bfx wip

Author: functora

pub/bfx/src/Bfx.hs

@@ -18,8 +18,6 @@ module Bfx
     cancelOrderById,
     cancelOrderByClientId,
     cancelOrderByGroupId,
-    submitCounterOrder,
-    submitCounterOrderMaker,
     dumpIntoQuote,
     dumpIntoQuoteMaker,
     netWorth,
@@ -28,6 +26,8 @@ module Bfx
     tickers,
     MkOrder (..),
     mkOrder,
+    MkCounterOrder (..),
+    mkCounterOrder,
     module X,
   )
 where
@@ -332,79 +332,6 @@ cancelOrderByGroupId env gid = do
     . CancelOrderMulti.ByOrderGroupId
     $ Set.singleton gid
 
-submitCounterOrder ::
-  ( MonadThrow m,
-    MonadUnliftIO m
-  ) =>
-  Env ->
-  OrderId ->
-  CounterRates ->
-  SubmitOrder.Options ->
-  m Order
-submitCounterOrder =
-  mkSubmitCounterOrder submitOrder
-
-submitCounterOrderMaker ::
-  ( MonadThrow m,
-    MonadUnliftIO m
-  ) =>
-  Env ->
-  OrderId ->
-  CounterRates ->
-  SubmitOrder.Options ->
-  m Order
-submitCounterOrderMaker =
-  mkSubmitCounterOrder submitOrderMaker
-
-mkSubmitCounterOrder ::
-  ( MonadThrow m,
-    MonadUnliftIO m
-  ) =>
-  ( Env -> SubmitOrder.Request -> m Order
-  ) ->
-  Env ->
-  OrderId ->
-  CounterRates ->
-  SubmitOrder.Options ->
-  m Order
-mkSubmitCounterOrder submit env id0 rates opts = do
-  remOrder <- getOrder env id0
-  let sym = orderSymbol remOrder
-  case orderBuyOrSell remOrder of
-    Buy | orderStatus remOrder == Executed -> do
-      counter <-
-        mkCounterOrder
-          CounterArgs
-            { counterArgsEnterBuyOrSell = Buy,
-              counterArgsEnterGrossBase =
-                orderBaseAmount remOrder,
-              counterArgsEnterQuotePerBase =
-                orderRate remOrder,
-              counterArgsRates =
-                rates
-            }
-      let exitAmt = counterExitGrossBase counter
-      let exitRate = counterExitQuotePerBase counter
-      currentRate <-
-        marketAveragePrice
-          MarketAveragePrice.Request
-            { MarketAveragePrice.buyOrSell = Sell,
-              MarketAveragePrice.baseAmount = exitAmt,
-              MarketAveragePrice.symbol = sym
-            }
-      submit
-        env
-        SubmitOrder.Request
-          { SubmitOrder.buyOrSell = Sell,
-            SubmitOrder.baseAmount = exitAmt,
-            SubmitOrder.symbol = sym,
-            SubmitOrder.rate = max exitRate currentRate,
-            SubmitOrder.options = opts
-          }
-    _ ->
-      throw
-        $ ErrorRemoteOrderState remOrder
-
 mkDumpIntoQuote ::
   ( MonadThrow m,
     MonadUnliftIO m
@@ -640,3 +567,114 @@ mkOrder args = do
   where
     bos = mkOrderBuyOrSell args
     sym = mkOrderCurrencyPair args
+
+data MkCounterOrder = MkCounterOrder
+  { mkCounterOrderEnterBuyOrSell :: BuyOrSell,
+    mkCounterOrderEnterGrossBase :: MoneyAmount,
+    mkCounterOrderEnterQuotePerBase :: QuotePerBase,
+    mkCounterOrderCurrencyPair :: CurrencyPair,
+    mkCounterOrderEnterFee :: FeeRate,
+    mkCounterOrderExitFee :: FeeRate,
+    mkCounterOrderProfit :: ProfitRate
+  }
+  deriving stock
+    ( Eq,
