Merge pull request #55 from bludnic/feat/trades

New bot context for cross exchange trading

packages/backtesting/src/backtesting.ts

@@ -15,12 +15,7 @@
  *
  * Repository URL: https://github.com/bludnic/opentrader
  */
-import type {
-  IBotConfiguration,
-  StrategyRunner,
-  BotTemplate,
-  BotState,
-} from "@opentrader/bot-processor";
+import type { IBotConfiguration, StrategyRunner, BotTemplate, BotState } from "@opentrader/bot-processor";
 import { createStrategyRunner } from "@opentrader/bot-processor";
 import type { ICandlestick } from "@opentrader/types";
 import { logger, format } from "@opentrader/logger";
@@ -59,11 +54,7 @@ export class Backtesting<T extends IBotConfiguration<T>> {
     for (const [index, candle] of candlesticks.entries()) {
       this.marketSimulator.nextCandle(candle);
 
-      logger.info(
-        `Process candle ${format.candletime(candle.timestamp)}: ${format.candle(
-          candle,
-        )}`,
-      );
+      logger.info(`Process candle ${format.candletime(candle.timestamp)}: ${format.candle(candle)}`);
 
       // const anyOrderFulfilled = this.marketSimulator.fulfillOrders();
 
@@ -78,7 +69,7 @@ export class Backtesting<T extends IBotConfiguration<T>> {
         // last candle
         await this.processor.stop(this.botState);
       } else {
-        await this.processor.process(this.botState, {
+        await this.processor.process(this.botState, undefined, {
           candle,
           candles: candlesticks.slice(0, index + 1),
         });

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

@@ -23,19 +23,25 @@ import type {
   IWatchCandlesResponse,
   IPlaceMarketOrderRequest,
   IPlaceMarketOrderResponse,
+  ITrade,
+  IOrderbook,
+  ITicker,
 } from "@opentrader/types";
 import { ExchangeCode } from "@opentrader/types";
 import type { MarketSimulator } from "../market-simulator.js";
 
 export class MemoryExchange implements IExchange {
   ccxt = {} as any;
   exchangeCode = ExchangeCode.OKX;
+  isPaper = false;
 
   /**
    * @internal
    */
   constructor(private marketSimulator: MarketSimulator) {}
 
+  async destroy() {}
+
   async loadMarkets() {
     return {};
   }
@@ -44,9 +50,7 @@ export class MemoryExchange implements IExchange {
     return [];
   }
 
-  async getLimitOrder(
-    _body: IGetLimitOrderRequest,
-  ): Promise<IGetLimitOrderResponse> {
+  async getLimitOrder(_body: IGetLimitOrderRequest): Promise<IGetLimitOrderResponse> {
     return {
       exchangeOrderId: "",
       clientOrderId: "",
@@ -61,44 +65,34 @@ export class MemoryExchange implements IExchange {
     };
   }
 
-  async placeLimitOrder(
-    _body: IPlaceLimitOrderRequest,
-  ): Promise<IPlaceLimitOrderResponse> {
+  async placeLimitOrder(_body: IPlaceLimitOrderRequest): Promise<IPlaceLimitOrderResponse> {
     return {
       orderId: "",
       clientOrderId: "",
     };
   }
 
-  async placeMarketOrder(
-    _body: IPlaceMarketOrderRequest,
-  ): Promise<IPlaceMarketOrderResponse> {
+  async placeMarketOrder(_body: IPlaceMarketOrderRequest): Promise<IPlaceMarketOrderResponse> {
     return {
       orderId: "",
       clientOrderId: "",
     };
   }
 
-  async placeStopOrder(
-    _body: IPlaceStopOrderRequest,
-  ): Promise<IPlaceStopOrderResponse> {
+  async placeStopOrder(_body: IPlaceStopOrderRequest): Promise<IPlaceStopOrderResponse> {
     return {
       orderId: "",
       clientOrderId: "",
     };
   }
 
-  async cancelLimitOrder(
-    _body: ICancelLimitOrderRequest,
-  ): Promise<ICancelLimitOrderResponse> {
+  async cancelLimitOrder(_body: ICancelLimitOrderRequest): Promise<ICancelLimitOrderResponse> {
     return {
       orderId: "",
     };
   }
 
-  async getMarketPrice(
-    params: IGetMarketPriceRequest,
-  ): Promise<IGetMarketPriceResponse> {
+  async getMarketPrice(params: IGetMarketPriceRequest): Promise<IGetMarketPriceResponse> {
     const candlestick = this.marketSimulator.currentCandle;
     const assetPrice = candlestick.close;
     const { symbol } = params;
@@ -110,15 +104,11 @@ export class MemoryExchange implements IExchange {
     };
   }
 
