feat: improve processing

* Added `SmartTradeExecutor` and `Order` * SmartTrade now supports optional TP * Added `buy, sell, useTrade` effects * The `useExchange()` now can use external exchanges by passing exchange label * Refactored `bot-processor` effects
bludnic · May 16, 2024 · fa16fb4 · fa16fb4
1 parent 19d253a
commit fa16fb4
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Showing 84 changed files with 1,714 additions and 707 deletions.
diff --git a/packages/backtesting/src/backtesting-report.ts b/packages/backtesting/src/backtesting-report.ts
@@ -24,7 +24,10 @@ export class BacktestingReport {
 
     finishedSmartTrades.forEach((smartTrade) => {
       transactions.push(buyTransaction(smartTrade));
-      transactions.push(sellTransaction(smartTrade));
+
+      if (smartTrade.sell) {
+        transactions.push(sellTransaction(smartTrade));
+      }
     });
 
     return transactions;
@@ -37,7 +40,10 @@ export class BacktestingReport {
 
     smartTrades.forEach((smartTrade) => {
       activeOrders.push(buyOrder(smartTrade));
-      activeOrders.push(sellOrder(smartTrade));
+
+      if (smartTrade.sell) {
+        activeOrders.push(sellOrder(smartTrade));
+      }
     });
 
     return activeOrders;
@@ -57,15 +63,15 @@ export class BacktestingReport {
     return this.smartTrades.filter(
       (smartTrade) =>
         smartTrade.buy.status === OrderStatusEnum.Placed ||
-        smartTrade.sell.status === OrderStatusEnum.Placed,
+        smartTrade.sell?.status === OrderStatusEnum.Placed,
     );
   }
 
   private getFinishedSmartTrades() {
     return this.smartTrades.filter((smartTrade) => {
       return (
         smartTrade.buy.status === OrderStatusEnum.Filled &&
-        smartTrade.sell.status === OrderStatusEnum.Filled
+        smartTrade.sell?.status === OrderStatusEnum.Filled
       );
     });
   }

diff --git a/packages/backtesting/src/backtesting.ts b/packages/backtesting/src/backtesting.ts
@@ -1,9 +1,9 @@
 import type {
   IBotConfiguration,
-  BotManager,
+  StrategyRunner,
   BotTemplate,
 } from "@opentrader/bot-processor";
-import { BotProcessor } from "@opentrader/bot-processor";
+import { createStrategyRunner } from "@opentrader/bot-processor";
 import type { ICandlestick } from "@opentrader/types";
 import { logger, format } from "@opentrader/logger";
 import { fulfilledTable, gridTable } from "./debugging";
@@ -17,7 +17,7 @@ export class Backtesting<T extends IBotConfiguration<T>> {
   private marketSimulator: MarketSimulator;
   private store: MemoryStore;
   private exchange: MemoryExchange;
-  private processor: BotManager<T>;
+  private processor: StrategyRunner<T>;
 
   constructor(options: { botConfig: T; botTemplate: BotTemplate<T> }) {
     const { botConfig, botTemplate } = options;
@@ -26,7 +26,7 @@ export class Backtesting<T extends IBotConfiguration<T>> {
     this.store = new MemoryStore(this.marketSimulator);
     this.exchange = new MemoryExchange(this.marketSimulator);
 
-    this.processor = BotProcessor.create({
+    this.processor = createStrategyRunner({
       store: this.store,
       exchange: this.exchange,
       botConfig,

diff --git a/packages/backtesting/src/debugging/fulfilledTable.ts b/packages/backtesting/src/debugging/fulfilledTable.ts
@@ -7,17 +7,17 @@ export function fulfilledTable(smartTrades: SmartTrade[]) {
 
     const isBuy =
       buy.status === OrderStatusEnum.Placed &&
-      sell.status === OrderStatusEnum.Idle;
+      (!sell || sell.status === OrderStatusEnum.Idle);
     const isSell =
       buy.status === OrderStatusEnum.Filled &&
-      sell.status === OrderStatusEnum.Placed;
+      sell?.status === OrderStatusEnum.Placed;
 
