Account for fees

magic8bot · Nov 27, 2020 · bc96c6d · bc96c6d
1 parent 1ec9dca
commit bc96c6d
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Showing 15 changed files with 271 additions and 115 deletions.
diff --git a/package.json b/package.json
@@ -21,7 +21,8 @@
     "start:dev": "cross-env NODE_ENV=development nodemon -w ./src -e ts ./magic8bot.js",
     "lint": "tslint -p ./tsconfig.json",
     "lint:fix": "npm run lint -- --fix",
-    "test": "jest --detectOpenHandles --runInBand --forceExit"
+    "test": "jest --detectOpenHandles --runInBand --forceExit",
+    "test:watch": "jest --detectOpenHandles --runInBand --forceExit --watch"
   },
   "dependencies": {
     "@magic8bot/event-bus": "^1.1.1",
@@ -85,4 +86,4 @@
     "@m8bTypes": "dist/types/index.js",
     "@util": "dist/util/index.js"
   }
-}
+}
diff --git a/src/core/strategy.ts b/src/core/strategy.ts
@@ -1,7 +1,6 @@
-import { Balances, Balance } from 'ccxt'
 import { EventBusListener } from '@magic8bot/event-bus'
 
-import { StrategyConf, Signal } from '@m8bTypes'
+import { Signal } from '@m8bTypes'
 import { eventBus, EVENT, StrategyConfig, Adjustment } from '@lib'
 
 import { PeriodStore, WalletStore } from '@store'

diff --git a/src/engine/order.spec.ts b/src/engine/order.spec.ts
diff --git a/src/engine/order.ts b/src/engine/order.ts
@@ -58,7 +58,7 @@ export class OrderEngine {
     const price = this.exchangeProvider.priceToPrecision(exchange, symbol, rawPrice)
 
     const purchasingPower = this.exchangeProvider.priceToPrecision(exchange, symbol, this.wallet.currency * strength)
-    const amount = this.exchangeProvider.amountToPrecision((purchasingPower / price) * 0.995)
+    const amount = this.exchangeProvider.amountToPrecision(purchasingPower / price)
 
     // @todo(notVitaliy): Add support for market
     const orderOpts: OrderOpts = { symbol, price, amount, type: 'limit', side: 'buy' }
@@ -129,6 +129,7 @@ export class OrderEngine {
     const order = await this.exchangeProvider.checkOrder(exchange, id)
 
     await this.updateOrder(order)
+
     switch (order.status) {
       case 'open':
         return this.adjustOrder(id)
@@ -139,28 +140,30 @@ export class OrderEngine {
         logger.info(`Order ${id} for ${symbol} on ${exchange} was canceled.`)
         break
     }
+
     return this.orderStore.closeOpenOrder(this.storeOpts, id)
   }
 
   private async updateOrder(order: OrderWithTrades) {
+    logger.verbose(`update order`)
     this.adjustWallet(order)
 
     this.orderStore.updateOrder(this.storeOpts, order)
     await this.orderStore.saveOrder(this.storeOpts, order)
   }
 
   private adjustWallet(order: OrderWithTrades) {
-    // @todo(notVitaliy): Adjust for fees
-    const openOrder = this.orderStore.getOpenOrder(this.storeOpts, order.id)
-    const adjustment = { asset: 0, currency: 0 }
+    logger.verbose(`adjust wallet`)
 
-    if (order.side === 'buy') {
-      adjustment.asset = order.filled - openOrder.filled
-    } else {
-      adjustment.currency = order.cost - openOrder.cost
-    }
+    const savedOrder = this.orderStore.getOpenOrder(this.storeOpts, order.id)
+    const adjustment = { asset: 0, currency: 0 }
 
+    if (order.side === 'buy') adjustment.asset = order.filled - savedOrder.filled
+    else adjustment.currency = order.cost - savedOrder.cost
     if (adjustment.asset || adjustment.currency) this.emitWalletAdjustment({ ...adjustment, type: 'fillOrder' })
+
+    const savedFee = savedOrder.fee ? savedOrder.fee.cost : 0
+    if (order.fee && order.fee.cost) this.emitWalletAdjustment({ asset: 0, currency: 0 - (order.fee.cost - savedFee), type: 'fee' })
   }
 
   private async adjustOrder(id: string) {

diff --git a/src/exchange/exchange.provider.ts b/src/exchange/exchange.provider.ts
@@ -2,7 +2,7 @@ import { ExchangeAuth } from '@m8bTypes'
 import ccxt, { Trade } from 'ccxt'
 import { ExchangeWrapper } from './exchange.wrapper'
 import { ExchangeErrorHandler } from './exchange.error'
-import { wsServer, ExchangeConfig } from '@lib'
+import { ExchangeConfig } from '@lib'
 import { sleep, logger } from '@util'
 import { ChaosXcg } from '../seed/chaos.exchange'
 

diff --git a/src/exchange/exchange.wrapper.ts b/src/exchange/exchange.wrapper.ts
@@ -37,7 +37,7 @@ export class ExchangeWrapper {
     const res = await this.bottleneck.schedule(fn)
 