-  async getCandlesticks(
-    _params: IGetCandlesticksRequest,
-  ): Promise<ICandlestick[]> {
+  async getCandlesticks(_params: IGetCandlesticksRequest): Promise<ICandlestick[]> {
     return [];
   }
 
-  async getTradingFeeRates(
-    _params: IGetTradingFeeRatesRequest,
-  ): Promise<IGetTradingFeeRatesResponse> {
+  async getTradingFeeRates(_params: IGetTradingFeeRatesRequest): Promise<IGetTradingFeeRatesResponse> {
     return {
       makerFee: 0,
       takerFee: 0,
@@ -176,19 +166,23 @@ export class MemoryExchange implements IExchange {
     return [];
   }
 
-  async watchOrders(
-    _params?: IWatchOrdersRequest,
-  ): Promise<IWatchOrdersResponse> {
-    throw new Error(
-      "Not implemented. Backtesting doesn't require this method.",
-    );
+  async watchOrders(_params?: IWatchOrdersRequest): Promise<IWatchOrdersResponse> {
+    throw new Error("Not implemented. Backtesting doesn't require this method.");
+  }
+
+  async watchCandles(_params?: IWatchCandlesRequest): Promise<IWatchCandlesResponse> {
+    throw new Error("Not implemented. Backtesting doesn't require this method.");
+  }
+
+  async watchTrades(): Promise<ITrade[]> {
+    throw new Error("Not implemented. Backtesting doesn't require this method.");
+  }
+
+  async watchOrderbook(): Promise<IOrderbook> {
+    throw new Error("Not implemented. Backtesting doesn't require this method.");
   }
 
-  async watchCandles(
-    _params?: IWatchCandlesRequest,
-  ): Promise<IWatchCandlesResponse> {
-    throw new Error(
-      "Not implemented. Backtesting doesn't require this method.",
-    );
+  async watchTicker(): Promise<ITicker> {
+    throw new Error("Not implemented. Backtesting doesn't require this method.");
   }
 }

packages/bot-processor/src/strategy-runner.ts

@@ -16,7 +16,7 @@
  * Repository URL: https://github.com/bludnic/opentrader
  */
 import type { IExchange } from "@opentrader/exchanges";
-import type { MarketData } from "@opentrader/types";
+import type { MarketData, MarketId, MarketEventType } from "@opentrader/types";
 import { BotControl } from "./bot-control.js";
 import { effectRunnerMap } from "./effect-runner.js";
 import { isEffect } from "./effects/index.js";
@@ -43,8 +43,22 @@ export class StrategyRunner<T extends IBotConfiguration> {
     await this.runTemplate(context);
   }
 
-  async process(state: BotState, market?: MarketData) {
-    const context = createContext(this.control, this.botConfig, this.exchange, "process", state, market);
+  async process(
+    state: BotState,
+    event?: MarketEventType,
+    market?: MarketData,
+    markets: Record<MarketId, MarketData> = {},
+  ) {
+    const context = createContext(
+      this.control,
+      this.botConfig,
+      this.exchange,
+      "process",
+      state,
+      market,
+      markets,
+      event,
+    );
 
     await this.runTemplate(context);
   }

packages/bot-processor/src/types/bot/bot-configuration.interface.ts

@@ -1,9 +1,10 @@
-import type { ExchangeCode } from "@opentrader/types";
+import type { BarSize, ExchangeCode } from '@opentrader/types';
 
 export type IBotConfiguration<T = any> = {
   id: number;
   baseCurrency: string;
   quoteCurrency: string;
   exchangeCode: ExchangeCode;
   settings: T;
+  timeframe?: BarSize | null;
 };

packages/bot-processor/src/types/bot/bot-context.type.ts

@@ -1,5 +1,5 @@
 import type { IExchange } from "@opentrader/exchanges";
-import type { MarketData } from "@opentrader/types";
+import type { MarketData, MarketId, MarketEventType } from "@opentrader/types";
 import type { IBotControl } from "./bot-control.interface.js";
 import type { IBotConfiguration } from "./bot-configuration.interface.js";
 import type { BotState } from "./bot.state.js";
@@ -25,11 +25,16 @@ export type TBotContext<T extends IBotConfiguration, S extends BotState = BotSta
    * Event
    */
   command: "start" | "stop" | "process";
+  event?: MarketEventType;
   onStart: boolean;
   onStop: boolean;
   onProcess: boolean;
   /**
-   * Marked data
+   * Default market from `bot.symbol`
    */
   market: MarketData;
+  /**
+   * Additional markets
+   */
+  markets: Record<MarketId, MarketData>;
 };

packages/bot-processor/src/types/bot/bot-template.type.ts

@@ -1,7 +1,19 @@
 import type { ZodObject } from "zod";
+import { BarSize, MarketEventType } from "@opentrader/types";
 import type { TBotContext } from "./bot-context.type.js";
 import type { IBotConfiguration } from "./bot-configuration.interface.js";
 
