fix issue #5 - update for fixed API changes

Author: robaho

cmd/algo/main.go

@@ -3,12 +3,12 @@ package main
 import (
 	"flag"
 	"fmt"
+	"github.com/robaho/fixed"
 	"log"
 	"time"
 
 	. "github.com/robaho/go-trader/pkg/common"
 	"github.com/robaho/go-trader/pkg/connector"
-	"github.com/shopspring/decimal"
 )
 
 type algoState int
@@ -27,9 +27,9 @@ var exchange ExchangeConnector
 type MyAlgo struct {
 	symbol      string
 	instrument  Instrument
-	entryPrice  decimal.Decimal
-	offset      decimal.Decimal
-	totalProfit decimal.Decimal
+	entryPrice  fixed.Fixed
+	offset      fixed.Fixed
+	totalProfit fixed.Fixed
 	state       algoState
 	runs        int
 	nextEntry   time.Time
@@ -86,7 +86,7 @@ func (a *MyAlgo) OnFill(fill *Fill) {
 	if a.state == waitSell {
 		profit := fill.Price.Sub(a.entryPrice)
 		fmt.Println("exited market at ", fill.Price)
-		if profit.GreaterThan(decimal.Zero) {
+		if profit.GreaterThan(fixed.ZERO) {
 			fmt.Println("!!!! winner ", profit)
 		} else {
 			fmt.Println("____ loser ", profit)
@@ -118,7 +118,7 @@ func main() {
 	flag.Parse()
 
 	callback.symbol = *symbol
-	callback.offset = decimal.NewFromFloat(*offset)
+	callback.offset = fixed.NewF(*offset)
 
 	p, err := NewProperties(*props)
 	if err != nil {
@@ -133,7 +133,7 @@ func main() {
 		panic("exchange is not connected")
 	}
 
-	err := exchange.DownloadInstruments()
+	err = exchange.DownloadInstruments()
 	if err != nil {
 		panic(err)
 	}
@@ -148,7 +148,7 @@ func main() {
 	for {
 		time.Sleep(time.Duration(10) * time.Second)
 		tp := callback.totalProfit
-		if tp.LessThan(decimal.Zero) {
+		if tp.LessThan(fixed.ZERO) {
 			fmt.Println("<<<<< total profit", tp)
 		} else {
 			fmt.Println(">>>>> total profit", tp)

cmd/client/main.go

@@ -133,9 +133,9 @@ func (MyCallback) OnFill(fill *Fill) {
 		color = gocui.ColorRed
 	}
 	if fill.IsQuote {
-		vlogcf("fills", color, "quote fill on %s, %s %s @ %s\n", fill.Instrument.Symbol(), fill.Side, fill.Quantity.String(), fill.Price.StringFixed(2))
+		vlogcf("fills", color, "quote fill on %s, %s %s @ %s\n", fill.Instrument.Symbol(), fill.Side, fill.Quantity.String(), fill.Price.StringN(2))
 	} else {
-		vlogcf("fills", color, "order %d fill on %s, %s %s @ %s\n", fill.Order.Id, fill.Instrument.Symbol(), fill.Side, fill.Quantity.String(), fill.Price.StringFixed(2))
+		vlogcf("fills", color, "order %d fill on %s, %s %s @ %s\n", fill.Order.Id, fill.Instrument.Symbol(), fill.Side, fill.Quantity.String(), fill.Price.StringN(2))
 	}
 }
 

cmd/marketmaker/main.go

@@ -7,7 +7,6 @@ import (
 	"math/rand"
 	"os"
 	"runtime/pprof"
-	"sync"
 	"sync/atomic"
 	"time"
 
@@ -17,13 +16,13 @@ import (
 )
 
 type MyCallback struct {
-	wg     sync.WaitGroup
+	ch     chan bool
 	symbol string
 }
 
 func (cb *MyCallback) OnBook(book *Book) {
 	if book.Instrument.Symbol() == cb.symbol {
-		cb.wg.Done()
+		cb.ch <- true
 	}
 }
 
@@ -42,7 +41,7 @@ func (*MyCallback) OnTrade(trade *Trade) {
 }
 
 func main() {
-	var callback = MyCallback{}
+	var callback = MyCallback{make(chan bool, 128), ""}
 
 	symbol := flag.String("symbol", "IBM", "set the symbol")
 	fix := flag.String("fix", "configs/qf_mm1_settings", "set the fix session file")
@@ -139,12 +138,15 @@ func main() {
 			if bidPrice.Equal(askPrice) {
 				panic("bid price equals ask price")
 			}
-			callback.wg.Add(1)
 			err := exchange.Quote(instrument, bidPrice, bidQty, askPrice, askQty)
 			if err != nil {
 				log.Fatal("unable to submit quote", err)
 			}
-			callback.wg.Wait()
+			<-callback.ch
+			// drain channel
+			for len(callback.ch) > 0 {
+				<-callback.ch
+			}
 		}
 		h.Add(float64(time.Now().Sub(now).Nanoseconds()))
 		if *delay != 0 {

pkg/common/exchange.go

@@ -3,7 +3,6 @@ package common
 import (
 	"errors"
 	. "github.com/robaho/fixed"
-	"github.com/shopspring/decimal"
 	"time"
 )
 
@@ -35,8 +34,8 @@ type Fill struct {
 	// Order will be nil on quote trade, the order is unlocked
 	Order      *Order
 	ExchangeID string
-	Quantity   decimal.Decimal
-	Price      decimal.Decimal
+	Quantity   Fixed
+	Price      Fixed
 	Side       Side
 	IsLegTrade bool
 }

pkg/connector/grpc/connector.go

@@ -5,7 +5,6 @@ import (
 	. "github.com/robaho/fixed"
 	. "github.com/robaho/go-trader/pkg/common"
 	"github.com/robaho/go-trader/pkg/protocol"
-	"github.com/shopspring/decimal"
 	"google.golang.org/grpc"
 	"io"
 	"log"
@@ -326,8 +325,8 @@ func (c *grpcConnector) handleExecutionReport(rpt *protocol.ExecutionReport) {
 	}
 
 	if rpt.ReportType == protocol.ExecutionReport_Fill {
-		lastPx := decimal.NewFromFloat(rpt.LastPrice)
-		lastQty := decimal.NewFromFloat(rpt.LastQuantity)
+		lastPx := NewF(rpt.LastPrice)
+		lastQty := NewF(rpt.LastQuantity)
 
 		var side Side
 		if rpt.Side == protocol.CreateOrderRequest_Buy {

pkg/connector/qfix/qfixapp.go

@@ -3,6 +3,7 @@ package qfix
 import (
 	"fmt"
 	"github.com/quickfixgo/fix44/securitydefinition"
+	"github.com/robaho/fixed"
 	"strings"
 
 	"github.com/quickfixgo/enum"
@@ -168,10 +169,14 @@ func (app *myApplication) onExecutionReport(msg executionreport.ExecutionReport,
 			return err
 		}
 		lastQty, err := msg.GetLastQty()
+
+		lastPxF, _ := lastPx.Float64()
+		lastQtyF, _ := lastQty.Float64()
+
 		if err != nil {
 			return err
 		}
-		fill := &Fill{instrument, id == 0, order, exchangeId, lastQty, lastPx, MapFromFixSide(side), false}
+		fill := &Fill{instrument, id == 0, order, exchangeId, fixed.NewF(lastQtyF), fixed.NewF(lastPxF), MapFromFixSide(side), false}
 		app.c.callback.OnFill(fill)
 	}