FEATURE: redesign and refactor twap order executor

pkg/bbgo/order_executor_general.go

@@ -27,7 +27,9 @@ var quantityReduceDelta = fixedpoint.NewFromFloat(0.005)
 // This is for the maximum retries
 const submitOrderRetryLimit = 5
 
+// BaseOrderExecutor provides the common accessors for order executor
 type BaseOrderExecutor struct {
+	exchange          types.Exchange
 	session           *ExchangeSession
 	activeMakerOrders *ActiveOrderBook
 	orderStore        *core.OrderStore
@@ -43,8 +45,8 @@ func (e *BaseOrderExecutor) ActiveMakerOrders() *ActiveOrderBook {
 
 // GracefulCancel cancels all active maker orders if orders are not given, otherwise cancel all the given orders
 func (e *BaseOrderExecutor) GracefulCancel(ctx context.Context, orders ...types.Order) error {
-	if err := e.activeMakerOrders.GracefulCancel(ctx, e.session.Exchange, orders...); err != nil {
-		return errors.Wrap(err, "graceful cancel error")
+	if err := e.activeMakerOrders.GracefulCancel(ctx, e.exchange, orders...); err != nil {
+		return errors.Wrap(err, "graceful cancel order error")
 	}
 
 	return nil
@@ -84,6 +86,7 @@ func NewGeneralOrderExecutor(
 	executor := &GeneralOrderExecutor{
 		BaseOrderExecutor: BaseOrderExecutor{
 			session:           session,
+			exchange:          session.Exchange,
 			activeMakerOrders: NewActiveOrderBook(symbol),
 			orderStore:        orderStore,
 		},
@@ -111,7 +114,7 @@ func (e *GeneralOrderExecutor) SetMaxRetries(maxRetries uint) {
 }
 
 func (e *GeneralOrderExecutor) startMarginAssetUpdater(ctx context.Context) {
-	marginService, ok := e.session.Exchange.(types.MarginBorrowRepayService)
+	marginService, ok := e.exchange.(types.MarginBorrowRepayService)
 	if !ok {
 		log.Warnf("session %s (%T) exchange does not support MarginBorrowRepayService", e.session.Name, e.session.Exchange)
 		return

pkg/bbgo/order_executor_simple.go

@@ -22,6 +22,7 @@ func NewSimpleOrderExecutor(session *ExchangeSession) *SimpleOrderExecutor {
 	return &SimpleOrderExecutor{
 		BaseOrderExecutor: BaseOrderExecutor{
 			session:           session,
+			exchange:          session.Exchange,
 			activeMakerOrders: NewActiveOrderBook(""),
 			orderStore:        core.NewOrderStore(""),
 		},

pkg/cmd/orders.go

@@ -14,6 +14,7 @@ import (
 	"github.com/spf13/cobra"
 
 	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/twap"
 
 	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/types"
@@ -255,7 +256,7 @@ var executeOrderCmd = &cobra.Command{
 		executionCtx, cancelExecution := context.WithCancel(ctx)
 		defer cancelExecution()
 
-		execution := &bbgo.TwapExecution{
+		execution := &twap.StreamExecutor{
 			Session:        session,
 			Symbol:         symbol,
 			Side:           side,

pkg/exchange/binance/exchange.go

@@ -995,13 +995,15 @@ func (e *Exchange) submitMarginOrder(ctx context.Context, order types.SubmitOrde
 	}
 
 	// could be IOC or FOK
-	if len(order.TimeInForce) > 0 {
-		// TODO: check the TimeInForce value
-		req.TimeInForce(binance.TimeInForceType(order.TimeInForce))
-	} else {
-		switch order.Type {
-		case types.OrderTypeLimit, types.OrderTypeStopLimit:
-			req.TimeInForce(binance.TimeInForceTypeGTC)
+	switch order.Type {
+	case types.OrderTypeLimit, types.OrderTypeStopLimit:
+		req.TimeInForce(binance.TimeInForceTypeGTC)
+	case types.OrderTypeLimitMaker:
+		// do not set TimeInForce for LimitMaker
+	default:
+		if len(order.TimeInForce) > 0 {
+			// TODO: check the TimeInForce value
+			req.TimeInForce(binance.TimeInForceType(order.TimeInForce))
 		}
 	}
 

pkg/risk/riskcontrol/position_test.go

@@ -23,7 +23,7 @@ func Test_ModifiedQuantity(t *testing.T) {
 			BaseCurrency:    "BTC",
 		},
 	}
-	orderExecutor := bbgo.NewGeneralOrderExecutor(nil, "BTCUSDT", "strategy", "strategy-1", pos)
+	orderExecutor := bbgo.NewGeneralOrderExecutor(&bbgo.ExchangeSession{}, "BTCUSDT", "strategy", "strategy-1", pos)
 	riskControl := NewPositionRiskControl(orderExecutor, fixedpoint.NewFromInt(10), fixedpoint.NewFromInt(2))
 
 	cases := []struct {

pkg/strategy/autobuy/strategy.go

@@ -5,13 +5,14 @@ import (
 	"fmt"
 	"sync"
 
+	"github.com/robfig/cron/v3"
+	"github.com/sirupsen/logrus"
+
 	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	indicatorv2 "github.com/c9s/bbgo/pkg/indicator/v2"
 	"github.com/c9s/bbgo/pkg/strategy/common"
 	"github.com/c9s/bbgo/pkg/types"
-	"github.com/robfig/cron/v3"
-	"github.com/sirupsen/logrus"
 )
 
 const ID = "autobuy"
@@ -128,7 +129,7 @@ func (s *Strategy) autobuy(ctx context.Context) {
 	}
 
 	side := types.SideTypeBuy
-	price := s.PriceType.Map(ticker, side)
+	price := s.PriceType.GetPrice(ticker, side)
 
 	if price.Float64() > s.boll.UpBand.Last(0) {
 		log.Infof("price %s is higher than upper band %f, skip", price.String(), s.boll.UpBand.Last(0))

pkg/strategy/dca2/recover_test.go

@@ -6,9 +6,10 @@ import (
 	"testing"
 	"time"
 
