mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
335 lines
11 KiB
Go
335 lines
11 KiB
Go
package bbgo
|
|
|
|
import (
|
|
"context"
|
|
"fmt"
|
|
|
|
"github.com/pkg/errors"
|
|
log "github.com/sirupsen/logrus"
|
|
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
type OrderExecutor interface {
|
|
SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error)
|
|
CancelOrders(ctx context.Context, orders ...types.Order) error
|
|
|
|
OnTradeUpdate(cb func(trade types.Trade))
|
|
OnOrderUpdate(cb func(order types.Order))
|
|
EmitTradeUpdate(trade types.Trade)
|
|
EmitOrderUpdate(order types.Order)
|
|
}
|
|
|
|
type OrderExecutionRouter interface {
|
|
// SubmitOrdersTo submit order to a specific exchange Session
|
|
SubmitOrdersTo(ctx context.Context, session string, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error)
|
|
CancelOrdersTo(ctx context.Context, session string, orders ...types.Order) error
|
|
}
|
|
|
|
type ExchangeOrderExecutionRouter struct {
|
|
Notifiability
|
|
|
|
sessions map[string]*ExchangeSession
|
|
executors map[string]OrderExecutor
|
|
}
|
|
|
|
func (e *ExchangeOrderExecutionRouter) SubmitOrdersTo(ctx context.Context, session string, orders ...types.SubmitOrder) (types.OrderSlice, error) {
|
|
if executor, ok := e.executors[session]; ok {
|
|
return executor.SubmitOrders(ctx, orders...)
|
|
}
|
|
|
|
es, ok := e.sessions[session]
|
|
if !ok {
|
|
return nil, fmt.Errorf("exchange session %s not found", session)
|
|
}
|
|
|
|
formattedOrders, err := formatOrders(es, orders)
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
return es.Exchange.SubmitOrders(ctx, formattedOrders...)
|
|
}
|
|
|
|
func (e *ExchangeOrderExecutionRouter) CancelOrdersTo(ctx context.Context, session string, orders ...types.Order) error {
|
|
if executor, ok := e.executors[session]; ok {
|
|
return executor.CancelOrders(ctx, orders...)
|
|
}
|
|
es, ok := e.sessions[session]
|
|
if !ok {
|
|
return fmt.Errorf("exchange session %s not found", session)
|
|
}
|
|
|
|
return es.Exchange.CancelOrders(ctx, orders...)
|
|
}
|
|
|
|
// ExchangeOrderExecutor is an order executor wrapper for single exchange instance.
|
|
//go:generate callbackgen -type ExchangeOrderExecutor
|
|
type ExchangeOrderExecutor struct {
|
|
// MinQuoteBalance fixedpoint.Value `json:"minQuoteBalance,omitempty" yaml:"minQuoteBalance,omitempty"`
|
|
|
|
Notifiability `json:"-" yaml:"-"`
|
|
|
|
Session *ExchangeSession `json:"-" yaml:"-"`
|
|
|
|
// private trade update callbacks
|
|
tradeUpdateCallbacks []func(trade types.Trade)
|
|
|
|
// private order update callbacks
|
|
orderUpdateCallbacks []func(order types.Order)
|
|
}
|
|
|
|
func (e *ExchangeOrderExecutor) notifySubmitOrders(orders ...types.SubmitOrder) {
|
|
for _, order := range orders {
|
|
// pass submit order as an interface object.
|
|
channel, ok := e.RouteObject(&order)
|
|
if ok {
|
|
e.NotifyTo(channel, ":memo: Submitting %s %s %s order with quantity: %f @ %f", order.Symbol, order.Type, order.Side, order.Quantity, order.Price, &order)
|
|
} else {
|
|
e.Notify(":memo: Submitting %s %s %s order with quantity: %f @ %f", order.Symbol, order.Type, order.Side, order.Quantity, order.Price, &order)
|
|
}
|
|
}
|
|
}
|
|
|
|
func (e *ExchangeOrderExecutor) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (types.OrderSlice, error) {
|
|
formattedOrders, err := formatOrders(e.Session, orders)
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
for _, order := range formattedOrders {
|
|
// pass submit order as an interface object.
|
|
channel, ok := e.RouteObject(&order)
|
|
if ok {
|
|
e.NotifyTo(channel, ":memo: Submitting %s %s %s order with quantity: %f", order.Symbol, order.Type, order.Side, order.Quantity, order)
|
|
} else {
|
|
e.Notify(":memo: Submitting %s %s %s order with quantity: %f", order.Symbol, order.Type, order.Side, order.Quantity, order)
|
|
}
|
|
|
|
log.Infof("submitting order: %s", order.String())
|
|
}
|
|
|
|
e.notifySubmitOrders(formattedOrders...)
|
|
|
|
return e.Session.Exchange.SubmitOrders(ctx, formattedOrders...)
