simulate use market depth

miaolz123 · Oct 7, 2016 · e185cd9 · e185cd9
1 parent b30dcb7
commit e185cd9
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Showing 5 changed files with 106 additions and 95 deletions.
diff --git a/api/api.go b/api/api.go
@@ -23,7 +23,6 @@ type Exchange interface {
 	SetLimit(times interface{}) float64
 	AutoSleep()
 	GetMinAmount(stock string) float64
-	Simulate(balance, btc, ltc interface{}) bool
 	GetAccount() interface{}
 	Buy(stockType string, price, amount interface{}, msgs ...interface{}) interface{}
 	Sell(stockType string, price, amount interface{}, msgs ...interface{}) interface{}
@@ -32,5 +31,5 @@ type Exchange interface {
 	GetTrades(stockType string) interface{}
 	CancelOrder(order Order) bool
 	GetTicker(stockType string, sizes ...interface{}) interface{}
-	GetRecords(stockType, period string, sizes ...interface{}) []Record
+	GetRecords(stockType, period string, sizes ...interface{}) interface{}
 }
diff --git a/api/huobi.go b/api/huobi.go
@@ -59,10 +59,11 @@ func NewHuobi(opt Option) *Huobi {
 			constant.BTC: 0.001,
 			constant.LTC: 0.01,
 		},
-		records:   make(map[string][]Record),
-		host:      "https://api.huobi.com/apiv3",
-		logger:    model.Logger{TraderID: opt.TraderID, ExchangeType: opt.Type},
-		option:    opt,
+		records: make(map[string][]Record),
+		host:    "https://api.huobi.com/apiv3",
+		logger:  model.Logger{TraderID: opt.TraderID, ExchangeType: opt.Type},
+		option:  opt,
+
 		limit:     10.0,
 		lastSleep: time.Now().UnixNano(),
 	}
@@ -223,15 +224,12 @@ func (e *Huobi) Buy(stockType string, _price, _amount interface{}, msgs ...inter
 			e.logger.Log(constant.ERROR, 0.0, 0.0, "Buy() error, ", err)
 			return false
 		}
-		if price < ticker.Sell {
-			e.logger.Log(constant.ERROR, 0.0, 0.0, "Buy() error, order price must be greater than market sell price")
-			return false
-		}
-		if price*amount > e.account.Balance {
+		total := simulateBuy(amount, ticker)
+		if total > e.account.Balance {
 			e.logger.Log(constant.ERROR, 0.0, 0.0, "Buy() error, balance is not enough")
 			return false
 		}
-		e.account.Balance -= ticker.Sell * amount
+		e.account.Balance -= total
 		if stockType == constant.LTC {
 			e.account.LTC += amount
 		} else {
@@ -294,7 +292,7 @@ func (e *Huobi) Sell(stockType string, _price, _amount interface{}, msgs ...inte
 			}
 			e.account.BTC -= amount
 		}
-		e.account.Balance += ticker.Buy * amount
+		e.account.Balance += simulateSell(amount, ticker)
 		e.logger.Log(constant.SELL, price, amount, msgs...)
 		return fmt.Sprint(time.Now().Unix())
 	}
@@ -511,14 +509,14 @@ func (e *Huobi) GetTicker(stockType string, sizes ...interface{}) interface{} {
 }
 
 // GetRecords : get candlestick data
-func (e *Huobi) GetRecords(stockType, period string, sizes ...interface{}) (records []Record) {
+func (e *Huobi) GetRecords(stockType, period string, sizes ...interface{}) interface{} {
 	if _, ok := e.stockMap[stockType]; !ok {
 		e.logger.Log(constant.ERROR, 0.0, 0.0, "GetRecords() error, unrecognized stockType: ", stockType)
-		return
+		return false
 	}
 	if _, ok := e.periodMap[period]; !ok {
 		e.logger.Log(constant.ERROR, 0.0, 0.0, "GetRecords() error, unrecognized period: ", period)
-		return
+		return false
 	}
 	size := 200
 	if len(sizes) > 0 && conver.IntMust(sizes[0]) > 0 {
@@ -527,12 +525,12 @@ func (e *Huobi) GetRecords(stockType, period string, sizes ...interface{}) (reco
 	resp, err := get(fmt.Sprint("http://api.huobi.com/staticmarket/", strings.ToLower(stockType), "_kline_", e.periodMap[period], "_json.js"))
 	if err != nil {
 		e.logger.Log(constant.ERROR, 0.0, 0.0, "GetRecords() error, ", err)
-		return
+		return false
 	}
 	json, err := simplejson.NewJson(resp)
 	if err != nil {
 		e.logger.Log(constant.ERROR, 0.0, 0.0, "GetRecords() error, ", err)
-		return
+		return false
 	}
 	timeLast := int64(0)
 	if len(e.records[period]) > 0 {