+export type WatchCondition<T extends IBotConfiguration> = string | string[] | ((botConfig: T) => string | string[]);
+
+// @todo move to types
+export const Watcher = {
+  watchTrades: "watchTrades",
+  watchOrderbook: "watchOrderbook",
+  watchTicker: "watchTicker",
+  watchCandles: "watchCandles",
+} as const;
+export type Watcher = (typeof Watcher)[keyof typeof Watcher];
+
 export interface BotTemplate<T extends IBotConfiguration> {
   (ctx: TBotContext<T>): Generator<unknown, unknown>;
   /**
@@ -13,6 +25,11 @@ export interface BotTemplate<T extends IBotConfiguration> {
    * When the bot starts, it will download the required number of candles.
    */
   requiredHistory?: number;
+  /**
+   * Used to aggregate 1m candles to a higher timeframe, when using candles watcher.
+   * If not provided, the timeframe from the bot config will be used.
+   */
+  timeframe?: BarSize | null | ((botConfig: T) => BarSize | null | undefined);
   /**
    * Strategy params schema.
    */
@@ -23,12 +40,58 @@ export interface BotTemplate<T extends IBotConfiguration> {
    */
   hidden?: boolean;
   /**
-   * Run policy for the bot.
+   * List of pairs to watch for trades.
+   *
+   * @example Watch trades on BTC/USDT pair. The default exchange from bot config will be used.
+   * ```ts
+   * strategy.watchers = {
+   *   watchTrades: "BTC/USDT",
+   * }
+   * ```
+   *
+   * @example Watch trades on specific exchange.
+   * ```ts
+   * strategy.watchers = {
+   *   watchTrades: "OKX:BTC/USDT"
+   * }
+   * ```
+   *
+   * @example Watch trades on multiple pairs.
+   * ```ts
+   * strategy.watchers = {
+   *   watchTrades: ["BTC/USDT", "ETH/USDT"],
+   * }
+   * ```
+   *
+   * @example Watch trades on different exchanges.
+   * ```ts
+   * strategy.watchers = {
+   *  watchTrades: ["OKX:BTC/USDT", "BINANCE:BTC/USDT"]
+   * }
+   * ```
+   *
+   * @example Watch trades on a computed pairs list.
+   * ```ts
+   * strategy.watchers = {
+   *  watchTrades: (botConfig) => botConfig.symbol
+   * }
+   * ```
    */
+  watchers?: {
+    [Watcher.watchTrades]?: WatchCondition<T>;
+    [Watcher.watchOrderbook]?: WatchCondition<T>;
+    [Watcher.watchTicker]?: WatchCondition<T>;
+    [Watcher.watchCandles]?: WatchCondition<T>;
+  };
   runPolicy?: {
     /**
-     * List of pairs to watch for trades.
+     * The size of the candle is determined by `timeframe` property above.
+     * If not provided, the channel will listen to 1m candles.
      */
-    watchTrades?: string | string[] | ((botConfig: T) => string | string[]);
+    [MarketEventType.onCandleClosed]?: boolean | ((botConfig: T) => boolean);
+    [MarketEventType.onPublicTrade]?: boolean | ((botConfig: T) => boolean);
+    [MarketEventType.onOrderbookChange]?: boolean | ((botConfig: T) => boolean);
+    [MarketEventType.onTickerChange]?: boolean | ((botConfig: T) => boolean);
+    [MarketEventType.onOrderFilled]?: boolean | ((botConfig: T) => boolean);
   };
 }

packages/bot-processor/src/utils/createContext.ts

@@ -1,5 +1,5 @@
 import type { IExchange } from "@opentrader/exchanges";
-import type { MarketData } from "@opentrader/types";
+import type { MarketData, MarketId, MarketEventType } from "@opentrader/types";
 import type { BotState, IBotConfiguration, IBotControl, TBotContext } from "../types/index.js";
 
 export function createContext<T extends IBotConfiguration>(
@@ -11,6 +11,8 @@ export function createContext<T extends IBotConfiguration>(
   market: MarketData = {
     candles: [],
   },
+  markets: Record<MarketId, MarketData> = {},
+  event?: MarketEventType,
 ): TBotContext<T> {
   return {
     control,
@@ -22,5 +24,7 @@ export function createContext<T extends IBotConfiguration>(
     onProcess: command === "process",
     state,
     market,
+    markets,
+    event,
   };
 }

packages/bot-store/.gitignore

@@ -0,0 +1,2 @@
+node_modules
+dist