mirror of
https://github.com/c9s/bbgo.git
synced 2024-09-20 08:11:08 +00:00
84 lines
2.6 KiB
Go
84 lines
2.6 KiB
Go
package tri
|
|
|
|
import (
|
|
"fmt"
|
|
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
type Path struct {
|
|
marketA, marketB, marketC *ArbMarket
|
|
dirA, dirB, dirC int
|
|
}
|
|
|
|
func (p *Path) solveDirection() error {
|
|
// check if we should reverse the rate
|
|
// ETHUSDT -> ETHBTC
|
|
if p.marketA.QuoteCurrency == p.marketB.BaseCurrency || p.marketA.QuoteCurrency == p.marketB.QuoteCurrency {
|
|
p.dirA = 1
|
|
} else if p.marketA.BaseCurrency == p.marketB.BaseCurrency || p.marketA.BaseCurrency == p.marketB.QuoteCurrency {
|
|
p.dirA = -1
|
|
} else {
|
|
return fmt.Errorf("marketA and marketB is not related")
|
|
}
|
|
|
|
if p.marketB.QuoteCurrency == p.marketC.BaseCurrency || p.marketB.QuoteCurrency == p.marketC.QuoteCurrency {
|
|
p.dirB = 1
|
|
} else if p.marketB.BaseCurrency == p.marketC.BaseCurrency || p.marketB.BaseCurrency == p.marketC.QuoteCurrency {
|
|
p.dirB = -1
|
|
} else {
|
|
return fmt.Errorf("marketB and marketC is not related")
|
|
}
|
|
|
|
if p.marketC.QuoteCurrency == p.marketA.BaseCurrency || p.marketC.QuoteCurrency == p.marketA.QuoteCurrency {
|
|
p.dirC = 1
|
|
} else if p.marketC.BaseCurrency == p.marketA.BaseCurrency || p.marketC.BaseCurrency == p.marketA.QuoteCurrency {
|
|
p.dirC = -1
|
|
} else {
|
|
return fmt.Errorf("marketC and marketA is not related")
|
|
}
|
|
|
|
return nil
|
|
}
|
|
|
|
func (p *Path) Ready() bool {
|
|
return !(p.marketA.bestAsk.Price.IsZero() || p.marketA.bestBid.Price.IsZero() ||
|
|
p.marketB.bestAsk.Price.IsZero() || p.marketB.bestBid.Price.IsZero() ||
|
|
p.marketC.bestAsk.Price.IsZero() || p.marketC.bestBid.Price.IsZero())
|
|
}
|
|
|
|
func (p *Path) String() string {
|
|
return p.marketA.String() + " " + p.marketB.String() + " " + p.marketC.String()
|
|
}
|
|
|
|
func (p *Path) newOrders(balances types.BalanceMap, sign int) [3]types.SubmitOrder {
|
|
var orders [3]types.SubmitOrder
|
|
var transitingQuantity float64
|
|
|
|
initialBalance, _ := p.marketA.getInitialBalance(balances, p.dirA*sign)
|
|
orderA, _ := p.marketA.newOrder(p.dirA*sign, initialBalance.Float64())
|
|
orders[0] = orderA
|
|
|
|
q, _ := orderA.Out()
|
|
transitingQuantity = q.Float64()
|
|
|
|
// orderB
|
|
orderB, rateB := p.marketB.newOrder(p.dirB*sign, transitingQuantity)
|
|
orders = adjustOrderQuantityByRate(orders, rateB)
|
|
|
|
q, _ = orderB.Out()
|
|
transitingQuantity = q.Float64()
|
|
orders[1] = orderB
|
|
|
|
orderC, rateC := p.marketC.newOrder(p.dirC*sign, transitingQuantity)
|
|
orders = adjustOrderQuantityByRate(orders, rateC)
|
|
|
|
q, _ = orderC.Out()
|
|
orders[2] = orderC
|
|
|
|
orders[0].Quantity = p.marketA.market.TruncateQuantity(orders[0].Quantity)
|
|
orders[1].Quantity = p.marketB.market.TruncateQuantity(orders[1].Quantity)
|
|
orders[2].Quantity = p.marketC.market.TruncateQuantity(orders[2].Quantity)
|
|
return orders
|
|
}
|