Update interfaces

models/accountsummary.go → accountsummary.go

@@ -1,4 +1,4 @@
-package models
+package gotrader
 
 type AccountSummary struct {
 	Balance float64

backtest/backtest.go

@@ -57,8 +57,8 @@ func (b *Backtest) runEventLoopOnce() {
 }
 
 func (b *Backtest) addItemStats() {
-	tick := b.data.GetTick()
-	tm := tick.Timestamp
+	ob := b.data.GetOrderBook()
+	tm := ob.Time
 	update := false
 	timestamp := time.Date(tm.Year(), tm.Month(), tm.Day(), tm.Hour(), tm.Minute()+1, 0, 0, time.UTC)
 	var lastItem *LogItem
@@ -73,17 +73,17 @@ func (b *Backtest) addItemStats() {
 	var item *LogItem
 	if update {
 		item = lastItem
-		item.RawTime = tick.Timestamp
-		item.Ask = tick.Ask
-		item.Bid = tick.Bid
+		item.RawTime = ob.Time
+		item.Ask = ob.AskPrice()
+		item.Bid = ob.BidPrice()
 		item.Stats = nil
 		b.fetchItemStats(item)
 	} else {
 		item = &LogItem{
 			Time:    timestamp,
-			RawTime: tick.Timestamp,
-			Ask:     tick.Ask,
-			Bid:     tick.Bid,
+			RawTime: ob.Time,
+			Ask:     ob.AskPrice(),
+			Bid:     ob.BidPrice(),
 			Stats:   nil,
 		}
 		b.fetchItemStats(item)

models/bar.go → bar.go

@@ -1,4 +1,4 @@
-package models
+package gotrader
 
 type Bar struct {
 	Event

broker.go

@@ -1,9 +1,5 @@
 package gotrader
 
-import (
-	. "github.com/coinrust/gotrader/models"
-)
-
 type Broker interface {
 	// 订阅事件
 	Subscribe(event string, param string, listener interface{})

brokers/bitmex-broker/broker.go

@@ -1,7 +1,7 @@
 package bitmex_broker
 
 import (
-	. "github.com/coinrust/gotrader/models"
+	. "github.com/coinrust/gotrader"
 	"github.com/frankrap/bitmex-api"
 	"github.com/frankrap/bitmex-api/swagger"
 	"strings"

brokers/bitmex-broker/broker_test.go

@@ -1,7 +1,7 @@
 package bitmex_broker
 
 import (
-	"github.com/coinrust/gotrader/models"
+	. "github.com/coinrust/gotrader"
 	"github.com/frankrap/bitmex-api"
 	"testing"
 )
@@ -26,7 +26,7 @@ func TestBitMEXBroker_GetOrderBook(t *testing.T) {
 
 func TestBitMEXBroker_PlaceOrder(t *testing.T) {
 	b := newBrokerForTest()
-	order, err := b.PlaceOrder("XBTUSD", models.Buy, models.OrderTypeLimit, 8000, 10, true, false)
+	order, err := b.PlaceOrder("XBTUSD", Buy, OrderTypeLimit, 8000, 0, 10, true, false)
 	if err != nil {
 		t.Error(err)
 		return

brokers/bitmex-sim-broker/helper.go

@@ -1,11 +1,13 @@
 package bitmex_sim_broker
 
-import "github.com/coinrust/gotrader/models"
+import (
+	"github.com/coinrust/gotrader"
+)
 
 // 计算收益
 // pnl: 收益(BTC/ETH)
 // pnlUsd: 收益(USD)
-func CalcPnl(side models.Direction, positionSize float64, entryPrice float64, exitPrice float64) (pnl float64, pnlUsd float64) {
+func CalcPnl(side gotrader.Direction, positionSize float64, entryPrice float64, exitPrice float64) (pnl float64, pnlUsd float64) {
 	//side := "Short" // "Short"
 	//positionSize := 3850.0
 	//entryPrice := 3850.0
@@ -15,10 +17,10 @@ func CalcPnl(side models.Direction, positionSize float64, entryPrice float64, ex
 	if positionSize == 0 {
 		return
 	}
-	if side == models.Buy {
+	if side == gotrader.Buy {
 		pnl = (((entryPrice - exitPrice) / exitPrice) * (positionSize / entryPrice)) * -1
 		pnlUsd = ((entryPrice - exitPrice) * (positionSize / entryPrice)) * -1
-	} else if side == models.Sell {
+	} else if side == gotrader.Sell {
 		pnl = ((entryPrice - exitPrice) / exitPrice) * (positionSize / entryPrice)
 		pnlUsd = (entryPrice - exitPrice) * (positionSize / entryPrice)
 	}

