bbgo_origin/pkg/bbgo/order_executor_general.go

444 lines
14 KiB
Go

package bbgo
import (
"context"
"errors"
"fmt"
"strings"
"sync/atomic"
"time"
log "github.com/sirupsen/logrus"
"go.uber.org/multierr"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
)
type NotifyFunc func(obj interface{}, args ...interface{})
// GeneralOrderExecutor implements the general order executor for strategy
type GeneralOrderExecutor struct {
session *ExchangeSession
symbol string
strategy string
strategyInstanceID string
position *types.Position
activeMakerOrders *ActiveOrderBook
orderStore *OrderStore
tradeCollector *TradeCollector
marginBaseMaxBorrowable, marginQuoteMaxBorrowable fixedpoint.Value
closing int64
}
func NewGeneralOrderExecutor(session *ExchangeSession, symbol, strategy, strategyInstanceID string, position *types.Position) *GeneralOrderExecutor {
// Always update the position fields
position.Strategy = strategy
position.StrategyInstanceID = strategyInstanceID
orderStore := NewOrderStore(symbol)
executor := &GeneralOrderExecutor{
session: session,
symbol: symbol,
strategy: strategy,
strategyInstanceID: strategyInstanceID,
position: position,
activeMakerOrders: NewActiveOrderBook(symbol),
orderStore: orderStore,
tradeCollector: NewTradeCollector(symbol, position, orderStore),
}
if session.Margin {
executor.startMarginAssetUpdater(context.Background())
}
return executor
}
func (e *GeneralOrderExecutor) startMarginAssetUpdater(ctx context.Context) {
marginService, ok := e.session.Exchange.(types.MarginBorrowRepayService)
if !ok {
log.Warnf("session %s (%T) exchange does not support MarginBorrowRepayService", e.session.Name, e.session.Exchange)
return
}
go e.marginAssetMaxBorrowableUpdater(ctx, 30*time.Minute, marginService, e.position.Market)
}
func (e *GeneralOrderExecutor) updateMarginAssetMaxBorrowable(ctx context.Context, marginService types.MarginBorrowRepayService, market types.Market) {
maxBorrowable, err := marginService.QueryMarginAssetMaxBorrowable(ctx, market.BaseCurrency)
if err != nil {
log.WithError(err).Errorf("can not query margin base asset %s max borrowable", market.BaseCurrency)
} else {
log.Infof("updating margin base asset %s max borrowable amount: %f", market.BaseCurrency, maxBorrowable.Float64())
e.marginBaseMaxBorrowable = maxBorrowable
}
maxBorrowable, err = marginService.QueryMarginAssetMaxBorrowable(ctx, market.QuoteCurrency)
if err != nil {
log.WithError(err).Errorf("can not query margin quote asset %s max borrowable", market.QuoteCurrency)
} else {
log.Infof("updating margin quote asset %s max borrowable amount: %f", market.QuoteCurrency, maxBorrowable.Float64())
e.marginQuoteMaxBorrowable = maxBorrowable
}
}
func (e *GeneralOrderExecutor) marginAssetMaxBorrowableUpdater(ctx context.Context, interval time.Duration, marginService types.MarginBorrowRepayService, market types.Market) {
t := time.NewTicker(util.MillisecondsJitter(interval, 500))
defer t.Stop()
e.updateMarginAssetMaxBorrowable(ctx, marginService, market)
for {
select {
case <-ctx.Done():
return
case <-t.C:
e.updateMarginAssetMaxBorrowable(ctx, marginService, market)
}
}
}
func (e *GeneralOrderExecutor) ActiveMakerOrders() *ActiveOrderBook {