     // const debug = { name: 'fetchTrades', req: { symbol, params }, res: res.length }
-    // logger.debug(JSON.stringify(debug))
+    // logger.silly(JSON.stringify(debug))
 
     return res
   }
@@ -47,7 +47,7 @@ export class ExchangeWrapper {
     const res = await this.bottleneck.schedule(fn)
 
     const debug = { name: 'fetchBalance', req: {}, res }
-    logger.debug(JSON.stringify(debug))
+    logger.silly(JSON.stringify(debug))
 
     return res
   }
@@ -57,7 +57,7 @@ export class ExchangeWrapper {
     const res = await this.bottleneck.schedule(fn)
 
     const debug = { name: 'fetchOrderBook', req: { symbol }, res }
-    logger.debug(JSON.stringify(debug))
+    logger.silly(JSON.stringify(debug))
 
     return res
   }
@@ -67,7 +67,7 @@ export class ExchangeWrapper {
     const res = await this.bottleneck.schedule(fn)
 
     const debug = { name: 'createOrder', req: { symbol, type, side, amount, price }, res }
-    logger.debug(JSON.stringify(debug))
+    logger.silly(JSON.stringify(debug))
 
     return res
   }
@@ -77,7 +77,7 @@ export class ExchangeWrapper {
     const res: any = await this.bottleneck.schedule(fn)
 
     const debug = { name: 'checkOrder', req: { orderId }, res }
-    logger.debug(JSON.stringify(debug))
+    logger.silly(JSON.stringify(debug))
 
     return res
   }
@@ -87,7 +87,7 @@ export class ExchangeWrapper {
     const res = await this.bottleneck.schedule(fn)
 
     const debug = { name: 'cancelOrder', req: { orderId }, res }
-    logger.debug(JSON.stringify(debug))
+    logger.silly(JSON.stringify(debug))
 
     return res
   }
@@ -97,7 +97,7 @@ export class ExchangeWrapper {
     const res = await this.bottleneck.schedule(fn)
 
     const debug = { name: 'fetchTicker', req: { symbol }, res }
-    logger.debug(JSON.stringify(debug))
+    logger.silly(JSON.stringify(debug))
 
     return res
   }

diff --git a/src/lib/db/db.types.ts b/src/lib/db/db.types.ts
@@ -109,7 +109,7 @@ export type WalletCollection = Wallet & {
 }
 
 export type Adjustment = Wallet & {
-  type: 'user' | 'newOrder' | 'cancelOrder' | 'fillOrder'
+  type: 'user' | 'newOrder' | 'cancelOrder' | 'fillOrder' | 'fee'
 }
 
 export type AdjustmentCollection = Adjustment & {

diff --git a/src/store/wallet.store.ts b/src/store/wallet.store.ts
@@ -60,6 +60,8 @@ export class WalletStore {
     }
 
     this.wallets.set(idStr, { asset: 0, currency: 0 })
+    if (!adjustment) return
+
     await this.adjustWallet(storeOpts, adjustment)
   }
 