brokers/bitmex-sim-broker/simbroker.go

@@ -3,8 +3,8 @@ package bitmex_sim_broker
 import (
 	"errors"
 	"fmt"
+	. "github.com/coinrust/gotrader"
 	"github.com/coinrust/gotrader/data"
-	. "github.com/coinrust/gotrader/models"
 	"github.com/coinrust/gotrader/util2"
 	"log"
 	"math"
@@ -46,12 +46,12 @@ func (b *BitMEXSimBroker) GetAccountSummary(currency string) (result AccountSumm
 	}
 	position := b.getPosition(symbol)
 	var price float64
-	tick := b.data.GetTick()
+	ob := b.data.GetOrderBook()
 	side := position.Side()
 	if side == Buy {
-		price = tick.Ask
+		price = ob.AskPrice()
 	} else if side == Sell {
-		price = tick.Bid
+		price = ob.BidPrice()
 	}
 	pnl, _ := CalcPnl(side, math.Abs(position.Size), position.AvgPrice, price)
 	result.Pnl = pnl
@@ -60,16 +60,7 @@ func (b *BitMEXSimBroker) GetAccountSummary(currency string) (result AccountSumm
 }
 
 func (b *BitMEXSimBroker) GetOrderBook(symbol string, depth int) (result OrderBook, err error) {
-	tick := b.data.GetTick()
-	result.Time = tick.Timestamp
-	result.Asks = []Item{{
-		Price:  tick.Ask,
-		Amount: float64(tick.AskVolume),
-	}}
-	result.Bids = []Item{{
-		Price:  tick.Bid,
-		Amount: float64(tick.BidVolume),
-	}}
+	result = *b.data.GetOrderBook()
 	return
 }
 
@@ -135,7 +126,7 @@ func (b *BitMEXSimBroker) matchMarketOrder(order *Order) (err error) {
 		return
 	}
 
-	tick := b.data.GetTick()
+	ob := b.data.GetOrderBook()
 
 	// 判断开仓数量
 	margin := b.balance
@@ -147,13 +138,13 @@ func (b *BitMEXSimBroker) matchMarketOrder(order *Order) (err error) {
 
 	// 市价成交
 	if order.Direction == Buy {
-		maxSize = margin * 100 * tick.Ask
+		maxSize = margin * 100 * ob.AskPrice()
 		if order.Size > maxSize {
 			err = errors.New(fmt.Sprintf("Rejected, maximum size of future position is %v", maxSize))
 			return
 		}
 
-		price := tick.Ask
+		price := ob.AskPrice()
 		size := order.Size
 
 		// trade fee
@@ -165,13 +156,13 @@ func (b *BitMEXSimBroker) matchMarketOrder(order *Order) (err error) {
 		// Update position
 		b.updatePosition(order.Symbol, size, price)
 	} else if order.Direction == Sell {
-		maxSize = margin * 100 * tick.Bid
+		maxSize = margin * 100 * ob.BidPrice()
 		if order.Size > maxSize {
 			err = errors.New(fmt.Sprintf("Rejected, maximum size of future position is %v", maxSize))
 			return
 		}
 
-		price := tick.Bid
+		price := ob.BidPrice()
 		size := order.Size
 
 		// trade fee
@@ -191,9 +182,9 @@ func (b *BitMEXSimBroker) matchLimitOrder(order *Order, immediate bool) (err err
 		return
 	}
 
