mirror of
https://github.com/d0zingcat/gocryptotrader.git
synced 2026-06-03 07:26:45 +00:00
depth: Add methods to derive liquidity allowances on orderbooks by volume and slippage (#962)
* depth: methods to derive liquidity impact details * depth: fix comments on link list methods * depth: fix whoopsie * Update exchanges/orderbook/linked_list_test.go Co-authored-by: Scott <gloriousCode@users.noreply.github.com> * glorious: nits * orderbook: standardise methods to GCT math package * averagePrice: implementation (WIP) * ll: hmmmmmm * continued * orderbook: reworked functions * WIP * orderbook: add tests link up with RPC * orderbook: refined calculations, add tests (WIP) * orderbook: add tests finalise/verify remove state until next PR if needed * rpcserver/orderbook: remove redundant type and change wording * linter: fix * Update exchanges/orderbook/linked_list.go Co-authored-by: Scott <gloriousCode@users.noreply.github.com> * gctcli: noobed it up * orderbook: work work work (yesterday) * depth: WIP and testing * orderbook: improve calculations for bids traversal * orderbook: adjust tests * orderbook: linters/nits * orderbook: fix error returns and add asset to whalebomb * orderbook: drop error when full book is potentially consumed * Update cmd/gctcli/orderbook.go Co-authored-by: Scott <gloriousCode@users.noreply.github.com> * orderbook: Add tests and nits * glorious: nits * backtester: handle new errors * grpc: linter * orderbook: remove pesky t.Log()s * glorious: nits (yesterday) * depth/gctcli: Add in purchase requirements into orderbook movement, will also standardize in next commit after tests are fixed. * orderbook: standardize and overhaul * orderbook: update comments, update tests * rpcserver: add average ordercost and amounts * depth: add spread and imbalance methods * linter: fix * glorious: nits * orderbook: don't purge price, rn test. * glorious: codes nits * linter: fix * Update exchanges/orderbook/linked_list.go Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> * Update exchanges/orderbook/linked_list.go Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> * Update exchanges/orderbook/linked_list.go Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> * Update exchanges/orderbook/linked_list.go Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> * Update exchanges/orderbook/linked_list.go Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> * thrasher: nits Co-authored-by: Scott <gloriousCode@users.noreply.github.com> Co-authored-by: Ryan O'Hara-Reid <ryan.oharareid@thrasher.io> Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io>
This commit is contained in:
Ryan O'Hara-Reid
GitHub
@@ -1297,7 +1297,11 @@ func (s *RPCServer) SimulateOrder(ctx context.Context, r *gctrpc.SimulateOrderRe
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buy = false
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}
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result := o.SimulateOrder(r.Amount, buy)
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result, err := o.SimulateOrder(r.Amount, buy)
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if err != nil {
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return nil, err
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}
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var resp gctrpc.SimulateOrderResponse
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for x := range result.Orders {
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resp.Orders = append(resp.Orders, &gctrpc.OrderbookItem{
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@@ -1332,12 +1336,17 @@ func (s *RPCServer) WhaleBomb(ctx context.Context, r *gctrpc.WhaleBombRequest) (
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return nil, err
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}
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err = checkParams(r.Exchange, exch, asset.Spot, p)
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a, err := asset.New(r.AssetType)
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if err != nil {
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return nil, err
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}
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o, err := exch.FetchOrderbook(ctx, p, asset.Spot)
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err = checkParams(r.Exchange, exch, a, p)
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if err != nil {
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return nil, err
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}
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o, err := exch.FetchOrderbook(ctx, p, a)
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if err != nil {
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return nil, err
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}
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@@ -5333,3 +5342,226 @@ func (s *RPCServer) GetMarginRatesHistory(ctx context.Context, r *gctrpc.GetMarg
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return resp, nil
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}
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// GetOrderbookMovement using the requested amount simulates a buy or sell and
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// returns the nominal/impact percentages and costings.
