade(trade)
closedOrders[i] = o
trades = append(trades, trade)
m.EmitOrderUpdate(o)
}
m.closedOrders = append(m.closedOrders, closedOrders...)
return closedOrders, trades
}
func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders []types.Order, trades []types.Trade) {
klineMatchingLogger.Debugf("kline sell to price %s", price.String())
var sellPrice = price
var bidOrders []types.Order
for _, o := range m.bidOrders {
switch o.Type {
case types.OrderTypeStopMarket:
// should we trigger the order
if sellPrice.Compare(o.StopPrice) <= 0 {
o.ExecutedQuantity = o.Quantity
o.Price = sellPrice
o.Status = types.OrderStatusFilled
closedOrders = append(closedOrders, o)
} else {
bidOrders = append(bidOrders, o)
}
case types.OrderTypeStopLimit:
// should we trigger the order
if sellPrice.Compare(o.StopPrice) <= 0 {
o.Type = types.OrderTypeLimit
if sellPrice.Compare(o.Price) <= 0 {
if o.Price.Compare(m.LastKLine.High) > 0 {
o.Price = m.LastKLine.High
}
o.ExecutedQuantity = o.Quantity
o.Status = types.OrderStatusFilled
closedOrders = append(closedOrders, o)
} else {
bidOrders = append(bidOrders, o)
}
} else {
bidOrders = append(bidOrders, o)
}
case types.OrderTypeLimit, types.OrderTypeLimitMaker:
if sellPrice.Compare(o.Price) <= 0 {
o.ExecutedQuantity = o.Quantity
o.Status = types.OrderStatusFilled
closedOrders = append(closedOrders, o)
} else {
bidOrders = append(bidOrders, o)
}
default:
bidOrders = append(bidOrders, o)
}
}
m.bidOrders = bidOrders
m.LastPrice = price
for i := range closedOrders {
o := closedOrders[i]
trade := m.newTradeFromOrder(&o, true)
m.executeTrade(trade)
closedOrders[i] = o
trades = append(trades, trade)
m.EmitOrderUpdate(o)
}
m.closedOrders = append(m.closedOrders, closedOrders...)
return closedOrders, trades
}
func (m *SimplePriceMatching) processKLine(kline types.KLine) {
m.CurrentTime = kline.EndTime.Time()
m.LastKLine = kline
if m.LastPrice.IsZero() {
m.LastPrice = kline.Open
} else {
if m.LastPrice.Compare(kline.Open) > 0 {
m.SellToPrice(kline.Open)
} else {
m.BuyToPrice(kline.Open)
}
}
switch kline.Direction() {
case types.DirectionDown:
if kline.High.Compare(kline.Open) >= 0 {
m.BuyToPrice(kline.High)
}
// if low is lower than close, sell to low first, and then buy up to close
if kline.Low.Compare(kline.Close) < 0 {
m.SellToPrice(kline.Low)
m.BuyToPrice(kline.Close)
} else {
m.SellToPrice(kline.Close)
}
case types.DirectionUp:
if kline.Low.Compare(kline.Open) <= 0 {
m.SellToPrice(kline.Low)
}
if kline.High.Compare(kline.Close) > 0 {
m.BuyToPrice(kline.High)
m.SellToPrice(kline.Close)
} else {
m.BuyToPrice(kline.Close)
}
default: // no trade up or down
if m.LastPrice.IsZero() {
m.BuyToPrice(kline.Close)
}
}
}
func (m *SimplePriceMatching) newOrder(o types.SubmitOrder, orderID uint64) types.Order {
return types.Order{
OrderID: orderID,
SubmitOrder: o,
Exchange: types.ExchangeBacktest,
Status: types.OrderStatusNew,
ExecutedQuantity: fixedpoint.Zero,
IsWorking: true,
CreationTime: types.Time(m.CurrentTime),
UpdateTime: types.Time(m.CurrentTime),
}
}