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rust #10

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peperunas merged 127 commits from rust into master 2021-02-18 09:42:16 +00:00
Conversation 0 Commits 127 Files Changed 60 +208 -162
3 changed files with 208 additions and 162 deletions
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241
rustybot/src/events.rs
View File

@ -3,17 +3,24 @@ use std::future::Future;
use tokio::task::JoinHandle;
use crate::managers::{OrderManager, PositionManager, PriceManager};
use crate::managers::{OptionUpdate, OrderManager, PositionManager, PriceManager};
use crate::models::{Position, PositionProfitState};
use tokio::sync::oneshot;
#[derive(Clone, Debug, Hash, PartialEq, Eq)]
pub enum SignalKind {
Update(u64),
ClosePosition(Position),
#[derive(Debug)]
pub struct ActorMessage {
pub(crate) message: Message,
pub(crate) respond_to: oneshot::Sender<OptionUpdate>,
}
#[derive(Debug)]
pub enum Message {
Update { tick: u64 },
ClosePosition { position: Position },
OpenPosition,
}
#[derive(Copy, Clone, Debug)]
#[derive(Copy, Clone, Debug, Eq, PartialEq, Hash)]
pub struct EventMetadata {
position_id: Option<u64>,
order_id: Option<u64>,
@ -44,7 +51,7 @@ pub enum EventKind {
Any,
}
#[derive(Copy, Clone, Debug)]
#[derive(Copy, Clone, Debug, Eq, PartialEq, Hash)]
pub struct Event {
kind: EventKind,
tick: u64,
@ -74,113 +81,113 @@ impl Event {
self.metadata
}
}
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 Dispatcher {
pub fn new() -> Self {
Dispatcher {
event_handlers: HashMap::new(),
profit_state_handlers: HashMap::new(),
signal_handlers: HashMap::new(),
on_any_event_handlers: Vec::new(),
on_any_profit_state_handlers: Vec::new(),
}
}
pub fn call_signal_handlers(&self, signal: &SignalKind) {
if let Some(functions) = self.signal_handlers.get(&signal) {
for f in functions {
f(signal);
}
}
}
pub fn call_event_handlers(&self, event: &Event, status: &PriceManager) {
if let Some(functions) = self.event_handlers.get(&event.kind()) {
for f in functions {
f(event, status);
}
}
for f in &self.on_any_event_handlers {
f(event, status);
}
}
pub fn call_position_state_handlers(&self, position: &Position, status: &PriceManager) {
if let Some(profit_state) = &position.profit_state() {
if let Some(functions) = self.profit_state_handlers.get(profit_state) {
for f in functions {
f(position, status);
}
}
}
for f in &self.on_any_profit_state_handlers {
f(position, status);
}
}
pub fn register_event_handler<F: 'static, Fut: 'static>(&mut self, event: EventKind, f: F)
where
F: Fn(&Event, &PriceManager) -> Fut,
Fut: Future<Output = ()> + Send,
{
match event {
EventKind::Any => self
.on_any_event_handlers
.push(Box::new(move |e, s| tokio::spawn(f(&e, s)))),
_ => self
.event_handlers
.entry(event)
.or_default()
.push(Box::new(move |e, s| tokio::spawn(f(&e, s)))),
}
}
pub fn register_positionstate_handler<F: 'static, Fut: 'static>(
&mut self,
state: PositionProfitState,
f: F,
) where
F: Fn(&Position, &PriceManager) -> Fut,
Fut: Future<Output = ()> + Send,
{
match state {
// PositionProfitState::Any => self
// .on_any_position_state_handlers
// .push(Box::new(move |p, s| tokio::spawn(f(&p, s)))),
_ => self
.profit_state_handlers
.entry(state)
.or_default()
.push(Box::new(move |p, s| tokio::spawn(f(&p, s)))),
}
}
pub fn register_signal_handler<F: 'static, Fut: 'static>(&mut self, signal: SignalKind, f: F)
where
F: Fn(&SignalKind) -> Fut,
Fut: Future<Output = ()> + Send,
{
match signal {
// PositionProfitState::Any => self
// .on_any_position_state_handlers
// .push(Box::new(move |p, s| tokio::spawn(f(&p, s)))),
_ => self
.signal_handlers
.entry(signal)
.or_default()
.push(Box::new(move |s| tokio::spawn(f(s)))),
}
}
}
//
// 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 Dispatcher {
// pub fn new() -> Self {
// Dispatcher {
// event_handlers: HashMap::new(),
// profit_state_handlers: HashMap::new(),