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func (s *RPCServer) GetOrderbookMovement(ctx context.Context, r *gctrpc.GetOrderbookMovementRequest) (*gctrpc.GetOrderbookMovementResponse, error) {
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exch, err := s.GetExchangeByName(r.Exchange)
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if err != nil {
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return nil, err
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}
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as, err := asset.New(r.Asset)
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if err != nil {
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return nil, err
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}
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pair, err := currency.NewPairFromStrings(r.Pair.Base, r.Pair.Quote)
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if err != nil {
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return nil, err
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}
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if pair.IsEmpty() {
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return nil, currency.ErrCurrencyPairEmpty
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}
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err = checkParams(r.Exchange, exch, as, pair)
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if err != nil {
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return nil, err
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}
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depth, err := orderbook.GetDepth(exch.GetName(), pair, as)
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if err != nil {
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return nil, err
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}
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isRest, err := depth.IsRESTSnapshot()
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if err != nil {
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return nil, err
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}
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updateProtocol := "WEBSOCKET"
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if isRest {
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updateProtocol = "REST"
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}
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var move *orderbook.Movement
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var bought, sold, side string
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if r.Sell {
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move, err = depth.HitTheBidsFromBest(r.Amount, r.Purchase)
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bought = pair.Quote.Upper().String()
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sold = pair.Base.Upper().String()
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side = order.Bid.String()
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} else {
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move, err = depth.LiftTheAsksFromBest(r.Amount, r.Purchase)
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bought = pair.Base.Upper().String()
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sold = pair.Quote.Upper().String()
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side = order.Ask.String()
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}
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if err != nil {
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return nil, err
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}
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return &gctrpc.GetOrderbookMovementResponse{
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NominalPercentage: move.NominalPercentage,
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ImpactPercentage: move.ImpactPercentage,
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SlippageCost: move.SlippageCost,
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CurrencyBought: bought,
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Bought: move.Purchased,
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CurrencySold: sold,
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Sold: move.Sold,
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SideAffected: side,
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UpdateProtocol: updateProtocol,
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FullOrderbookSideConsumed: move.FullBookSideConsumed,
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NoSlippageOccurred: move.ImpactPercentage == 0,
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StartPrice: move.StartPrice,
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EndPrice: move.EndPrice,
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AverageOrderCost: move.AverageOrderCost,
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}, nil
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}
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// GetOrderbookAmountByNominal using the requested nominal percentage requirement
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// returns the amount on orderbook that can fit without exceeding that value.
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func (s *RPCServer) GetOrderbookAmountByNominal(ctx context.Context, r *gctrpc.GetOrderbookAmountByNominalRequest) (*gctrpc.GetOrderbookAmountByNominalResponse, error) {
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exch, err := s.GetExchangeByName(r.Exchange)
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if err != nil {
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return nil, err
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}
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as, err := asset.New(r.Asset)
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if err != nil {
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return nil, err
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}
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pair, err := currency.NewPairFromStrings(r.Pair.Base, r.Pair.Quote)
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if err != nil {
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return nil, err
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}
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if pair.IsEmpty() {
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return nil, currency.ErrCurrencyPairEmpty
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}
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err = checkParams(r.Exchange, exch, as, pair)
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if err != nil {
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return nil, err
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}
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depth, err := orderbook.GetDepth(exch.GetName(), pair, as)
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if err != nil {
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return nil, err
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}
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isRest, err := depth.IsRESTSnapshot()
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if err != nil {
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return nil, err
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}
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updateProtocol := "WEBSOCKET"
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if isRest {
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updateProtocol = "REST"
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}
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var nominal *orderbook.Movement
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var selling, buying, side string
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if r.Sell {
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nominal, err = depth.HitTheBidsByNominalSlippageFromBest(r.NominalPercentage)
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selling = pair.Upper().Base.String()
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buying = pair.Upper().Quote.String()
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side = order.Bid.String()
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} else {
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nominal, err = depth.LiftTheAsksByNominalSlippageFromBest(r.NominalPercentage)
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buying = pair.Upper().Base.String()
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selling = pair.Upper().Quote.String()
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side = order.Ask.String()
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}
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if err != nil {
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return nil, err
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}
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return &gctrpc.GetOrderbookAmountByNominalResponse{
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AmountRequired: nominal.Sold,
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CurrencySelling: selling,
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AmountReceived: nominal.Purchased,
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CurrencyBuying: buying,
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SideAffected: side,
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ApproximateNominalSlippagePercentage: nominal.NominalPercentage,
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UpdateProtocol: updateProtocol,
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FullOrderbookSideConsumed: nominal.FullBookSideConsumed,
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StartPrice: nominal.StartPrice,
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EndPrice: nominal.EndPrice,
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AverageOrderCost: nominal.AverageOrderCost,
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}, nil
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}
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// GetOrderbookAmountByImpact using the requested impact percentage requirement
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// determines the amount on orderbook that can fit that will slip the orderbook.
