sentio/util/order.go

package util

import (
	"errors"
	"fmt"
	"git.beejay.kim/Gshopper/sentio"
	"math"
)

const TradingRange = .02

func SideOf(intent sentio.OrderIntent) sentio.Side {
	switch intent {
	case sentio.BuyToOpen:
		return sentio.LONG
	case sentio.SellToClose:
		return sentio.LONG
	case sentio.BuyToClose:
		return sentio.SHORT
	case sentio.SellToOpen:
		return sentio.SHORT
	}

	panic(fmt.Errorf("unexpected `OrderIntent`: %v", intent))
}

func NewOrder(
	m sentio.Market,
	s sentio.Strategy,
	action sentio.Action,
	quotes map[string]sentio.Quote,
	rm sentio.RiskManager,
) (opts sentio.OrderCreateOptions, err error) {
	var (
		side sentio.Side
		base string
		bid  float64
		ok   bool
	)

	if side = sentio.ActionToSide(action); sentio.BASE == side {
		err = errors.New("`CreateOrder`: do nothing while `sentio.BASE`")
		return
	}

	if base, ok = s.PositionSymbols()[sentio.BASE]; !ok {
		err = errors.New("`CreateOrder`: unknown `sentio.BASE`")
		return
	}

	if opts.Symbol, ok = s.PositionSymbols()[side]; !ok {
		err = errors.New("`CreateOrder`: unknown Side for the current strategy")
		return
	}

	canLeverage := (side == sentio.LONG && m.EnableLongLeverage()) || (side == sentio.SHORT && m.EnableShortLeverage())
	if !canLeverage {
		opts.Symbol = base
	}

	bid = sentio.ToFixed(quotes[opts.Symbol].BidPrice, 2)
	opts.Action = sentio.Action_BUY
	opts.TakeProfit = ToPtr(sentio.ToFixed(rm.TakeProfit(opts.Symbol, bid), 2))
	opts.StopLoss = ToPtr(sentio.ToFixed(rm.StopLoss(opts.Symbol, bid), 2))

	// Invert OrderOptions if we will do SHORT for BASE symbol
	if sentio.SHORT == side && !canLeverage {
		tmp := opts.StopLoss
		opts.StopLoss = opts.TakeProfit
		opts.TakeProfit = tmp

		opts.Action = sentio.Action_SELL
	}

	// Prevent orders those have too small expected profit
	if (opts.Action == sentio.Action_BUY && *opts.TakeProfit < bid+TradingRange) ||
		(opts.Action == sentio.Action_SELL && *opts.TakeProfit > bid+TradingRange) {
		err = sentio.ErrLowTakeProfit
		return
	}

	// Prevent cases when order will be closed ASAP they were opened.
	// Also, Alpaca requires at least 0.01 gap against base_price
	if opts.Action == sentio.Action_BUY && *opts.StopLoss > bid-TradingRange {
		err = sentio.ErrHighStoploss
		return
	}

	var (
		account sentio.MarketAccount
		cash    float64
		ratio   float64
	)

	if account, err = m.Account(); err != nil {
		return
	}

	cash = account.GetCash(false)
	if budget := m.MaxBudget(); budget > 0 && cash > budget {
		cash = budget
	}

	if cash <= bid {
		err = sentio.ErrTooSmallOrder
		return
	}

	if ratio = rm.GetOrderSize(opts.Symbol, bid); ratio <= 0 {
		err = sentio.ErrRiskManagementPrevent
		return
	}

	if opts.Size = uint(math.Floor(cash * ratio / bid)); opts.Size < 1 {
		err = sentio.ErrTooSmallOrder
	}

	return opts, nil
}

func CloseAllOrders(m sentio.Market, s sentio.Strategy) error {
	var (
		symbols = Symbols(s)
		orders  []sentio.Order
		err     error
	)

	if orders, err = m.Orders(sentio.OrderListCriteria{
		Status:  ToPtr("open"),
		Symbols: symbols,
	}); err != nil {
		return err
	}

	for i := range orders {
		if _, err = m.CloseOrder(orders[i], nil); err != nil {
			return err
		}
	}

	return nil
}