Merge pull request #84 from bludnic/feat/exchange-place-order-method

Specify price for Market buy orders when required by exchange

packages/backtesting/src/exchange/memory-exchange.ts

@@ -9,20 +9,22 @@ import type {
   IGetMarketPriceResponse,
   ICancelLimitOrderRequest,
   ICancelLimitOrderResponse,
-  IGetLimitOrderRequest,
-  IGetLimitOrderResponse,
+  IPlaceOrderRequest,
+  IPlaceOrderResponse,
   IPlaceLimitOrderRequest,
   IPlaceLimitOrderResponse,
+  IPlaceMarketOrderRequest,
+  IPlaceMarketOrderResponse,
+  IPlaceStopOrderRequest,
+  IPlaceStopOrderResponse,
+  IGetLimitOrderRequest,
+  IGetLimitOrderResponse,
   IGetSymbolInfoRequest,
   ISymbolInfo,
   IWatchOrdersRequest,
   IWatchOrdersResponse,
-  IPlaceStopOrderRequest,
-  IPlaceStopOrderResponse,
   IWatchCandlesRequest,
   IWatchCandlesResponse,
-  IPlaceMarketOrderRequest,
-  IPlaceMarketOrderResponse,
   ITrade,
   IOrderbook,
   ITicker,
@@ -65,6 +67,13 @@ export class MemoryExchange implements IExchange {
     };
   }
 
+  async placeOrder(_body: IPlaceOrderRequest): Promise<IPlaceOrderResponse> {
+    return {
+      orderId: "",
+      clientOrderId: "",
+    };
+  }
+
   async placeLimitOrder(_body: IPlaceLimitOrderRequest): Promise<IPlaceLimitOrderResponse> {
     return {
       orderId: "",
@@ -92,6 +101,21 @@ export class MemoryExchange implements IExchange {
     };
   }
 
+  async getTicker(symbol: string): Promise<ITicker> {
+    const candlestick = this.marketSimulator.currentCandle;
+    const assetPrice = candlestick.close;
+
+    return {
+      symbol,
+      bid: assetPrice,
+      ask: assetPrice,
+      last: assetPrice,
+      baseVolume: 0,
+      quoteVolume: 0,
+      timestamp: this.marketSimulator.currentCandle.timestamp,
+    };
+  }
+
   async getMarketPrice(params: IGetMarketPriceRequest): Promise<IGetMarketPriceResponse> {
     const candlestick = this.marketSimulator.currentCandle;
     const assetPrice = candlestick.close;

packages/exchanges/src/exchanges/ccxt/exchange.ts

@@ -30,6 +30,10 @@ import type {
   IGetOpenOrdersRequest,
   IGetOpenOrdersResponse,
   IGetSymbolInfoRequest,
+  IPlaceOrderRequest,
+  IPlaceOrderResponse,
+  IPlaceMarketOrderRequest,
+  IPlaceMarketOrderResponse,
   IPlaceLimitOrderRequest,
   IPlaceLimitOrderResponse,
   IPlaceStopOrderRequest,
@@ -39,8 +43,6 @@ import type {
   IWatchCandlesResponse,
   IWatchOrdersRequest,
   IWatchOrdersResponse,
-  IPlaceMarketOrderRequest,
-  IPlaceMarketOrderResponse,
   ExchangeCode,
   IWatchTradesRequest,
   IWatchTradesResponse,
@@ -107,6 +109,13 @@ export class CCXTExchange implements IExchange {
     return normalize.getLimitOrder.response(data);
   }
 
+  async placeOrder(params: IPlaceOrderRequest): Promise<IPlaceOrderResponse> {
+    const args = normalize.placeOrder.request(params);
+    const data = await this.ccxt.createOrder(...args);
+
+    return normalize.placeOrder.response(data);
+  }
+
   async placeLimitOrder(params: IPlaceLimitOrderRequest): Promise<IPlaceLimitOrderResponse> {
     if ("clientOrderId" in params) {
       throw new Error("Fetch limit order by `clientOrderId` is not supported yet");
@@ -162,6 +171,13 @@ export class CCXTExchange implements IExchange {
     };
   }
 
