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order.go
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order.go
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package types
import (
"encoding/json"
"fmt"
"strconv"
"strings"
"time"
"github.com/pkg/errors"
"github.com/slack-go/slack"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/util/templateutil"
)
func init() {
// make sure we can cast Order to PlainText
_ = PlainText(Order{})
_ = PlainText(&Order{})
}
type CancelReplaceModeType string
var (
StopOnFailure CancelReplaceModeType = "STOP_ON_FAILURE"
AllowFailure CancelReplaceModeType = "ALLOW_FAILURE"
)
type TimeInForce string
var (
TimeInForceGTC TimeInForce = "GTC"
TimeInForceIOC TimeInForce = "IOC"
TimeInForceFOK TimeInForce = "FOK"
)
// MarginOrderSideEffectType define side effect type for orders
type MarginOrderSideEffectType string
var (
SideEffectTypeNoSideEffect MarginOrderSideEffectType = "NO_SIDE_EFFECT"
SideEffectTypeMarginBuy MarginOrderSideEffectType = "MARGIN_BUY"
SideEffectTypeAutoRepay MarginOrderSideEffectType = "AUTO_REPAY"
)
func (t *MarginOrderSideEffectType) UnmarshalJSON(data []byte) error {
var s string
var err = json.Unmarshal(data, &s)
if err != nil {
return errors.Wrapf(err, "unable to unmarshal side effect type: %s", data)
}
switch strings.ToUpper(s) {
case string(SideEffectTypeNoSideEffect), "":
*t = SideEffectTypeNoSideEffect
return nil
case string(SideEffectTypeMarginBuy), "BORROW", "MARGINBUY":
*t = SideEffectTypeMarginBuy
return nil
case string(SideEffectTypeAutoRepay), "REPAY", "AUTOREPAY":
*t = SideEffectTypeAutoRepay
return nil
}
return fmt.Errorf("invalid side effect type: %s", data)
}
// OrderType define order type
type OrderType string
const (
OrderTypeLimit OrderType = "LIMIT"
OrderTypeLimitMaker OrderType = "LIMIT_MAKER"
OrderTypeMarket OrderType = "MARKET"
OrderTypeStopLimit OrderType = "STOP_LIMIT"
OrderTypeStopMarket OrderType = "STOP_MARKET"
)
/*
func (t *OrderType) Scan(v interface{}) error {
switch d := v.(type) {
case string:
*t = OrderType(d)
default:
return errors.New("order type scan error, type unsupported")
}
return nil
}
*/
const NoClientOrderID = "0"
type OrderStatus string
const (
// OrderStatusNew means the order is active on the orderbook without any filling.
OrderStatusNew OrderStatus = "NEW"
// OrderStatusFilled means the order is fully-filled, it's an end state.
OrderStatusFilled OrderStatus = "FILLED"
// OrderStatusPartiallyFilled means the order is partially-filled, it's an end state, the order might be canceled in the end.
OrderStatusPartiallyFilled OrderStatus = "PARTIALLY_FILLED"
// OrderStatusCanceled means the order is canceled without partially filled or filled.
OrderStatusCanceled OrderStatus = "CANCELED"
// OrderStatusRejected means the order is not placed successfully, it's rejected by the api
OrderStatusRejected OrderStatus = "REJECTED"
)
type SubmitOrder struct {
ClientOrderID string `json:"clientOrderID,omitempty" db:"client_order_id"`
Symbol string `json:"symbol" db:"symbol"`
Side SideType `json:"side" db:"side"`
Type OrderType `json:"orderType" db:"order_type"`
Quantity fixedpoint.Value `json:"quantity" db:"quantity"`
Price fixedpoint.Value `json:"price" db:"price"`
// AveragePrice is only used in back-test currently
AveragePrice fixedpoint.Value `json:"averagePrice,omitempty"`
StopPrice fixedpoint.Value `json:"stopPrice,omitempty" db:"stop_price"`
Market Market `json:"-" db:"-"`
TimeInForce TimeInForce `json:"timeInForce,omitempty" db:"time_in_force"` // GTC, IOC, FOK
GroupID uint32 `json:"groupID,omitempty"`
MarginSideEffect MarginOrderSideEffectType `json:"marginSideEffect,omitempty"` // AUTO_REPAY = repay, MARGIN_BUY = borrow, defaults to NO_SIDE_EFFECT
ReduceOnly bool `json:"reduceOnly,omitempty" db:"reduce_only"`
ClosePosition bool `json:"closePosition,omitempty" db:"close_position"`
Tag string `json:"tag,omitempty" db:"-"`
}
