[All] Add AmendOrder

broker.go

@@ -5,15 +5,37 @@ import (
 )
 
 type Broker interface {
+	// 订阅事件
 	Subscribe(event string, param string, listener interface{})
+
+	// 获取账号信息
 	GetAccountSummary(currency string) (result AccountSummary, err error)
+
+	// 获取订单薄(OrderBook)
 	GetOrderBook(symbol string, depth int) (result OrderBook, err error)
-	PlaceOrder(symbol string, direction Direction, orderType OrderType, price float64, amount float64,
+
+	// 下单
+	PlaceOrder(symbol string, direction Direction, orderType OrderType, price float64, size float64,
 		postOnly bool, reduceOnly bool) (result Order, err error)
+
+	// 获取活跃委托单列表
 	GetOpenOrders(symbol string) (result []Order, err error)
+
+	// 获取委托信息
 	GetOrder(symbol string, id string) (result Order, err error)
+
+	// 撤销全部委托单
 	CancelAllOrders(symbol string) (err error)
+
+	// 撤销单个委托单
 	CancelOrder(symbol string, id string) (result Order, err error)
+
+	// 修改委托
+	AmendOrder(symbol string, id string, price float64, size float64) (result Order, err error)
+
+	// 获取持仓
 	GetPosition(symbol string) (result Position, err error)
+
+	// 运行一次(回测系统调用)
 	RunEventLoopOnce() (err error) // Run sim match for backtest only
 }

brokers/bitmex-broker/broker.go

@@ -51,7 +51,7 @@ func (b *BitMEXBroker) GetOrderBook(symbol string, depth int) (result OrderBook,
 }
 
 func (b *BitMEXBroker) PlaceOrder(symbol string, direction Direction, orderType OrderType, price float64,
-	amount float64, postOnly bool, reduceOnly bool) (result Order, err error) {
+	size float64, postOnly bool, reduceOnly bool) (result Order, err error) {
 	var side string
 	var _orderType string
 	if direction == Buy {
@@ -75,7 +75,7 @@ func (b *BitMEXBroker) PlaceOrder(symbol string, direction Direction, orderType
 		execInst += "ReduceOnly"
 	}
 	var order swagger.Order
-	order, err = b.client.PlaceOrder(side, _orderType, 0, price, int32(amount), "", execInst, symbol)
+	order, err = b.client.PlaceOrder(side, _orderType, 0, price, int32(size), "", execInst, symbol)
 	if err != nil {
 		return
 	}
@@ -120,6 +120,16 @@ func (b *BitMEXBroker) CancelAllOrders(symbol string) (err error) {
 	return
 }
 
+func (b *BitMEXBroker) AmendOrder(symbol string, id string, price float64, size float64) (result Order, err error) {
+	var resp swagger.Order
+	resp, err = b.client.AmendOrder2(id, "", "", 0, float32(size), 0, 0, price, 0, 0, "")
+	if err != nil {
+		return
+	}
+	result = b.convertOrder(&resp)
+	return
+}
+
 func (b *BitMEXBroker) GetPosition(symbol string) (result Position, err error) {
 	var ret swagger.Position
 	ret, err = b.client.GetPosition(symbol)
@@ -136,7 +146,7 @@ func (b *BitMEXBroker) convertOrder(order *swagger.Order) (result Order) {
 	result.ID = order.OrderID
 	result.Symbol = order.Symbol
 	result.Price = order.Price
-	result.Amount = float64(order.OrderQty)
+	result.Size = float64(order.OrderQty)
 	result.Direction = b.convertDirection(order.Side)
 	result.Type = b.convertOrderType(order.OrdType)
 	result.AvgPrice = order.AvgPx

brokers/bitmex-sim-broker/simbroker.go

@@ -74,14 +74,14 @@ func (b *BitMEXSimBroker) GetOrderBook(symbol string, depth int) (result OrderBo
 }
 
 func (b *BitMEXSimBroker) PlaceOrder(symbol string, direction Direction, orderType OrderType, price float64,
-	amount float64, postOnly bool, reduceOnly bool) (result Order, err error) {
+	size float64, postOnly bool, reduceOnly bool) (result Order, err error) {
 	_id, _ := util2.NextID()
 	id := fmt.Sprintf("%v", _id)
 	order := &Order{
 		ID:           id,
 		Symbol:       symbol,
 		Price:        price,
-		Amount:       amount,
+		Size:         size,
 		AvgPrice:     0,
 		FilledAmount: 0,
 		Direction:    direction,
@@ -130,7 +130,7 @@ func (b *BitMEXSimBroker) matchMarketOrder(order *Order) (err error) {
 	//最大委托数量	10,000,000
 	//最小合约数量	1
 