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func (s *RPCServer) GetOrderbookAmountByImpact(ctx context.Context, r *gctrpc.GetOrderbookAmountByImpactRequest) (*gctrpc.GetOrderbookAmountByImpactResponse, error) {
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exch, err := s.GetExchangeByName(r.Exchange)
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if err != nil {
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return nil, err
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}
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as, err := asset.New(r.Asset)
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if err != nil {
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return nil, err
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}
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pair, err := currency.NewPairFromStrings(r.Pair.Base, r.Pair.Quote)
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if err != nil {
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return nil, err
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}
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if pair.IsEmpty() {
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return nil, currency.ErrCurrencyPairEmpty
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}
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err = checkParams(r.Exchange, exch, as, pair)
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if err != nil {
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return nil, err
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}
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depth, err := orderbook.GetDepth(exch.GetName(), pair, as)
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if err != nil {
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return nil, err
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}
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isRest, err := depth.IsRESTSnapshot()
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if err != nil {
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return nil, err
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}
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updateProtocol := "WEBSOCKET"
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if isRest {
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updateProtocol = "REST"
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}
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var impact *orderbook.Movement
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var selling, buying, side string
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if r.Sell {
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impact, err = depth.HitTheBidsByImpactSlippageFromBest(r.ImpactPercentage)
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selling = pair.Upper().Base.String()
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buying = pair.Upper().Quote.String()
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side = order.Bid.String()
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} else {
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impact, err = depth.LiftTheAsksByImpactSlippageFromBest(r.ImpactPercentage)
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buying = pair.Upper().Base.String()
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selling = pair.Upper().Quote.String()
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side = order.Ask.String()
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}
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if err != nil {
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return nil, err
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}
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return &gctrpc.GetOrderbookAmountByImpactResponse{
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AmountRequired: impact.Sold,
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CurrencySelling: selling,
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AmountReceived: impact.Purchased,
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CurrencyBuying: buying,
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SideAffected: side,
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ApproximateImpactSlippagePercentage: impact.ImpactPercentage,
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UpdateProtocol: updateProtocol,
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FullOrderbookSideConsumed: impact.FullBookSideConsumed,
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StartPrice: impact.StartPrice,
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EndPrice: impact.EndPrice,
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AverageOrderCost: impact.AverageOrderCost,
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}, nil
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}
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@@ -32,6 +32,7 @@ import (
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"github.com/thrasher-corp/gocryptotrader/exchanges/kline"
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"github.com/thrasher-corp/gocryptotrader/exchanges/margin"
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"github.com/thrasher-corp/gocryptotrader/exchanges/order"
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"github.com/thrasher-corp/gocryptotrader/exchanges/orderbook"
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"github.com/thrasher-corp/gocryptotrader/exchanges/ticker"
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"github.com/thrasher-corp/gocryptotrader/exchanges/trade"
