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105 lines
2.6 KiB
Go
105 lines
2.6 KiB
Go
package tri
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import (
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"fmt"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/sigchan"
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"github.com/c9s/bbgo/pkg/types"
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)
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type ArbMarket struct {
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Symbol string
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BaseCurrency, QuoteCurrency string
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market types.Market
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stream types.Stream
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book *types.StreamOrderBook
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bestBid, bestAsk types.PriceVolume
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buyRate, sellRate float64
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sigC sigchan.Chan
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}
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func (m *ArbMarket) String() string {
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return m.Symbol
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}
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func (m *ArbMarket) getInitialBalance(balances types.BalanceMap, dir int) (fixedpoint.Value, string) {
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if dir == 1 { // sell 1 BTC -> 19000 USDT
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b, ok := balances[m.BaseCurrency]
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if !ok {
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return fixedpoint.Zero, m.BaseCurrency
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}
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return m.market.TruncateQuantity(b.Available), m.BaseCurrency
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} else if dir == -1 {
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b, ok := balances[m.QuoteCurrency]
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if !ok {
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return fixedpoint.Zero, m.QuoteCurrency
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}
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return m.market.TruncateQuantity(b.Available), m.QuoteCurrency
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}
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return fixedpoint.Zero, ""
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}
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func (m *ArbMarket) calculateRatio(dir int) float64 {
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if dir == 1 { // direct 1 = sell
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if m.bestBid.Price.IsZero() || m.bestBid.Volume.Compare(m.market.MinQuantity) <= 0 {
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return 0.0
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}
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return m.sellRate
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} else if dir == -1 {
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if m.bestAsk.Price.IsZero() || m.bestAsk.Volume.Compare(m.market.MinQuantity) <= 0 {
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return 0.0
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}
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return m.buyRate
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}
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return 0.0
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}
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func (m *ArbMarket) updateRate() {
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m.buyRate = 1.0 / m.bestAsk.Price.Float64()
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m.sellRate = m.bestBid.Price.Float64()
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if m.bestBid.Volume.Compare(m.market.MinQuantity) <= 0 && m.bestAsk.Volume.Compare(m.market.MinQuantity) <= 0 {
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return
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}
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m.sigC.Emit()
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}
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func (m *ArbMarket) newOrder(dir int, transitingQuantity float64) (types.SubmitOrder, float64) {
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if dir == 1 { // sell ETH -> BTC, sell USDT -> TWD
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q, r := fitQuantityByBase(m.market.TruncateQuantity(m.bestBid.Volume).Float64(), transitingQuantity)
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fq := fixedpoint.NewFromFloat(q)
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return types.SubmitOrder{
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Symbol: m.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeLimit,
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Quantity: fq,
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Price: m.bestBid.Price,
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Market: m.market,
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}, r
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} else if dir == -1 { // use 1 BTC to buy X ETH
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q, r := fitQuantityByQuote(m.bestAsk.Price.Float64(), m.market.TruncateQuantity(m.bestAsk.Volume).Float64(), transitingQuantity)
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fq := fixedpoint.NewFromFloat(q)
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return types.SubmitOrder{
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Symbol: m.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimit,
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Quantity: fq,
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Price: m.bestAsk.Price,
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Market: m.market,
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}, r
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} else {
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panic(fmt.Errorf("unexpected direction: %v, valid values are (1, -1)", dir))
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}
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return types.SubmitOrder{}, 0.0
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}
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