valentineus/overnight-trading-bot
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thirteenth version

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This commit is contained in:
Valentin Popov
2026-06-09 21:04:01 +00:00
parent f877907b20
commit 4dec14f57c
19 changed files with 602 additions and 110 deletions
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internal/execution/engine.go
+31 -5
View File
@@ -37,6 +37,7 @@ type Engine struct {
store repository.Repository
maxQuoteAge time.Duration
freeOrderCountPolicy string
maxExitOrderAttempts int
clock timeutil.Clock
mu sync.Map
}
@@ -92,6 +93,12 @@ func (e *Engine) SetFreeOrderCountPolicy(policy string) {
}
}
func (e *Engine) SetMaxExitOrderAttempts(attempts int) {
if attempts > 0 {
e.maxExitOrderAttempts = attempts
}
}
func (e *Engine) PlaceEntry(ctx context.Context, accountIDHash string, instrument domain.Instrument, tradeDate time.Time, lots int64, book domain.OrderBook, improveTicks int, attempt int) (domain.Order, error) {
if err := e.checkQuoteFresh(book); err != nil {
return domain.Order{}, err
@@ -116,7 +123,7 @@ func (e *Engine) PlaceEntry(ctx context.Context, accountIDHash string, instrumen
Status: domain.OrderStatusNew,
AttemptNo: attempt,
RawStateJSON: orderContextJSON(book),
}, instrument.FreeOrderLimitPerDay)
}, instrument.FreeOrderLimitPerDay, e.entryFreeOrderRequired())
}
func (e *Engine) PlaceExit(ctx context.Context, accountIDHash string, instrument domain.Instrument, tradeDate time.Time, lots int64, book domain.OrderBook, improveTicks int, attempt int) (domain.Order, error) {
@@ -143,14 +150,14 @@ func (e *Engine) PlaceExit(ctx context.Context, accountIDHash string, instrument
Status: domain.OrderStatusNew,
AttemptNo: attempt,
RawStateJSON: orderContextJSON(book),
}, instrument.FreeOrderLimitPerDay)
}, instrument.FreeOrderLimitPerDay, 1)
}
func (e *Engine) PlaceLimit(ctx context.Context, order domain.Order) (domain.Order, error) {
return e.placeLimit(ctx, order, 0)
return e.placeLimit(ctx, order, 0, 1)
}
func (e *Engine) placeLimit(ctx context.Context, order domain.Order, freeOrderLimit int) (domain.Order, error) {
func (e *Engine) placeLimit(ctx context.Context, order domain.Order, freeOrderLimit int, freeOrdersRequired int) (domain.Order, error) {
lock := e.lockFor(order.InstrumentUID)
lock.Lock()
defer lock.Unlock()
@@ -183,7 +190,7 @@ func (e *Engine) placeLimit(ctx context.Context, order domain.Order, freeOrderLi
if err := repo.UpsertOrder(ctx, draft); err != nil {
return fmt.Errorf("persist draft order: %w", err)
}
return repo.ReserveFreeOrders(ctx, order.TradeDate, order.InstrumentUID, 1, freeOrderLimit)
return repo.ReserveFreeOrdersWithRequired(ctx, order.TradeDate, order.InstrumentUID, 1, freeOrdersRequired, freeOrderLimit)
}); err != nil {
return domain.Order{}, err
}
@@ -587,6 +594,25 @@ func (e *Engine) ensureRepostBudget(ctx context.Context, order domain.Order, ins
return nil
}
func (e *Engine) entryFreeOrderRequired() int {
required := 1
if e.maxExitOrderAttempts <= 0 {
return required
}
return required + e.orderBudgetNeededForAttempts(e.maxExitOrderAttempts)
}
func (e *Engine) orderBudgetNeededForAttempts(attempts int) int {
if attempts <= 0 {
attempts = 1
}
needed := attempts
if e.cancelCountsAsFreeOrder() {
needed += attempts - 1
}
return needed
}
func (e *Engine) cancelCountsAsFreeOrder() bool {
