core

Documentation

Index

• Constants
• type OrderStore
  • func NewOrderStore(symbol string) *OrderStore
  • func (s *OrderStore) Add(orders ...types.Order)
  • func (s *OrderStore) AllFilled() bool
  • func (s *OrderStore) BindStream(stream types.Stream)
  • func (s *OrderStore) Exists(oID uint64) (ok bool)
  • func (s *OrderStore) Get(oID uint64) (order types.Order, ok bool)
  • func (s *OrderStore) HandleOrderUpdate(order types.Order)
  • func (s *OrderStore) NumOfOrders() (num int)
  • func (s *OrderStore) Orders() (orders []types.Order)
  • func (s *OrderStore) Remove(o types.Order)
  • func (s *OrderStore) Update(o types.Order) bool
• type TradeCollector
  • func NewTradeCollector(symbol string, position *types.Position, orderStore *OrderStore) *TradeCollector
  • func (c *TradeCollector) BindStream(stream types.Stream)
  • func (c *TradeCollector) BindStreamForBackground(stream types.Stream)
  • func (c *TradeCollector) Emit()
  • func (c *TradeCollector) EmitPositionUpdate(position *types.Position)
  • func (c *TradeCollector) EmitProfit(trade types.Trade, profit *types.Profit)
  • func (c *TradeCollector) EmitRecover(trade types.Trade)
  • func (c *TradeCollector) EmitTrade(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value)
  • func (c *TradeCollector) OnPositionUpdate(cb func(position *types.Position))
  • func (c *TradeCollector) OnProfit(cb func(trade types.Trade, profit *types.Profit))
  • func (c *TradeCollector) OnRecover(cb func(trade types.Trade))
  • func (c *TradeCollector) OnTrade(...)
  • func (c *TradeCollector) OrderStore() *OrderStore
  • func (c *TradeCollector) Position() *types.Position
  • func (c *TradeCollector) Process() bool
  • func (c *TradeCollector) ProcessTrade(trade types.Trade) bool
  • func (c *TradeCollector) QueueTrade(trade types.Trade)
  • func (c *TradeCollector) Recover(ctx context.Context, ex types.ExchangeTradeHistoryService, symbol string, ...) error
  • func (c *TradeCollector) RecoverTrade(td types.Trade) bool
  • func (c *TradeCollector) Run(ctx context.Context)
  • func (c *TradeCollector) SetPosition(position *types.Position)
  • func (c *TradeCollector) TradeStore() *TradeStore
• type TradeFilter
• type TradeStore
  • func NewTradeStore() *TradeStore
  • func (s *TradeStore) Add(trades ...types.Trade)
  • func (s *TradeStore) BindStream(stream types.Stream)
  • func (s *TradeStore) Clear()
  • func (s *TradeStore) Exists(oID uint64) (ok bool)
  • func (s *TradeStore) Filter(filter TradeFilter)
  • func (s *TradeStore) GetAndClear() (trades []types.Trade)
  • func (s *TradeStore) GetOrderTrades(o types.Order) (trades []types.Trade)
  • func (s *TradeStore) Num() (num int)
  • func (s *TradeStore) Prune(curTime time.Time)
  • func (s *TradeStore) Trades() (trades []types.Trade)

Constants

const CoolTradePeriod = 1 * time.Hour

const MaximumTradeStoreSize = 1_000

const TradeExpiryTime = 3 * time.Hour

Types

type OrderStore

type OrderStore struct {
	Symbol string

	// RemoveCancelled removes the canceled order when receiving a cancel order update event
	// It also removes the order even if it's partially filled
	// by default, only 0 filled canceled order will be removed.
	RemoveCancelled bool

	// RemoveFilled removes the fully filled order when receiving a filled order update event
	RemoveFilled bool

	// AddOrderUpdate adds the order into the store when receiving an order update when the order does not exist in the current store.
	AddOrderUpdate bool
	C              chan types.Order
	// contains filtered or unexported fields
}

func NewOrderStore

func NewOrderStore(symbol string) *OrderStore

func (*OrderStore) Add

func (s *OrderStore) Add(orders ...types.Order)

func (*OrderStore) AllFilled

func (s *OrderStore) AllFilled() bool

func (*OrderStore) BindStream

func (s *OrderStore) BindStream(stream types.Stream)

func (*OrderStore) Exists

func (s *OrderStore) Exists(oID uint64) (ok bool)

func (*OrderStore) Get

func (s *OrderStore) Get(oID uint64) (order types.Order, ok bool)

