core/rustybot/src/models.rs

use std::fmt;
use std::fmt::{Display, Formatter};
use std::hash::{Hash, Hasher};

use crate::connectors::Exchange;
use crate::currency::SymbolPair;

/***************
* Prices
***************/

#[derive(Copy, Clone, Debug)]
pub struct PriceTicker {
    pub bid: f64,
    pub bid_size: f64,
    pub ask: f64,
    pub ask_size: f64,
    pub daily_change: f64,
    pub daily_change_perc: f64,
    pub last_price: f64,
    pub volume: f64,
    pub high: f64,
    pub low: f64,
}

/***************
* Orders
***************/

#[derive(Debug)]
pub enum OrderBookEntry {
    Trading {
        price: f64,
        count: u64,
        amount: f64,
    },
    Funding {
        rate: f64,
        period: u64,
        count: u64,
        amount: f64,
    },
}

#[derive(Debug)]
pub struct OrderBook {
    pair: SymbolPair,
    entries: Vec<OrderBookEntry>,
}

impl OrderBook {
    pub fn new(pair: SymbolPair) -> Self {
        OrderBook {
            pair,
            entries: Vec::new(),
        }
    }

    pub fn with_entries(mut self, entries: Vec<OrderBookEntry>) -> Self {
        self.entries = entries;
        self
    }

    // TODO: distinguish between trading and funding
    pub fn bids(&self) -> Vec<&OrderBookEntry> {
        self.entries
            .iter()
            .filter(|x| match x {
                OrderBookEntry::Trading { amount, .. } => amount > &0.0,
                OrderBookEntry::Funding { amount, .. } => amount < &0.0,
            })
            .collect()
    }

    // TODO: distinguish between trading and funding
    pub fn asks(&self) -> Vec<&OrderBookEntry> {
        self.entries
            .iter()
            .filter(|x| match x {
                OrderBookEntry::Trading { amount, .. } => amount < &0.0,
                OrderBookEntry::Funding { amount, .. } => amount > &0.0,
            })
            .collect()
    }

    pub fn highest_bid(&self) -> f64 {
        self.bids()
            .iter()
            .map(|x| match x {
                OrderBookEntry::Trading { price, .. } => price,
                OrderBookEntry::Funding { rate, .. } => rate,
            })
            .fold(f64::NEG_INFINITY, |a, &b| a.max(b))
    }

    pub fn lowest_ask(&self) -> f64 {
        self.asks()
            .iter()
            .map(|x| match x {
                OrderBookEntry::Trading { price, .. } => price,
                OrderBookEntry::Funding { rate, .. } => rate,
            })
            .fold(f64::INFINITY, |a, &b| a.min(b))
    }
}

#[derive(Clone, Debug)]
pub struct ActiveOrder {
    pub(crate) exchange: Exchange,
    pub(crate) id: u64,
    pub(crate) group_id: Option<u64>,
    pub(crate) client_id: Option<u64>,
    pub(crate) symbol: SymbolPair,
    pub(crate) current_form: OrderForm,
    pub(crate) creation_timestamp: u64,
    pub(crate) update_timestamp: u64,
}

impl Hash for ActiveOrder {
    fn hash<H: Hasher>(&self, state: &mut H) {
        state.write(&self.id.to_le_bytes());
    }
}

impl PartialEq for ActiveOrder {
    fn eq(&self, other: &Self) -> bool {
        self.id == other.id && self.client_id == other.client_id && self.group_id == other.group_id
    }
}

impl Eq for ActiveOrder {}

#[derive(Debug, Clone, Copy)]
pub enum TradingPlatform {
    Exchange,
    Derivative,
    Funding,
    Margin,
}

impl TradingPlatform {
    pub fn as_str(&self) -> &'static str {
        match self {
            TradingPlatform::Exchange => "Exchange",
            TradingPlatform::Derivative => "Derivative",
            TradingPlatform::Funding => "Funding",
            TradingPlatform::Margin => "Margin",
        }
    }
}

impl Display for TradingPlatform {
    fn fmt(&self, f: &mut Formatter<'_>) -> fmt::Result {
        write!(f, "{}", self.as_str())
    }
}

