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Implemented TP, SL, TSL

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Luke I. Wilson
2023-05-19 02:22:19 -05:00
parent 5a0a4d0c33
commit 56740b5a00
4 changed files with 256 additions and 69 deletions
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61
broker.go
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@@ -21,35 +21,38 @@ var (
)
type Order interface {
Cancel() error // Cancel attempts to cancel the order and returns an error if it fails. If the error is nil, the order was canceled.
Fulfilled() bool // Fulfilled returns true if the order has been filled with the broker and a position is active.
Id() string // Id returns the unique identifier of the order by the broker.
Leverage() float64 // Leverage returns the leverage of the order.
Position() Position // Position returns the position of the order. If the order has not been filled, nil is returned.
Price() float64 // Price returns the price of the symbol at the time the order was placed.
Symbol() string // Symbol returns the symbol name of the order.
StopLoss() float64 // StopLoss returns the stop loss price of the order.
TakeProfit() float64 // TakeProfit returns the take profit price of the order.
Time() time.Time // Time returns the time the order was placed.
Type() OrderType // Type returns the type of order.
Units() float64 // Units returns the number of units purchased or sold by the order.
Cancel() error // Cancel attempts to cancel the order and returns an error if it fails. If the error is nil, the order was canceled.
Fulfilled() bool // Fulfilled returns true if the order has been filled with the broker and a position is active.
Id() string // Id returns the unique identifier of the order by the broker.
Leverage() float64 // Leverage returns the leverage of the order.
Position() Position // Position returns the position of the order. If the order has not been filled, nil is returned.
Price() float64 // Price returns the price of the symbol at the time the order was placed.
Symbol() string // Symbol returns the symbol name of the order.
TrailingStop() float64 // TrailingStop returns the trailing stop loss distance of the order.
StopLoss() float64 // StopLoss returns the stop loss price of the order.
TakeProfit() float64 // TakeProfit returns the take profit price of the order.
Time() time.Time // Time returns the time the order was placed.
Type() OrderType // Type returns the type of order.
Units() float64 // Units returns the number of units purchased or sold by the order.
}
type Position interface {
Close() error // Close attempts to close the position and returns an error if it fails. If the error is nil, the position was closed.
Closed() bool // Closed returns true if the position has been closed with the broker.
ClosePrice() float64 // ClosePrice returns the price of the symbol at the time the position was closed. May be zero if the position is still open.
EntryPrice() float64 // EntryPrice returns the price of the symbol at the time the position was opened.
EntryValue() float64 // EntryValue returns the value of the position at the time it was opened.
Id() string // Id returns the unique identifier of the position by the broker.
Leverage() float64 // Leverage returns the leverage of the position.
PL() float64 // PL returns the profit or loss of the position.
Symbol() string // Symbol returns the symbol name of the position.
StopLoss() float64 // StopLoss returns the stop loss price of the position.
TakeProfit() float64 // TakeProfit returns the take profit price of the position.
Time() time.Time // Time returns the time the position was opened.
Units() float64 // Units returns the number of units purchased or sold by the position.
Value() float64 // Value returns the value of the position at the current price.
Close() error // Close attempts to close the position and returns an error if it fails. If the error is nil, the position was closed.
Closed() bool // Closed returns true if the position has been closed with the broker.
CloseType() string // CloseType returns the type of order used to close the position.
ClosePrice() float64 // ClosePrice returns the price of the symbol at the time the position was closed. May be zero if the position is still open.
EntryPrice() float64 // EntryPrice returns the price of the symbol at the time the position was opened.
EntryValue() float64 // EntryValue returns the value of the position at the time it was opened.
Id() string // Id returns the unique identifier of the position by the broker.
Leverage() float64 // Leverage returns the leverage of the position.
PL() float64 // PL returns the profit or loss of the position.
Symbol() string // Symbol returns the symbol name of the position.
TrailingStop() float64 // TrailingStop returns the trailing stop loss price of the position.
StopLoss() float64 // StopLoss returns the stop loss price of the position.
TakeProfit() float64 // TakeProfit returns the take profit price of the position.
Time() time.Time // Time returns the time the position was opened.
Units() float64 // Units returns the number of units purchased or sold by the position.
Value() float64 // Value returns the value of the position at the current price.
}
// Broker is an interface that defines the methods that a broker must implement to report symbol data and place orders, etc. All Broker implementations must also implement the Signaler interface and emit the following functions when necessary:
@@ -57,10 +60,12 @@ type Position interface {
// - PositionClosed(Position) - Emitted after a position is closed either manually or automatically.
type Broker interface {
Signaler
Bid(symbol string) float64 // Bid returns the sell price of the symbol.
Ask(symbol string) float64 // Ask returns the buy price of the symbol, which is typically higher than the sell price.
Price(symbol string, wantToBuy bool) float64 // Price returns the ask price if wantToBuy is true and the bid price if wantToBuy is false.
Bid(symbol string) float64 // Bid returns the sell price of the symbol.
Ask(symbol string) float64 // Ask returns the buy price of the symbol, which is typically higher than the sell price.
// Candles returns a dataframe of candles for the given symbol, frequency, and count by querying the broker.
Candles(symbol, frequency string, count int) (*DataFrame, error)
// MarketOrder places a market order for the given symbol and returns an error if it fails. A short position has negative units. If stopLoss or takeProfit are zero, they will not be set. If stopLoss is greater than the current price for a long position or less than the current price for a short position, the order will fail. Likewise for takeProfit. If the stopLoss is a negative number, it is used as a trailing stop loss to represent how many price points away the stop loss should be from the current price.
MarketOrder(symbol string, units, stopLoss, takeProfit float64) (Order, error)
NAV() float64 // NAV returns the net asset value of the account.
PL() float64 // PL returns the profit or loss of the account.