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,
	probability *sentio.Probability,
	q map[string]sentio.Quote,
	sl map[string]float64,
	tp map[string]float64,
) error {
	var (
		symbol    string
		account   sentio.MarketAccount
		threshold float32
		stamp     *sentio.Probability_Stamp
		size      uint
		ok        bool
		err       error
	)

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

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

	// Prevent orders those have too small expected profit
	if sentio.ToFixed(tp[symbol], 2)/sentio.ToFixed(q[symbol].BidPrice, 2) < 1.0009 {
		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 sentio.ToFixed(sl[symbol], 2) > sentio.ToFixed(q[symbol].BidPrice, 2)-0.01 {
		return sentio.ErrHighStoploss
	}

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

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

	if stamp, ok = probability.First(); !ok {
		return nil
	}

	if sentio.LONG == t && stamp.Value > threshold ||
		sentio.SHORT == t && stamp.Value < threshold {

		// create a new order
		if size = uint(math.Floor(account.GetCash() * .8 / q[symbol].BidPrice)); size < 1 {
			return sentio.ErrTooSmallOrder
		}

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