|
|
}
|
|
|
|
func (e *ExchangeOrderExecutor) CancelOrders(ctx context.Context, orders ...types.Order) error {
|
|
for _, order := range orders {
|
|
log.Infof("cancelling order: %s", order)
|
|
}
|
|
return e.Session.Exchange.CancelOrders(ctx, orders...)
|
|
}
|
|
|
|
type BasicRiskController struct {
|
|
Logger *log.Logger
|
|
|
|
MaxOrderAmount fixedpoint.Value `json:"maxOrderAmount,omitempty" yaml:"maxOrderAmount,omitempty"`
|
|
MinQuoteBalance fixedpoint.Value `json:"minQuoteBalance,omitempty" yaml:"minQuoteBalance,omitempty"`
|
|
MaxBaseAssetBalance fixedpoint.Value `json:"maxBaseAssetBalance,omitempty" yaml:"maxBaseAssetBalance,omitempty"`
|
|
MinBaseAssetBalance fixedpoint.Value `json:"minBaseAssetBalance,omitempty" yaml:"minBaseAssetBalance,omitempty"`
|
|
}
|
|
|
|
// ProcessOrders filters and modifies the submit order objects by:
|
|
// 1. Increase the quantity by the minimal requirement
|
|
// 2. Decrease the quantity by risk controls
|
|
// 3. If the quantity does not meet minimal requirement, we should ignore the submit order.
|
|
func (c *BasicRiskController) ProcessOrders(session *ExchangeSession, orders ...types.SubmitOrder) (outOrders []types.SubmitOrder, errs []error) {
|
|
balances := session.Account.Balances()
|
|
|
|
addError := func(err error) {
|
|
errs = append(errs, err)
|
|
}
|
|
|
|
accumulativeQuoteAmount := fixedpoint.Zero
|
|
accumulativeBaseSellQuantity := fixedpoint.Zero
|
|
increaseFactor := fixedpoint.NewFromFloat(1.01)
|
|
|
|
for _, order := range orders {
|
|
lastPrice, ok := session.LastPrice(order.Symbol)
|
|
if !ok {
|
|
addError(fmt.Errorf("the last price of symbol %q is not found, order: %s", order.Symbol, order.String()))
|
|
continue
|
|
}
|
|
|
|
market, ok := session.Market(order.Symbol)
|
|
if !ok {
|
|
addError(fmt.Errorf("the market config of symbol %q is not found, order: %s", order.Symbol, order.String()))
|
|
continue
|
|
}
|
|
|
|
price := order.Price
|
|
quantity := order.Quantity
|
|
switch order.Type {
|
|
case types.OrderTypeMarket:
|
|
price = lastPrice
|
|
}
|
|
|
|
switch order.Side {
|
|
case types.SideTypeBuy:
|
|
minAmount := market.MinAmount.Mul(increaseFactor)
|
|
// Critical conditions for placing buy orders
|
|
quoteBalance, ok := balances[market.QuoteCurrency]
|
|
if !ok {
|
|
addError(fmt.Errorf("can not place buy order, quote balance %s not found", market.QuoteCurrency))
|
|
continue
|
|
}
|
|
|
|
if quoteBalance.Available.Compare(c.MinQuoteBalance) < 0 {
|
|
addError(errors.Wrapf(ErrQuoteBalanceLevelTooLow, "can not place buy order, quote balance level is too low: %s < %s, order: %s",
|
|
types.USD.FormatMoney(quoteBalance.Available),
|
|
types.USD.FormatMoney(c.MinQuoteBalance), order.String()))
|
|
continue
|
|
}
|
|
|
|
// Increase the quantity if the amount is not enough,
|
|
// this is the only increase op, later we will decrease the quantity if it meets the criteria
|
|
quantity = AdjustFloatQuantityByMinAmount(quantity, price, minAmount)
|
|
|
|
if c.MaxOrderAmount.Sign() > 0 {
|
|
quantity = AdjustFloatQuantityByMaxAmount(quantity, price, c.MaxOrderAmount)
|
|
}
|
|
|
|
quoteAssetQuota := fixedpoint.Max(
|
|
fixedpoint.Zero, quoteBalance.Available.Sub(c.MinQuoteBalance))
|
|
if quoteAssetQuota.Compare(market.MinAmount) < 0 {
|
|
addError(
|
|
errors.Wrapf(
|
|
ErrInsufficientQuoteBalance,
|
|
"can not place buy order, insufficient quote balance: quota %s < min amount %s, order: %s",
|
|
quoteAssetQuota.String(), market.MinAmount.String(), order.String()))
|
|
continue
|
|
}
|
|
|
|
quantity = AdjustFloatQuantityByMaxAmount(quantity, price, quoteAssetQuota)
|
|
|
|
// if MaxBaseAssetBalance is enabled, we should check the current base asset balance
|
|
if baseBalance, hasBaseAsset := balances[market.BaseCurrency]; hasBaseAsset && c.MaxBaseAssetBalance.Sign() > 0 {
|
|
if baseBalance.Available.Compare(c.MaxBaseAssetBalance) > 0 {
|
|
addError(
|
|
errors.Wrapf(
|
|
ErrAssetBalanceLevelTooHigh,
|
|
"should not place buy order, asset balance level is too high: %s > %s, order: %s",
|
|
baseBalance.Available.String(),
|
|
c.MaxBaseAssetBalance.String(),
|
|
order.String()))
|
|
continue
|
|
}
|
|
|
|
baseAssetQuota := fixedpoint.Max(fixedpoint.Zero, c.MaxBaseAssetBalance.Sub(baseBalance.Available))
|
|
if quantity.Compare(baseAssetQuota) > 0 {
|
|
quantity = baseAssetQuota
|
|
}
|
|
}
|
|
|
|
// if the amount is still too small, we should skip it.
