rust #10

Merged
peperunas merged 127 commits from rust into master 2021-02-18 09:42:16 +00:00
2 changed files with 36 additions and 69 deletions
Showing only changes of commit 7f848223b9 - Show all commits

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@ -16,7 +16,7 @@ use crate::events::{ActorMessage, Event, Message};
use crate::models::{
ActiveOrder, OrderBook, OrderForm, OrderKind, Position, PriceTicker, TradingPlatform,
};
use crate::strategy::{FastOrderStrategy, OrderStrategy, PositionStrategy, TrailingStop};
use crate::strategy::{HiddenTrailingStop, MarketEnforce, OrderStrategy, PositionStrategy};
use crate::BoxError;
pub type OptionUpdate = (Option<Vec<Event>>, Option<Vec<Message>>);
@ -534,12 +534,12 @@ impl PairManager {
order_manager: OrderManagerHandle::new(
pair.clone(),
client.clone(),
Box::new(FastOrderStrategy::default()),
Box::new(MarketEnforce::default()),
),
position_manager: PositionManagerHandle::new(
pair,
client,
Box::new(TrailingStop::new()),
Box::new(HiddenTrailingStop::new()),
),
}
}

View File

@ -67,15 +67,15 @@ impl Debug for dyn OrderStrategy {
***************/
#[derive(Clone, Debug)]
pub struct TrailingStop {
pub struct HiddenTrailingStop {
stop_percentages: HashMap<u64, f64>,
}
impl TrailingStop {
impl HiddenTrailingStop {
// in percentage
const CAPITAL_MAX_LOSS: f64 = 17.5;
const CAPITAL_MIN_PROFIT: f64 = 10.0;
const CAPITAL_GOOD_PROFIT: f64 = 20.0;
const CAPITAL_MAX_LOSS: f64 = 15.0;
const CAPITAL_MIN_PROFIT: f64 = 9.0;
const CAPITAL_GOOD_PROFIT: f64 = HiddenTrailingStop::CAPITAL_MIN_PROFIT * 2.0;
// in percentage
const MIN_PROFIT_TRAILING_DELTA: f64 = 0.2;
@ -83,14 +83,17 @@ impl TrailingStop {
const LEVERAGE: f64 = 15.0;
const MIN_PROFIT_PERC: f64 = (TrailingStop::CAPITAL_MIN_PROFIT / TrailingStop::LEVERAGE)
+ TrailingStop::MIN_PROFIT_TRAILING_DELTA;
const GOOD_PROFIT_PERC: f64 = (TrailingStop::CAPITAL_GOOD_PROFIT / TrailingStop::LEVERAGE)
+ TrailingStop::GOOD_PROFIT_TRAILING_DELTA;
const MAX_LOSS_PERC: f64 = -(TrailingStop::CAPITAL_MAX_LOSS / TrailingStop::LEVERAGE);
const MIN_PROFIT_PERC: f64 = (HiddenTrailingStop::CAPITAL_MIN_PROFIT
/ HiddenTrailingStop::LEVERAGE)
+ HiddenTrailingStop::MIN_PROFIT_TRAILING_DELTA;
const GOOD_PROFIT_PERC: f64 = (HiddenTrailingStop::CAPITAL_GOOD_PROFIT
/ HiddenTrailingStop::LEVERAGE)
+ HiddenTrailingStop::GOOD_PROFIT_TRAILING_DELTA;
const MAX_LOSS_PERC: f64 =
-(HiddenTrailingStop::CAPITAL_MAX_LOSS / HiddenTrailingStop::LEVERAGE);
pub fn new() -> Self {
TrailingStop {
HiddenTrailingStop {
stop_percentages: HashMap::new(),
}
}
@ -98,8 +101,10 @@ impl TrailingStop {
fn update_stop_percentage(&mut self, position: &Position) {
if let Some(profit_state) = position.profit_state() {
let profit_state_delta = match profit_state {
PositionProfitState::MinimumProfit => Some(TrailingStop::MIN_PROFIT_TRAILING_DELTA),
PositionProfitState::Profit => Some(TrailingStop::GOOD_PROFIT_TRAILING_DELTA),
PositionProfitState::MinimumProfit => {
Some(HiddenTrailingStop::MIN_PROFIT_TRAILING_DELTA)
}
PositionProfitState::Profit => Some(HiddenTrailingStop::GOOD_PROFIT_TRAILING_DELTA),
_ => None,
};
@ -125,8 +130,10 @@ impl TrailingStop {
}
}
info!(
"\tState: {:?} | PL%: {:0.2} | Stop: {:0.2}",
