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added unit tests. refactor and format.
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@bitrinjani
bitrinjani committed Nov 7, 2017
1 parent d65b833 commit f0d397b
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Showing 18 changed files with 819 additions and 521 deletions.
299 changes: 149 additions & 150 deletions src/Bitflyer/BrokerAdapterImpl.ts
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Original file line number Diff line number Diff line change
@@ -1,5 +1,6 @@
import { BrokerAdapter, BrokerConfig, ConfigStore, OrderStatus,
OrderType, TimeInForce, OrderSide, CashMarginType, QuoteSide, Broker
import {
BrokerAdapter, BrokerConfig, ConfigStore, OrderStatus,
OrderType, TimeInForce, OrderSide, CashMarginType, QuoteSide, Broker
} from '../type';
import { getLogger } from '../logger';
import { injectable, inject } from 'inversify';
Expand All @@ -8,174 +9,172 @@ import * as _ from 'lodash';
import Order from '../Order';
import Quote from '../Quote';
import BrokerApi from './BrokerApi';
import { SendChildOrderResponse, ChildOrdersParam, SendChildOrderRequest,
ChildOrder, BoardResponse } from './type';
import {
SendChildOrderResponse, ChildOrdersParam, SendChildOrderRequest,
ChildOrder, BoardResponse
} from './type';
import Execution from '../Execution';
import { eRound } from '../util';

namespace Bitflyer {
@injectable()
export class BrokerAdapterImpl implements BrokerAdapter {
private brokerApi: BrokerApi;
private log = getLogger('Bitflyer.BrokerAdapter');
private config: BrokerConfig;
broker = Broker.Bitflyer;

constructor(@inject(symbols.ConfigStore) configStore: ConfigStore) {
this.config = _.find(configStore.config.brokers,
(b: BrokerConfig) => b.broker === this.broker) as BrokerConfig;
this.brokerApi = new BrokerApi(this.config.key, this.config.secret);
@injectable()
export default class BrokerAdapterImpl implements BrokerAdapter {
private brokerApi: BrokerApi;
private log = getLogger('Bitflyer.BrokerAdapter');
private config: BrokerConfig;
broker = Broker.Bitflyer;

constructor( @inject(symbols.ConfigStore) configStore: ConfigStore) {
this.config = _.find(configStore.config.brokers,
(b: BrokerConfig) => b.broker === this.broker) as BrokerConfig;
this.brokerApi = new BrokerApi(this.config.key, this.config.secret);
}

async send(order: Order): Promise<void> {
if (order.broker !== this.broker) {
throw new Error();
}
const param = this.mapOrderToSendChildOrderRequest(order);
const reply: SendChildOrderResponse = await this.brokerApi.sendChildOrder(param);
order.brokerOrderId = reply.child_order_acceptance_id;
order.status = OrderStatus.New;
order.sentTime = new Date();
order.lastUpdated = new Date();
}

async send(order: Order): Promise<void> {
if (order.broker !== this.broker) {
throw new Error();
}
const param = this.mapOrderToSendChildOrderRequest(order);
const reply: SendChildOrderResponse = await this.brokerApi.sendChildOrder(param);
order.brokerOrderId = reply.child_order_acceptance_id;
order.status = OrderStatus.New;
order.sentTime = new Date();
order.lastUpdated = new Date();
async refresh(order: Order): Promise<void> {
const orderId = order.brokerOrderId;
const request: ChildOrdersParam = { child_order_acceptance_id: orderId };
const reply = await this.brokerApi.getChildOrders(request);
const childOrder = reply[0];
if (childOrder === undefined) {
const message = `Unabled to find ${orderId}. GetOrderState failed.`;
this.log.warn(message);
return;
}

async refresh(order: Order): Promise<void> {
const orderId = order.brokerOrderId;
const request: ChildOrdersParam = { child_order_acceptance_id: orderId };
const reply = await this.brokerApi.getChildOrders(request);
const childOrder = reply[0];
if (childOrder === undefined) {
const message = `Unabled to find ${orderId}. GetOrderState failed.`;
this.log.warn(message);
return;
}

this.setOrderFields(childOrder, order);
const executions = await this.brokerApi.getExecutions({ child_order_acceptance_id: orderId });
order.executions = _.map(executions, (x) => {
const e = new Execution(order);
e.size = x.size;
e.price = x.price;
e.execTime = new Date(x.exec_date);
return e;
});

order.lastUpdated = new Date();
this.setOrderFields(childOrder, order);
const executions = await this.brokerApi.getExecutions({ child_order_acceptance_id: orderId });
order.executions = _.map(executions, (x) => {
const e = new Execution(order);
e.size = x.size;
e.price = x.price;
e.execTime = new Date(x.exec_date);
return e;
});

order.lastUpdated = new Date();
}

async cancel(order: Order): Promise<void> {
let productCode = '';
switch (order.symbol) {
case 'BTCJPY':
productCode = 'BTC_JPY';
break;
default:
throw new Error('Not implemented.');
}
const request = { product_code: productCode, child_order_acceptance_id: order.brokerOrderId };
await this.brokerApi.cancelChildOrder(request);
order.lastUpdated = new Date();
order.status = OrderStatus.Canceled;
}

async cancel(order: Order): Promise<void> {
let productCode = '';
switch (order.symbol) {
case 'BTCJPY':
productCode = 'BTC_JPY';
break;
default:
throw new Error('Not implemented.');
}
const request = { product_code: productCode, child_order_acceptance_id: order.brokerOrderId };
await this.brokerApi.cancelChildOrder(request);
order.lastUpdated = new Date();
order.status = OrderStatus.Canceled;
async getBtcPosition(): Promise<number> {
const balanceResponse = await this.brokerApi.getBalance();
const btcBalance = _.find(balanceResponse, b => b.currency_code === 'BTC');
if (!btcBalance) {
throw new Error('Btc balance is not found.');
}
return btcBalance.amount;
}

