This commit is contained in:
Giulio De Pasquale 2021-01-25 16:21:37 +00:00
parent c4c87ed47b
commit 32419952a8
5 changed files with 234 additions and 230 deletions

454
rustybot/Cargo.lock generated
View File

@ -24,6 +24,27 @@ dependencies = [
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@ -1209,9 +1224,15 @@ source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "8f05ba609c234e60bee0d547fe94a4c7e9da733d1c962cf6e59efa4cd9c8bc75" checksum = "8f05ba609c234e60bee0d547fe94a4c7e9da733d1c962cf6e59efa4cd9c8bc75"
dependencies = [ dependencies = [
"lazy_static", "lazy_static",
"winapi 0.3.9", "winapi",
] ]
[[package]]
name = "scopeguard"
version = "1.1.0"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "d29ab0c6d3fc0ee92fe66e2d99f700eab17a8d57d1c1d3b748380fb20baa78cd"
[[package]] [[package]]
name = "security-framework" name = "security-framework"
version = "2.0.0" version = "2.0.0"
@ -1315,6 +1336,12 @@ version = "0.4.2"
source = "registry+https://github.com/rust-lang/crates.io-index" source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "c111b5bd5695e56cffe5129854aa230b39c93a305372fdbb2668ca2394eea9f8" checksum = "c111b5bd5695e56cffe5129854aa230b39c93a305372fdbb2668ca2394eea9f8"
[[package]]
name = "smallvec"
version = "1.6.1"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "fe0f37c9e8f3c5a4a66ad655a93c74daac4ad00c441533bf5c6e7990bb42604e"
[[package]] [[package]]
name = "socket2" name = "socket2"
version = "0.3.19" version = "0.3.19"
@ -1323,7 +1350,7 @@ checksum = "122e570113d28d773067fab24266b66753f6ea915758651696b6e35e49f88d6e"
dependencies = [ dependencies = [
"cfg-if 1.0.0", "cfg-if 1.0.0",
"libc", "libc",
"winapi 0.3.9", "winapi",
] ]
[[package]] [[package]]
@ -1351,10 +1378,10 @@ checksum = "7a6e24d9338a0a5be79593e2fa15a648add6138caa803e2d5bc782c371732ca9"
dependencies = [ dependencies = [
"cfg-if 0.1.10", "cfg-if 0.1.10",
"libc", "libc",
"rand", "rand 0.7.3",
"redox_syscall", "redox_syscall",
"remove_dir_all", "remove_dir_all",
"winapi 0.3.9", "winapi",
] ]
[[package]] [[package]]
@ -1374,7 +1401,7 @@ checksum = "6db9e6914ab8b1ae1c260a4ae7a49b6c5611b40328a735b21862567685e73255"
dependencies = [ dependencies = [
"libc", "libc",
"wasi 0.10.0+wasi-snapshot-preview1", "wasi 0.10.0+wasi-snapshot-preview1",
"winapi 0.3.9", "winapi",
] ]
[[package]] [[package]]
@ -1392,30 +1419,6 @@ version = "0.1.0"
source = "registry+https://github.com/rust-lang/crates.io-index" source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "cda74da7e1a664f795bb1f8a87ec406fb89a02522cf6e50620d016add6dbbf5c" checksum = "cda74da7e1a664f795bb1f8a87ec406fb89a02522cf6e50620d016add6dbbf5c"
[[package]]
name = "tokio"
version = "0.2.24"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "099837d3464c16a808060bb3f02263b412f6fafcb5d01c533d309985fbeebe48"
dependencies = [
"bytes 0.5.6",
"fnv",
"futures-core",
"iovec",
"lazy_static",
"libc",
"memchr",
"mio 0.6.23",
"mio-named-pipes",
"mio-uds",
"num_cpus",
"pin-project-lite 0.1.11",
"signal-hook-registry",
"slab",
"tokio-macros",
"winapi 0.3.9",
]
[[package]] [[package]]
name = "tokio" name = "tokio"
version = "0.3.6" version = "0.3.6"
@ -1426,15 +1429,35 @@ dependencies = [
"bytes 0.6.0", "bytes 0.6.0",
"libc", "libc",
"memchr", "memchr",
"mio 0.7.7", "mio",
"pin-project-lite 0.2.0", "pin-project-lite",
]
[[package]]
name = "tokio"
version = "1.1.0"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "8efab2086f17abcddb8f756117665c958feee6b2e39974c2f1600592ab3a4195"
dependencies = [
"autocfg",
"bytes 1.0.1",
"libc",
"memchr",
"mio",
"num_cpus",
"once_cell",
"parking_lot",
"pin-project-lite",
"signal-hook-registry",
"tokio-macros",
"winapi",
] ]
[[package]] [[package]]
name = "tokio-macros" name = "tokio-macros"
version = "0.2.6" version = "1.0.0"
source = "registry+https://github.com/rust-lang/crates.io-index" source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "e44da00bfc73a25f814cd8d7e57a68a5c31b74b3152a0a1d1f590c97ed06265a" checksum = "42517d2975ca3114b22a16192634e8241dc5cc1f130be194645970cc1c371494"
dependencies = [ dependencies = [
"proc-macro2", "proc-macro2",
"quote", "quote",
@ -1442,13 +1465,24 @@ dependencies = [
] ]
[[package]] [[package]]
