sentio/util/order.go

package util

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

const TradingRange = .02

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

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

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

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

	// Prevent orders those have too small expected profit
	if opts.TakeProfit < bid*(1+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.StopLoss > bid*(1-TradingRange) {
		err = sentio.ErrHighStoploss
		return
	}

	// Invert OrderOptions if we will do SHORT for BASE symbol
	if sentio.SHORT == side && s.PositionSymbols()[sentio.BASE] == opts.Symbol {
		tmp := opts.StopLoss
		opts.StopLoss = opts.TakeProfit
		opts.TakeProfit = tmp

		opts.Action = sentio.Action_SELL
	}

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

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

	return nil
}