-	tick := b.data.GetTick()
+	ob := b.data.GetOrderBook()
 	if order.Direction == Buy { // Bid order
-		if order.Price >= tick.Ask {
+		if order.Price >= ob.AskPrice() {
 			if immediate && order.PostOnly {
 				order.Status = OrderStatusRejected
 				return
@@ -217,7 +208,7 @@ func (b *BitMEXSimBroker) matchLimitOrder(order *Order, immediate bool) (err err
 			b.updatePosition(order.Symbol, size, order.Price)
 		}
 	} else { // Ask order
-		if order.Price <= tick.Bid {
+		if order.Price <= ob.BidPrice() {
 			if immediate && order.PostOnly {
 				order.Status = OrderStatusRejected
 				return

brokers/bybit-broker/broker.go

@@ -2,7 +2,7 @@ package bybit_broker
 
 import (
 	"errors"
-	. "github.com/coinrust/gotrader/models"
+	. "github.com/coinrust/gotrader"
 	"github.com/frankrap/bybit-api/rest"
 	"strings"
 )

brokers/deribit-broker/broker.go

@@ -2,7 +2,7 @@ package deribit_broker
 
 import (
 	"github.com/chuckpreslar/emission"
-	. "github.com/coinrust/gotrader/models"
+	. "github.com/coinrust/gotrader"
 	"github.com/frankrap/deribit-api"
 	"github.com/frankrap/deribit-api/models"
 	"time"
@@ -96,6 +96,7 @@ func (b *DiribitBroker) GetOrderBook(symbol string, depth int) (result OrderBook
 func (b *DiribitBroker) PlaceOrder(symbol string, direction Direction, orderType OrderType, price float64,
 	stopPx float64, size float64, postOnly bool, reduceOnly bool) (result Order, err error) {
 	var _orderType string
+	var trigger string
 	if orderType == OrderTypeLimit {
 		_orderType = models.OrderTypeLimit
 		stopPx = 0
@@ -104,8 +105,10 @@ func (b *DiribitBroker) PlaceOrder(symbol string, direction Direction, orderType
 		stopPx = 0
 	} else if orderType == OrderTypeStopLimit {
 		_orderType = models.OrderTypeStopLimit
+		trigger = models.TriggerTypeLastPrice
 	} else if orderType == OrderTypeStopMarket {
 		_orderType = models.OrderTypeStopMarket
+		trigger = models.TriggerTypeLastPrice
 	}
 	if direction == Buy {
 		var ret models.BuyResponse
@@ -120,7 +123,7 @@ func (b *DiribitBroker) PlaceOrder(symbol string, direction Direction, orderType
 			PostOnly:   postOnly,
 			ReduceOnly: reduceOnly,
 			StopPrice:  stopPx,
-			//Trigger:        "",
+			Trigger:    trigger,
 			//Advanced:       "",
 		})
 		if err != nil {
@@ -140,7 +143,7 @@ func (b *DiribitBroker) PlaceOrder(symbol string, direction Direction, orderType
 			PostOnly:   postOnly,
 			ReduceOnly: reduceOnly,
 			StopPrice:  stopPx,
-			//Trigger:        "",
+			Trigger:    trigger,
 			//Advanced:       "",
 		})
 		if err != nil {

brokers/deribit-broker/broker_test.go

@@ -1,24 +1,27 @@
 package deribit_broker
 
 import (
-	. "github.com/coinrust/gotrader/models"
+	. "github.com/coinrust/gotrader"
 	"github.com/frankrap/deribit-api"
 	"log"
 	"testing"
 	"time"
 )
 
-func TestDiribitBroker_GetOrderBook(t *testing.T) {
+func newBroker() Broker {
 	apiKey := "AsJTU16U"
 	secretKey := "mM5_K8LVxztN6TjjYpv_cJVGQBvk4jglrEpqkw1b87U"
 	b := NewBroker(deribit.TestBaseURL, apiKey, secretKey)
+	return b
+}
+
+func TestDiribitBroker_GetOrderBook(t *testing.T) {
+	b := newBroker()
 	b.GetOrderBook("BTC-PERPETUAL", 10)
 }
 
