sentio/util/order.go

package util

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

func CreateOrder(
	m sentio.Market,
	s sentio.Strategy,
	action sentio.Action,
	quotes map[string]sentio.Quote,
	rm sentio.RiskManager,
) error {
	var (
		symbol  string
		account sentio.MarketAccount
		size    uint
		side    sentio.Side
		bid     float64
		tp      float64
		sl      float64
		ok      bool
		err     error
	)

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

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

	if !rm.EnsureVolatility(symbol) {
		return sentio.ErrLowVolatility
	}

	bid = sentio.ToFixed(quotes[symbol].BidPrice, 2)
	tp = sentio.ToFixed(rm.TakeProfit(symbol, bid, false), 2)
	sl = sentio.ToFixed(rm.StopLoss(symbol, bid, false), 2)

	// Prevent orders those have too small expected profit
	if tp < bid+0.02 {
		return sentio.ErrLowTakeProfit
	}

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

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

	if account.GetCash() < bid {
		return sentio.ErrTooSmallOrder
	}

	var (
		limit float64
		ratio float64
	)

	if limit, ratio = rm.GetOrderSize(symbol, bid); ratio <= 0 {
		return sentio.ErrRiskManagementPrevent
	}

	// create a new order
	if size = uint(math.Floor(account.GetCash() * ratio / limit)); size < 1 {
		return sentio.ErrTooSmallOrder
	}

	_, err = m.CreateOrder(symbol, 0, size, rm)
	return err
}

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
}