stuff...

rustybot/Cargo.lock

@@ -1128,6 +1128,7 @@ version = "0.1.0"
 dependencies = [
  "async-trait",
  "bitfinex",
+ "byteorder",
  "chrono",
  "dyn-clone",
  "fern",

rustybot/Cargo.toml

@@ -17,3 +17,4 @@ dyn-clone = "1"
 log = "0.4"
 fern = {version = "0.6", features = ["colored"]}
 chrono = "0.4"
+byteorder = "1"

rustybot/src/connectors.rs

@@ -4,11 +4,11 @@ use std::sync::Arc;
 
 use async_trait::async_trait;
 use bitfinex::api::Bitfinex;
-use bitfinex::orders::{OrderForm, OrderMeta};
+use bitfinex::orders::{ActiveOrder, OrderMeta};
 use bitfinex::ticker::TradingPairTicker;
 
 use crate::currency::SymbolPair;
-use crate::models::{Order, OrderKind, Position, PositionState, PriceTicker};
+use crate::models::{ExecutedOrder, OrderForm, OrderKind, Position, PositionState, PriceTicker};
 use crate::BoxError;
 
 #[derive(Eq, PartialEq, Hash, Clone, Debug)]
@@ -50,18 +50,12 @@ impl Client {
         self.inner.current_prices(pair).await
     }
 
-    pub async fn active_orders(&self, pair: &SymbolPair) -> Result<Vec<Order>, BoxError> {
+    pub async fn active_orders(&self, pair: &SymbolPair) -> Result<Vec<ExecutedOrder>, BoxError> {
         self.inner.active_orders(pair).await
     }
 
-    pub async fn submit_order(
+    pub async fn submit_order(&self, order: OrderForm) -> Result<ExecutedOrder, BoxError> {
-        &self,
+        self.inner.submit_order(order).await
-        pair: &SymbolPair,
-        amount: f64,
-        price: f64,
-        kind: &OrderKind,
-    ) -> Result<(), BoxError> {
-        self.inner.submit_order(pair, amount, price, kind).await
     }
 }
 
@@ -70,14 +64,8 @@ pub trait Connector: Send + Sync {
     fn name(&self) -> String;
     async fn active_positions(&self, pair: &SymbolPair) -> Result<Option<Vec<Position>>, BoxError>;
     async fn current_prices(&self, pair: &SymbolPair) -> Result<TradingPairTicker, BoxError>;
-    async fn active_orders(&self, pair: &SymbolPair) -> Result<Vec<Order>, BoxError>;
+    async fn active_orders(&self, pair: &SymbolPair) -> Result<Vec<ExecutedOrder>, BoxError>;
-    async fn submit_order(
+    async fn submit_order(&self, order: OrderForm) -> Result<ExecutedOrder, BoxError>;
-        &self,
-        pair: &SymbolPair,
-        amount: f64,
-        price: f64,
-        kind: &OrderKind,
-    ) -> Result<(), BoxError>;
 }
 
 impl Debug for dyn Connector {
@@ -148,24 +136,28 @@ impl Connector for BitfinexConnector {
         Ok(ticker)
     }
 
-    async fn active_orders(&self, pair: &SymbolPair) -> Result<Vec<Order>, BoxError> {
+    async fn active_orders(&self, pair: &SymbolPair) -> Result<Vec<ExecutedOrder>, BoxError> {
         unimplemented!()
     }
 
-    async fn submit_order(
+    async fn submit_order(&self, order: OrderForm) -> Result<ExecutedOrder, BoxError> {
-        &self,
-        pair: &SymbolPair,
-        amount: f64,
-        price: f64,
-        kind: &OrderKind,
-    ) -> Result<(), BoxError> {
         let order_form = match &self.affiliate_code {
-            Some(affiliate_code) => OrderForm::new(pair.trading_repr(), price, amount, kind.into())
+            Some(affiliate_code) => bitfinex::orders::OrderForm::new(
+                order.pair().trading_repr(),
+                *order.price(),
+                *order.amount(),
+                order.kind().into(),
+            )
             .with_meta(OrderMeta::new(affiliate_code.clone())),
-            None => OrderForm::new(pair.trading_repr(), price, amount, kind.into()),
+            None => bitfinex::orders::OrderForm::new(
+                order.pair().trading_repr(),
+                *order.price(),
+                *order.amount(),
+                order.kind().into(),
+            ),
         };
 