 func TestDiribitBroker_Subscribe(t *testing.T) {
-	apiKey := "AsJTU16U"
-	secretKey := "mM5_K8LVxztN6TjjYpv_cJVGQBvk4jglrEpqkw1b87U"
-	b := NewBroker(deribit.TestBaseURL, apiKey, secretKey)
+	b := newBroker()
 	//event := "book.ETH-PERPETUAL.100.1.100ms"
 	param := "book.BTC-PERPETUAL.100ms"
 	b.Subscribe("orderbook", param, func(e *OrderBook) {
@@ -29,3 +32,23 @@ func TestDiribitBroker_Subscribe(t *testing.T) {
 		time.Sleep(1 * time.Second)
 	}
 }
+
+func TestDiribitBroker_PlaceStopOrder(t *testing.T) {
+	b := newBroker()
+	order, err := b.PlaceOrder(
+		"BTC-PERPETUAL",
+		Buy,
+		OrderTypeStopMarket,
+		0,
+		8900,
+		10,
+		false,
+		false,
+	)
+	if err != nil {
+		t.Error(err)
+		return
+	}
+	t.Logf("%#v", order)
+	t.Logf("Status: %v", order.Status.String())
+}

brokers/deribit-broker/orderbook_local.go

@@ -1,7 +1,7 @@
 package deribit_broker
 
 import (
-	. "github.com/coinrust/gotrader/models"
+	. "github.com/coinrust/gotrader"
 	"github.com/frankrap/deribit-api/models"
 	"sort"
 	"strconv"

brokers/deribit-broker/orderbook_manager.go

@@ -1,7 +1,7 @@
 package deribit_broker
 
 import (
-	. "github.com/coinrust/gotrader/models"
+	. "github.com/coinrust/gotrader"
 	"github.com/frankrap/deribit-api/models"
 	"sync"
 )

brokers/deribit-sim-broker/helper.go

@@ -1,6 +1,8 @@
 package deribit_sim_broker
 
-import "github.com/coinrust/gotrader/models"
+import (
+	. "github.com/coinrust/gotrader"
+)
 
 //im := (0.01 + sizeCurrency*0.00005) * sizeCurrency
 //t.Logf("IM: %v/%v", 0, im) // 保留9位小数，四舍五入
@@ -12,7 +14,7 @@ import "github.com/coinrust/gotrader/models"
 // 计算收益
 // pnl: 收益(BTC/ETH)
 // pnlUsd: 收益(USD)
-func CalcPnl(side models.Direction, positionSize float64, entryPrice float64, exitPrice float64) (pnl float64, pnlUsd float64) {
+func CalcPnl(side Direction, positionSize float64, entryPrice float64, exitPrice float64) (pnl float64, pnlUsd float64) {
 	//side := "Short" // "Short"
 	//positionSize := 3850.0
 	//entryPrice := 3850.0
@@ -22,10 +24,10 @@ func CalcPnl(side models.Direction, positionSize float64, entryPrice float64, ex
 	if positionSize == 0 {
 		return
 	}
-	if side == models.Buy {
+	if side == Buy {
 		pnl = (((entryPrice - exitPrice) / exitPrice) * (positionSize / entryPrice)) * -1
 		pnlUsd = ((entryPrice - exitPrice) * (positionSize / entryPrice)) * -1
-	} else if side == models.Sell {
+	} else if side == Sell {
 		pnl = ((entryPrice - exitPrice) / exitPrice) * (positionSize / entryPrice)
 		pnlUsd = (entryPrice - exitPrice) * (positionSize / entryPrice)
 	}

brokers/deribit-sim-broker/helper_test.go

@@ -1,15 +1,15 @@
 package deribit_sim_broker
 
 import (
-	"github.com/coinrust/gotrader/models"
+	. "github.com/coinrust/gotrader"
 	"testing"
 )
 
 func TestCalcPnl(t *testing.T) {
 	size := 50.0
 	entryPrice := 10351.5
 	exitPrice := 10348.5
-	pnl, pnlUsd := CalcPnl(models.Buy, size, entryPrice, exitPrice)
+	pnl, pnlUsd := CalcPnl(Buy, size, entryPrice, exitPrice)
 	t.Logf("pnl: %.8f", pnl)
 	t.Logf("pnlUsd: %.8f", pnlUsd)
 }