diff --git a/api/okcoin.cn.go b/api/okcoin.cn.go
@@ -59,10 +59,11 @@ func NewOKCoinCn(opt Option) *OKCoinCn {
 			constant.BTC: 0.01,
 			constant.LTC: 0.1,
 		},
-		records:   make(map[string][]Record),
-		host:      "https://www.okcoin.cn/api/v1/",
-		logger:    model.Logger{TraderID: opt.TraderID, ExchangeType: opt.Type},
-		option:    opt,
+		records: make(map[string][]Record),
+		host:    "https://www.okcoin.cn/api/v1/",
+		logger:  model.Logger{TraderID: opt.TraderID, ExchangeType: opt.Type},
+		option:  opt,
+
 		limit:     10.0,
 		lastSleep: time.Now().UnixNano(),
 	}
@@ -211,15 +212,12 @@ func (e *OKCoinCn) Buy(stockType string, _price, _amount interface{}, msgs ...in
 			e.logger.Log(constant.ERROR, 0.0, 0.0, "Buy() error, ", err)
 			return false
 		}
-		if price < ticker.Sell {
-			e.logger.Log(constant.ERROR, 0.0, 0.0, "Buy() error, order price must be greater than market sell price")
-			return false
-		}
-		if price*amount > e.account.Balance {
+		total := simulateBuy(amount, ticker)
+		if total > e.account.Balance {
 			e.logger.Log(constant.ERROR, 0.0, 0.0, "Buy() error, balance is not enough")
 			return false
 		}
-		e.account.Balance -= ticker.Sell * amount
+		e.account.Balance -= total
 		if stockType == constant.LTC {
 			e.account.LTC += amount
 		} else {
@@ -283,7 +281,7 @@ func (e *OKCoinCn) Sell(stockType string, _price, _amount interface{}, msgs ...i
 			}
 			e.account.BTC -= amount
 		}
-		e.account.Balance += ticker.Buy * amount
+		e.account.Balance += simulateSell(amount, ticker)
 		e.logger.Log(constant.SELL, price, amount, msgs...)
 		return fmt.Sprint(time.Now().Unix())
 	}
@@ -503,14 +501,14 @@ func (e *OKCoinCn) GetTicker(stockType string, sizes ...interface{}) interface{}
 }
 
 // GetRecords : get candlestick data
-func (e *OKCoinCn) GetRecords(stockType, period string, sizes ...interface{}) (records []Record) {
+func (e *OKCoinCn) GetRecords(stockType, period string, sizes ...interface{}) interface{} {
 	if _, ok := e.stockMap[stockType]; !ok {
 		e.logger.Log(constant.ERROR, 0.0, 0.0, "GetRecords() error, unrecognized stockType: ", stockType)
-		return
+		return false
 	}
 	if _, ok := e.periodMap[period]; !ok {
 		e.logger.Log(constant.ERROR, 0.0, 0.0, "GetRecords() error, unrecognized period: ", period)
-		return
+		return false
 	}
 	size := 200
 	if len(sizes) > 0 && conver.IntMust(sizes[0]) > 0 {
@@ -519,12 +517,12 @@ func (e *OKCoinCn) GetRecords(stockType, period string, sizes ...interface{}) (r
 	resp, err := get(fmt.Sprint(e.host, "kline.do?symbol=", e.stockMap[stockType], "_cny&type=", e.periodMap[period], "&size=", size))
 	if err != nil {
 		e.logger.Log(constant.ERROR, 0.0, 0.0, "GetRecords() error, ", err)
-		return
+		return false
 	}
 	json, err := simplejson.NewJson(resp)
 	if err != nil {
 		e.logger.Log(constant.ERROR, 0.0, 0.0, "GetRecords() error, ", err)
-		return
+		return false
 	}
 	timeLast := int64(0)
 	if len(e.records[period]) > 0 {

diff --git a/api/poloniex.go b/api/poloniex.go
@@ -26,7 +26,7 @@ type Poloniex struct {
 	option       Option
 
 	simulate bool
-	account  Account
+	account  map[string]float64
 	orders   map[string]Order
 
 	limit     float64
@@ -169,10 +169,13 @@ func NewPoloniex(opt Option) *Poloniex {
 			constant.BTC: 0.01,
 			constant.LTC: 0.1,
 		},
-		records:   make(map[string][]Record),
-		host:      "https://poloniex.com/",
-		logger:    model.Logger{TraderID: opt.TraderID, ExchangeType: opt.Type},
-		option:    opt,
+		records: make(map[string][]Record),
+		host:    "https://poloniex.com/",
+		logger:  model.Logger{TraderID: opt.TraderID, ExchangeType: opt.Type},
+		option:  opt,
+
+		account: make(map[string]float64),
+
 		limit:     10.0,
 		lastSleep: time.Now().UnixNano(),
 	}
@@ -263,41 +266,18 @@ func (e *Poloniex) getAuthJSON(url string, params []string) (data []byte, json *
 }
 