// signal_handlers: HashMap::new(),
// on_any_event_handlers: Vec::new(),
// on_any_profit_state_handlers: Vec::new(),
// }
// }
//
// pub fn call_signal_handlers(&self, signal: &SignalKind) {
// if let Some(functions) = self.signal_handlers.get(&signal) {
// for f in functions {
// f(signal);
// }
// }
// }
//
// pub fn call_event_handlers(&self, event: &Event, status: &PriceManager) {
// if let Some(functions) = self.event_handlers.get(&event.kind()) {
// for f in functions {
// f(event, status);
// }
// }
//
// for f in &self.on_any_event_handlers {
// f(event, status);
// }
// }
//
// pub fn call_position_state_handlers(&self, position: &Position, status: &PriceManager) {
// if let Some(profit_state) = &position.profit_state() {
// if let Some(functions) = self.profit_state_handlers.get(profit_state) {
// for f in functions {
// f(position, status);
// }
// }
// }
//
// for f in &self.on_any_profit_state_handlers {
// f(position, status);
// }
// }
//
// pub fn register_event_handler<F: 'static, Fut: 'static>(&mut self, event: EventKind, f: F)
// where
// F: Fn(&Event, &PriceManager) -> Fut,
// Fut: Future<Output = ()> + Send,
// {
// match event {
// EventKind::Any => self
// .on_any_event_handlers
// .push(Box::new(move |e, s| tokio::spawn(f(&e, s)))),
// _ => self
// .event_handlers
// .entry(event)
// .or_default()
// .push(Box::new(move |e, s| tokio::spawn(f(&e, s)))),
// }
// }
//
// pub fn register_positionstate_handler<F: 'static, Fut: 'static>(
// &mut self,
// state: PositionProfitState,
// f: F,
// ) where
// F: Fn(&Position, &PriceManager) -> Fut,
// Fut: Future<Output = ()> + Send,
// {
// match state {
// // PositionProfitState::Any => self
// // .on_any_position_state_handlers
// // .push(Box::new(move |p, s| tokio::spawn(f(&p, s)))),
// _ => self
// .profit_state_handlers
// .entry(state)
// .or_default()
// .push(Box::new(move |p, s| tokio::spawn(f(&p, s)))),
// }
// }
//
// pub fn register_signal_handler<F: 'static, Fut: 'static>(&mut self, signal: SignalKind, f: F)
// where
// F: Fn(&SignalKind) -> Fut,
// Fut: Future<Output = ()> + Send,
// {
// match signal {
// // PositionProfitState::Any => self
// // .on_any_position_state_handlers
// // .push(Box::new(move |p, s| tokio::spawn(f(&p, s)))),
// _ => self
// .signal_handlers
// .entry(signal)
// .or_default()
// .push(Box::new(move |s| tokio::spawn(f(s)))),
// }
// }
// }

118
rustybot/src/managers.rs
View File

@ -8,15 +8,16 @@ use log::{debug, error, info};
use tokio::signal::unix::Signal;
use tokio::sync::mpsc::channel;
use tokio::sync::mpsc::{Receiver, Sender};
use tokio::sync::oneshot;
use crate::connectors::{Client, ExchangeKind};
use crate::currency::SymbolPair;
use crate::events::{Dispatcher, Event, SignalKind};
use crate::events::{ActorMessage, Event, Message};
use crate::models::{ExecutedOrder, OrderForm, OrderKind, Position, PriceTicker};
use crate::strategy::{FastOrderStrategy, OrderStrategy, PositionStrategy, TrailingStop};
use crate::BoxError;
type OptionUpdate = (Option<Vec<Event>>, Option<Vec<SignalKind>>);
pub type OptionUpdate = (Option<Vec<Event>>, Option<Vec<Message>>);
pub struct EventManager {
events: Vec<Event>,
@ -28,14 +29,14 @@ pub struct EventManager {
#[derive(Debug)]
pub struct PriceManager {
receiver: Receiver<SignalKind>,
receiver: Receiver<ActorMessage>,
pair: SymbolPair,
prices: Vec<PriceEntry>,
client: Client,
}
pub struct PriceManagerHandle {
sender: Sender<SignalKind>,
sender: Sender<ActorMessage>,
}
impl PriceManagerHandle {
@ -54,13 +55,22 @@ impl PriceManagerHandle {
Self { sender }
}
pub async fn update(&mut self, tick: u64) {
self.sender.send(SignalKind::Update(tick)).await.unwrap();
pub async fn update(&mut self, tick: u64) -> Result<OptionUpdate, BoxError> {
let (send, recv) = oneshot::channel();
self.sender
.send(ActorMessage {
message: Message::Update { tick },
respond_to: send,
})
.await?;
Ok(recv.await?)