-        Ok(self.bfx.orders.submit_order(&order_form).await?)
+        Ok(self.bfx.orders.submit_order(&order_form).await?.into())
     }
 }
 
@@ -216,6 +208,26 @@ impl From<&OrderKind> for bitfinex::orders::OrderKind {
     }
 }
 
+impl From<OrderKind> for bitfinex::orders::OrderKind {
+    fn from(o: OrderKind) -> Self {
+        match o {
+            OrderKind::Limit => Self::Limit,
+            OrderKind::ExchangeLimit => Self::ExchangeLimit,
+            OrderKind::Market => Self::Market,
+            OrderKind::ExchangeMarket => Self::ExchangeMarket,
+            OrderKind::Stop => Self::Stop,
+            OrderKind::ExchangeStop => Self::ExchangeStop,
+            OrderKind::StopLimit => Self::StopLimit,
+            OrderKind::ExchangeStopLimit => Self::ExchangeStopLimit,
+            OrderKind::TrailingStop => Self::TrailingStop,
+            OrderKind::Fok => Self::Fok,
+            OrderKind::ExchangeFok => Self::ExchangeFok,
+            OrderKind::Ioc => Self::Ioc,
+            OrderKind::ExchangeIoc => Self::ExchangeIoc,
+        }
+    }
+}
+
 impl From<TradingPairTicker> for PriceTicker {
     fn from(t: TradingPairTicker) -> Self {
         Self {
@@ -232,3 +244,29 @@ impl From<TradingPairTicker> for PriceTicker {
         }
     }
 }
+
+impl From<bitfinex::orders::ActiveOrder> for ExecutedOrder {
+    fn from(o: ActiveOrder) -> Self {
+        Self {
+            id: o.id,
+            group_id: o.group_id,
+            client_id: o.client_id,
+            symbol: o.symbol,
+            creation_timestamp: o.creation_timestamp,
+            update_timestamp: o.update_timestamp,
+            amount: o.amount,
+            amount_original: o.amount_original,
+            order_type: o.order_type,
+            previous_order_type: o.previous_order_type,
+            flags: o.flags,
+            order_status: o.order_status,
+            price: o.price,
+            price_avg: o.price_avg,
+            price_trailing: o.price_trailing,
+            price_aux_limit: o.price_aux_limit,
+            notify: o.notify,
+            hidden: o.hidden,
+            placed_id: o.placed_id,
+        }
+    }
+}

rustybot/src/events.rs

@@ -3,12 +3,12 @@ use std::future::Future;
 
 use tokio::task::JoinHandle;
 
-use crate::managers::PriceManager;
+use crate::managers::{OrderManager, PositionManager, PriceManager};
 use crate::models::{Position, PositionProfitState};
 
-#[derive(Copy, Clone, Debug, Eq, PartialEq, Hash)]
+#[derive(Clone, Debug, Hash, PartialEq, Eq)]
 pub enum SignalKind {
-    ClosePosition { position_id: u64 },
+    ClosePosition(Position),
     OpenPosition,
 }
 
@@ -74,18 +74,19 @@ impl Event {
     }
 }
 
-pub struct EventDispatcher {
+pub struct Dispatcher {
     event_handlers: HashMap<EventKind, Vec<Box<dyn Fn(&Event, &PriceManager) -> JoinHandle<()>>>>,
     profit_state_handlers:
         HashMap<PositionProfitState, Vec<Box<dyn Fn(&Position, &PriceManager) -> JoinHandle<()>>>>,
     signal_handlers: HashMap<SignalKind, Vec<Box<dyn Fn(&SignalKind) -> JoinHandle<()>>>>,
+
     on_any_event_handlers: Vec<Box<dyn Fn(&Event, &PriceManager) -> JoinHandle<()>>>,
     on_any_profit_state_handlers: Vec<Box<dyn Fn(&Position, &PriceManager) -> JoinHandle<()>>>,
 }
 
