autotrader/broker.go

package autotrader

import (
	"errors"
	"time"
)

type OrderType string

const (
	MarketOrder OrderType = "MARKET"
	LimitOrder  OrderType = "LIMIT"
	StopOrder   OrderType = "STOP"
)

var (
	ErrCancelFailed      = errors.New("cancel failed")
	ErrSymbolNotFound    = errors.New("symbol not found")
	ErrInvalidStopLoss   = errors.New("invalid stop loss")
	ErrInvalidTakeProfit = errors.New("invalid take profit")
)

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.
	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.
	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:
//
//   - PositionClosed(Position) - Emitted after a position is closed either manually or automatically.
type Broker interface {
	Signaler
	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.
	OpenOrders() []Order
	OpenPositions() []Position
	// Orders returns a slice of orders that have been placed with the broker. If an order has been canceled or
	// filled, it will not be returned.
	Orders() []Order
	// Positions returns a slice of positions that are currently open with the broker. If a position has been
	// closed, it will not be returned.
	Positions() []Position
}