}
}
impl PriceManager {
pub fn new(receiver: Receiver<SignalKind>, pair: SymbolPair, client: Client) -> Self {
pub fn new(receiver: Receiver<ActorMessage>, pair: SymbolPair, client: Client) -> Self {
PriceManager {
receiver,
pair,
@ -69,9 +79,9 @@ impl PriceManager {
}
}
pub async fn handle_message(&mut self, message: SignalKind) -> Result<(), BoxError> {
match message {
SignalKind::Update(tick) => {
pub async fn handle_message(&mut self, message: ActorMessage) -> Result<(), BoxError> {
match message.message {
Message::Update { tick } => {
let a = self.update(tick).await?;
self.add_entry(a);
}
@ -93,7 +103,7 @@ impl PriceManager {
current_prices,
self.pair.clone(),
None,
None,
// None,
))
}
@ -118,7 +128,7 @@ pub struct PriceEntry {
pair: SymbolPair,
price: PriceTicker,
events: Option<Vec<Event>>,
signals: Option<Vec<SignalKind>>,
// signals: Option<Vec<SignalKind>>,
}
impl PriceEntry {
@ -127,14 +137,14 @@ impl PriceEntry {
price: PriceTicker,
pair: SymbolPair,
events: Option<Vec<Event>>,
signals: Option<Vec<SignalKind>>,
// signals: Option<Vec<SignalKind>>,
) -> Self {
PriceEntry {
tick,
pair,
price,
events,
signals,
// signals,
}
}
@ -150,9 +160,9 @@ impl PriceEntry {
pub fn events(&self) -> &Option<Vec<Event>> {
&self.events
}
pub fn signals(&self) -> &Option<Vec<SignalKind>> {
&self.signals
}
// pub fn signals(&self) -> &Option<Vec<SignalKind>> {
// &self.signals
// }
}
/******************
@ -160,7 +170,7 @@ impl PriceEntry {
******************/
pub struct PositionManagerHandle {
sender: Sender<SignalKind>,
sender: Sender<ActorMessage>,
}
impl PositionManagerHandle {
@ -180,14 +190,23 @@ impl PositionManagerHandle {
Self { sender }
}
pub async fn update(&mut self, tick: u64) {
self.sender.send(SignalKind::Update(tick)).await.unwrap();
pub async fn update(&mut self, tick: u64) -> Result<OptionUpdate, BoxError> {
let (send, recv) = oneshot::channel();
self.sender
.send(ActorMessage {
message: Message::Update { tick },
respond_to: send,
})
.await?;
Ok(recv.await?)
}
}
#[derive(Debug)]
pub struct PositionManager {
receiver: Receiver<SignalKind>,
receiver: Receiver<ActorMessage>,
current_tick: u64,
pair: SymbolPair,
positions_history: HashMap<u64, Position>,
@ -198,7 +217,7 @@ pub struct PositionManager {
impl PositionManager {
pub fn new(
receiver: Receiver<SignalKind>,
receiver: Receiver<ActorMessage>,
pair: SymbolPair,
client: Client,
strategy: Box<dyn PositionStrategy>,
@ -218,10 +237,12 @@ impl PositionManager {
self.current_tick
}
pub async fn handle_message(&mut self, msg: SignalKind) -> Result<(), BoxError> {
match msg {
SignalKind::Update(tick) => {
self.update(tick).await?;
pub async fn handle_message(&mut self, msg: ActorMessage) -> Result<(), BoxError> {
match msg.message {
Message::Update { tick } => {
let result = self.update(tick).await?;
msg.respond_to.send(result);
}
_ => {}
};
@ -296,7 +317,7 @@ impl PositionManager {
pub type TrackedPositionsMap = HashMap<u64, ExecutedOrder>;
pub struct OrderManagerHandle {
sender: Sender<SignalKind>,
sender: Sender<ActorMessage>,
}
impl OrderManagerHandle {
@ -316,20 +337,35 @@ impl OrderManagerHandle {
Self { sender }
}
pub async fn update(&mut self, tick: u64) {
self.sender.send(SignalKind::Update(tick)).await.unwrap();
pub async fn update(&mut self, tick: u64) -> Result<OptionUpdate, BoxError> {
let (send, recv) = oneshot::channel();
self.sender
.send(ActorMessage {
message: Message::Update { tick },
respond_to: send,
})
.await?;
Ok(recv.await?)