func (o *SubmitOrder) In() (fixedpoint.Value, string) {
switch o.Side {
case SideTypeBuy:
if o.AveragePrice.IsZero() {
return o.Quantity.Mul(o.Price), o.Market.QuoteCurrency
} else {
return o.Quantity.Mul(o.AveragePrice), o.Market.QuoteCurrency
}
case SideTypeSell:
return o.Quantity, o.Market.BaseCurrency
}
return fixedpoint.Zero, ""
}
func (o *SubmitOrder) Out() (fixedpoint.Value, string) {
switch o.Side {
case SideTypeBuy:
return o.Quantity, o.Market.BaseCurrency
case SideTypeSell:
if o.AveragePrice.IsZero() {
return o.Quantity.Mul(o.Price), o.Market.QuoteCurrency
} else {
return o.Quantity.Mul(o.AveragePrice), o.Market.QuoteCurrency
}
}
return fixedpoint.Zero, ""
}
func (o *SubmitOrder) String() string {
switch o.Type {
case OrderTypeMarket:
return fmt.Sprintf("SubmitOrder %s %s %s %s", o.Symbol, o.Type, o.Side, o.Quantity.String())
}
return fmt.Sprintf("SubmitOrder %s %s %s %s @ %s", o.Symbol, o.Type, o.Side, o.Quantity.String(), o.Price.String())
}
func (o *SubmitOrder) PlainText() string {
switch o.Type {
case OrderTypeMarket:
return fmt.Sprintf("SubmitOrder %s %s %s %s", o.Symbol, o.Type, o.Side, o.Quantity.String())
}
return fmt.Sprintf("SubmitOrder %s %s %s %s @ %s", o.Symbol, o.Type, o.Side, o.Quantity.String(), o.Price.String())
}
func (o *SubmitOrder) SlackAttachment() slack.Attachment {
var fields = []slack.AttachmentField{
{Title: "Symbol", Value: o.Symbol, Short: true},
{Title: "Side", Value: string(o.Side), Short: true},
{Title: "Price", Value: o.Price.String(), Short: true},
{Title: "Quantity", Value: o.Quantity.String(), Short: true},
}
if o.Price.Sign() > 0 && o.Quantity.Sign() > 0 && len(o.Market.QuoteCurrency) > 0 {
if IsFiatCurrency(o.Market.QuoteCurrency) {
fields = append(fields, slack.AttachmentField{
Title: "Amount",
Value: USD.FormatMoney(o.Price.Mul(o.Quantity)),
Short: true,
})
} else {
fields = append(fields, slack.AttachmentField{
Title: "Amount",
Value: fmt.Sprintf("%s %s", o.Price.Mul(o.Quantity).String(), o.Market.QuoteCurrency),
Short: true,
})
}
}
if len(o.ClientOrderID) > 0 {
fields = append(fields, slack.AttachmentField{Title: "ClientOrderID", Value: o.ClientOrderID, Short: true})
}
if len(o.MarginSideEffect) > 0 {
fields = append(fields, slack.AttachmentField{Title: "MarginSideEffect", Value: string(o.MarginSideEffect), Short: true})
}
return slack.Attachment{
Color: SideToColorName(o.Side),
Title: string(o.Type) + " Order " + string(o.Side),
// Text: "",
Fields: fields,
}
}
type OrderQuery struct {
Symbol string
OrderID string
ClientOrderID string
}
type Order struct {
SubmitOrder
Exchange ExchangeName `json:"exchange" db:"exchange"`
// GID is used for relational database storage, it's an incremental ID
GID uint64 `json:"gid,omitempty" db:"gid"`
OrderID uint64 `json:"orderID" db:"order_id"` // order id
UUID string `json:"uuid,omitempty"`
Status OrderStatus `json:"status" db:"status"`
ExecutedQuantity fixedpoint.Value `json:"executedQuantity" db:"executed_quantity"`
IsWorking bool `json:"isWorking" db:"is_working"`
CreationTime Time `json:"creationTime" db:"created_at"`
UpdateTime Time `json:"updateTime" db:"updated_at"`
IsFutures bool `json:"isFutures,omitempty" db:"is_futures"`
IsMargin bool `json:"isMargin,omitempty" db:"is_margin"`
IsIsolated bool `json:"isIsolated,omitempty" db:"is_isolated"`
}
func (o Order) CsvHeader() []string {
return []string{
"order_id",
"symbol",
"side",
"order_type",
"status",
"price",
"quantity",
"creation_time",
"update_time",
"tag",
}
}
func (o Order) CsvRecords() [][]string {
return [][]string{
{
strconv.FormatUint(o.OrderID, 10),
o.Symbol,
string(o.Side),
string(o.Type),
string(o.Status),
o.Price.String(),
o.Quantity.String(),
o.CreationTime.Time().Local().Format(time.RFC1123),
o.UpdateTime.Time().Local().Format(time.RFC1123),
o.Tag,
},
}
}
// Backup backs up the current order quantity to a SubmitOrder object
// so that we can post the order later when we want to restore the orders.