Get a single order from the order store by order ID Should check ok to make sure the order is returned successfully

func (*OrderStore) HandleOrderUpdate

func (s *OrderStore) HandleOrderUpdate(order types.Order)

func (*OrderStore) NumOfOrders

func (s *OrderStore) NumOfOrders() (num int)

func (*OrderStore) Orders

func (s *OrderStore) Orders() (orders []types.Order)

func (*OrderStore) Remove

func (s *OrderStore) Remove(o types.Order)

func (*OrderStore) Update

func (s *OrderStore) Update(o types.Order) bool

type TradeCollector

type TradeCollector struct {
	Symbol string
	// contains filtered or unexported fields
}

func NewTradeCollector

func NewTradeCollector(symbol string, position *types.Position, orderStore *OrderStore) *TradeCollector

func (*TradeCollector) BindStream

func (c *TradeCollector) BindStream(stream types.Stream)

func (*TradeCollector) BindStreamForBackground

func (c *TradeCollector) BindStreamForBackground(stream types.Stream)

BindStreamForBackground bind the stream callback for background processing

func (*TradeCollector) Emit

func (c *TradeCollector) Emit()

Emit triggers the trade processing (position update) If you sent order, and the order store is updated, you can call this method so that trades will be processed in the next round of the goroutine loop

func (*TradeCollector) EmitPositionUpdate

func (c *TradeCollector) EmitPositionUpdate(position *types.Position)

func (*TradeCollector) EmitProfit

func (c *TradeCollector) EmitProfit(trade types.Trade, profit *types.Profit)

func (*TradeCollector) EmitRecover

func (c *TradeCollector) EmitRecover(trade types.Trade)

func (*TradeCollector) EmitTrade

func (c *TradeCollector) EmitTrade(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value)

func (*TradeCollector) OnPositionUpdate

func (c *TradeCollector) OnPositionUpdate(cb func(position *types.Position))

func (*TradeCollector) OnProfit

func (c *TradeCollector) OnProfit(cb func(trade types.Trade, profit *types.Profit))

func (*TradeCollector) OnRecover

func (c *TradeCollector) OnRecover(cb func(trade types.Trade))

func (*TradeCollector) OnTrade

func (c *TradeCollector) OnTrade(cb func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value))

func (*TradeCollector) OrderStore

func (c *TradeCollector) OrderStore() *OrderStore

OrderStore returns the order store used by the trade collector

func (*TradeCollector) Position

func (c *TradeCollector) Position() *types.Position

Position returns the position used by the trade collector

func (*TradeCollector) Process

func (c *TradeCollector) Process() bool

Process filters the received trades and see if there are orders matching the trades if we have the order in the order store, then the trade will be considered for the position. profit will also be calculated.

func (*TradeCollector) ProcessTrade

func (c *TradeCollector) ProcessTrade(trade types.Trade) bool

return true when the given trade is added return false when the given trade is not added

func (*TradeCollector) QueueTrade

func (c *TradeCollector) QueueTrade(trade types.Trade)

QueueTrade sends the trade object to the trade channel, so that the goroutine can receive the trade and process in the background.

func (*TradeCollector) Recover

func (c *TradeCollector) Recover(
	ctx context.Context, ex types.ExchangeTradeHistoryService, symbol string, from time.Time,
) error

func (*TradeCollector) RecoverTrade

func (c *TradeCollector) RecoverTrade(td types.Trade) bool

func (*TradeCollector) Run

func (c *TradeCollector) Run(ctx context.Context)

Run is a goroutine executed in the background Do not use this function if you need back-testing

func (*TradeCollector) SetPosition

func (c *TradeCollector) SetPosition(position *types.Position)

func (*TradeCollector) TradeStore

func (c *TradeCollector) TradeStore() *TradeStore

type TradeFilter

type TradeFilter func(trade types.Trade) bool

type TradeStore

type TradeStore struct {
	// any created trades for tracking trades
	sync.Mutex

	EnablePrune bool
	// contains filtered or unexported fields
}

func NewTradeStore

func NewTradeStore() *TradeStore

func (*TradeStore) Add

func (s *TradeStore) Add(trades ...types.Trade)

func (*TradeStore) BindStream

func (s *TradeStore) BindStream(stream types.Stream)

func (*TradeStore) Clear

func (s *TradeStore) Clear()

func (*TradeStore) Exists

func (s *TradeStore) Exists(oID uint64) (ok bool)

func (*TradeStore) Filter

func (s *TradeStore) Filter(filter TradeFilter)

Filter filters the trades by a given TradeFilter function

func (*TradeStore) GetAndClear

func (s *TradeStore) GetAndClear() (trades []types.Trade)

func (*TradeStore) GetOrderTrades

func (s *TradeStore) GetOrderTrades(o types.Order) (trades []types.Trade)

GetOrderTrades finds the trades match order id matches to the given order

func (*TradeStore) Num

func (s *TradeStore) Num() (num int)

func (*TradeStore) Prune

func (s *TradeStore) Prune(curTime time.Time)

Prune prunes trades that are older than the expiry time see TradeExpiryTime (3 hours)

func (*TradeStore) Trades

func (s *TradeStore) Trades() (trades []types.Trade)