return e.activeMakerOrders
}
func (e *GeneralOrderExecutor) BindEnvironment(environ *Environment) {
e.tradeCollector.OnProfit(func(trade types.Trade, profit *types.Profit) {
environ.RecordPosition(e.position, trade, profit)
})
}
func (e *GeneralOrderExecutor) BindTradeStats(tradeStats *types.TradeStats) {
e.tradeCollector.OnProfit(func(trade types.Trade, profit *types.Profit) {
if profit == nil {
return
}
tradeStats.Add(profit)
})
}
func (e *GeneralOrderExecutor) BindProfitStats(profitStats *types.ProfitStats) {
e.tradeCollector.OnProfit(func(trade types.Trade, profit *types.Profit) {
profitStats.AddTrade(trade)
if profit == nil {
return
}
profitStats.AddProfit(*profit)
Notify(profit)
Notify(profitStats)
})
}
func (e *GeneralOrderExecutor) Bind() {
e.activeMakerOrders.BindStream(e.session.UserDataStream)
e.orderStore.BindStream(e.session.UserDataStream)
// trade notify
e.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
Notify(trade)
})
e.tradeCollector.OnPositionUpdate(func(position *types.Position) {
log.Infof("position changed: %s", position)
Notify(position)
})
e.tradeCollector.BindStream(e.session.UserDataStream)
}
// CancelOrders cancels the given order objects directly
func (e *GeneralOrderExecutor) CancelOrders(ctx context.Context, orders ...types.Order) error {
err := e.session.Exchange.CancelOrders(ctx, orders...)
if err != nil { // Retry once
err = e.session.Exchange.CancelOrders(ctx, orders...)
}
return err
}
func (e *GeneralOrderExecutor) SubmitOrders(ctx context.Context, submitOrders ...types.SubmitOrder) (types.OrderSlice, error) {
formattedOrders, err := e.session.FormatOrders(submitOrders)
if err != nil {
return nil, err
}
createdOrders, errIdx, err := BatchPlaceOrder(ctx, e.session.Exchange, formattedOrders...)
if len(errIdx) > 0 {
createdOrders2, err2 := BatchRetryPlaceOrder(ctx, e.session.Exchange, errIdx, formattedOrders...)
if err2 != nil {
err = multierr.Append(err, err2)
} else {
createdOrders = append(createdOrders, createdOrders2...)
}
}
e.orderStore.Add(createdOrders...)
e.activeMakerOrders.Add(createdOrders...)
e.tradeCollector.Process()
return createdOrders, err
}
type OpenPositionOptions struct {
// Long is for open a long position
// Long or Short must be set, avoid loading it from the config file
// it should be set from the strategy code
Long bool `json:"-" yaml:"-"`
// Short is for open a short position
// Long or Short must be set
Short bool `json:"-" yaml:"-"`
// Leverage is used for leveraged position and account
// Leverage is not effected when using non-leverage spot account
Leverage fixedpoint.Value `json:"leverage,omitempty" modifiable:"true"`
// Quantity will be used first, it will override the leverage if it's given
Quantity fixedpoint.Value `json:"quantity,omitempty"`
// LimitOrder set to true to open a position with a limit order
// default is false, and will send MarketOrder
LimitOrder bool `json:"limitOrder,omitempty" modifiable:"true"`
// LimitOrderTakerRatio is used when LimitOrder = true, it adjusts the price of the limit order with a ratio.
// So you can ensure that the limit order can be a taker order. Higher the ratio, higher the chance it could be a taker order.