"\tState: {:?} | PL: {:0.2}{} ({:0.2}%) | Stop: {:0.2}",
position.profit_state().unwrap(),
position.pl(),
position.pair().quote(),
position.pl_perc(),
self.stop_percentages.get(&position.id()).unwrap_or(&0.0)
);
@ -134,9 +141,9 @@ impl TrailingStop {
}
}
impl PositionStrategy for TrailingStop {
impl PositionStrategy for HiddenTrailingStop {
fn name(&self) -> String {
"Trailing stop".into()
"Hidden Trailing Stop".into()
}
/// Sets the profit state of an open position
@ -149,15 +156,15 @@ impl PositionStrategy for TrailingStop {
let pl_perc = position.pl_perc();
let state = {
if pl_perc > TrailingStop::GOOD_PROFIT_PERC {
if pl_perc > HiddenTrailingStop::GOOD_PROFIT_PERC {
PositionProfitState::Profit
} else if TrailingStop::MIN_PROFIT_PERC <= pl_perc
&& pl_perc < TrailingStop::GOOD_PROFIT_PERC
} else if HiddenTrailingStop::MIN_PROFIT_PERC <= pl_perc
&& pl_perc < HiddenTrailingStop::GOOD_PROFIT_PERC
{
PositionProfitState::MinimumProfit
} else if (0.0..TrailingStop::MIN_PROFIT_PERC).contains(&pl_perc) {
} else if (0.0..HiddenTrailingStop::MIN_PROFIT_PERC).contains(&pl_perc) {
PositionProfitState::BreakEven
} else if (TrailingStop::MAX_LOSS_PERC..0.0).contains(&pl_perc) {
} else if (HiddenTrailingStop::MAX_LOSS_PERC..0.0).contains(&pl_perc) {
PositionProfitState::Loss
} else {
PositionProfitState::Critical
@ -249,21 +256,21 @@ impl PositionStrategy for TrailingStop {
}
#[derive(Clone, Debug)]
pub struct FastOrderStrategy {
pub struct MarketEnforce {
// threshold (%) for which we trigger a market order
// to close an open position
threshold: f64,
}
impl Default for FastOrderStrategy {
impl Default for MarketEnforce {
fn default() -> Self {
Self { threshold: 0.15 }
}
}
impl OrderStrategy for FastOrderStrategy {
impl OrderStrategy for MarketEnforce {
fn name(&self) -> String {
"Fast order strategy".into()
"Market Enforce".into()
}
fn on_open_order(
@ -294,7 +301,7 @@ impl OrderStrategy for FastOrderStrategy {
messages.push(Message::SubmitOrder {
order: OrderForm::new(
order.symbol.clone(),
OrderKind::Market {},
OrderKind::Market,
*order.details.platform(),
order.details.amount(),
),
@ -303,44 +310,4 @@ impl OrderStrategy for FastOrderStrategy {
Ok((None, (!messages.is_empty()).then_some(messages)))
}
// fn on_position_order(
// &self,
// order: &ActiveOrder,
// _: &Position,
// order_book: &OrderBook,
// ) -> Result<OptionUpdate, BoxError> {
// let mut messages = vec![];
//
// // long
// let offer_comparison = {
// if order.current_form.amount() > 0.0 {
// order_book.highest_bid()
// } else {
// order_book.lowest_ask()
// }
// };
//
// // if the best offer is higher than our threshold,
// // ask the manager to close the position with a market order
// let order_price = order
// .current_form
// .price()
// .ok_or("The active order does not have a price!")?;
// let delta = (1.0 - (offer_comparison / order_price)).abs() * 100.0;
//
// if delta > self.threshold {
// messages.push(Message::SubmitOrder {
// order: OrderForm::new(
// order.symbol.clone(),
// OrderKind::Market {
// amount: order.current_form.amount(),
// },
// order.current_form.platform().clone(),
// ),
// })
// }
//
// Ok((None, (!messages.is_empty()).then_some(messages)))
// }
}