-impl EventDispatcher {
+impl Dispatcher {
     pub fn new() -> Self {
-        EventDispatcher {
+        Dispatcher {
             event_handlers: HashMap::new(),
             profit_state_handlers: HashMap::new(),
             signal_handlers: HashMap::new(),

rustybot/src/managers.rs

@@ -1,10 +1,14 @@
 use std::collections::HashMap;
+use std::ops::Neg;
+
+use bitfinex::ticker::TradingPairTicker;
+use log::error;
 
 use crate::connectors::{Client, ExchangeKind};
 use crate::currency::SymbolPair;
-use crate::events::{Event, SignalKind};
+use crate::events::{Dispatcher, Event, SignalKind};
-use crate::models::{Order, OrderForm, Position, PriceTicker};
+use crate::models::{ExecutedOrder, OrderForm, OrderKind, Position, PriceTicker};
-use crate::strategy::PositionStrategy;
+use crate::strategy::{FastOrderStrategy, OrderStrategy, PositionStrategy};
 use crate::BoxError;
 
 pub struct EventManager {
@@ -43,34 +47,6 @@ impl PriceManager {
         ))
     }
 
-    // pub fn add_position(&mut self, position: Position) {
-    //     let (new_position, events, signals) = {
-    //         match &self.strategy {
-    //             Some(strategy) => strategy.on_new_tick(&position, &self),
-    //             None => (position, vec![], vec![]),
-    //         }
-    //     };
-    //
-    //     self.positions
-    //         .entry(self.current_tick)
-    //         .or_default()
-    //         .push(new_position.clone());
-    //
-    //     // calling position state callbacks
-    //     self.dispatcher
-    //         .call_position_state_handlers(&new_position, &self);
-    //
-    //     // adding events and calling callbacks
-    //     for e in events {
-    //         self.add_event(e);
-    //     }
-    //
-    //     // adding signals to current tick vector
-    //     for s in signals {
-    //         self.add_signal(s);
-    //     }
-    // }
-
     // fn add_event(&mut self, event: Event) {
     //     self.events.push(event);
     //
@@ -190,7 +166,7 @@ impl PositionManager {
                             match &self.strategy {
                                 Some(strategy) => {
                                     let (pos, strategy_events, _) =
-                                        strategy.on_new_tick(&position, &self);
+                                        strategy.on_new_tick(position, &self);
 
                                     events.extend(strategy_events);
 
@@ -225,29 +201,81 @@ impl PositionManager {
 
         self.positions_history
             .get(&tick)
-            .filter(|x| x.position_id() == id)
+            .filter(|x| x.id() == id)
             .and_then(|x| Some(x))
     }
 }
 
 pub struct OrderManager {
+    tracked_positions: HashMap<u64, ExecutedOrder>,
     pair: SymbolPair,
-    open_orders: Vec<Order>,
+    open_orders: Vec<ExecutedOrder>,
     client: Client,
+    strategy: Box<dyn OrderStrategy>,
 }
 
 impl OrderManager {
-    pub fn new(pair: SymbolPair, client: Client) -> Self {
+    const UNDERCUT_PERC: f64 = 0.005;
+
+    pub fn new(pair: SymbolPair, client: Client, strategy: Box<dyn OrderStrategy>) -> Self {
         OrderManager {
             pair,
             open_orders: Vec::new(),
             client,
+            strategy,
+            tracked_positions: HashMap::new(),
         }
     }
 
+    pub async fn close_position(&mut self, position: &Position) -> Result<(), BoxError> {
+        // checking if the position has an open order.
+        // If so, the strategy method is called, otherwise we open
+        // an undercut limit order at the best current price.
+        match self.tracked_positions.get(&position.id()) {
+            Some(open_order) => self.strategy.on_position_close(open_order, &self),
+            None => {
+                let current_prices = self.client.current_prices(&self.pair).await?;
+                let closing_price = self.best_closing_price(&position, &current_prices)?;
+
+                // submitting order
+                let order_form = OrderForm::new(
+                    &self.pair,
+                    closing_price,
+                    position.amount().neg(),
+                    OrderKind::Limit,
+                );
+
+                match self.client.submit_order(order_form).await {
+                    Err(e) => error!("Could not submit order: {}", e),
+                    Ok(o) => {
+                        self.tracked_positions.insert(position.id(), o);
+                    }
+                };
+            }
+        }
+
+        Ok(())
+    }
+
     pub fn update(&self) -> Option<Vec<Event>> {
         unimplemented!()
     }
+
+    pub fn best_closing_price(
+        &self,
+        position: &Position,
+        price_ticker: &TradingPairTicker,
+    ) -> Result<f64, BoxError> {
+        let price = {
+            if position.is_short() {
+                price_ticker.ask
+            } else {
+                price_ticker.bid
+            }
+        };
+
+        Ok(price * (1.0 - OrderManager::UNDERCUT_PERC))
+    }
 }
 
 pub struct ExchangeManager {
@@ -255,6 +283,7 @@ pub struct ExchangeManager {
     price_managers: Vec<PriceManager>,
     order_managers: Vec<OrderManager>,
     position_managers: Vec<PositionManager>,
+    dispatcher: Dispatcher,
     client: Client,
 }
 
