Merge pull request #1699 from c9s/c9s/refactor-twap

REFACTOR: [twap] upgrade twap command and add optional order update rate limiter

pkg/cmd/execute_order.go

@@ -0,0 +1,221 @@
+package cmd
+
+import (
+	"context"
+	"fmt"
+	"os"
+	"os/signal"
+	"syscall"
+	"time"
+
+	"github.com/pkg/errors"
+	"github.com/sirupsen/logrus"
+	"github.com/spf13/cobra"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	_ "github.com/c9s/bbgo/pkg/twap"
+	"github.com/c9s/bbgo/pkg/types"
+	"github.com/c9s/bbgo/pkg/util"
+
+	"github.com/c9s/bbgo/pkg/twap/v2"
+)
+
+func init() {
+	executeOrderCmd.Flags().String("session", "", "the exchange session name for sync")
+	executeOrderCmd.Flags().String("symbol", "", "the trading pair, like btcusdt")
+	executeOrderCmd.Flags().String("side", "", "the trading side: buy or sell")
+	executeOrderCmd.Flags().String("target-quantity", "", "target quantity")
+	executeOrderCmd.Flags().String("slice-quantity", "", "slice quantity")
+	executeOrderCmd.Flags().String("stop-price", "0", "stop price")
+	executeOrderCmd.Flags().String("order-update-rate-limit", "1s", "order update rate limit, syntax: 1+1/1m")
+	executeOrderCmd.Flags().Duration("update-interval", time.Second*10, "order update time")
+	executeOrderCmd.Flags().Duration("delay-interval", time.Second*3, "order delay time after filled")
+	executeOrderCmd.Flags().Duration("deadline", 0, "deadline duration of the order execution, e.g. 1h")
+	executeOrderCmd.Flags().Int("price-ticks", 0, "the number of price tick for the jump spread, default to 0")
+	RootCmd.AddCommand(executeOrderCmd)
+}
+
+var executeOrderCmd = &cobra.Command{
+	Use:          "execute-order --session SESSION --symbol SYMBOL --side SIDE --target-quantity TOTAL_QUANTITY --slice-quantity SLICE_QUANTITY",
+	Short:        "execute buy/sell on the balance/position you have on specific symbol",
+	SilenceUsage: true,
+	PreRunE: cobraInitRequired([]string{
+		"symbol",
+		"side",
+		"target-quantity",
+		"slice-quantity",
+	}),
+	RunE: func(cmd *cobra.Command, args []string) error {
+		ctx := context.Background()
+
+		sessionName, err := cmd.Flags().GetString("session")
+		if err != nil {
+			return err
+		}
+
+		symbol, err := cmd.Flags().GetString("symbol")
+		if err != nil {
+			return fmt.Errorf("can not get the symbol from flags: %w", err)
+		}
+
+		if symbol == "" {
+			return fmt.Errorf("symbol not found")
+		}
+
+		sideS, err := cmd.Flags().GetString("side")
+		if err != nil {
+			return fmt.Errorf("can't get side: %w", err)
+		}
+
+		side, err := types.StrToSideType(sideS)
+		if err != nil {
+			return err
+		}
+
+		targetQuantityS, err := cmd.Flags().GetString("target-quantity")
+		if err != nil {
+			return err
+		}
+		if len(targetQuantityS) == 0 {
+			return errors.New("--target-quantity can not be empty")
+		}
+
+		targetQuantity, err := fixedpoint.NewFromString(targetQuantityS)
+		if err != nil {
+			return err
+		}
+
+		sliceQuantityS, err := cmd.Flags().GetString("slice-quantity")
+		if err != nil {
+			return err
+		}
+		if len(sliceQuantityS) == 0 {
+			return errors.New("--slice-quantity can not be empty")
+		}
+
+		sliceQuantity, err := fixedpoint.NewFromString(sliceQuantityS)
+		if err != nil {
+			return err
+		}
+
+		numOfPriceTicks, err := cmd.Flags().GetInt("price-ticks")
+		if err != nil {
+			return err
+		}
+
+		stopPriceS, err := cmd.Flags().GetString("stop-price")
+		if err != nil {
+			return err
+		}
+
+		stopPrice, err := fixedpoint.NewFromString(stopPriceS)
+		if err != nil {
+			return err
+		}
+
+		orderUpdateRateLimitStr, err := cmd.Flags().GetString("order-update-rate-limit")
+		if err != nil {
+			return err
+		}
+
+		updateInterval, err := cmd.Flags().GetDuration("update-interval")
+		if err != nil {
+			return err
+		}
+
+		delayInterval, err := cmd.Flags().GetDuration("delay-interval")
+		if err != nil {
+			return err
+		}
+
+		deadlineDuration, err := cmd.Flags().GetDuration("deadline")
+		if err != nil {
+			return err
+		}
+
+		var deadlineTime time.Time
+		if deadlineDuration > 0 {
+			deadlineTime = time.Now().Add(deadlineDuration)
+		}
+
+		environ := bbgo.NewEnvironment()
+		if err := environ.ConfigureExchangeSessions(userConfig); err != nil {
+			return err
+		}
+
+		if err := environ.Init(ctx); err != nil {
+			return err
+		}
+
+		session, ok := environ.Session(sessionName)
+		if !ok {
+			return fmt.Errorf("session %s not found", sessionName)
+		}
+
+		executionCtx, cancelExecution := context.WithCancel(ctx)
+		defer cancelExecution()
+
+		market, ok := session.Market(symbol)
+		if !ok {
+			return fmt.Errorf("market %s not found", symbol)
+		}
+
+		executor := twap.NewFixedQuantityExecutor(session.Exchange, symbol, market, side, targetQuantity, sliceQuantity)
+
+		if updateInterval > 0 {
+			executor.SetUpdateInterval(updateInterval)
+		}
+
+		if len(orderUpdateRateLimitStr) > 0 {
+			rateLimit, err := util.ParseRateLimitSyntax(orderUpdateRateLimitStr)
+			if err != nil {
+				return err
+			}
+
+			executor.SetOrderUpdateRateLimit(rateLimit)
+		}
+
+		if delayInterval > 0 {
+			executor.SetDelayInterval(delayInterval)
+		}
+
+		if stopPrice.Sign() > 0 {
+			executor.SetStopPrice(stopPrice)
+		}
+
+		// NumOfTicks:     numOfPriceTicks,
+		if !deadlineTime.IsZero() {
+			executor.SetDeadlineTime(deadlineTime)
+		}
+
+		if numOfPriceTicks > 0 {
+			executor.SetNumOfTicks(numOfPriceTicks)
+		}
+
+		if err := executor.Start(executionCtx); err != nil {
+			return err
+		}
+
+		var sigC = make(chan os.Signal, 1)
+		signal.Notify(sigC, syscall.SIGINT, syscall.SIGTERM)
+		defer signal.Stop(sigC)
+
+		select {
+		case <-ctx.Done():
+
+		case sig := <-sigC:
+			logrus.Warnf("signal %v", sig)
+			logrus.Infof("shutting down order executor...")
+			shutdownCtx, cancelShutdown := context.WithDeadline(ctx, time.Now().Add(10*time.Second))
+			executor.Shutdown(shutdownCtx)
+			cancelShutdown()
+
+		case <-executor.Done():
+			logrus.Infof("the order execution is completed")
+
+		}
+
+		return nil
+	},
+}