-	if order.Amount > OrderSizeLimit {
+	if order.Size > OrderSizeLimit {
 		err = errors.New("Rejected, maximum size of order is 1,000,000")
 		return
 	}
@@ -143,18 +143,18 @@ func (b *BitMEXSimBroker) matchMarketOrder(order *Order) (err error) {
 	// leverage := sizeCurrency / margin
 	// 需要满足: sizeCurrency <= margin * 100
 	// 可开仓数量: <= margin * 100 * price(ask/bid)
-	var maxAmount float64
+	var maxSize float64
 
 	// 市价成交
 	if order.Direction == Buy {
-		maxAmount = margin * 100 * tick.Ask
-		if order.Amount > maxAmount {
-			err = errors.New(fmt.Sprintf("Rejected, maximum size of future position is %v", maxAmount))
+		maxSize = margin * 100 * tick.Ask
+		if order.Size > maxSize {
+			err = errors.New(fmt.Sprintf("Rejected, maximum size of future position is %v", maxSize))
 			return
 		}
 
 		price := tick.Ask
-		size := order.Amount
+		size := order.Size
 
 		// trade fee
 		fee := size / price * b.takerFeeRate
@@ -165,14 +165,14 @@ func (b *BitMEXSimBroker) matchMarketOrder(order *Order) (err error) {
 		// Update position
 		b.updatePosition(order.Symbol, size, price)
 	} else if order.Direction == Sell {
-		maxAmount = margin * 100 * tick.Bid
-		if order.Amount > maxAmount {
-			err = errors.New(fmt.Sprintf("Rejected, maximum size of future position is %v", maxAmount))
+		maxSize = margin * 100 * tick.Bid
+		if order.Size > maxSize {
+			err = errors.New(fmt.Sprintf("Rejected, maximum size of future position is %v", maxSize))
 			return
 		}
 
 		price := tick.Bid
-		size := order.Amount
+		size := order.Size
 
 		// trade fee
 		fee := size / price * b.takerFeeRate
@@ -200,7 +200,7 @@ func (b *BitMEXSimBroker) matchLimitOrder(order *Order, immediate bool) (err err
 			}
 
 			// match trade
-			size := order.Amount
+			size := order.Size
 			var fee float64
 
 			// trade fee
@@ -224,7 +224,7 @@ func (b *BitMEXSimBroker) matchLimitOrder(order *Order, immediate bool) (err err
 			}
 
 			// match trade
-			size := order.Amount
+			size := order.Size
 			var fee float64
 
 			// trade fee
@@ -406,6 +406,10 @@ func (b *BitMEXSimBroker) CancelAllOrders(symbol string) (err error) {
 	return
 }
 
+func (b *BitMEXSimBroker) AmendOrder(symbol string, id string, price float64, size float64) (result Order, err error) {
+	return
+}
+
 func (b *BitMEXSimBroker) GetPosition(symbol string) (result Position, err error) {
 	position, ok := b.positions[symbol]
 	if !ok {

brokers/bybit-broker/broker.go

@@ -54,7 +54,7 @@ func (b *BybitBroker) GetOrderBook(symbol string, depth int) (result OrderBook,
 }
 
 func (b *BybitBroker) PlaceOrder(symbol string, direction Direction, orderType OrderType, price float64,
-	amount float64, postOnly bool, reduceOnly bool) (result Order, err error) {
+	size float64, postOnly bool, reduceOnly bool) (result Order, err error) {
 	var side string
 	var _orderType string
 	var timeInForce string
@@ -76,7 +76,7 @@ func (b *BybitBroker) PlaceOrder(symbol string, direction Direction, orderType O
 		timeInForce = "GoodTillCancel"
 	}
 	var order rest.Order
-	order, err = b.client.CreateOrder(side, _orderType, price, int(amount), timeInForce, reduceOnly, symbol)
+	order, err = b.client.CreateOrder(side, _orderType, price, int(size), timeInForce, reduceOnly, symbol)
 	if err != nil {
 		return
 	}
@@ -127,6 +127,10 @@ func (b *BybitBroker) CancelAllOrders(symbol string) (err error) {
 	return
 }
 
