Merge pull request #1 from unhappychoice/twap-command

TWAP ordering

README.md

@@ -24,11 +24,12 @@ export BITFLYER_API_SECRET=your-bitflyer-api-secret
 
 ```
 Commands:
-  bitflyer cancel_all      # cancel all of orders
-  bitflyer counter_trade   # clear all positions
-  bitflyer help [COMMAND]  # Describe available commands or one specific command
-  bitflyer order_by_best   # create limit order by best price in the board
-  bitflyer summary         # show current balance information
+  bitflyer cancel_all                                          # cancel all of orders
+  bitflyer counter_trade                                       # clear all positions
+  bitflyer help [COMMAND]                                      # Describe available commands or one specific command
+  bitflyer order_by_best -a=amount -t=buy/sell                 # create limit order by best price in the board
+  bitflyer order_by_twap -a=amount -i=second -n=N -t=buy/sell  # trade specified amount N times at specified intervals (TWAP algorithm).
+  bitflyer summary                                             # show current balance information
 ```
 
 ## Contributing

lib/bitflyer/cli.rb

@@ -1,8 +1,9 @@
 require 'thor'
 require 'bitflyer/cli/command/cancel_all_command'
 require 'bitflyer/cli/command/counter_trade_command'
-require 'bitflyer/cli/command/summary_command'
 require 'bitflyer/cli/command/order_by_best_command'
+require 'bitflyer/cli/command/order_by_twap_command'
+require 'bitflyer/cli/command/summary_command'
 
 module Bitflyer
   class CLI < Thor
@@ -11,21 +12,30 @@ def summary
       SummaryCommand.new.run
     end
 
-    desc 'order_by_best', 'create limit order by best price in the board'
-    method_option :amount, aliases: 'a', type: :numeric, banner: 'amount'
-    method_option :type, aliases: 't', type: :string, banner: 'buy or sell'
-    def order_by_best
-      OrderByBestCommand.new.run(options)
+    desc 'cancel_all', 'cancel all of orders'
+    def cancel_all
+      CancelAllCommand.new.run
     end
 
     desc 'counter_trade', 'clear all positions'
     def counter_trade
       CounterTradeCommand.new.run
     end
 
-    desc 'cancel_all', 'cancel all of orders'
-    def cancel_all
-      CancelAllCommand.new.run
+    desc 'order_by_best', 'create limit order by best price in the board'
+    method_option :amount, aliases: 'a', type: :numeric, banner: 'amount', required: true
+    method_option :type, aliases: 't', type: :string, banner: 'buy/sell', required: true
+    def order_by_best
+      OrderByBestCommand.new.run(options)
+    end
+
+    desc 'order_by_twap', 'order by using TWAP algorithm'
+    method_option :amount, aliases: 'a', type: :numeric, banner: 'amount', required: true
+    method_option :type, aliases: 't', type: :string, banner: 'buy/sell', required: true
+    method_option :number_of_times, aliases: 'n', type: :numeric, banner: 'N', required: true
+    method_option :interval, aliases: 'i', type: :numeric, banner: 'second', required: true
+    def order_by_twap
+      OrderByTWAPCommand.new.run(options)
     end
   end
 end

lib/bitflyer/cli/command/order_by_best_command.rb

@@ -6,11 +6,6 @@ class OrderByBestCommand
   def run(options)
     amount = options.amount
     type = options.type
-    if amount == nil || type == nil
-      puts 'You need set amount by -a and type by -t'
-      puts 'ex: bitflyer order_by_best -a 10 -t buy'
-      return
-    end
 
     ticker = http_public_client.ticker('FX_BTC_JPY')
     price = type == 'buy' ? ticker['best_bid'] : ticker['best_ask']

lib/bitflyer/cli/command/order_by_twap_command.rb

@@ -0,0 +1,34 @@
+require 'bitflyer/cli/has_http_client'
+
+class OrderByTWAPCommand
+  include HasHTTPClient
+
+  def run(options)
+    type = options.type
+    amount = options.amount
+    number = options.number_of_times
+    interval = options.interval
+
+    number.to_i.times do |_|
+      order(type, amount)
+      sleep interval
+    end
+  end
+
+  private
+
+  def order(type, amount)
+    response = http_private_client.send_child_order(
+        product_code: 'FX_BTC_JPY',
+        child_order_type: 'MARKET',
+        side: type.upcase,
+        size: amount
+    )
+
+    if response['child_order_acceptance_id'].nil?
+      puts "An error has occurred\n" + response.to_s
+    else
+      puts response.to_s
+    end
+  end
+end