return e.freeOrderCountPolicy == FreeOrderPolicyCancelCounts
}
internal/execution/state_test.go
+88
View File
@@ -111,6 +111,94 @@ func TestPlaceEntryReservesFreeOrderBudgetAtomically(t *testing.T) {
}
}
func TestPlaceEntryRequiresExitFreeOrderBudget(t *testing.T) {
ctx := context.Background()
repo := testutil.NewMemoryRepository()
gateway := tinvest.NewFakeGateway()
engine := NewEngine(domain.ModeSandbox, "account", gateway, repo)
engine.SetMaxExitOrderAttempts(3)
instrument := domain.Instrument{
InstrumentUID: "uid",
Lot: 1,
MinPriceIncrement: decimal.NewFromInt(1),
FreeOrderLimitPerDay: 3,
}
book := domain.OrderBook{
InstrumentUID: "uid",
Bids: []domain.OrderBookLevel{{Price: decimal.NewFromInt(99), QuantityLots: 10}},
Asks: []domain.OrderBookLevel{{Price: decimal.NewFromInt(101), QuantityLots: 10}},
ReceivedAt: time.Now().UTC(),
}
tradeDate := time.Date(2026, 6, 6, 0, 0, 0, 0, time.UTC)
_, err := engine.PlaceEntry(ctx, "hash", instrument, tradeDate, 1, book, 1, 1)
if !errors.Is(err, risk.ErrFreeOrderBudget) {
t.Fatalf("expected free order budget error, got %v", err)
}
if got := len(gateway.Orders); got != 0 {
t.Fatalf("broker orders=%d, want no post", got)
}
}
func TestPlaceEntryExitBudgetCountsFutureCancels(t *testing.T) {
ctx := context.Background()
repo := testutil.NewMemoryRepository()
gateway := tinvest.NewFakeGateway()
engine := NewEngine(domain.ModeSandbox, "account", gateway, repo)
engine.SetMaxExitOrderAttempts(3)
engine.SetFreeOrderCountPolicy(FreeOrderPolicyCancelCounts)
instrument := domain.Instrument{
InstrumentUID: "uid",
Lot: 1,
MinPriceIncrement: decimal.NewFromInt(1),
FreeOrderLimitPerDay: 5,
}
book := domain.OrderBook{
InstrumentUID: "uid",
Bids: []domain.OrderBookLevel{{Price: decimal.NewFromInt(99), QuantityLots: 10}},
Asks: []domain.OrderBookLevel{{Price: decimal.NewFromInt(101), QuantityLots: 10}},
ReceivedAt: time.Now().UTC(),
}
tradeDate := time.Date(2026, 6, 6, 0, 0, 0, 0, time.UTC)
_, err := engine.PlaceEntry(ctx, "hash", instrument, tradeDate, 1, book, 1, 1)
if !errors.Is(err, risk.ErrFreeOrderBudget) {
t.Fatalf("expected free order budget error, got %v", err)
}
if got := len(gateway.Orders); got != 0 {
t.Fatalf("broker orders=%d, want no post", got)
}
}
func TestPlaceEntryWithExitBudgetIncrementsOnlySubmittedEntry(t *testing.T) {
ctx := context.Background()
repo := testutil.NewMemoryRepository()
gateway := tinvest.NewFakeGateway()
engine := NewEngine(domain.ModeSandbox, "account", gateway, repo)
engine.SetMaxExitOrderAttempts(3)
instrument := domain.Instrument{
InstrumentUID: "uid",
Lot: 1,
MinPriceIncrement: decimal.NewFromInt(1),
FreeOrderLimitPerDay: 4,
}
book := domain.OrderBook{
InstrumentUID: "uid",
Bids: []domain.OrderBookLevel{{Price: decimal.NewFromInt(99), QuantityLots: 10}},
Asks: []domain.OrderBookLevel{{Price: decimal.NewFromInt(101), QuantityLots: 10}},
ReceivedAt: time.Now().UTC(),
}
tradeDate := time.Date(2026, 6, 6, 0, 0, 0, 0, time.UTC)
if _, err := engine.PlaceEntry(ctx, "hash", instrument, tradeDate, 1, book, 1, 1); err != nil {
t.Fatal(err)
}
sent, err := repo.GetFreeOrdersSent(ctx, tradeDate, "uid")
if err != nil {
t.Fatal(err)
}
if sent != 1 {
t.Fatalf("free order counter=%d, want only submitted entry counted", sent)
}
}
func TestPlaceEntryReleasesFreeOrderBudgetWhenBrokerRejects(t *testing.T) {
ctx := context.Background()
repo := testutil.NewMemoryRepository()