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"github.com/thrasher-corp/gocryptotrader/gctrpc"
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@@ -3202,3 +3203,312 @@ func TestGetAllManagedPositions(t *testing.T) {
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t.Errorf("received '%v', expected '%v'", err, nil)
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}
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}
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func TestGetOrderbookMovement(t *testing.T) {
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t.Parallel()
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em := SetupExchangeManager()
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exch, err := em.NewExchangeByName("ftx")
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if err != nil {
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t.Fatal(err)
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}
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exch.SetDefaults()
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b := exch.GetBase()
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b.Name = fakeExchangeName
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b.Enabled = true
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cp, err := currency.NewPairFromString("btc-metal")
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if err != nil {
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t.Fatal(err)
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}
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b.CurrencyPairs.Pairs = make(map[asset.Item]*currency.PairStore)
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b.CurrencyPairs.Pairs[asset.Spot] = ¤cy.PairStore{
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AssetEnabled: convert.BoolPtr(true),
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ConfigFormat: ¤cy.PairFormat{Delimiter: "/"},
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RequestFormat: ¤cy.PairFormat{Delimiter: "/"},
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Available: currency.Pairs{cp},
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Enabled: currency.Pairs{cp},
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}
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fakeExchange := fExchange{
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IBotExchange: exch,
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}
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em.Add(fakeExchange)
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s := RPCServer{Engine: &Engine{ExchangeManager: em}}
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req := &gctrpc.GetOrderbookMovementRequest{}
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_, err = s.GetOrderbookMovement(context.Background(), req)
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if !errors.Is(err, ErrExchangeNameIsEmpty) {
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t.Fatalf("received: '%+v' but expected: '%v'", err, ErrExchangeNameIsEmpty)
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}
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req.Exchange = "fake"
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_, err = s.GetOrderbookMovement(context.Background(), req)
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if !errors.Is(err, asset.ErrNotSupported) {
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t.Fatalf("received: '%+v' but expected: '%v'", err, asset.ErrNotSupported)
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}
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req.Asset = asset.Spot.String()
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req.Pair = &gctrpc.CurrencyPair{}
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_, err = s.GetOrderbookMovement(context.Background(), req)
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if !errors.Is(err, currency.ErrCurrencyPairEmpty) {
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t.Fatalf("received: '%+v' but expected: '%v'", err, currency.ErrCurrencyPairEmpty)
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}
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req.Pair = &gctrpc.CurrencyPair{
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Base: currency.BTC.String(),
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Quote: currency.METAL.String(),
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}
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_, err = s.GetOrderbookMovement(context.Background(), req)
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if !strings.Contains(err.Error(), "cannot find orderbook") {
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t.Fatalf("received: '%+v' but expected: '%v'", err, "cannot find orderbook")
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}
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depth, err := orderbook.DeployDepth(req.Exchange, currency.NewPair(currency.BTC, currency.METAL), asset.Spot)
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if err != nil {
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t.Fatal(err)
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}
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bid := []orderbook.Item{
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{Price: 10, Amount: 1},
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{Price: 9, Amount: 1},
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{Price: 8, Amount: 1},
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{Price: 7, Amount: 1},
