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Add orderbook calculator and verify func

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This commit is contained in:
Adrian Gallagher
2019-06-30 22:09:19 +10:00
parent 7dbfcb311c
commit 7112a89491
14 changed files with 1452 additions and 275 deletions
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74
engine/rpcserver.go
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@@ -664,6 +664,80 @@ func (s *RPCServer) SubmitOrder(ctx context.Context, r *gctrpc.SubmitOrderReques
}, err
}
// SimulateOrder simulates an order specified by exchange, currency pair and asset
// type
func (s *RPCServer) SimulateOrder(ctx context.Context, r *gctrpc.SimulateOrderRequest) (*gctrpc.SimulateOrderResponse, error) {
exch := GetExchangeByName(r.Exchange)
if exch == nil {
return nil, errors.New("exchange is not loaded/doesn't exist")
}
p := currency.NewPairFromStrings(r.Pair.Base, r.Pair.Quote)
o, err := exch.FetchOrderbook(p, asset.Spot)
if err != nil {
return nil, err
}
var buy = true
if !strings.EqualFold(r.Side, exchange.BuyOrderSide.ToString()) &&
!strings.EqualFold(r.Side, exchange.BidOrderSide.ToString()) {
buy = false
}
result := o.SimulateOrder(r.Amount, buy)
var resp gctrpc.SimulateOrderResponse
for x := range result.Orders {
resp.Orders = append(resp.Orders, &gctrpc.OrderbookItem{
Price: result.Orders[x].Price,
Amount: result.Orders[x].Amount,
})
}
resp.Amount = result.Amount
resp.MaximumPrice = result.MaximumPrice
resp.MinimumPrice = result.MinimumPrice
resp.PercentageGainLoss = result.PercentageGainOrLoss
resp.Status = result.Status
return &resp, nil
}
// WhaleBomb finds the amount required to reach a specific price target for a given exchange, pair
// and asset type
func (s *RPCServer) WhaleBomb(ctx context.Context, r *gctrpc.WhaleBombRequest) (*gctrpc.SimulateOrderResponse, error) {
exch := GetExchangeByName(r.Exchange)
if exch == nil {
return nil, errors.New("exchange is not loaded/doesn't exist")
}
p := currency.NewPairFromStrings(r.Pair.Base, r.Pair.Quote)
o, err := exch.FetchOrderbook(p, asset.Spot)
if err != nil {
return nil, err
}
var buy = true
if !strings.EqualFold(r.Side, exchange.BuyOrderSide.ToString()) &&
!strings.EqualFold(r.Side, exchange.BidOrderSide.ToString()) {
buy = false
}
result, err := o.WhaleBomb(r.PriceTarget, buy)
var resp gctrpc.SimulateOrderResponse
for x := range result.Orders {
resp.Orders = append(resp.Orders, &gctrpc.OrderbookItem{
Price: result.Orders[x].Price,
Amount: result.Orders[x].Amount,
})
}
resp.Amount = result.Amount
resp.MaximumPrice = result.MaximumPrice
resp.MinimumPrice = result.MinimumPrice
resp.PercentageGainLoss = result.PercentageGainOrLoss
resp.Status = result.Status
return &resp, err
}
// CancelOrder cancels an order specified by exchange, currency pair and asset
// type
func (s *RPCServer) CancelOrder(ctx context.Context, r *gctrpc.CancelOrderRequest) (*gctrpc.CancelOrderResponse, error) {