async getBtcPosition(): Promise<number> {
const balanceResponse = await this.brokerApi.getBalance();
const btcBalance = _.find(balanceResponse, b => b.currency_code === 'BTC');
if (!btcBalance) {
throw new Error('Btc balance is not found.');
}
return btcBalance.amount;
async fetchQuotes(): Promise<Quote[]> {
try {
const response = await this.brokerApi.getBoard();
return this.mapToQuote(response);
} catch (ex) {
this.log.error(ex.message);
this.log.debug(ex.stack);
return [];
}
}

async fetchQuotes(): Promise<Quote[]> {
try {
const response = await this.brokerApi.getBoard();
return this.mapToQuote(response);
} catch (ex) {
this.log.error(ex.message);
this.log.debug(ex.stack);
return [];
}
private mapOrderToSendChildOrderRequest(order: Order): SendChildOrderRequest {
if (order.cashMarginType !== CashMarginType.Cash) {
throw new Error('Not implemented.');
}

private mapOrderToSendChildOrderRequest(order: Order): SendChildOrderRequest {
if (order.cashMarginType !== CashMarginType.Cash) {
let productCode = '';
switch (order.symbol) {
case 'BTCJPY':
productCode = 'BTC_JPY';
break;
default:
throw new Error('Not implemented.');
}

let productCode = '';
switch (order.symbol) {
case 'BTCJPY':
productCode = 'BTC_JPY';
break;
default:
throw new Error('Not implemented.');
}

let price = 0;
let childOrderType = '';
switch (order.type) {
case OrderType.Limit:
childOrderType = 'LIMIT';
price = order.price;
break;
case OrderType.Market:
childOrderType = 'MARKET';
price = 0;
break;
default: throw new Error('Not implemented.');
}

let timeInForce;
switch (order.timeInForce) {
case TimeInForce.None:
timeInForce = '';
break;
case TimeInForce.Fok:
timeInForce = 'FOK';
break;
case TimeInForce.Ioc:
timeInForce = 'IOC';
break;
default: throw new Error('Not implemented.');
}

return {
price,
product_code: productCode,
child_order_type: childOrderType,
side: OrderSide[order.side].toUpperCase(),
size: order.size,
time_in_force: timeInForce
};
}

private setOrderFields(childOrder: ChildOrder, order: Order): void {
order.filledSize = eRound(childOrder.executed_size);
if (childOrder.child_order_state === 'CANCELED') {
order.status = OrderStatus.Canceled;
} else if (childOrder.child_order_state === 'EXPIRED') {
order.status = OrderStatus.Expired;
} else if (order.filledSize === order.size) {
order.status = OrderStatus.Filled;
} else if (order.filledSize > 0) {
order.status = OrderStatus.PartiallyFilled;
}
order.lastUpdated = new Date();
let price = 0;
let childOrderType = '';
switch (order.type) {
case OrderType.Limit:
childOrderType = 'LIMIT';
price = order.price;
break;
case OrderType.Market:
childOrderType = 'MARKET';
price = 0;
break;
default: throw new Error('Not implemented.');
}

let timeInForce;
switch (order.timeInForce) {
case TimeInForce.None:
timeInForce = '';
break;
case TimeInForce.Fok:
timeInForce = 'FOK';
break;
case TimeInForce.Ioc:
timeInForce = 'IOC';
break;
default: throw new Error('Not implemented.');
}

private mapToQuote(boardResponse: BoardResponse): Quote[] {
const asks = _(boardResponse.asks)
.take(100)
.map(q => new Quote(this.broker, QuoteSide.Ask, Number(q.price), Number(q.size)))
.value();
const bids = _(boardResponse.bids)
.take(100)
.map(q => new Quote(this.broker, QuoteSide.Bid, Number(q.price), Number(q.size)))
.value();
return _.concat(asks, bids);
return {
price,
product_code: productCode,
child_order_type: childOrderType,
side: OrderSide[order.side].toUpperCase(),
size: order.size,
time_in_force: timeInForce
};
}

private setOrderFields(childOrder: ChildOrder, order: Order): void {
order.filledSize = eRound(childOrder.executed_size);
if (childOrder.child_order_state === 'CANCELED') {
order.status = OrderStatus.Canceled;
} else if (childOrder.child_order_state === 'EXPIRED') {
order.status = OrderStatus.Expired;
} else if (order.filledSize === order.size) {
order.status = OrderStatus.Filled;
} else if (order.filledSize > 0) {
order.status = OrderStatus.PartiallyFilled;
}
order.lastUpdated = new Date();
}
}

export default Bitflyer;
private mapToQuote(boardResponse: BoardResponse): Quote[] {
const asks = _(boardResponse.asks)
.take(100)
.map(q => new Quote(this.broker, QuoteSide.Ask, Number(q.price), Number(q.size)))
.value();
const bids = _(boardResponse.bids)
.take(100)
.map(q => new Quote(this.broker, QuoteSide.Bid, Number(q.price), Number(q.size)))
.value();
return _.concat(asks, bids);
}
}
1 change: 1 addition & 0 deletions src/BrokerPosition.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -10,6 +10,7 @@ export default class BrokerPosition {
btc: number;
allowedLongSize: number;
allowedShortSize: number;

toString(): string {
const isOk = b => b ? 'OK' : 'NG';
return `${padEnd(Broker[this.broker], 10)}: ${padStart(_.round(this.btc, 3), 5)} BTC, ` +
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