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}
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ask := []orderbook.Item{
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{Price: 11, Amount: 1},
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{Price: 12, Amount: 1},
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{Price: 13, Amount: 1},
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{Price: 14, Amount: 1},
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}
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depth.LoadSnapshot(bid, ask, 0, time.Time{}, true)
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_, err = s.GetOrderbookMovement(context.Background(), req)
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if err.Error() != "quote amount invalid" {
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t.Fatalf("received: '%+v' but expected: '%v'", err, "quote amount invalid")
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}
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req.Amount = 11
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move, err := s.GetOrderbookMovement(context.Background(), req)
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if !errors.Is(err, nil) {
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t.Fatalf("received: '%+v' but expected: '%v'", err, nil)
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}
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if move.Bought != 1 {
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t.Fatalf("received: '%v' but expected: '%v'", move.Bought, 1)
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}
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req.Sell = true
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req.Amount = 1
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move, err = s.GetOrderbookMovement(context.Background(), req)
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if !errors.Is(err, nil) {
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t.Fatalf("received: '%+v' but expected: '%v'", err, nil)
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}
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if move.Bought != 10 {
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t.Fatalf("received: '%v' but expected: '%v'", move.Bought, 10)
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}
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}
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func TestGetOrderbookAmountByNominal(t *testing.T) {
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t.Parallel()
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em := SetupExchangeManager()
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exch, err := em.NewExchangeByName("ftx")
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if err != nil {
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t.Fatal(err)
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}
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exch.SetDefaults()
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b := exch.GetBase()
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b.Name = fakeExchangeName
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b.Enabled = true
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cp, err := currency.NewPairFromString("btc-meme")
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if err != nil {
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t.Fatal(err)
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}
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b.CurrencyPairs.Pairs = make(map[asset.Item]*currency.PairStore)
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b.CurrencyPairs.Pairs[asset.Spot] = ¤cy.PairStore{
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AssetEnabled: convert.BoolPtr(true),
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ConfigFormat: ¤cy.PairFormat{Delimiter: "/"},
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RequestFormat: ¤cy.PairFormat{Delimiter: "/"},
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Available: currency.Pairs{cp},
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Enabled: currency.Pairs{cp},
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}
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fakeExchange := fExchange{
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IBotExchange: exch,
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}
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em.Add(fakeExchange)
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s := RPCServer{Engine: &Engine{ExchangeManager: em}}
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req := &gctrpc.GetOrderbookAmountByNominalRequest{}
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_, err = s.GetOrderbookAmountByNominal(context.Background(), req)
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if !errors.Is(err, ErrExchangeNameIsEmpty) {
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t.Fatalf("received: '%+v' but expected: '%v'", err, ErrExchangeNameIsEmpty)
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}
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req.Exchange = "fake"
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_, err = s.GetOrderbookAmountByNominal(context.Background(), req)
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if !errors.Is(err, asset.ErrNotSupported) {
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t.Fatalf("received: '%+v' but expected: '%v'", err, asset.ErrNotSupported)
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}
