sentio/util/order.go

package util

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

func CreateOrder(
	m sentio.Market,
	s sentio.Strategy,
	t sentio.Side,
	proba sentio.Probability,
	q map[string]sentio.Quote,
	sl map[string]float64,
) error {
	var (
		symbol    string
		orders    []sentio.Order
		account   sentio.MarketAccount
		has       = false
		avgPrice  float64
		threshold float64
		size      uint
		ok        bool
		err       error
	)

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

	if orders, err = m.Orders(sentio.OrderListCriteria{
		Status:  "open",
		Symbols: []string{symbol},
	}); err != nil {
		return err
	}

	has = len(orders) > 0
	for i := range orders {
		avgPrice += orders[i].GetEntryPrice()
	}

	if has {
		avgPrice = avgPrice / float64(len(orders))
	}

	// define threshold
	if threshold, ok = s.PositionProbabilities()[t]; !ok {
		return nil
	}

	// Prevent cases when order will be closed ASAP they were opened.
	// Also, Alpaca requires at least 0.01 gap against base_price
	if sl[symbol] >= q[symbol].BidPrice-0.011 {
		return sentio.ErrHighStoploss
	}

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

	if account.GetCash() < q[symbol].BidPrice {
		return sentio.ErrTooSmallOrder
	}

	if !has && ((sentio.LONG == t && proba.Value > threshold) || (sentio.SHORT == t && proba.Value < threshold)) {

		// create a new order
		if size = uint(math.Floor(account.GetCash() * .7 / q[symbol].BidPrice)); size < 1 {
			return sentio.ErrTooSmallOrder
		}

		_, err = m.CreateOrder(symbol, size, sl[symbol])
		return err

	} else if has && avgPrice/q[symbol].BidPrice > 1.002 {

		// create an extra position
		if size = uint(math.Floor(account.GetCash() * .5 / q[symbol].BidPrice)); size < 1 {
			return sentio.ErrTooSmallOrder
		}

		_, err = m.CreateOrder(symbol, size, sl[symbol])
		return err
	}

	return 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:  "open",
		Symbols: symbols,
	}); err != nil {
		return err
	}

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

	return nil
}