#[derive(Copy, Clone, Debug)]
pub enum OrderKind {
    Limit {
        price: f64,
        amount: f64,
    },
    Market {
        amount: f64,
    },
    Stop {
        price: f64,
        amount: f64,
    },
    StopLimit {
        price: f64,
        amount: f64,
        limit_price: f64,
    },
    TrailingStop {
        distance: f64,
        amount: f64,
    },
    FillOrKill {
        price: f64,
        amount: f64,
    },
    ImmediateOrCancel {
        price: f64,
        amount: f64,
    },
}

impl OrderKind {
    pub fn as_str(&self) -> &'static str {
        match self {
            OrderKind::Limit { .. } => "Limit",
            OrderKind::Market { .. } => "Market",
            OrderKind::Stop { .. } => "Stop",
            OrderKind::StopLimit { .. } => "Stop Limit",
            OrderKind::TrailingStop { .. } => "Trailing Stop",
            OrderKind::FillOrKill { .. } => "Fill or Kill",
            OrderKind::ImmediateOrCancel { .. } => "Immediate or Cancel",
        }
    }
}

impl Display for OrderKind {
    fn fmt(&self, f: &mut Formatter<'_>) -> fmt::Result {
        match self {
            OrderKind::Limit { price, amount } => {
                write!(
                    f,
                    "[{} | Price: {:0.5}, Amount: {:0.5}]",
                    self.as_str(),
                    price,
                    amount
                )
            }
            OrderKind::Market { amount } => {
                write!(f, "[{} | Amount: {:0.5}]", self.as_str(), amount)
            }
            OrderKind::Stop { price, amount } => {
                write!(
                    f,
                    "[{} | Price: {:0.5}, Amount: {:0.5}]",
                    self.as_str(),
                    price,
                    amount
                )
            }
            OrderKind::StopLimit {
                price,
                amount,
                limit_price,
            } => {
                write!(
                    f,
                    "[{} | Price: {:0.5}, Amount: {:0.5}, Limit Price: {:0.5}]",
                    self.as_str(),
                    price,
                    amount,
                    limit_price
                )
            }
            OrderKind::TrailingStop { distance, amount } => {
                write!(
                    f,
                    "[{} | Distance: {:0.5}, Amount: {:0.5}]",
                    self.as_str(),
                    distance,
                    amount
                )
            }
            OrderKind::FillOrKill { price, amount } => {
                write!(
                    f,
                    "[{} | Price: {:0.5}, Amount: {:0.5}]",
                    self.as_str(),
                    price,
                    amount
                )
            }
            OrderKind::ImmediateOrCancel { price, amount } => {
                write!(
                    f,
                    "[{} | Price: {:0.5}, Amount: {:0.5}]",
                    self.as_str(),
                    price,
                    amount
                )
            }
        }
    }
}

#[derive(Debug, Clone)]
pub struct OrderForm {
    pair: SymbolPair,
    kind: OrderKind,
    platform: TradingPlatform,
}

impl OrderForm {
    pub fn new(pair: SymbolPair, order_kind: OrderKind, platform: TradingPlatform) -> Self {
        Self {
            pair,
            kind: order_kind,
            platform,
        }
    }

    pub fn pair(&self) -> &SymbolPair {
        &self.pair
    }

    pub fn kind(&self) -> OrderKind {
        self.kind
    }

    pub fn platform(&self) -> &TradingPlatform {
        &self.platform
    }

    pub fn amount(&self) -> f64 {
        match self.kind {
            OrderKind::Limit { amount, .. } => amount,
            OrderKind::Market { amount } => amount,
            OrderKind::Stop { amount, .. } => amount,
            OrderKind::StopLimit { amount, .. } => amount,
            OrderKind::TrailingStop { amount, .. } => amount,
            OrderKind::FillOrKill { amount, .. } => amount,
            OrderKind::ImmediateOrCancel { amount, .. } => amount,
        }
    }

    pub fn price(&self) -> Option<f64> {
        match self.kind {
            OrderKind::Limit { price, .. } => Some(price),
            OrderKind::Market { .. } => None,
            OrderKind::Stop { price, .. } => Some(price),
            OrderKind::StopLimit { price, .. } => Some(price),
            OrderKind::TrailingStop { .. } => None,
            OrderKind::FillOrKill { price, .. } => Some(price),
            OrderKind::ImmediateOrCancel { price, .. } => Some(price),
        }
    }
}