+	"github.com/stretchr/testify/assert"
+
 	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/types"
-	"github.com/stretchr/testify/assert"
 )
 
 func generateTestOrder(side types.SideType, status types.OrderStatus, createdAt time.Time) types.Order {
@@ -29,7 +30,7 @@ func Test_RecoverState(t *testing.T) {
 	t.Run("new strategy", func(t *testing.T) {
 		currentRound := Round{}
 		position := types.NewPositionFromMarket(strategy.Market)
-		orderExecutor := bbgo.NewGeneralOrderExecutor(nil, strategy.Symbol, ID, "", position)
+		orderExecutor := bbgo.NewGeneralOrderExecutor(&bbgo.ExchangeSession{}, strategy.Symbol, ID, "", position)
 		state, err := recoverState(context.Background(), 5, currentRound, orderExecutor)
 		assert.NoError(t, err)
 		assert.Equal(t, WaitToOpenPosition, state)
@@ -47,7 +48,7 @@ func Test_RecoverState(t *testing.T) {
 			},
 		}
 		position := types.NewPositionFromMarket(strategy.Market)
-		orderExecutor := bbgo.NewGeneralOrderExecutor(nil, strategy.Symbol, ID, "", position)
+		orderExecutor := bbgo.NewGeneralOrderExecutor(&bbgo.ExchangeSession{}, strategy.Symbol, ID, "", position)
 		state, err := recoverState(context.Background(), 5, currentRound, orderExecutor)
 		assert.NoError(t, err)
 		assert.Equal(t, OpenPositionReady, state)
@@ -65,7 +66,7 @@ func Test_RecoverState(t *testing.T) {
 			},
 		}
 		position := types.NewPositionFromMarket(strategy.Market)
-		orderExecutor := bbgo.NewGeneralOrderExecutor(nil, strategy.Symbol, ID, "", position)
+		orderExecutor := bbgo.NewGeneralOrderExecutor(&bbgo.ExchangeSession{}, strategy.Symbol, ID, "", position)
 		state, err := recoverState(context.Background(), 5, currentRound, orderExecutor)
 		assert.NoError(t, err)
 		assert.Equal(t, OpenPositionOrderFilled, state)
@@ -83,7 +84,7 @@ func Test_RecoverState(t *testing.T) {
 			},
 		}
 		position := types.NewPositionFromMarket(strategy.Market)
-		orderExecutor := bbgo.NewGeneralOrderExecutor(nil, strategy.Symbol, ID, "", position)
+		orderExecutor := bbgo.NewGeneralOrderExecutor(&bbgo.ExchangeSession{}, strategy.Symbol, ID, "", position)
 		state, err := recoverState(context.Background(), 5, currentRound, orderExecutor)
 		assert.NoError(t, err)
 		assert.Equal(t, OpenPositionOrdersCancelling, state)
@@ -101,7 +102,7 @@ func Test_RecoverState(t *testing.T) {
 			},
 		}
 		position := types.NewPositionFromMarket(strategy.Market)
-		orderExecutor := bbgo.NewGeneralOrderExecutor(nil, strategy.Symbol, ID, "", position)
+		orderExecutor := bbgo.NewGeneralOrderExecutor(&bbgo.ExchangeSession{}, strategy.Symbol, ID, "", position)
 		state, err := recoverState(context.Background(), 5, currentRound, orderExecutor)
 		assert.NoError(t, err)
 		assert.Equal(t, OpenPositionOrdersCancelling, state)
@@ -122,7 +123,7 @@ func Test_RecoverState(t *testing.T) {
 			},
 		}
 		position := types.NewPositionFromMarket(strategy.Market)
-		orderExecutor := bbgo.NewGeneralOrderExecutor(nil, strategy.Symbol, ID, "", position)
+		orderExecutor := bbgo.NewGeneralOrderExecutor(&bbgo.ExchangeSession{}, strategy.Symbol, ID, "", position)
 		state, err := recoverState(context.Background(), 5, currentRound, orderExecutor)
 		assert.NoError(t, err)
 		assert.Equal(t, TakeProfitReady, state)
@@ -143,7 +144,7 @@ func Test_RecoverState(t *testing.T) {
 			},
 		}
 		position := types.NewPositionFromMarket(strategy.Market)
-		orderExecutor := bbgo.NewGeneralOrderExecutor(nil, strategy.Symbol, ID, "", position)
+		orderExecutor := bbgo.NewGeneralOrderExecutor(&bbgo.ExchangeSession{}, strategy.Symbol, ID, "", position)
 		state, err := recoverState(context.Background(), 5, currentRound, orderExecutor)
 		assert.NoError(t, err)
 		assert.Equal(t, WaitToOpenPosition, state)

pkg/strategy/rebalance/strategy.go

@@ -262,7 +262,7 @@ func (s *Strategy) generateOrder(ctx context.Context) (*types.SubmitOrder, error
 		}
 		quantity = market.RoundDownQuantityByPrecision(quantity)
 
-		price := s.PriceType.Map(ticker, side)
+		price := s.PriceType.GetPrice(ticker, side)
 
 		if s.MaxAmount.Float64() > 0 {
 			quantity = bbgo.AdjustQuantityByMaxAmount(quantity, price, s.MaxAmount)