core/rustybot/src/models.rs

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

use chrono::{DateTime, TimeZone};
use float_cmp::ApproxEq;

use crate::currency::SymbolPair;
use crate::BoxError;

/***************
* 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) id: u64,
    pub(crate) group_id: Option<u64>,
    pub(crate) client_id: u64,
    pub(crate) symbol: SymbolPair,
    pub(crate) creation_timestamp: u64,
    pub(crate) update_timestamp: u64,
    pub(crate) amount: f64,
    pub(crate) amount_original: f64,
    pub(crate) order_type: OrderKind,
    pub(crate) previous_order_type: Option<OrderKind>,
    pub(crate) price: f64,
    pub(crate) price_avg: f64,
    pub(crate) hidden: bool,
}

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(Copy, Clone, Debug, Hash)]
pub enum OrderKind {
    Limit,
    ExchangeLimit,
    Market,
    ExchangeMarket,
    Stop,
    ExchangeStop,
    StopLimit,
    ExchangeStopLimit,
    TrailingStop,
    Fok,
    ExchangeFok,
    Ioc,
    ExchangeIoc,
}

#[derive(Clone, Debug)]
pub struct OrderForm {
    /// Order Type: LIMIT, EXCHANGE LIMIT, MARKET, EXCHANGE MARKET,
    /// STOP, EXCHANGE STOP, STOP LIMIT, EXCHANGE STOP LIMIT,
    /// TRAILING STOP, EXCHANGE TRAILING STOP, FOK,
    /// EXCHANGE FOK, IOC, EXCHANGE IOC
    kind: OrderKind,
    /// Symbol for desired pair
    pair: SymbolPair,
    /// Price of order
    price: f64,
    /// Amount of order (positive for buy, negative for sell)
    amount: f64,
    /// Set the leverage for a derivative order, supported by derivative symbol orders only.
    /// The value should be between 1 and 100 inclusive.
    /// The field is optional, if omitted the default leverage value of 10 will be used.
    leverage: Option<u32>,
    /// The trailing price for a trailing stop order
    price_trailing: Option<String>,
    /// Auxiliary Limit price (for STOP LIMIT)
    price_aux_limit: Option<String>,
    /// Time-In-Force: datetime for automatic order cancellation (ie. 2020-01-01 10:45:23) )
    tif: Option<String>,
}

impl OrderForm {
    pub fn new(pair: &SymbolPair, price: f64, amount: f64, kind: OrderKind) -> Self {
        OrderForm {
            kind,
            pair: pair.clone(),
            price,
            amount,
            leverage: None,
            price_trailing: None,
            price_aux_limit: None,
            tif: None,
        }
    }

    pub fn with_leverage(mut self, leverage: u32) -> Self {
        self.leverage = Some(leverage);
        self
    }

    pub fn with_price_trailing(mut self, trailing: f64) -> Result<Self, BoxError> {
        match self.kind {
            OrderKind::TrailingStop => {
                self.price_trailing = Some(trailing.to_string());
                Ok(self)
            }
            _ => Err("Invalid order type.".into()),
        }
    }

    pub fn with_price_aux_limit(mut self, limit: f64) -> Result<Self, BoxError> {
        match self.kind {
            OrderKind::StopLimit | OrderKind::ExchangeStopLimit => {
                self.price_aux_limit = Some(limit.to_string());
                Ok(self)
            }
            _ => Err("Invalid order type.".into()),
        }
    }

    pub fn with_tif<T: TimeZone>(mut self, tif: DateTime<T>) -> Self
    where
        T::Offset: Display,
    {
        self.tif = Some(tif.format("%Y-%m-%d %H:%M:%S").to_string());
        self
    }

    pub fn kind(&self) -> OrderKind {
        self.kind
    }
    pub fn pair(&self) -> &SymbolPair {
        &self.pair
    }
    pub fn price(&self) -> &f64 {
        &self.price
    }
    pub fn amount(&self) -> &f64 {
        &self.amount
    }
    pub fn leverage(&self) -> Option<u32> {
        self.leverage
    }
    pub fn price_trailing(&self) -> &Option<String> {
        &self.price_trailing
    }
    pub fn price_aux_limit(&self) -> &Option<String> {
        &self.price_aux_limit
    }
    pub fn tif(&self) -> &Option<String> {
        &self.tif
    }
}

/***************
* 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 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,
}