func (o Order) Backup() SubmitOrder {
so := o.SubmitOrder
so.Quantity = o.Quantity.Sub(o.ExecutedQuantity)
// ClientOrderID can not be reused
so.ClientOrderID = ""
return so
}
func (o Order) String() string {
var orderID string
if o.UUID != "" {
orderID = fmt.Sprintf("UUID %s (%d)", o.UUID, o.OrderID)
} else {
orderID = strconv.FormatUint(o.OrderID, 10)
}
desc := fmt.Sprintf("ORDER %s | %s | %s | %s | %s %-4s | %s/%s @ %s",
o.Exchange.String(),
o.CreationTime.Time().Local().Format(time.StampMilli),
orderID,
o.Symbol,
o.Type,
o.Side,
o.ExecutedQuantity.String(),
o.Quantity.String(),
o.Price.String())
if o.Type == OrderTypeStopLimit {
desc += " Stop @ " + o.StopPrice.String()
}
return desc + " | " + string(o.Status)
}
// PlainText is used for telegram-styled messages
func (o Order) PlainText() string {
return fmt.Sprintf("Order %s %s %s %s @ %s %s/%s -> %s",
o.Exchange.String(),
o.Symbol,
o.Type,
o.Side,
o.Price.FormatString(2),
o.ExecutedQuantity.FormatString(2),
o.Quantity.FormatString(4),
o.Status)
}
func (o Order) SlackAttachment() slack.Attachment {
var fields = []slack.AttachmentField{
{Title: "Symbol", Value: o.Symbol, Short: true},
{Title: "Side", Value: string(o.Side), Short: true},
{Title: "Price", Value: o.Price.String(), Short: true},
{
Title: "Executed Quantity",
Value: o.ExecutedQuantity.String() + "/" + o.Quantity.String(),
Short: true,
},
}
fields = append(fields, slack.AttachmentField{
Title: "ID",
Value: strconv.FormatUint(o.OrderID, 10),
Short: true,
})
orderStatusIcon := ""
switch o.Status {
case OrderStatusNew:
orderStatusIcon = ":new:"
case OrderStatusCanceled:
orderStatusIcon = ":eject:"
case OrderStatusPartiallyFilled:
orderStatusIcon = ":arrow_forward:"
case OrderStatusFilled:
orderStatusIcon = ":white_check_mark:"
}
fields = append(fields, slack.AttachmentField{
Title: "Status",
Value: string(o.Status) + " " + orderStatusIcon,
Short: true,
})
footerIcon := ExchangeFooterIcon(o.Exchange)
return slack.Attachment{
Color: SideToColorName(o.Side),
Title: string(o.Type) + " Order " + string(o.Side),
// Text: "",
Fields: fields,
FooterIcon: footerIcon,
Footer: strings.ToLower(o.Exchange.String()) + templateutil.Render(" creation time {{ . }}", o.CreationTime.Time().Format(time.StampMilli)),
}
}
func OrdersFilter(in []Order, f func(o Order) bool) (out []Order) {
for _, o := range in {
if f(o) {
out = append(out, o)
}
}
return out
}
func OrdersActive(in []Order) []Order {
return OrdersFilter(in, IsActiveOrder)
}
func OrdersFilled(in []Order) (out []Order) {
return OrdersFilter(in, func(o Order) bool {
return o.Status == OrderStatusFilled
})
}
func OrdersAll(orders []Order, f func(o Order) bool) bool {
for _, o := range orders {
if !f(o) {
return false
}
}
return true
}
func OrdersAny(orders []Order, f func(o Order) bool) bool {
for _, o := range orders {
if f(o) {
return true
}
}
return false
}
func IsActiveOrder(o Order) bool {
return o.Status == OrderStatusNew || o.Status == OrderStatusPartiallyFilled
}