+  async getTicker(symbol: string): Promise<ITicker> {
+    const args = normalize.getTicker.request(symbol);
+    const data = await this.ccxt.fetchTicker(...args);
+
+    return normalize.getTicker.response(data);
+  }
+
   async getMarketPrice(params: IGetMarketPriceRequest): Promise<IGetMarketPriceResponse> {
     const args = normalize.getMarketPrice.request(params);
     const data = await this.ccxt.fetchTicker(...args);

packages/exchanges/src/exchanges/ccxt/normalize.ts

@@ -1,5 +1,6 @@
+import { type OrderType } from "ccxt";
 import { composeSymbolIdFromPair, getExponentAbs } from "@opentrader/tools";
-import { OrderSide } from "@opentrader/types";
+import { OrderSide, XOrderType } from "@opentrader/types";
 import type { Normalize } from "../../types/normalize.interface.js";
 import { normalizeOrderStatus } from "../../utils/normalizeOrderStatus.js";
 
@@ -36,6 +37,24 @@ const getLimitOrder: Normalize["getLimitOrder"] = {
   }),
 };
 
+const placeOrder: Normalize["placeOrder"] = {
+  request: (params) => {
+    const orderType: OrderType = params.type === XOrderType.Market ? "market" : "limit";
+
+    // Some exchanges require price for Market orders to calculate the total cost of the order in the quote currency.
+    // https://docs.ccxt.com/#/?id=market-buys
+    if (params.price !== undefined) {
+      return [params.symbol, orderType, params.side, params.quantity, params.price];
+    }
+
+    return [params.symbol, orderType, params.side, params.quantity];
+  },
+  response: (order) => ({
+    orderId: order.id,
+    clientOrderId: order.clientOrderId,
+  }),
+};
+
 const placeLimitOrder: Normalize["placeLimitOrder"] = {
   request: (params) => [params.symbol, params.side, params.quantity, params.price],
   response: (order) => ({
@@ -112,6 +131,26 @@ const getClosedOrders: Normalize["getClosedOrders"] = {
     })),
 };
 
+const getTicker: Normalize["getTicker"] = {
+  request: (symbol) => [symbol],
+  response: (ticker) => ({
+    symbol: ticker.symbol!,
+    timestamp: ticker.timestamp!,
+
+    bid: ticker.bid!,
+    ask: ticker.ask!,
+    last: ticker.last!,
+
+    open: ticker.open,
+    high: ticker.high,
+    low: ticker.low,
+    close: ticker.close,
+
+    baseVolume: ticker.baseVolume!,
+    quoteVolume: ticker.quoteVolume!,
+  }),
+};
+
 const getMarketPrice: Normalize["getMarketPrice"] = {
   request: (params) => [params.symbol],
   response: (ticker) => ({
@@ -238,12 +277,14 @@ const watchTicker: Normalize["watchTicker"] = {
 export const normalize: Normalize = {
   accountAssets,
   getLimitOrder,
+  placeOrder,
   placeLimitOrder,
   placeMarketOrder,
   placeStopOrder,
   cancelLimitOrder,
   getOpenOrders,
   getClosedOrders,
+  getTicker,
   getMarketPrice,
   getCandlesticks,
   getSymbol,

packages/exchanges/src/exchanges/ccxt/paper-exchange.ts

@@ -38,6 +38,8 @@ import {
   OrderSide,
   OrderStatus,
   OrderType,
+  IPlaceOrderRequest,
+  IPlaceOrderResponse,
 } from "@opentrader/types";
 import { PaperOrder, xprisma } from "@opentrader/db";
 import { CCXTExchange } from "./exchange.js";
@@ -206,6 +208,17 @@ export class PaperExchange extends CCXTExchange {
     };
   }
 