name = "tokio-tls" name = "tokio-native-tls"
version = "0.3.1" version = "0.3.0"
source = "registry+https://github.com/rust-lang/crates.io-index" source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "9a70f4fcd7b3b24fb194f837560168208f669ca8cb70d0c4b862944452396343" checksum = "f7d995660bd2b7f8c1568414c1126076c13fbb725c40112dc0120b78eb9b717b"
dependencies = [ dependencies = [
"native-tls", "native-tls",
"tokio 0.2.24", "tokio 1.1.0",
]
[[package]]
name = "tokio-stream"
version = "0.1.2"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "76066865172052eb8796c686f0b441a93df8b08d40a950b062ffb9a426f00edd"
dependencies = [
"futures-core",
"pin-project-lite",
"tokio 1.1.0",
] ]
[[package]] [[package]]
@ -1466,16 +1500,18 @@ dependencies = [
[[package]] [[package]]
name = "tokio-util" name = "tokio-util"
version = "0.3.1" version = "0.6.2"
source = "registry+https://github.com/rust-lang/crates.io-index" source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "be8242891f2b6cbef26a2d7e8605133c2c554cd35b3e4948ea892d6d68436499" checksum = "feb971a26599ffd28066d387f109746df178eff14d5ea1e235015c5601967a4b"
dependencies = [ dependencies = [
"bytes 0.5.6", "async-stream",
"bytes 1.0.1",
"futures-core", "futures-core",
"futures-sink", "futures-sink",
"log 0.4.11", "log 0.4.11",
"pin-project-lite 0.1.11", "pin-project-lite",
"tokio 0.2.24", "tokio 1.1.0",
"tokio-stream",
] ]
[[package]] [[package]]
@ -1491,8 +1527,7 @@ source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "9f47026cdc4080c07e49b37087de021820269d996f581aac150ef9e5583eefe3" checksum = "9f47026cdc4080c07e49b37087de021820269d996f581aac150ef9e5583eefe3"
dependencies = [ dependencies = [
"cfg-if 1.0.0", "cfg-if 1.0.0",
"log 0.4.11", "pin-project-lite",
"pin-project-lite 0.2.0",
"tracing-core", "tracing-core",
] ]
@ -1535,7 +1570,7 @@ dependencies = [
"input_buffer 0.2.0", "input_buffer 0.2.0",
"log 0.4.11", "log 0.4.11",
"native-tls", "native-tls",
"rand", "rand 0.7.3",
"sha-1 0.8.2", "sha-1 0.8.2",
"url", "url",
"utf-8", "utf-8",
@ -1554,7 +1589,7 @@ dependencies = [
"httparse", "httparse",
"input_buffer 0.3.1", "input_buffer 0.3.1",
"log 0.4.11", "log 0.4.11",
"rand", "rand 0.7.3",
"sha-1 0.9.2", "sha-1 0.9.2",
"url", "url",
"utf-8", "utf-8",
@ -1566,15 +1601,6 @@ version = "1.12.0"
source = "registry+https://github.com/rust-lang/crates.io-index" source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "373c8a200f9e67a0c95e62a4f52fbf80c23b4381c05a17845531982fa99e6b33" checksum = "373c8a200f9e67a0c95e62a4f52fbf80c23b4381c05a17845531982fa99e6b33"
[[package]]
name = "unicase"
version = "2.6.0"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "50f37be617794602aabbeee0be4f259dc1778fabe05e2d67ee8f79326d5cb4f6"
dependencies = [
"version_check",
]
[[package]] [[package]]
name = "unicode-bidi" name = "unicode-bidi"
version = "0.3.4" version = "0.3.4"
@ -1735,12 +1761,6 @@ dependencies = [
"wasm-bindgen", "wasm-bindgen",
] ]
[[package]]
name = "winapi"
version = "0.2.8"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "167dc9d6949a9b857f3451275e911c3f44255842c1f7a76f33c55103a909087a"
[[package]] [[package]]
name = "winapi" name = "winapi"
version = "0.3.9" version = "0.3.9"
@ -1751,12 +1771,6 @@ dependencies = [
"winapi-x86_64-pc-windows-gnu", "winapi-x86_64-pc-windows-gnu",
] ]
[[package]]
name = "winapi-build"
version = "0.1.1"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "2d315eee3b34aca4797b2da6b13ed88266e6d612562a0c46390af8299fc699bc"
[[package]] [[package]]
name = "winapi-i686-pc-windows-gnu" name = "winapi-i686-pc-windows-gnu"
version = "0.4.0" version = "0.4.0"
@ -1775,15 +1789,5 @@ version = "0.7.0"
source = "registry+https://github.com/rust-lang/crates.io-index" source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "0120db82e8a1e0b9fb3345a539c478767c0048d842860994d96113d5b667bd69" checksum = "0120db82e8a1e0b9fb3345a539c478767c0048d842860994d96113d5b667bd69"
dependencies = [ dependencies = [
"winapi 0.3.9", "winapi",
]
[[package]]
name = "ws2_32-sys"
version = "0.2.1"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "d59cefebd0c892fa2dd6de581e937301d8552cb44489cdff035c6187cb63fa5e"
dependencies = [
"winapi 0.2.8",
"winapi-build",
] ]