diff --git a/src/strategy/indicators/aroon-down.spec.ts b/src/strategy/indicators/aroon-down.spec.ts
@@ -0,0 +1,14 @@
+import { candles } from './spec.helper'
+import { AroonDown } from './aroon-down'
+
+describe('AroonDown', () => {
+  it('should calculate the lowest close', () => {
+    const lowest = AroonDown.getLowestPeriodIndex(candles)
+    expect(lowest).toBe(16)
+  })
+
+  it('should calculate correctly', () => {
+    const lowest = AroonDown.calculate(candles)
+    expect(lowest).toBe(36)
+  })
+})
diff --git a/src/strategy/indicators/aroon-down.ts b/src/strategy/indicators/aroon-down.ts
@@ -0,0 +1,17 @@
+import { PeriodItem } from '@lib'
+
+export class AroonDown {
+  public static calculate(allPeriods: PeriodItem[], length = 25) {
+    const usedPeriods = [...allPeriods]
+    usedPeriods.length = length
+
+    return ((length - this.getLowestPeriodIndex(usedPeriods)) / length) * 100
+  }
+
+  public static getLowestPeriodIndex(periods: PeriodItem[]) {
+    const mapped = periods.map(({ close }, idx) => ({ close, idx }))
+    const sorted = mapped.sort((a, b) => (a.close < b.close ? -1 : 1))
+
+    return sorted[0].idx
+  }
+}
diff --git a/src/strategy/indicators/aroon-up.spec.ts b/src/strategy/indicators/aroon-up.spec.ts
@@ -0,0 +1,14 @@
+import { candles } from './spec.helper'
+import { AroonUp } from './aroon-up'
+
+describe('AroonUp', () => {
+  it('should calculate the lowest low', () => {
+    const lowest = AroonUp.getHighestPeriodIndex(candles)
+    expect(lowest).toBe(58)
+  })
+
+  it('should calculate correctly', () => {
+    const lowest = AroonUp.calculate(candles)
+    expect(lowest).toBe(88)
+  })
+})
diff --git a/src/strategy/indicators/aroon-up.ts b/src/strategy/indicators/aroon-up.ts
@@ -0,0 +1,17 @@
+import { PeriodItem } from '@lib'
+
+export class AroonUp {
+  public static calculate(allPeriods: PeriodItem[], length = 25) {
+    const usedPeriods = [...allPeriods]
+    usedPeriods.length = length
+
+    return ((length - this.getHighestPeriodIndex(usedPeriods)) / length) * 100
+  }
+
+  public static getHighestPeriodIndex(periods: PeriodItem[]) {
+    const mapped = periods.map(({ close }, idx) => ({ close, idx }))
+    const sorted = mapped.sort((a, b) => (a.close > b.close ? -1 : 1))
+
+    return sorted[0].idx
+  }
+}
diff --git a/src/strategy/indicators/index.ts b/src/strategy/indicators/index.ts
@@ -1,3 +1,5 @@
+export * from './aroon-down'
+export * from './aroon-up'
 export * from './average'
 export * from './cci'
 export * from './cmf'

diff --git a/src/strategy/strategies/aroon/aroon.ts b/src/strategy/strategies/aroon/aroon.ts
@@ -0,0 +1,75 @@
+import { PeriodItem } from '@lib'
+import { Signal } from '@m8bTypes'
+import { AroonDown, AroonUp } from '../../indicators'
+import { BaseStrategy, StrategyField } from '../base-strategy'
+import { logger } from '../../../util'
+
+export interface AroonOptions {
+  period?: string
+}
+
+export interface AroonPeriod {
+  up: number
+  down: number
+}
+
+export class Aroon extends BaseStrategy<AroonOptions, void> {
+  public static description = ''
+
+  public static fields: StrategyField[] = []
+
+  public options: AroonOptions = {}
+
+  private periods: AroonPeriod[] = [
+    {
+      up: null,
+      down: null,
+    },
+  ]
+
+  constructor(exchange: string, symbol: string, options?: Partial<AroonOptions>) {
+    super('aroon', exchange, symbol)
+    this.options = { ...this.options, ...options }
+  }
+
+  public calculate(periods: PeriodItem[]) {
+    if (!periods.length) return
+
+    const up = AroonUp.calculate(periods, 60)
+    const down = AroonDown.calculate(periods, 60)
+
+    this.periods[0] = { up, down }
+  }
+
+  public onPeriod() {
+    const signal = this.getSignal()
+    const [{ up, down }] = this.periods
+
+    if (!this.isPreroll) logger.debug(`Aroon: up(${up}) down(${down})`)
+
+    return signal
+  }
+
+  private getSignal(): Signal {
+    if (this.shouldBuy()) return 'buy'
+    if (this.shouldSell()) return 'sell'
+
+    return null
+  }
+
+  private shouldBuy() {
+    const [{ up, down }] = this.periods
+
+    return up > 50 && down < 50
+  }
+
+  private shouldSell() {
+    const [{ up, down }] = this.periods
+
+    return up < 50 && down > 50
+  }
+
+  public newPeriod() {
+    this.periods.unshift({ up: null, down: null })
+  }
+}
diff --git a/src/strategy/strategies/aroon/index.ts b/src/strategy/strategies/aroon/index.ts
@@ -0,0 +1,3 @@
+import { Aroon } from './aroon'
+
+export const strategy = Aroon
-Original file line number
+Diff line change
@@ Expand Up / @@ -60,6 +60,8 @@ export class WalletStore { @@
         }
         this.wallets.set(idStr, { asset: 0, currency: 0 })
+        if (!adjustment) return
         await this.adjustWallet(storeOpts, adjustment)
       }
@@ Expand Down @@
Original file line number	Diff line number	Diff line change
		@@ -0,0 +1,3 @@
		import { Aroon } from './aroon'

		export const strategy = Aroon