//
// limitOrderTakerRatio is the price ratio to adjust your limit order as a taker order. e.g., 0.1%
// for sell order, 0.1% ratio means your final price = price * (1 - 0.1%)
// for buy order, 0.1% ratio means your final price = price * (1 + 0.1%)
// this is only enabled when the limitOrder option set to true
LimitOrderTakerRatio fixedpoint.Value `json:"limitOrderTakerRatio,omitempty"`
Price fixedpoint.Value `json:"-" yaml:"-"`
Tags []string `json:"-" yaml:"-"`
}
var Delta fixedpoint.Value = fixedpoint.NewFromFloat(0.005)
func (e *GeneralOrderExecutor) OpenPosition(ctx context.Context, options OpenPositionOptions) (types.OrderSlice, error) {
price := options.Price
submitOrder := types.SubmitOrder{
Symbol: e.position.Symbol,
Type: types.OrderTypeMarket,
MarginSideEffect: types.SideEffectTypeMarginBuy,
Tag: strings.Join(options.Tags, ","),
}
baseBalance, _ := e.session.Account.Balance(e.position.Market.BaseCurrency)
// FIXME: fix the max quote borrowing checking
// quoteBalance, _ := e.session.Account.Balance(e.position.Market.QuoteCurrency)
if !options.LimitOrderTakerRatio.IsZero() {
if options.Long {
// use higher price to buy (this ensures that our order will be filled)
price = price.Mul(one.Add(options.LimitOrderTakerRatio))
} else if options.Short {
// use lower price to sell (this ensures that our order will be filled)
price = price.Mul(one.Sub(options.LimitOrderTakerRatio))
}
}
if options.LimitOrder {
submitOrder.Type = types.OrderTypeLimit
submitOrder.Price = price
}
quantity := options.Quantity
market, ok := e.session.Market(e.symbol)
if !ok {
return nil, errors.New("cannot find market with symbol " + e.symbol)
}
if options.Long {
if quantity.IsZero() {
quoteQuantity, err := CalculateQuoteQuantity(ctx, e.session, e.position.QuoteCurrency, options.Leverage)
if quoteQuantity.IsZero() {
log.Warnf("dust quantity: %v", quantity)
return nil, nil
}
if err != nil {
return nil, err
}
quantity = quoteQuantity.Div(price)
}
if market.IsDustQuantity(quantity, price) {
log.Warnf("dust quantity: %v", quantity)
return nil, nil
}
quoteQuantity := quantity.Mul(price)
if e.session.Margin && !e.marginQuoteMaxBorrowable.IsZero() && quoteQuantity.Compare(e.marginQuoteMaxBorrowable) > 0 {
log.Warnf("adjusting quantity %f according to the max margin quote borrowable amount: %f", quantity.Float64(), e.marginQuoteMaxBorrowable.Float64())
quantity = AdjustQuantityByMaxAmount(quantity, price, e.marginQuoteMaxBorrowable)
}
submitOrder.Side = types.SideTypeBuy
submitOrder.Quantity = quantity
Notify("Opening %s long position with quantity %v at price %v", e.position.Symbol, quantity, price)
for {
createdOrder, err2 := e.SubmitOrders(ctx, submitOrder)
if err2 != nil {
submitOrder.Quantity = submitOrder.Quantity.Mul(fixedpoint.One.Sub(Delta))
if market.IsDustQuantity(submitOrder.Quantity, price) {
return nil, err2
}
continue
}
log.Infof("created order: %+v", createdOrder)
return createdOrder, nil
}
} else if options.Short {
if quantity.IsZero() {
var err error
quantity, err = CalculateBaseQuantity(e.session, e.position.Market, price, quantity, options.Leverage)
if quantity.IsZero() {
log.Warnf("dust quantity: %v", quantity)
return nil, nil
}
if err != nil {
return nil, err
}
}
if market.IsDustQuantity(quantity, price) {
log.Warnf("dust quantity: %v", quantity)
return nil, nil
}
if e.session.Margin && !e.marginBaseMaxBorrowable.IsZero() && quantity.Sub(baseBalance.Available).Compare(e.marginBaseMaxBorrowable) > 0 {
log.Warnf("adjusting %f quantity according to the max margin base borrowable amount: %f", quantity.Float64(), e.marginBaseMaxBorrowable.Float64())
// quantity = fixedpoint.Min(quantity, e.marginBaseMaxBorrowable)
quantity = baseBalance.Available.Add(e.marginBaseMaxBorrowable)
}
submitOrder.Side = types.SideTypeSell
submitOrder.Quantity = quantity
Notify("Opening %s short position with quantity %v at price %v", e.position.Symbol, quantity, price)
for {
createdOrder, err2 := e.SubmitOrders(ctx, submitOrder)
if err2 != nil {
submitOrder.Quantity = submitOrder.Quantity.Mul(fixedpoint.One.Sub(Delta))
if market.IsDustQuantity(submitOrder.Quantity, price) {
return nil, err2
}
continue
}
log.Infof("created order: %+v", createdOrder)
return createdOrder, nil
}
}
return nil, errors.New("options Long or Short must be set")
}
// GracefulCancelActiveOrderBook cancels the orders from the active orderbook.