+func (b *BybitBroker) AmendOrder(symbol string, id string, price float64, size float64) (result Order, err error) {
+	return
+}
+
 func (b *BybitBroker) GetPosition(symbol string) (result Position, err error) {
 	var ret rest.Position
 	ret, err = b.client.GetPosition(symbol)
@@ -143,7 +147,7 @@ func (b *BybitBroker) convertOrder(order *rest.Order) (result Order) {
 	result.ID = order.OrderID
 	result.Symbol = order.Symbol
 	result.Price = order.Price
-	result.Amount = order.Qty
+	result.Size = order.Qty
 	result.Direction = b.convertDirection(order.Side)
 	result.Type = b.convertOrderType(order.OrderType)
 	if order.CumExecQty > 0 && order.CumExecValue > 0 {

brokers/deribit-broker/broker.go

@@ -94,7 +94,7 @@ func (b *DiribitBroker) GetOrderBook(symbol string, depth int) (result OrderBook
 }
 
 func (b *DiribitBroker) PlaceOrder(symbol string, direction Direction, orderType OrderType, price float64,
-	amount float64, postOnly bool, reduceOnly bool) (result Order, err error) {
+	size float64, postOnly bool, reduceOnly bool) (result Order, err error) {
 	var _orderType string
 	if orderType == OrderTypeLimit {
 		_orderType = models.OrderTypeLimit
@@ -105,7 +105,7 @@ func (b *DiribitBroker) PlaceOrder(symbol string, direction Direction, orderType
 		var ret models.BuyResponse
 		ret, err = b.client.Buy(&models.BuyParams{
 			InstrumentName: symbol,
-			Amount:         amount,
+			Amount:         size,
 			Type:           _orderType,
 			//Label:          "",
 			Price: price,
@@ -125,7 +125,7 @@ func (b *DiribitBroker) PlaceOrder(symbol string, direction Direction, orderType
 		var ret models.SellResponse
 		ret, err = b.client.Sell(&models.SellParams{
 			InstrumentName: symbol,
-			Amount:         amount,
+			Amount:         size,
 			Type:           _orderType,
 			//Label:          "",
 			Price: price,
@@ -189,6 +189,30 @@ func (b *DiribitBroker) CancelAllOrders(symbol string) (err error) {
 	return
 }
 
+func (b *DiribitBroker) AmendOrder(symbol string, id string, price float64, size float64) (result Order, err error) {
+	params := &models.EditParams{
+		OrderID:   "",
+		Amount:    0,
+		Price:     0,
+		PostOnly:  false,
+		Advanced:  "",
+		StopPrice: 0,
+	}
+	if price > 0 {
+		params.Price = price
+	}
+	if size > 0 {
+		params.Amount = size
+	}
+	var resp models.EditResponse
+	resp, err = b.client.Edit(params)
+	if err != nil {
+		return
+	}
+	result = b.convertOrder(&resp.Order)
+	return
+}
+
 func (b *DiribitBroker) GetPosition(symbol string) (result Position, err error) {
 	var ret models.Position
 	ret, err = b.client.GetPosition(&models.GetPositionParams{InstrumentName: symbol})
@@ -205,7 +229,7 @@ func (b *DiribitBroker) convertOrder(order *models.Order) (result Order) {
 	result.ID = order.OrderID
 	result.Symbol = order.InstrumentName
 	result.Price = order.Price.ToFloat64()
-	result.Amount = order.Amount
+	result.Size = order.Amount
 	result.Direction = b.convertDirection(order.Direction)
 	result.Type = b.convertOrderType(order.OrderType)
 	result.AvgPrice = order.AveragePrice

brokers/deribit-sim-broker/simbroker.go

@@ -76,14 +76,14 @@ func (b *DiribitSimBroker) GetOrderBook(symbol string, depth int) (result OrderB
 }
 