View File

@ -8,7 +8,7 @@ edition = "2018"
[dependencies] [dependencies]
bitfinex = { path= "/home/giulio/dev/bitfinex-rs" } bitfinex = { path= "/home/giulio/dev/bitfinex-rs" }
tokio = { version = "0.2", features=["full"]} tokio = { version = "1", features=["full"]}
tokio-tungstenite = "*" tokio-tungstenite = "*"
futures-util = { version = "0.3", default-features = false, features = ["async-await", "sink", "std"] } futures-util = { version = "0.3", default-features = false, features = ["async-await", "sink", "std"] }
async-trait = "0.1" async-trait = "0.1"

View File

@ -1,7 +1,7 @@
use core::time::Duration; use core::time::Duration;
use log::{error, info}; use log::{error, info};
use tokio::time::delay_for; use tokio::time::sleep;
use crate::connectors::ExchangeDetails; use crate::connectors::ExchangeDetails;
use crate::currency::{Symbol, SymbolPair}; use crate::currency::{Symbol, SymbolPair};
@ -60,7 +60,7 @@ impl BfxBot {
} }
async fn update(&mut self) -> Result<(), BoxError> { async fn update(&mut self) -> Result<(), BoxError> {
delay_for(self.ticker.duration()).await; sleep(self.ticker.duration()).await;
self.ticker.inc(); self.ticker.inc();
self.update_exchanges().await?; self.update_exchanges().await?;

View File

@ -4,7 +4,6 @@ use std::ops::Neg;
use futures_util::stream::FuturesUnordered; use futures_util::stream::FuturesUnordered;
use log::{debug, error, info, trace}; use log::{debug, error, info, trace};
use merge::Merge; use merge::Merge;
use tokio::stream::StreamExt;
use tokio::sync::mpsc::channel; use tokio::sync::mpsc::channel;
use tokio::sync::mpsc::{Receiver, Sender}; use tokio::sync::mpsc::{Receiver, Sender};
use tokio::sync::oneshot; use tokio::sync::oneshot;
@ -17,6 +16,7 @@ use crate::models::{
}; };
use crate::strategy::{FastOrderStrategy, OrderStrategy, PositionStrategy, TrailingStop}; use crate::strategy::{FastOrderStrategy, OrderStrategy, PositionStrategy, TrailingStop};
use crate::BoxError; use crate::BoxError;
use futures_util::StreamExt;
pub type OptionUpdate = (Option<Vec<Event>>, Option<Vec<Message>>); pub type OptionUpdate = (Option<Vec<Event>>, Option<Vec<Message>>);

View File

@ -72,7 +72,7 @@ impl TrailingStop {
const BREAK_EVEN_PERC: f64 = 0.1; const BREAK_EVEN_PERC: f64 = 0.1;
const MIN_PROFIT_PERC: f64 = TrailingStop::BREAK_EVEN_PERC + 0.2; const MIN_PROFIT_PERC: f64 = TrailingStop::BREAK_EVEN_PERC + 0.2;
const GOOD_PROFIT_PERC: f64 = TrailingStop::MIN_PROFIT_PERC * 2.5; const GOOD_PROFIT_PERC: f64 = TrailingStop::MIN_PROFIT_PERC * 2.5;
const MAX_LOSS_PERC: f64 = -2.25; const MAX_LOSS_PERC: f64 = -1.0;
pub fn new() -> Self { pub fn new() -> Self {
TrailingStop { TrailingStop {