func (e *GeneralOrderExecutor) GracefulCancelActiveOrderBook(ctx context.Context, activeOrders *ActiveOrderBook) error {
if activeOrders.NumOfOrders() == 0 {
return nil
}
if err := activeOrders.GracefulCancel(ctx, e.session.Exchange); err != nil {
// Retry once
if err = activeOrders.GracefulCancel(ctx, e.session.Exchange); err != nil {
return fmt.Errorf("graceful cancel order error: %w", err)
}
}
e.tradeCollector.Process()
return nil
}
func (e *GeneralOrderExecutor) GracefulCancelOrder(ctx context.Context, order types.Order) error {
if e.activeMakerOrders.NumOfOrders() == 0 {
return nil
}
if err := e.activeMakerOrders.Cancel(ctx, e.session.Exchange, order); err != nil {
// Retry once
if err = e.activeMakerOrders.Cancel(ctx, e.session.Exchange, order); err != nil {
return fmt.Errorf("cancel order error: %w", err)
}
}
e.tradeCollector.Process()
return nil
}
// GracefulCancel cancels all active maker orders
func (e *GeneralOrderExecutor) GracefulCancel(ctx context.Context) error {
return e.GracefulCancelActiveOrderBook(ctx, e.activeMakerOrders)
}
// ClosePosition closes the current position by a percentage.
// percentage 0.1 means close 10% position
// tag is the order tag you want to attach, you may pass multiple tags, the tags will be combined into one tag string by commas.
func (e *GeneralOrderExecutor) ClosePosition(ctx context.Context, percentage fixedpoint.Value, tags ...string) error {
submitOrder := e.position.NewMarketCloseOrder(percentage)
if submitOrder == nil {
return nil
}
if e.closing > 0 {
log.Errorf("position is already closing")
return nil
}
atomic.AddInt64(&e.closing, 1)
defer atomic.StoreInt64(&e.closing, 0)
// check base balance and adjust the close position order
if e.position.IsLong() {
if baseBalance, ok := e.session.Account.Balance(e.position.Market.BaseCurrency); ok {
submitOrder.Quantity = fixedpoint.Min(submitOrder.Quantity, baseBalance.Available)
}
if submitOrder.Quantity.IsZero() {
return fmt.Errorf("insufficient base balance, can not sell: %+v", submitOrder)
}
} else if e.position.IsShort() {
// TODO: check quote balance here, we also need the current price to validate, need to design.
/*
if quoteBalance, ok := e.session.Account.Balance(e.position.Market.QuoteCurrency); ok {
// AdjustQuantityByMaxAmount(submitOrder.Quantity, quoteBalance.Available)
// submitOrder.Quantity = fixedpoint.Min(submitOrder.Quantity,)
}
*/
}
tagStr := strings.Join(tags, ",")
submitOrder.Tag = tagStr
Notify("Closing %s position %s with tags: %v", e.symbol, percentage.Percentage(), tagStr)
_, err := e.SubmitOrders(ctx, *submitOrder)
return err
}
func (e *GeneralOrderExecutor) TradeCollector() *TradeCollector {
return e.tradeCollector
}
func (e *GeneralOrderExecutor) Session() *ExchangeSession {
return e.session
}
func (e *GeneralOrderExecutor) Position() *types.Position {
return e.position
}
// This implements PositionReader interface
func (e *GeneralOrderExecutor) CurrentPosition() *types.Position {
return e.position
}
// This implements PositionResetter interface
func (e *GeneralOrderExecutor) ResetPosition() error {
e.position.Reset()
return nil
}