 func (b *DiribitSimBroker) PlaceOrder(symbol string, direction Direction, orderType OrderType, price float64,
-	amount float64, postOnly bool, reduceOnly bool) (result Order, err error) {
+	size float64, postOnly bool, reduceOnly bool) (result Order, err error) {
 	_id, _ := util2.NextID()
 	id := fmt.Sprintf("%v", _id)
 	order := &Order{
 		ID:           id,
 		Symbol:       symbol,
 		Price:        price,
-		Amount:       amount,
+		Size:         size,
 		AvgPrice:     0,
 		FilledAmount: 0,
 		Direction:    direction,
@@ -130,15 +130,15 @@ func (b *DiribitSimBroker) matchMarketOrder(order *Order) (err error) {
 	// Invalid size - not multiple of contract size ($10)
 	// 数量必须是10的整数倍
 
-	if int(order.Amount)%10 != 0 {
+	if int(order.Size)%10 != 0 {
 		err = errors.New("Invalid size - not multiple of contract size ($10)")
 		return
 	}
 
 	position := b.getPosition(order.Symbol)
 
-	if int(position.Size+order.Amount) > PositionSizeLimit ||
-		int(position.Size-order.Amount) < -PositionSizeLimit {
+	if int(position.Size+order.Size) > PositionSizeLimit ||
+		int(position.Size-order.Size) < -PositionSizeLimit {
 		err = errors.New("Rejected, maximum size of future position is $1,000,000")
 		return
 	}
@@ -151,18 +151,18 @@ func (b *DiribitSimBroker) matchMarketOrder(order *Order) (err error) {
 	// leverage := sizeCurrency / margin
 	// 需要满足: sizeCurrency <= margin * 100
 	// 可开仓数量: <= margin * 100 * price(ask/bid)
-	var maxAmount float64
+	var maxSize float64
 
 	// 市价成交
 	if order.Direction == Buy {
-		maxAmount = margin * 100 * tick.Ask
-		if order.Amount > maxAmount {
-			err = errors.New(fmt.Sprintf("Rejected, maximum size of future position is %v", maxAmount))
+		maxSize = margin * 100 * tick.Ask
+		if order.Size > maxSize {
+			err = errors.New(fmt.Sprintf("Rejected, maximum size of future position is %v", maxSize))
 			return
 		}
 
 		price := tick.Ask
-		size := order.Amount
+		size := order.Size
 
 		// trade fee
 		fee := size / price * b.takerFeeRate
@@ -173,14 +173,14 @@ func (b *DiribitSimBroker) matchMarketOrder(order *Order) (err error) {
 		// Update position
 		b.updatePosition(order.Symbol, size, price)
 	} else if order.Direction == Sell {
-		maxAmount = margin * 100 * tick.Bid
-		if order.Amount > maxAmount {
-			err = errors.New(fmt.Sprintf("Rejected, maximum size of future position is %v", maxAmount))
+		maxSize = margin * 100 * tick.Bid
+		if order.Size > maxSize {
+			err = errors.New(fmt.Sprintf("Rejected, maximum size of future position is %v", maxSize))
 			return
 		}
 
 		price := tick.Bid
-		size := order.Amount
+		size := order.Size
 
 		// trade fee
 		fee := size / price * b.takerFeeRate
@@ -208,7 +208,7 @@ func (b *DiribitSimBroker) matchLimitOrder(order *Order, immediate bool) (err er
 			}
 
 			// match trade
-			size := order.Amount
+			size := order.Size
 			var fee float64
 
 			// trade fee
@@ -232,7 +232,7 @@ func (b *DiribitSimBroker) matchLimitOrder(order *Order, immediate bool) (err er
 			}
 
 			// match trade
-			size := order.Amount
+			size := order.Size
 			var fee float64
 
 			// trade fee
@@ -414,6 +414,10 @@ func (b *DiribitSimBroker) CancelAllOrders(symbol string) (err error) {
 	return
 }
 
+func (b *DiribitSimBroker) AmendOrder(symbol string, id string, price float64, size float64) (result Order, err error) {
+	return
+}
+
 func (b *DiribitSimBroker) GetPosition(symbol string) (result Position, err error) {
 	position, ok := b.positions[symbol]
 	if !ok {