@@ -268,7 +297,11 @@ impl ExchangeManager {
 
         for p in pairs {
             position_managers.push(PositionManager::new(p.clone(), client.clone()));
-            order_managers.push(OrderManager::new(p.clone(), client.clone()));
+            order_managers.push(OrderManager::new(
+                p.clone(),
+                client.clone(),
+                Box::new(FastOrderStrategy {}),
+            ));
             price_managers.push(PriceManager::new(p.clone(), client.clone()));
         }
 
@@ -278,6 +311,7 @@ impl ExchangeManager {
             order_managers,
             price_managers,
             client,
+            dispatcher: Dispatcher::new(),
         }
     }
 

rustybot/src/models.rs

@@ -1,7 +1,10 @@
+use std::fmt::Display;
+
+use chrono::{DateTime, TimeZone};
+
 use crate::currency::SymbolPair;
 use crate::BoxError;
-use chrono::{DateTime, TimeZone};
+use std::hash::{Hash, Hasher};
-use std::fmt::Display;
 
 /***************
 * Prices
@@ -26,7 +29,7 @@ pub struct PriceTicker {
 ***************/
 
 #[derive(Clone, Debug)]
-pub struct Order {
+pub struct ExecutedOrder {
     pub id: i64,
     pub group_id: Option<i32>,
     pub client_id: i64,
@@ -48,7 +51,13 @@ pub struct Order {
     pub placed_id: Option<i32>,
 }
 
-#[derive(Copy, Clone, Debug)]
+impl Hash for ExecutedOrder {
+    fn hash<H: Hasher>(&self, state: &mut H) {
+        state.write(&self.id.to_le_bytes())
+    }
+}
+
+#[derive(Copy, Clone, Debug, Hash)]
 pub enum OrderKind {
     Limit,
     ExchangeLimit,
@@ -73,11 +82,11 @@ pub struct OrderForm {
     /// EXCHANGE FOK, IOC, EXCHANGE IOC
     kind: OrderKind,
     /// Symbol for desired pair
-    symbol: SymbolPair,
+    pair: SymbolPair,
     /// Price of order
-    price: String,
+    price: f64,
     /// Amount of order (positive for buy, negative for sell)
-    amount: String,
+    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.
@@ -91,12 +100,12 @@ pub struct OrderForm {
 }
 
 impl OrderForm {
-    pub fn new(symbol: &SymbolPair, price: f64, amount: f64, kind: OrderKind) -> Self {
+    pub fn new(pair: &SymbolPair, price: f64, amount: f64, kind: OrderKind) -> Self {
         OrderForm {
             kind,
-            symbol: symbol.clone(),
+            pair: pair.clone(),
-            price: price.to_string(),
+            price,
-            amount: amount.to_string(),
+            amount,
             leverage: None,
             price_trailing: None,
             price_aux_limit: None,
@@ -119,7 +128,7 @@ impl OrderForm {
         }
     }
 
-    pub fn price_aux_limit(mut self, limit: f64) -> Result<Self, BoxError> {
+    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());
@@ -136,13 +145,38 @@ impl OrderForm {
         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, PartialEq)]
+#[derive(Clone, Debug)]
 pub struct Position {
     pair: SymbolPair,
     state: PositionState,
@@ -219,7 +253,7 @@ impl Position {
     pub fn price_liq(&self) -> f64 {
         self.price_liq
     }
-    pub fn position_id(&self) -> u64 {
+    pub fn id(&self) -> u64 {
         self.position_id
     }
     pub fn profit_state(&self) -> Option<PositionProfitState> {
@@ -231,8 +265,27 @@ impl Position {
     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,