/***************
* Positions
***************/

#[derive(Clone, Debug)]
pub struct Position {
    pair: SymbolPair,
    state: PositionState,
    profit_state: Option<PositionProfitState>,
    amount: f64,
    base_price: f64,
    pl: f64,
    pl_perc: f64,
    price_liq: f64,
    position_id: u64,
    creation_date: Option<u64>,
    creation_update: Option<u64>,
}

impl Position {
    pub fn new(
        pair: SymbolPair,
        state: PositionState,
        amount: f64,
        base_price: f64,
        pl: f64,
        pl_perc: f64,
        price_liq: f64,
        position_id: u64,
    ) -> Self {
        Position {
            pair,
            state,
            amount,
            base_price,
            pl,
            pl_perc,
            price_liq,
            position_id,
            creation_date: None,
            creation_update: None,
            profit_state: None,
        }
    }

    pub fn with_creation_date(mut self, creation_date: Option<u64>) -> Self {
        self.creation_date = creation_date;
        self
    }

    pub fn with_creation_update(mut self, creation_update: Option<u64>) -> Self {
        self.creation_update = creation_update;
        self
    }

    pub fn with_profit_state(mut self, profit_state: Option<PositionProfitState>) -> Self {
        self.profit_state = profit_state;
        self
    }

    pub fn update_profit_loss(&mut self, best_offer: f64, fee_perc: f64) {
        let (base_price, delta) = {
            if self.is_short() {
                let base_price = self.base_price * (1.0 - fee_perc / 100.0);
                let delta = base_price - best_offer;

                (base_price, delta)
            } else {
                let base_price = self.base_price * (1.0 + fee_perc / 100.0);
                let delta = best_offer - base_price;

                (base_price, delta)
            }
        };

        let profit_loss = delta * self.amount.abs();
        let profit_loss_percentage = delta / base_price * 100.0;

        self.pl = profit_loss;
        self.pl_perc = profit_loss_percentage;
    }

    pub fn with_profit_loss(mut self, profit_loss: f64) -> Self {
        self.pl = profit_loss;
        self
    }

    pub fn pair(&self) -> &SymbolPair {
        &self.pair
    }
    pub fn state(&self) -> PositionState {
        self.state
    }
    pub fn amount(&self) -> f64 {
        self.amount
    }
    pub fn base_price(&self) -> f64 {
        self.base_price
    }
    pub fn pl(&self) -> f64 {
        self.pl
    }
    pub fn pl_perc(&self) -> f64 {
        self.pl_perc
    }
    pub fn price_liq(&self) -> f64 {
        self.price_liq
    }
    pub fn id(&self) -> u64 {
        self.position_id
    }
    pub fn profit_state(&self) -> Option<PositionProfitState> {
        self.profit_state
    }
    pub fn creation_date(&self) -> Option<u64> {
        self.creation_date
    }
    pub fn creation_update(&self) -> Option<u64> {
        self.creation_update
    }
    pub fn is_short(&self) -> bool {
        self.amount.is_sign_negative()
    }
    pub fn is_long(&self) -> bool {
        self.amount.is_sign_positive()
    }
}

impl Hash for Position {
    fn hash<H: Hasher>(&self, state: &mut H) {
        state.write(&self.id().to_le_bytes())
    }
}

impl PartialEq for Position {
    fn eq(&self, other: &Self) -> bool {
        self.id() == other.id()
    }
}

impl Eq for Position {}

#[derive(Copy, Clone, Eq, PartialEq, Hash, Debug)]
pub enum PositionProfitState {
    Critical,
    Loss,
    BreakEven,
    MinimumProfit,
    Profit,
}

impl PositionProfitState {
    fn color(self) -> String {
        match self {
            PositionProfitState::Critical | PositionProfitState::Loss => "red",
            PositionProfitState::BreakEven => "yellow",
            PositionProfitState::MinimumProfit | PositionProfitState::Profit => "green",
        }
        .into()
    }
}

#[derive(Copy, Clone, Eq, PartialEq, Hash, Debug)]
pub enum PositionState {
    Closed,
    Open,
}