+  async placeOrder(params: IPlaceOrderRequest): Promise<IPlaceOrderResponse> {
+    if (params.type === OrderType.Market) {
+      const price = params.price;
+      if (price === undefined) throw new Error("PaperExchange: Limit orders require a price param");
+
+      return this.placeLimitOrder({ ...params, price });
+    } else {
+      return this.placeMarketOrder(params);
+    }
+  }
+
   /**
    * @override
    */

packages/exchanges/src/types/exchange.interface.ts

@@ -8,22 +8,24 @@ import {
   ICancelLimitOrderResponse,
   IGetLimitOrderRequest,
   IGetLimitOrderResponse,
-  IPlaceLimitOrderRequest,
-  IPlaceLimitOrderResponse,
   ISymbolInfo,
   IGetSymbolInfoRequest,
   IGetOpenOrdersRequest,
   IGetOpenOrdersResponse,
   IGetClosedOrdersRequest,
   IGetClosedOrdersResponse,
-  IWatchOrdersRequest,
-  IWatchOrdersResponse,
+  IPlaceOrderRequest,
+  IPlaceOrderResponse,
+  IPlaceLimitOrderRequest,
+  IPlaceLimitOrderResponse,
+  IPlaceMarketOrderRequest,
+  IPlaceMarketOrderResponse,
   IPlaceStopOrderRequest,
   IPlaceStopOrderResponse,
+  IWatchOrdersRequest,
+  IWatchOrdersResponse,
   ExchangeCode,
   IWatchCandlesRequest,
-  IPlaceMarketOrderRequest,
-  IPlaceMarketOrderResponse,
   IWatchTradesRequest,
   IWatchTradesResponse,
   IOrderbook,
@@ -43,12 +45,14 @@ export interface IExchange {
 
   accountAssets: () => Promise<IAccountAsset[]>;
   getLimitOrder: (body: IGetLimitOrderRequest) => Promise<IGetLimitOrderResponse>;
+  placeOrder: (body: IPlaceOrderRequest) => Promise<IPlaceOrderResponse>;
   placeLimitOrder: (body: IPlaceLimitOrderRequest) => Promise<IPlaceLimitOrderResponse>;
   placeMarketOrder: (boyd: IPlaceMarketOrderRequest) => Promise<IPlaceMarketOrderResponse>;
   cancelLimitOrder: (body: ICancelLimitOrderRequest) => Promise<ICancelLimitOrderResponse>;
   placeStopOrder: (body: IPlaceStopOrderRequest) => Promise<IPlaceStopOrderResponse>;
   getOpenOrders: (body: IGetOpenOrdersRequest) => Promise<IGetOpenOrdersResponse>;
   getClosedOrders: (body: IGetClosedOrdersRequest) => Promise<IGetClosedOrdersResponse>;
+  getTicker: (symbol: string) => Promise<ITicker>;
   getMarketPrice: (params: IGetMarketPriceRequest) => Promise<IGetMarketPriceResponse>;
   getCandlesticks: (params: IGetCandlesticksRequest) => Promise<ICandlestick[]>;
   getSymbols: () => Promise<ISymbolInfo[]>;

packages/exchanges/src/types/normalize.interface.ts

@@ -13,17 +13,19 @@ import type {
   IGetMarketPriceRequest,
   IGetMarketPriceResponse,
   IGetSymbolInfoRequest,
+  IPlaceOrderRequest,
+  IPlaceOrderResponse,
   IPlaceLimitOrderRequest,
   IPlaceLimitOrderResponse,
+  IPlaceMarketOrderRequest,
+  IPlaceMarketOrderResponse,
   ISymbolInfo,
   IWatchOrdersRequest,
   IWatchOrdersResponse,
   IPlaceStopOrderRequest,
   IPlaceStopOrderResponse,
   IWatchCandlesRequest,
   IWatchCandlesResponse,
-  IPlaceMarketOrderRequest,
-  IPlaceMarketOrderResponse,
   ExchangeCode,
   IWatchTradesRequest,
   IWatchTradesResponse,
@@ -43,6 +45,11 @@ export type Normalize = {
     response: (data: Order) => IGetLimitOrderResponse;
   };
 