rustybot/src/strategy.rs

@@ -4,16 +4,20 @@ use std::fmt::{Debug, Formatter};
 use dyn_clone::DynClone;
 
 use crate::events::{Event, EventKind, EventMetadata, SignalKind};
-use crate::managers::PositionManager;
+use crate::managers::{OrderManager, PositionManager};
-use crate::models::{Position, PositionProfitState};
+use crate::models::{ExecutedOrder, OrderForm, Position, PositionProfitState};
+
+/***************
+* DEFINITIONS
+***************/
 
 pub trait PositionStrategy: DynClone {
     fn name(&self) -> String;
     fn on_new_tick(
         &self,
-        position: &Position,
+        position: Position,
         manager: &PositionManager,
-    ) -> (Position, Vec<Event>, Vec<SignalKind>);
+    ) -> (Position, Vec<Event>, Option<OrderForm>);
 }
 
 impl Debug for dyn PositionStrategy {
@@ -22,6 +26,27 @@ impl Debug for dyn PositionStrategy {
     }
 }
 
+pub trait OrderStrategy: DynClone {
+    /// The name of the strategy, used for debugging purposes
+    fn name(&self) -> String;
+    /// This method is called when the OrderManager checks the open orders on a new tick.
+    /// It should manage if some orders have to be closed or keep open.
+    fn on_update(&self);
+    /// This method is called when the OrderManager is requested to close
+    /// a position that has an open order associated to it.
+    fn on_position_close(&self, order: &ExecutedOrder, manager: &mut OrderManager);
+}
+
+impl Debug for dyn OrderStrategy {
+    fn fmt(&self, f: &mut Formatter<'_>) -> core::fmt::Result {
+        write!(f, "{}", self.name())
+    }
+}
+
+/***************
+* IMPLEMENTATIONS
+***************/
+
 #[derive(Clone, Debug)]
 pub struct TrailingStop {
     stop_percentages: HashMap<u64, f64>,
@@ -53,12 +78,13 @@ impl PositionStrategy for TrailingStop {
 
     fn on_new_tick(
         &self,
-        position: &Position,
+        position: Position,
         manager: &PositionManager,
-    ) -> (Position, Vec<Event>, Vec<SignalKind>) {
+    ) -> (Position, Vec<Event>, Option<OrderForm>) {
         let mut signals = vec![];
         let pl_perc = TrailingStop::net_pl_percentage(position.pl_perc(), TrailingStop::TAKER_FEE);
         let events = vec![];
+        let mut order = None;
 
         let state = {
             if pl_perc > TrailingStop::GOOD_PROFIT_PERC {
@@ -72,24 +98,22 @@ impl PositionStrategy for TrailingStop {
             } else if TrailingStop::MAX_LOSS_PERC < pl_perc && pl_perc < 0.0 {
                 PositionProfitState::Loss
             } else {
-                signals.push(SignalKind::ClosePosition {
+                signals.push(SignalKind::ClosePosition(position.clone()));
-                    position_id: position.position_id(),
-                });
                 PositionProfitState::Critical
             }
         };
 
-        let opt_pre_pw = manager.position_previous_tick(position.position_id(), None);
+        let opt_pre_pw = manager.position_previous_tick(position.id(), None);
-        let event_metadata = EventMetadata::new(Some(position.position_id()), None);
+        let event_metadata = EventMetadata::new(Some(position.id()), None);
         let new_position = position.clone().with_profit_state(Some(state));
 
         match opt_pre_pw {
             Some(prev) => {
                 if prev.profit_state() == Some(state) {
-                    return (new_position, events, signals);
+                    return (new_position, events, order);
                 }
             }
-            None => return (new_position, events, signals),
+            None => return (new_position, events, order),
         };
 
         let events = {
@@ -130,6 +154,23 @@ impl PositionStrategy for TrailingStop {
             events
         };
 
-        return (new_position, events, signals);
+        return (new_position, events, order);
+    }
+}
+
+#[derive(Clone, Debug)]
+pub struct FastOrderStrategy {}
+
+impl OrderStrategy for FastOrderStrategy {
+    fn name(&self) -> String {
+        "Fast order strategy".into()
+    }
+
+    fn on_update(&self) {
+        unimplemented!()
+    }
+
+    fn on_position_close(&self, order: &ExecutedOrder, manager: &mut OrderManager) {
+        unimplemented!()
     }
 }