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req.Asset = asset.Spot.String()
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req.Pair = &gctrpc.CurrencyPair{}
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_, err = s.GetOrderbookAmountByNominal(context.Background(), req)
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if !errors.Is(err, currency.ErrCurrencyPairEmpty) {
|
||||
t.Fatalf("received: '%+v' but expected: '%v'", err, currency.ErrCurrencyPairEmpty)
|
||||
}
|
||||
|
||||
req.Pair = &gctrpc.CurrencyPair{
|
||||
Base: currency.BTC.String(),
|
||||
Quote: currency.MEME.String(),
|
||||
}
|
||||
_, err = s.GetOrderbookAmountByNominal(context.Background(), req)
|
||||
if !strings.Contains(err.Error(), "cannot find orderbook") {
|
||||
t.Fatalf("received: '%+v' but expected: '%v'", err, "cannot find orderbook")
|
||||
}
|
||||
|
||||
depth, err := orderbook.DeployDepth(req.Exchange, currency.NewPair(currency.BTC, currency.MEME), asset.Spot)
|
||||
if err != nil {
|
||||
t.Fatal(err)
|
||||
}
|
||||
|
||||
bid := []orderbook.Item{
|
||||
{Price: 10, Amount: 1},
|
||||
{Price: 9, Amount: 1},
|
||||
{Price: 8, Amount: 1},
|
||||
{Price: 7, Amount: 1},
|
||||
}
|
||||
ask := []orderbook.Item{
|
||||
{Price: 11, Amount: 1},
|
||||
{Price: 12, Amount: 1},
|
||||
{Price: 13, Amount: 1},
|
||||
{Price: 14, Amount: 1},
|
||||
}
|
||||
depth.LoadSnapshot(bid, ask, 0, time.Time{}, true)
|
||||
|
||||
nominal, err := s.GetOrderbookAmountByNominal(context.Background(), req)
|
||||
if !errors.Is(err, nil) {
|
||||
t.Fatalf("received: '%+v' but expected: '%v'", err, nil)
|
||||
}
|
||||
|
||||
if nominal.AmountRequired != 11 {
|
||||
t.Fatalf("received: '%v' but expected: '%v'", nominal.AmountRequired, 11)
|
||||
}
|
||||
|
||||
req.Sell = true
|
||||
nominal, err = s.GetOrderbookAmountByNominal(context.Background(), req)
|
||||
if !errors.Is(err, nil) {
|
||||
t.Fatalf("received: '%+v' but expected: '%v'", err, nil)
|
||||
}
|
||||
|
||||
if nominal.AmountRequired != 1 {
|
||||
t.Fatalf("received: '%v' but expected: '%v'", nominal.AmountRequired, 1)
|
||||
}
|
||||
}
|
||||
|
||||
func TestGetOrderbookAmountByImpact(t *testing.T) {
|
||||
t.Parallel()
|
||||
em := SetupExchangeManager()
|
||||
exch, err := em.NewExchangeByName("ftx")
|
||||
if err != nil {
|
||||
t.Fatal(err)
|
||||
}
|
||||
exch.SetDefaults()
|
||||
b := exch.GetBase()
|
||||
b.Name = fakeExchangeName
|
||||
b.Enabled = true
|
||||
|
||||
cp, err := currency.NewPairFromString("btc-mad")
|
||||
if err != nil {
|
||||
t.Fatal(err)
|
||||
}
|
||||
|
||||
b.CurrencyPairs.Pairs = make(map[asset.Item]*currency.PairStore)
|
||||
b.CurrencyPairs.Pairs[asset.Spot] = ¤cy.PairStore{
|
||||
AssetEnabled: convert.BoolPtr(true),
|
||||
ConfigFormat: ¤cy.PairFormat{Delimiter: "/"},
|
||||
RequestFormat: ¤cy.PairFormat{Delimiter: "/"},
|
||||
Available: currency.Pairs{cp},
|
||||
Enabled: currency.Pairs{cp},
|
||||
}
|
||||
|
||||
fakeExchange := fExchange{
|
||||
IBotExchange: exch,
|
||||
}
|
||||
em.Add(fakeExchange)
|
||||
|
||||
s := RPCServer{Engine: &Engine{ExchangeManager: em}}
|
||||
|
||||
req := &gctrpc.GetOrderbookAmountByImpactRequest{}
|
||||
_, err = s.GetOrderbookAmountByImpact(context.Background(), req)
|
||||
if !errors.Is(err, ErrExchangeNameIsEmpty) {
|
||||
t.Fatalf("received: '%+v' but expected: '%v'", err, ErrExchangeNameIsEmpty)
|
||||
}
|
||||
|
||||
req.Exchange = "fake"
|
||||
_, err = s.GetOrderbookAmountByImpact(context.Background(), req)
|
||||
if !errors.Is(err, asset.ErrNotSupported) {
|
||||
t.Fatalf("received: '%+v' but expected: '%v'", err, asset.ErrNotSupported)
|
||||
}
|
||||
|
||||
req.Asset = asset.Spot.String()
|
||||
req.Pair = &gctrpc.CurrencyPair{}
|
||||
_, err = s.GetOrderbookAmountByImpact(context.Background(), req)
|
||||
if !errors.Is(err, currency.ErrCurrencyPairEmpty) {
|
||||
t.Fatalf("received: '%+v' but expected: '%v'", err, currency.ErrCurrencyPairEmpty)
|
||||
}
|
||||
|
||||
req.Pair = &gctrpc.CurrencyPair{
|
||||
Base: currency.BTC.String(),
|
||||
Quote: currency.MAD.String(),
|
||||
}
|
||||
_, err = s.GetOrderbookAmountByImpact(context.Background(), req)
|
||||
if !strings.Contains(err.Error(), "cannot find orderbook") {
|
||||
t.Fatalf("received: '%+v' but expected: '%v'", err, "cannot find orderbook")
|
||||
}
|
||||
|
||||
depth, err := orderbook.DeployDepth(req.Exchange, currency.NewPair(currency.BTC, currency.MAD), asset.Spot)
|
||||
if err != nil {
|
||||
t.Fatal(err)
|
||||
}
|
||||
|
||||
bid := []orderbook.Item{
|
||||
{Price: 10, Amount: 1},
|
||||
{Price: 9, Amount: 1},
|
||||
{Price: 8, Amount: 1},
|
||||
{Price: 7, Amount: 1},
|
||||
}
|
||||
ask := []orderbook.Item{
|
||||
{Price: 11, Amount: 1},
|
||||
{Price: 12, Amount: 1},
|
||||
{Price: 13, Amount: 1},
|
||||
{Price: 14, Amount: 1},
|
||||
}
|
||||
depth.LoadSnapshot(bid, ask, 0, time.Time{}, true)
|
||||
|
||||
req.ImpactPercentage = 9.090909090909092
|
||||
impact, err := s.GetOrderbookAmountByImpact(context.Background(), req)
|
||||
if !errors.Is(err, nil) {
|
||||
t.Fatalf("received: '%+v' but expected: '%v'", err, nil)
|
||||
}
|
||||
|
||||
if impact.AmountRequired != 11 {
|
||||
t.Fatalf("received: '%v' but expected: '%v'", impact.AmountRequired, 11)
|
||||
}
|
||||
|
||||
req.Sell = true
|
||||
req.ImpactPercentage = 10
|
||||
impact, err = s.GetOrderbookAmountByImpact(context.Background(), req)
|
||||
if !errors.Is(err, nil) {
|
||||
t.Fatalf("received: '%+v' but expected: '%v'", err, nil)
|
||||
}
|
||||
|
||||
if impact.AmountRequired != 1 {
|
||||
t.Fatalf("received: '%v' but expected: '%v'", impact.AmountRequired, 1)
|
||||
}
|
||||
}
|
||||
|
||||
Reference in New Issue
Block a user