 // Simulate : set the account of simulation
-func (e *Poloniex) Simulate(balance, btc, ltc interface{}) bool {
+func (e *Poloniex) Simulate(acc map[string]interface{}) bool {
 	e.simulate = true
 	// e.orders = make(map[string]Order)
-	e.account = Account{
-		Balance: conver.Float64Must(balance),
-		BTC:     conver.Float64Must(btc),
-		LTC:     conver.Float64Must(ltc),
+	for k, v := range acc {
+		e.account[k] = conver.Float64Must(v)
 	}
 	return true
 }
 
 // GetAccount : get the account detail of this exchange
 func (e *Poloniex) GetAccount() interface{} {
 	if e.simulate {
-		e.account.Total = e.account.Balance + e.account.FrozenBalance
-		ticker, err := e.getTicker(constant.BTC, 10)
-		if err != nil {
-			e.logger.Log(constant.ERROR, 0.0, 0.0, "GetAccount() error, ", err)
-			return false
-		}
-		e.account.Total += ticker.Mid * (e.account.BTC + e.account.FrozenBTC)
-		ticker, err = e.getTicker(constant.LTC, 10)
-		if err != nil {
-			e.logger.Log(constant.ERROR, 0.0, 0.0, "GetAccount() error, ", err)
-			return false
-		}
-		e.account.Total += ticker.Mid * (e.account.LTC + e.account.FrozenLTC)
-		e.account.Net = e.account.Total
-		if e.option.MainStock == constant.LTC {
-			e.account.Stock = e.account.LTC
-			e.account.FrozenStock = e.account.FrozenLTC
-		} else {
-			e.account.Stock = e.account.BTC
-			e.account.FrozenStock = e.account.FrozenBTC
-		}
 		return e.account
 	}
 	data, jsoner, err := e.getAuthJSON(e.host+"tradingApi", []string{
@@ -347,25 +327,22 @@ func (e *Poloniex) Buy(stockType string, _price, _amount interface{}, msgs ...in
 		return false
 	}
 	if e.simulate {
+		types := strings.Split(stockType, "_")
+		if len(types) < 2 {
+			e.logger.Log(constant.ERROR, 0.0, 0.0, "Buy() error, unrecognized stockType: ", stockType)
+		}
 		ticker, err := e.getTicker(stockType, 10)
 		if err != nil {
 			e.logger.Log(constant.ERROR, 0.0, 0.0, "Buy() error, ", err)
 			return false
 		}
-		if price < ticker.Sell {
-			e.logger.Log(constant.ERROR, 0.0, 0.0, "Buy() error, order price must be greater than market sell price")
+		total := simulateBuy(amount, ticker)
+		if total > e.account[types[0]] {
+			e.logger.Log(constant.ERROR, 0.0, 0.0, "Buy() error, ", types[0], " is not enough")
 			return false
 		}
-		if price*amount > e.account.Balance {
-			e.logger.Log(constant.ERROR, 0.0, 0.0, "Buy() error, balance is not enough")
-			return false
-		}
-		e.account.Balance -= ticker.Sell * amount
-		if stockType == constant.LTC {
-			e.account.LTC += amount
-		} else {
-			e.account.BTC += amount
-		}
+		e.account[types[0]] -= total
+		e.account[types[1]] += amount
 		e.logger.Log(constant.BUY, price, amount, msgs...)
 		return fmt.Sprint(time.Now().Unix())
 	}
@@ -396,6 +373,10 @@ func (e *Poloniex) Sell(stockType string, _price, _amount interface{}, msgs ...i
 		return false
 	}
 	if e.simulate {
+		types := strings.Split(stockType, "_")
+		if len(types) < 2 {
+			e.logger.Log(constant.ERROR, 0.0, 0.0, "Buy() error, unrecognized stockType: ", stockType)
+		}
 		ticker, err := e.getTicker(stockType, 10)
 		if err != nil {
 			e.logger.Log(constant.ERROR, 0.0, 0.0, "Sell() error, ", err)
@@ -405,20 +386,12 @@ func (e *Poloniex) Sell(stockType string, _price, _amount interface{}, msgs ...i
 			e.logger.Log(constant.ERROR, 0.0, 0.0, "Sell() error, order price must be lesser than market buy price")
 			return false
 		}
-		if stockType == constant.LTC {
-			if amount > e.account.LTC {
-				e.logger.Log(constant.ERROR, 0.0, 0.0, "Sell() error, stock is not enough")
-				return false
-			}
-			e.account.LTC -= amount
-		} else {
-			if amount > e.account.BTC {
-				e.logger.Log(constant.ERROR, 0.0, 0.0, "Sell() error, stock is not enough")
-				return false
-			}
-			e.account.BTC -= amount
+		if amount > e.account[types[1]] {
+			e.logger.Log(constant.ERROR, 0.0, 0.0, "Sell() error, ", e.account[types[1]], " is not enough")
+			return false
 		}
-		e.account.Balance += ticker.Buy * amount
+		e.account[types[1]] -= amount
+		e.account[types[0]] += simulateSell(amount, ticker)
 		e.logger.Log(constant.SELL, price, amount, msgs...)
 		return fmt.Sprint(time.Now().Unix())
 	}
@@ -543,6 +516,7 @@ func (e *Poloniex) CancelOrder(order Order) bool {
 