+  placeOrder: {
+    request: (params: IPlaceOrderRequest) => Parameters<Exchange["createOrder"]>;
+    response: (data: Order) => IPlaceOrderResponse;
+  };
+
   placeLimitOrder: {
     request: (params: IPlaceLimitOrderRequest) => Parameters<Exchange["createLimitOrder"]>;
     response: (data: Order) => IPlaceLimitOrderResponse;
@@ -75,6 +82,11 @@ export type Normalize = {
     response: (data: Order[]) => IGetClosedOrdersResponse;
   };
 
+  getTicker: {
+    request: (symbol: string) => Parameters<Exchange["fetchTicker"]>;
+    response: (data: Ticker) => ITicker;
+  };
+
   getMarketPrice: {
     request: (params: IGetMarketPriceRequest) => Parameters<Exchange["fetchTicker"]>;
     response: (data: Ticker) => IGetMarketPriceResponse;

packages/processing/src/executors/order/order.executor.ts

@@ -1,5 +1,5 @@
 import type { IExchange } from "@opentrader/exchanges";
-import { XOrderStatus } from "@opentrader/types";
+import { XOrderSide, XOrderStatus, XOrderType } from "@opentrader/types";
 import type { Order } from "@prisma/client";
 import { logger } from "@opentrader/logger";
 import type { OrderEntity } from "@opentrader/db";
@@ -62,10 +62,44 @@ export class OrderExecutor {
 
       return true;
     } else if (this.order.type === "Market") {
-      const exchangeOrder = await this.exchange.placeMarketOrder({
+      // Some exchanges require price for Market orders.
+      // https://docs.ccxt.com/#/?id=market-buys
+      const marketBuyRequiresPrice: boolean | undefined =
+        this.exchange.ccxt.features?.spot?.createOrder?.marketBuyRequiresPrice;
+
+      /**
+       * Estimates the price for a market order based on the current ticker.
+       * Additionally, a slippage multiplier is applied to the best bid or ask price to
+       * guarantee the order fulfillment on the exchange.
+       */
+      const estimateMarketOrderPrice = async () => {
+        const MAX_PRICE_SLIPPAGE = 0.01; // 1%
+
+        try {
+          const ticker = await this.exchange.getTicker(this.symbol);
+          const estimatedPrice =
+            this.order.side === XOrderSide.Buy
+              ? ticker.ask + ticker.ask * MAX_PRICE_SLIPPAGE
+              : ticker.bid - ticker.bid * MAX_PRICE_SLIPPAGE;
+          logger.debug(
+            `${this.exchange.exchangeCode} requires a price for market orders. The estimated price for ${this.symbol} is ${estimatedPrice}.`,
+          );
+
+          return estimatedPrice;
+        } catch (err) {
+          logger.warn(err, `Failed to estimate market order price. Reason: Cannot retrieve ticker for ${this.symbol}.`);
+
+          return undefined;
+        }
+      };
+
+      const side = this.order.side === XOrderSide.Buy ? "buy" : "sell";
+      const exchangeOrder = await this.exchange.placeOrder({
+        type: XOrderType.Market,
         symbol: this.symbol,
-        side: this.order.side === "Buy" ? "buy" : "sell",
+        side,
         quantity: this.order.quantity,
+        price: marketBuyRequiresPrice && side === "buy" ? await estimateMarketOrderPrice() : undefined,
       });
 
       await xprisma.order.update({

packages/types/src/exchange/index.ts

@@ -9,6 +9,7 @@ export * from "./public-data/get-symbols-info.js";
 export * from "./trade/common/enums.js";
 export * from "./trade/cancel-limit-order.js";
 export * from "./trade/get-limit-order.js";
+export * from "./trade/place-order.js";
 export * from "./trade/place-limit-order.js";
 export * from "./trade/place-market-order.js";
 export * from "./trade/place-stop-order.js";

packages/types/src/exchange/trade/place-market-order.ts

@@ -2,7 +2,7 @@ import type { OrderSide } from "./common/enums.js";
 
 export interface IPlaceMarketOrderRequest {
   /**
-   * Instrument ID, e.g `ADA-USDT`.
+   * Instrument ID, e.g `BTC/USDT`.
    */
   symbol: string;
   /**