}
pub async fn close_position(&mut self, position: Position) {
pub async fn close_position(&mut self, position: Position) -> Result<OptionUpdate, BoxError> {
let (send, recv) = oneshot::channel();
self.sender
.send(SignalKind::ClosePosition(position))
.await
.unwrap();
.send(ActorMessage {
message: Message::ClosePosition { position },
respond_to: send,
})
.await?;
Ok(recv.await?)
}
}
pub struct OrderManager {
receiver: Receiver<SignalKind>,
receiver: Receiver<ActorMessage>,
tracked_positions: TrackedPositionsMap,
pair: SymbolPair,
open_orders: Vec<ExecutedOrder>,
@ -341,7 +377,7 @@ impl OrderManager {
const UNDERCUT_PERC: f64 = 0.005;
pub fn new(
receiver: Receiver<SignalKind>,
receiver: Receiver<ActorMessage>,
pair: SymbolPair,
client: Client,
strategy: Box<dyn OrderStrategy>,
@ -356,12 +392,12 @@ impl OrderManager {
}
}
pub async fn handle_message(&mut self, msg: SignalKind) -> Result<(), BoxError> {
match msg {
SignalKind::Update(_) => {
pub async fn handle_message(&mut self, msg: ActorMessage) -> Result<(), BoxError> {
match msg.message {
Message::Update { .. } => {
self.update();
}
SignalKind::ClosePosition(position) => self.close_position(&position).await?,
Message::ClosePosition { position, .. } => self.close_position(&position).await?,
_ => {}
};
@ -438,7 +474,7 @@ pub struct PairManager {
price_manager: PriceManagerHandle,
order_manager: OrderManagerHandle,
position_manager: PositionManagerHandle,
dispatcher: Dispatcher,
// dispatcher: Dispatcher,
}
impl PairManager {
@ -456,7 +492,7 @@ impl PairManager {
client.clone(),
Box::new(TrailingStop::new()),
),
dispatcher: Dispatcher::new(),
// dispatcher: Dispatcher::new(),
}
}
}

11
rustybot/src/strategy.rs
View File

@ -3,9 +3,10 @@ use std::fmt::{Debug, Formatter};
use dyn_clone::DynClone;
use crate::events::{Event, EventKind, EventMetadata, SignalKind};
use crate::events::{Event, EventKind, EventMetadata, Message};
use crate::managers::{OrderManager, PositionManager, TrackedPositionsMap};
use crate::models::{ExecutedOrder, OrderForm, Position, PositionProfitState};
use tokio::sync::oneshot;
/***************
* DEFINITIONS
@ -17,7 +18,7 @@ pub trait PositionStrategy: DynClone + Send {
&self,
position: Position,
manager: &PositionManager,
) -> (Position, Option<Vec<Event>>, Option<Vec<SignalKind>>);
) -> (Position, Option<Vec<Event>>, Option<Vec<Message>>);
}
impl Debug for dyn PositionStrategy {
@ -84,7 +85,7 @@ impl PositionStrategy for TrailingStop {
&self,
position: Position,
manager: &PositionManager,
) -> (Position, Option<Vec<Event>>, Option<Vec<SignalKind>>) {
) -> (Position, Option<Vec<Event>>, Option<Vec<Message>>) {
let mut signals = vec![];
let events = vec![];
@ -102,7 +103,9 @@ impl PositionStrategy for TrailingStop {
} else if TrailingStop::MAX_LOSS_PERC < pl_perc && pl_perc < 0.0 {
PositionProfitState::Loss
} else {
signals.push(SignalKind::ClosePosition(position.clone()));
signals.push(Message::ClosePosition {
position: position.clone(),
});
PositionProfitState::Critical
}
};