 // getTicker : get market ticker & depth
 func (e *Poloniex) getTicker(stockType string, sizes ...interface{}) (ticker Ticker, err error) {
+	e.lastTimes++
 	if _, ok := e.stockMap[stockType]; !ok {
 		err = fmt.Errorf("GetTicker() error, unrecognized stockType: %+v", stockType)
 		return
@@ -598,14 +572,15 @@ func (e *Poloniex) GetTicker(stockType string, sizes ...interface{}) interface{}
 }
 
 // GetRecords : get candlestick data
-func (e *Poloniex) GetRecords(stockType, period string, sizes ...interface{}) (records []Record) {
+func (e *Poloniex) GetRecords(stockType, period string, sizes ...interface{}) interface{} {
+	e.lastTimes++
 	if _, ok := e.stockMap[stockType]; !ok {
 		e.logger.Log(constant.ERROR, 0.0, 0.0, "GetRecords() error, unrecognized stockType: ", stockType)
-		return
+		return false
 	}
 	if _, ok := e.periodMap[period]; !ok {
 		e.logger.Log(constant.ERROR, 0.0, 0.0, "GetRecords() error, unrecognized period: ", period)
-		return
+		return false
 	}
 	size := 200
 	if len(sizes) > 0 && conver.IntMust(sizes[0]) > 0 {
@@ -619,12 +594,12 @@ func (e *Poloniex) GetRecords(stockType, period string, sizes ...interface{}) (r
 	resp, err := get(fmt.Sprint(e.host, "public?command=returnChartData&currencyPair=", e.stockMap[stockType], "&start=", start, "&end=9999999999&period=", e.periodMap[period]))
 	if err != nil {
 		e.logger.Log(constant.ERROR, 0.0, 0.0, "GetRecords() error, ", err)
-		return
+		return false
 	}
 	json, err := simplejson.NewJson(resp)
 	if err != nil {
 		e.logger.Log(constant.ERROR, 0.0, 0.0, "GetRecords() error, ", err)
-		return
+		return false
 	}
 	timeLast := int64(0)
 	if len(e.records[period]) > 0 {

diff --git a/api/simulate.go b/api/simulate.go
@@ -0,0 +1,41 @@
+package api
+
+func simulateBuy(amount float64, ticker Ticker) (total float64) {
+	if len(ticker.Asks) < 1 {
+		return ticker.Sell * amount
+	}
+	dealAmount := 0.0
+	for _, orderBook := range ticker.Asks {
+		if dealAmount+orderBook.Amount >= amount {
+			total += (amount - dealAmount) * orderBook.Price
+			dealAmount = amount
+			break
+		}
+		total += orderBook.Amount * orderBook.Price
+		dealAmount += orderBook.Amount
+	}
+	if dealAmount < amount {
+		total += (amount - dealAmount) * ticker.Asks[len(ticker.Asks)-1].Price
+	}
+	return
+}
+
+func simulateSell(amount float64, ticker Ticker) (total float64) {
+	if len(ticker.Bids) < 1 {
+		return ticker.Buy * amount
+	}
+	dealAmount := 0.0
+	for _, orderBook := range ticker.Bids {
+		if dealAmount+orderBook.Amount >= amount {
+			total += (amount - dealAmount) * orderBook.Price
+			dealAmount = amount
+			break
+		}
+		total += orderBook.Amount * orderBook.Price
+		dealAmount += orderBook.Amount
+	}
+	if dealAmount < amount {
+		total += (amount - dealAmount) * ticker.Bids[len(ticker.Bids)-1].Price
+	}
+	return
+}