core/rustybot/src/strategy.rs

use std::collections::HashMap;
use std::fmt::{Debug, Formatter};

use dyn_clone::DynClone;
use log::{debug, info};
use tokio::sync::oneshot;

use crate::events::{Event, EventKind, EventMetadata, Message};
use crate::managers::{OrderManager, PositionManager, TrackedPositionsMap};
use crate::models::{
    ActiveOrder, OrderBook, OrderBookEntry, OrderForm, OrderKind, Position, PositionProfitState,
};
use crate::BoxError;

/***************
* DEFINITIONS
***************/

pub trait PositionStrategy: DynClone + Send {
    fn name(&self) -> String;
    fn on_new_tick(
        &self,
        position: Position,
        manager: &PositionManager,
    ) -> (Position, Option<Vec<Event>>, Option<Vec<Message>>);
}

impl Debug for dyn PositionStrategy {
    fn fmt(&self, f: &mut Formatter<'_>) -> core::fmt::Result {
        write!(f, "{}", self.name())
    }
}

pub trait OrderStrategy: DynClone + Send {
    /// 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: &ActiveOrder,
        open_position: &Position,
        order_book: &OrderBook,
    ) -> Result<(Option<Vec<Event>>, Option<Vec<Message>>), BoxError>;
}

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>,
}

impl TrailingStop {
    const BREAK_EVEN_PERC: f64 = 0.2;
    const MIN_PROFIT_PERC: f64 = TrailingStop::BREAK_EVEN_PERC + 0.3;
    const GOOD_PROFIT_PERC: f64 = TrailingStop::MIN_PROFIT_PERC * 2.5;
    const MAX_LOSS_PERC: f64 = -0.01;

    const TAKER_FEE: f64 = 0.2;

    pub fn new() -> Self {
        TrailingStop {
            stop_percentages: HashMap::new(),
        }
    }

    fn net_pl_percentage(pl: f64, fee: f64) -> f64 {
        pl - fee
    }
}

impl PositionStrategy for TrailingStop {
    fn name(&self) -> String {
        "Trailing stop".into()
    }

    fn on_new_tick(
        &self,
        position: Position,
        manager: &PositionManager,
    ) -> (Position, Option<Vec<Event>>, Option<Vec<Message>>) {
        let mut messages = vec![];
        let events = vec![];

        let pl_perc = TrailingStop::net_pl_percentage(position.pl_perc(), TrailingStop::TAKER_FEE);

        let state = {
            if pl_perc > TrailingStop::GOOD_PROFIT_PERC {
                PositionProfitState::Profit
            } else if TrailingStop::MIN_PROFIT_PERC <= pl_perc
                && pl_perc < TrailingStop::GOOD_PROFIT_PERC
            {
                PositionProfitState::MinimumProfit
            } else if 0.0 <= pl_perc && pl_perc < TrailingStop::MIN_PROFIT_PERC {
                PositionProfitState::BreakEven
            } else if TrailingStop::MAX_LOSS_PERC < pl_perc && pl_perc < 0.0 {
                PositionProfitState::Loss
            } else {
                debug!("Inserting close position message...");
                messages.push(Message::ClosePosition {
                    position: position.clone(),
                    order_kind: OrderKind::Limit,
                });
                PositionProfitState::Critical
            }
        };

        let opt_pre_pw = manager.position_previous_tick(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.is_empty()).then_some(events),
                        (!messages.is_empty()).then_some(messages),
                    );
                }
            }
            None => {
                return (
                    new_position,
                    (!events.is_empty()).then_some(events),
                    (!messages.is_empty()).then_some(messages),
                )
            }
        };

        let events = {
            let mut events = vec![];

            if state == PositionProfitState::Profit {
                events.push(Event::new(
                    EventKind::ReachedGoodProfit,
                    manager.current_tick(),
                    Some(event_metadata),
                ));
            } else if state == PositionProfitState::MinimumProfit {
                events.push(Event::new(
                    EventKind::ReachedMinProfit,
                    manager.current_tick(),
                    Some(event_metadata),
                ));
            } else if state == PositionProfitState::BreakEven {
                events.push(Event::new(
                    EventKind::ReachedBreakEven,
                    manager.current_tick(),
                    Some(event_metadata),
                ));
            } else if state == PositionProfitState::Loss {
                events.push(Event::new(
                    EventKind::ReachedLoss,
                    manager.current_tick(),
                    Some(event_metadata),
                ));
            } else {
                events.push(Event::new(
                    EventKind::ReachedMaxLoss,
                    manager.current_tick(),
                    Some(event_metadata),
                ));
            }

            events
        };

        return (
            new_position,
            (!events.is_empty()).then_some(events),
            (!messages.is_empty()).then_some(messages),
        );
    }
}

#[derive(Clone, Debug)]
pub struct FastOrderStrategy {
    // threshold (%) for which we trigger a market order
    // to close an open position
    threshold: f64,
}

impl Default for FastOrderStrategy {
    fn default() -> Self {
        Self { threshold: 0.2 }
    }
}

impl FastOrderStrategy {
    pub fn new(threshold: f64) -> Self {
        Self { threshold }
    }
}

impl OrderStrategy for FastOrderStrategy {
    fn name(&self) -> String {
        "Fast order strategy".into()
    }

    fn on_update(&self) {
        unimplemented!()
    }

    fn on_position_close(
        &self,
        order: &ActiveOrder,
        active_position: &Position,
        order_book: &OrderBook,
    ) -> Result<(Option<Vec<Event>>, Option<Vec<Message>>), BoxError> {
        let mut messages = vec![];

        // long
        let offer_comparison = {
            if order.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 delta = (1.0 - (offer_comparison / order.price)) * 100.0;

        debug!(
            "Offer comp: {} | Our offer: {} | Current delta: {}",
            offer_comparison, order.price, delta
        );

        if delta > self.threshold {
            messages.push(Message::ClosePosition {
                position: active_position.clone(),
                order_kind: OrderKind::Market,
            })
        }

        Ok((None, (!messages.is_empty()).then_some(messages)))
    }
}