     const isBuyFilled =
       buy.status === OrderStatusEnum.Filled &&
-      sell.status === OrderStatusEnum.Idle;
+      (!sell || sell.status === OrderStatusEnum.Idle);
     const isSellFilled =
       buy.status === OrderStatusEnum.Filled &&
-      sell.status === OrderStatusEnum.Filled;
+      sell?.status === OrderStatusEnum.Filled;
 
     const prevSmartTrade = smartTrades[i - 1];
     const isCurrent =
@@ -33,7 +33,7 @@ export function fulfilledTable(smartTrades: SmartTrade[]) {
 
     const price =
       side === "sell"
-        ? smartTrade.sell.price
+        ? smartTrade.sell?.price
         : side === "buy"
           ? smartTrade.buy.price
           : "unknown";
@@ -45,7 +45,7 @@ export function fulfilledTable(smartTrades: SmartTrade[]) {
       side,
       price,
       buy: smartTrade.buy.price,
-      sell: smartTrade.sell.price,
+      sell: smartTrade.sell?.price,
       filled: isBuyFilled ? "buy filled" : isSellFilled ? "sell filled" : "",
     };
 

diff --git a/packages/backtesting/src/debugging/gridTable.ts b/packages/backtesting/src/debugging/gridTable.ts
@@ -7,10 +7,10 @@ export function gridTable(smartTrades: SmartTrade[]) {
 
     const isBuy =
       buy.status === OrderStatusEnum.Placed &&
-      sell.status === OrderStatusEnum.Idle;
+      (!sell || sell.status === OrderStatusEnum.Idle);
     const isSell =
       buy.status === OrderStatusEnum.Filled &&
-      sell.status === OrderStatusEnum.Placed;
+      sell?.status === OrderStatusEnum.Placed;
 
     const prevSmartTrade = smartTrades[i - 1];
     const isCurrent =
@@ -20,7 +20,7 @@ export function gridTable(smartTrades: SmartTrade[]) {
 
     const price =
       side === "sell"
-        ? smartTrade.sell.price
+        ? smartTrade.sell?.price
         : side === "buy"
           ? smartTrade.buy.price
           : "unknown";
@@ -32,7 +32,7 @@ export function gridTable(smartTrades: SmartTrade[]) {
       side,
       price,
       buy: smartTrade.buy.price,
-      sell: smartTrade.sell.price,
+      sell: smartTrade.sell?.price,
     };
 
     if (isCurrent) {

diff --git a/packages/backtesting/src/report/sellOrder.ts b/packages/backtesting/src/report/sellOrder.ts
@@ -1,8 +1,8 @@
-import type { SmartTrade } from "@opentrader/bot-processor";
+import { SmartTradeWithSell } from "@opentrader/bot-processor";
 import { OrderSideEnum } from "@opentrader/types";
 import type { ActiveOrder } from "../types";
 
-export function sellOrder(smartTrade: SmartTrade): ActiveOrder {
+export function sellOrder(smartTrade: SmartTradeWithSell): ActiveOrder {
   return {
     side: OrderSideEnum.Sell,
     quantity: smartTrade.quantity,

diff --git a/packages/backtesting/src/report/sellTransaction.ts b/packages/backtesting/src/report/sellTransaction.ts
@@ -1,8 +1,10 @@
-import type { SmartTrade } from "@opentrader/bot-processor";
+import type { SmartTradeWithSell } from "@opentrader/bot-processor";
 import { OrderSideEnum } from "@opentrader/types";
 import type { SellTransaction } from "../types";
 
-export function sellTransaction(smartTrade: SmartTrade): SellTransaction {
+export function sellTransaction(
+  smartTrade: SmartTradeWithSell,
+): SellTransaction {
   const { buy, sell, quantity, id } = smartTrade;
 
   return {

diff --git a/packages/backtesting/src/store/memory-store.ts b/packages/backtesting/src/store/memory-store.ts
@@ -3,6 +3,7 @@ import type {
   SmartTrade,
   UseSmartTradePayload,
 } from "@opentrader/bot-processor";
+import type { IExchange } from "@opentrader/exchanges";
 import { OrderStatusEnum } from "@opentrader/types";
 import uniqueId from "lodash/uniqueId";
 import type { MarketSimulator } from "../market-simulator";
@@ -61,12 +62,14 @@ export class MemoryStore implements IStore {
         createdAt,
         updatedAt: createdAt,
       },
-      sell: {
-        price: sell.price,
-        status: sell.status || OrderStatusEnum.Idle,
-        createdAt,
-        updatedAt: createdAt,
-      },
+      sell: sell
+        ? {
+            price: sell.price,
+            status: sell.status || OrderStatusEnum.Idle,
+            createdAt,
+            updatedAt: createdAt,
+          }
+        : undefined,
       quantity,
     };
 
