sentio/strategy/ibkr.go

package main

import (
	"git.beejay.kim/Gshopper/sentio"
	"github.com/samber/lo"
	"time"
)

var Strategy = _ibkr{
	clock: sentio.ClockUTC{},
}

type _ibkr struct {
	clock sentio.Clock
}

func (s _ibkr) Name() string {
	return "IBKR"
}
func (s _ibkr) Version() string {
	return sentio.Version
}

func (s _ibkr) Model() string {
	return "btc306"
}

func (s _ibkr) MarketId() string {
	return "ibkr"
}

func (s _ibkr) PositionSymbols() map[sentio.Side]string {
	return map[sentio.Side]string{
		sentio.LONG:  "521525019", // BITO
		sentio.SHORT: "569311092", // BITI
	}
}

func (s _ibkr) IsOpen() bool {
	utc := s.clock.Now()
	h := utc.Hour()
	m := utc.Minute()

	return (h == 13 && m >= 30 || h > 13) &&
		h < 19 &&
		utc.Weekday() != time.Saturday && utc.Weekday() != time.Sunday
}

func (s _ibkr) ShouldClosePositions(portfolio sentio.Portfolio, proba float64) []string {
	if !s.IsOpen() {
		p := lo.Map(portfolio.Positions(), func(item sentio.Position, _ int) string {
			return item.GetSymbol()
		})

		symbols := lo.Values(s.PositionSymbols())
		p = lo.Filter(p, func(item string, _ int) bool {
			return lo.Contains(symbols, item)
		})

		return p
	}

	var (
		utc     = s.clock.Now()
		symbols []string
	)

	if portfolio == nil {
		return nil
	}

	for side, symbol := range s.PositionSymbols() {
		position, ok := portfolio.Get(symbol)
		if !ok {
			continue
		}

		if position.GetSize() <= 0 {
			continue
		}

		if utc.Hour() >= 19 {
			symbols = append(symbols, symbol)
			continue
		}

		if sentio.LONG == side && proba < 1 {
			symbols = append(symbols, symbol)
			continue
		}

		if sentio.SHORT == side && proba > 1 {
			symbols = append(symbols, symbol)
			continue
		}
	}

	return symbols
}

func (s _ibkr) ShouldOpenPosition(portfolio sentio.Portfolio, proba float64) (*string, float64) {
	if !s.IsOpen() {
		return nil, 0
	}

	if proba < 0 {
		return nil, 0
	}

	for side, symbol := range s.PositionSymbols() {
		position, ok := portfolio.Get(symbol)

		if sentio.LONG == side && proba > 1.002 {
			if !ok || position.GetSize() <= 0 {
				return &symbol, .6
			} else {
				return &symbol, .3
			}
		}

		if sentio.SHORT == side && proba < 0.998 {
			if !ok || position.GetSize() <= 0 {
				return &symbol, .8
			} else {
				return &symbol, .3
			}
		}
	}

	return nil, 0
}