|
|
notional := quantity.Mul(lastPrice)
|
|
if notional.Compare(market.MinAmount) < 0 {
|
|
addError(
|
|
fmt.Errorf(
|
|
"can not place buy order, quote amount too small: notional %s < min amount %s, order: %s",
|
|
notional.String(),
|
|
market.MinAmount.String(),
|
|
order.String()))
|
|
continue
|
|
}
|
|
|
|
accumulativeQuoteAmount = accumulativeQuoteAmount.Add(notional)
|
|
|
|
case types.SideTypeSell:
|
|
minNotion := market.MinNotional.Mul(increaseFactor)
|
|
|
|
// Critical conditions for placing SELL orders
|
|
baseAssetBalance, ok := balances[market.BaseCurrency]
|
|
if !ok {
|
|
addError(
|
|
fmt.Errorf(
|
|
"can not place sell order, no base asset balance %s, order: %s",
|
|
market.BaseCurrency,
|
|
order.String()))
|
|
continue
|
|
}
|
|
|
|
// if the amount is too small, we should increase it.
|
|
quantity = AdjustFloatQuantityByMinAmount(quantity, price, minNotion)
|
|
|
|
// we should not SELL too much
|
|
quantity = fixedpoint.Min(quantity, baseAssetBalance.Available)
|
|
|
|
if c.MinBaseAssetBalance.Sign() > 0 {
|
|
if baseAssetBalance.Available.Compare(c.MinBaseAssetBalance) < 0 {
|
|
addError(
|
|
errors.Wrapf(
|
|
ErrAssetBalanceLevelTooLow,
|
|
"asset balance level is too low: %s > %s", baseAssetBalance.Available.String(), c.MinBaseAssetBalance.String()))
|
|
continue
|
|
}
|
|
|
|
quantity = fixedpoint.Min(quantity, baseAssetBalance.Available.Sub(c.MinBaseAssetBalance))
|
|
if quantity.Compare(market.MinQuantity) < 0 {
|
|
addError(
|
|
errors.Wrapf(
|
|
ErrInsufficientAssetBalance,
|
|
"insufficient asset balance: %s > minimal quantity %s",
|
|
baseAssetBalance.Available.String(),
|
|
market.MinQuantity.String()))
|
|
continue
|
|
}
|
|
}
|
|
|
|
if c.MaxOrderAmount.Sign() > 0 {
|
|
quantity = AdjustFloatQuantityByMaxAmount(quantity, price, c.MaxOrderAmount)
|
|
}
|
|
|
|
notional := quantity.Mul(lastPrice)
|
|
if notional.Compare(market.MinNotional) < 0 {
|
|
addError(
|
|
fmt.Errorf(
|
|
"can not place sell order, notional %s < min notional: %s, order: %s",
|
|
notional.String(),
|
|
market.MinNotional.String(),
|
|
order.String()))
|
|
continue
|
|
}
|
|
|
|
if quantity.Compare(market.MinQuantity) < 0 {
|
|
addError(
|
|
fmt.Errorf(
|
|
"can not place sell order, quantity %s is less than the minimal lot %s, order: %s",
|
|
quantity.String(),
|
|
market.MinQuantity.String(),
|
|
order.String()))
|
|
continue
|
|
}
|
|
|
|
accumulativeBaseSellQuantity = accumulativeBaseSellQuantity.Add(quantity)
|
|
}
|
|
|
|
// update quantity and format the order
|
|
order.Quantity = quantity
|
|
outOrders = append(outOrders, order)
|
|
}
|
|
|
|
return outOrders, nil
|
|
}
|
|
|
|
func formatOrders(session *ExchangeSession, orders []types.SubmitOrder) (formattedOrders []types.SubmitOrder, err error) {
|
|
for _, order := range orders {
|
|
o, err := session.FormatOrder(order)
|
|
if err != nil {
|
|
return formattedOrders, err
|
|
}
|
|
formattedOrders = append(formattedOrders, o)
|
|
}
|
|
|
|
return formattedOrders, err
|
|
}
|
|
|
|
func max(a, b int64) int64 {
|
|
if a > b {
|
|
return a
|
|
}
|
|
return b
|
|
}
|