@@ -75,8 +78,53 @@ export class MemoryStore implements IStore {
     return smartTrade;
   }
 
+  async updateSmartTrade(
+    ref: string,
+    payload: Pick<UseSmartTradePayload, "sell">,
+    botId: number,
+  ) {
+    if (!payload.sell) {
+      console.log(
+        "MemoryStore: Unable to update smart trade. Reason: `payload.sell` not provided.",
+      );
+      return null;
+    }
+
+    const smartTrade = await this.getSmartTrade(ref, botId);
+
+    if (!smartTrade) {
+      return null;
+    }
+
+    const candlestick = this.marketSimulator.currentCandle;
+    const updatedAt = candlestick.timestamp;
+
+    if (smartTrade.sell) {
+      console.log(
+        "MemoryStore: SmartTrade already has a sell order. Skipping.",
+      );
+      return smartTrade;
+    }
+
+    const updatedSmartTrade: SmartTrade = {
+      ...smartTrade,
+      sell: {
+        price: payload.sell.price,
+        status: payload.sell.status || OrderStatusEnum.Idle,
+        createdAt: updatedAt,
+        updatedAt,
+      },
+    };
+
+    return updatedSmartTrade;
+  }
+
   async cancelSmartTrade(_ref: string, _botId: number): Promise<boolean> {
     return false; // @todo
     // throw new Error("Not implemented yet.");
   }
+
+  async getExchange(_label: string): Promise<IExchange | null> {
+    throw new Error("Not implemented yet.");
+  }
 }
diff --git a/packages/bot-processor/src/bot-control.ts b/packages/bot-processor/src/bot-control.ts
@@ -1,9 +1,11 @@
 import { OrderStatusEnum } from "@opentrader/types";
-import type { UseSmartTradePayload } from "./effects/common/types/use-smart-trade-effect";
-import type { IBotConfiguration } from "./types/bot/bot-configuration.interface";
-import type { IBotControl } from "./types/bot/bot-control.interface";
-import type { SmartTrade } from "./types/smart-trade/smart-trade.type";
-import type { IStore } from "./types/store/store.interface";
+import type { UseSmartTradePayload } from "./effects";
+import type {
+  IBotConfiguration,
+  IBotControl,
+  SmartTrade,
+  IStore,
+} from "./types";
 
 export class BotControl<T extends IBotConfiguration> implements IBotControl {
   constructor(
@@ -23,6 +25,13 @@ export class BotControl<T extends IBotConfiguration> implements IBotControl {
     return this.store.createSmartTrade(ref, payload, this.bot.id);
   }
 
+  async updateSmartTrade(
+    ref: string,
+    payload: Pick<UseSmartTradePayload, "sell">,
+  ) {
+    return this.store.updateSmartTrade(ref, payload, this.bot.id);
+  }
+
   async getOrCreateSmartTrade(
     ref: string,
     payload: UseSmartTradePayload,
@@ -45,10 +54,12 @@ export class BotControl<T extends IBotConfiguration> implements IBotControl {
         price: smartTrade.buy.price,
         status: OrderStatusEnum.Idle,
       },
-      sell: {
-        price: smartTrade.sell.price,
-        status: OrderStatusEnum.Idle,
-      },
+      sell: smartTrade.sell
+        ? {
+            price: smartTrade.sell.price,
+            status: OrderStatusEnum.Idle,
+          }
+        : undefined,
       quantity: smartTrade.quantity,
     };
 
@@ -58,4 +69,8 @@ export class BotControl<T extends IBotConfiguration> implements IBotControl {
   async cancelSmartTrade(ref: string) {
     return this.store.cancelSmartTrade(ref, this.bot.id);
   }
+
+  async getExchange(label: string) {
+    return this.store.getExchange(label);
+  }
 }