+      Ord,
+      Show,
+      Read,
+      Data,
+      Generic
+    )
+
+mkCounterOrder ::
+  ( MonadThrow m,
+    MonadUnliftIO m
+  ) =>
+  MkCounterOrder ->
+  m SubmitOrder.Request
+mkCounterOrder args = do
+  exitBase <-
+    tweakMoneyAmount exitBos exitGrossBase
+  exitRate <-
+    roundQuotePerBase
+      . QuotePerBase
+      $ unMoneyAmount exitGrossQuote
+      / unMoneyAmount exitBase
+  currentRate <-
+    marketAveragePrice
+      MarketAveragePrice.Request
+        { MarketAveragePrice.buyOrSell = exitBos,
+          MarketAveragePrice.baseAmount = exitBase,
+          MarketAveragePrice.symbol = sym
+        }
+  let bestRate =
+        case exitBos of
+          Buy -> min exitRate currentRate
+          Sell -> max exitRate currentRate
+  pure
+    SubmitOrder.Request
+      { SubmitOrder.buyOrSell = exitBos,
+        SubmitOrder.baseAmount = exitBase,
+        SubmitOrder.symbol = sym,
+        SubmitOrder.rate = bestRate,
+        SubmitOrder.options = SubmitOrder.optsDef
+      }
+  where
+    sym :: CurrencyPair
+    sym = mkCounterOrderCurrencyPair args
+    enterBos :: BuyOrSell
+    enterBos = mkCounterOrderEnterBuyOrSell args
+    exitBos :: BuyOrSell
+    exitBos = nextEnum enterBos
+    enterRate :: QuotePerBase
+    enterRate = mkCounterOrderEnterQuotePerBase args
+    enterBase :: MoneyAmount
+    enterBase = mkCounterOrderEnterGrossBase args
+    enterNetLoss :: MoneyAmount
+    enterNetLoss =
+      MoneyAmount $ case enterBos of
+        Buy ->
+          -- Quote
+          unMoneyAmount enterBase
+            * unQuotePerBase enterRate
+        Sell ->
+          -- Base
+          unMoneyAmount enterBase
+    enterNetGain :: MoneyAmount
+    enterNetGain =
+      MoneyAmount $ case enterBos of
+        Buy ->
+          -- Base
+          unMoneyAmount enterBase
+            * (1 - unFeeRate enterFeeRate)
+        Sell ->
+          -- Quote
+          unMoneyAmount enterBase
+            * unQuotePerBase enterRate
+            * (1 - unFeeRate enterFeeRate)
+    exitGrossGain :: MoneyAmount
+    exitGrossGain =
+      --
+      -- Buy = Quote
+      -- Sell = Base
+      --
+      MoneyAmount
+        $ unMoneyAmount enterNetLoss
+        * (1 + unProfitRate profitRate)
+        / (1 - unFeeRate exitFeeRate)
+    exitGrossBase :: MoneyAmount
+    exitGrossBase =
+      case enterBos of
+        Buy -> enterNetGain
+        Sell -> exitGrossGain
+    exitGrossQuote :: MoneyAmount
+    exitGrossQuote =
+      case enterBos of
+        Buy -> exitGrossGain
+        Sell -> enterNetGain
+    enterFeeRate :: FeeRate
+    enterFeeRate = mkCounterOrderEnterFee args
+    exitFeeRate :: FeeRate
+    exitFeeRate = mkCounterOrderExitFee args
+    profitRate :: ProfitRate
+    profitRate = mkCounterOrderProfit args

pub/bfx/src/Bfx/Math.hs

@@ -5,10 +5,6 @@ module Bfx.Math
     roundQuotePerBase,
     tweakMoneyAmount,
     tweakQuotePerBase,
-    CounterArgs (..),
-    CounterRates (..),
-    CounterExit (..),
-    mkCounterOrder,
   )
 where
 
@@ -104,115 +100,3 @@ tweakQuotePerBaseRec prev tweak = do
   if next /= prev
     then pure next
     else tweakQuotePerBaseRec prev $ tweak . tweak
-
-data CounterArgs = CounterArgs
-  { counterArgsEnterBuyOrSell :: BuyOrSell,
-    counterArgsEnterGrossBase :: MoneyAmount,
-    counterArgsEnterQuotePerBase :: QuotePerBase,
-    counterArgsRates :: CounterRates
-  }
-  deriving stock
-    ( Eq,
-      Ord,
-      Show,
-      Read,
-      Data,
-      Generic
-    )
-
-data CounterRates = CounterRates
-  { counterRatesFee :: FeeRate,
-    counterRatesProfit :: ProfitRate
-  }
-  deriving stock
-    ( Eq,
-      Ord,
-      Show,
-      Read,
-      Data,
-      Generic
-    )
-
-data CounterExit = CounterExit
-  { counterExitBuyOrSell :: BuyOrSell,
-    counterExitGrossBase :: MoneyAmount,
-    counterExitQuotePerBase :: QuotePerBase
-  }
-  deriving stock
-    ( Eq,
-      Ord,
-      Show,
-      Read,
-      Data,
-      Generic
-    )
-
-mkCounterOrder :: (MonadThrow m) => CounterArgs -> m CounterExit
-mkCounterOrder args = do
-  let exitBos = nextEnum enterBos
-  exitBase <-
-    tweakMoneyAmount exitBos exitGrossBase
-  exitRate <-
-    roundQuotePerBase
-      . QuotePerBase
-      $ unMoneyAmount exitGrossQuote
-      / unMoneyAmount exitBase
-  pure
-    CounterExit
-      { counterExitBuyOrSell = exitBos,
-        counterExitGrossBase = exitBase,
-        counterExitQuotePerBase = exitRate
-      }
-  where
-    enterBos :: BuyOrSell
-    enterBos = counterArgsEnterBuyOrSell args
-    enterRate :: QuotePerBase
-    enterRate = counterArgsEnterQuotePerBase args
-    enterBase :: MoneyAmount
-    enterBase = counterArgsEnterGrossBase args
-    enterNetLoss :: MoneyAmount
-    enterNetLoss =
-      MoneyAmount $ case enterBos of
-        Buy ->
-          -- Quote
-          unMoneyAmount enterBase
-            * unQuotePerBase enterRate
-        Sell ->
-          -- Base
-          unMoneyAmount enterBase
-    enterNetGain :: MoneyAmount
-    enterNetGain =
-      MoneyAmount $ case enterBos of
-        Buy ->
-          -- Base
-          unMoneyAmount enterBase
-            * (1 - unFeeRate feeRate)
-        Sell ->
-          -- Quote
-          unMoneyAmount enterBase
-            * unQuotePerBase enterRate
-            * (1 - unFeeRate feeRate)
-    exitGrossGain :: MoneyAmount
-    exitGrossGain =
-      --
-      -- Buy = Quote
-      -- Sell = Base
-      --
-      MoneyAmount
-        $ unMoneyAmount enterNetLoss
-        * (1 + unProfitRate profitRate)
-        / (1 - unFeeRate feeRate)
-    exitGrossBase :: MoneyAmount
-    exitGrossBase =
-      case enterBos of
-        Buy -> enterNetGain
-        Sell -> exitGrossGain
-    exitGrossQuote :: MoneyAmount
-    exitGrossQuote =
-      case enterBos of
-        Buy -> exitGrossGain
-        Sell -> enterNetGain
-    feeRate :: FeeRate
-    feeRate = counterRatesFee $ counterArgsRates args
-    profitRate :: ProfitRate
-    profitRate = counterRatesProfit $ counterArgsRates args