first version

internal/execution/pricing.go

@@ -0,0 +1,58 @@
+package execution
+
+import (
+	"crypto/sha256"
+	"encoding/hex"
+	"fmt"
+	"regexp"
+	"strings"
+	"time"
+
+	"github.com/shopspring/decimal"
+
+	"overnight-trading-bot/internal/domain"
+	"overnight-trading-bot/internal/money"
+)
+
+var nonIDChar = regexp.MustCompile(`[^A-Za-z0-9_-]+`)
+
+func LimitBuyPrice(bestBid, bestAsk, tick decimal.Decimal, improveTicks int) (decimal.Decimal, error) {
+	if improveTicks < 0 {
+		improveTicks = 0
+	}
+	if !tick.IsPositive() {
+		return decimal.Zero, money.ErrInvalidTick
+	}
+	candidate := bestBid.Add(tick.Mul(decimal.NewFromInt(int64(improveTicks))))
+	upper := bestAsk.Sub(tick)
+	if candidate.LessThanOrEqual(upper) {
+		return money.RoundToTick(candidate, tick, money.RoundFloor)
+	}
+	return money.RoundToTick(bestBid, tick, money.RoundFloor)
+}
+
+func LimitSellPrice(bestBid, bestAsk, tick decimal.Decimal, improveTicks int) (decimal.Decimal, error) {
+	if improveTicks < 0 {
+		improveTicks = 0
+	}
+	if !tick.IsPositive() {
+		return decimal.Zero, money.ErrInvalidTick
+	}
+	candidate := bestAsk.Sub(tick.Mul(decimal.NewFromInt(int64(improveTicks))))
+	lower := bestBid.Add(tick)
+	if candidate.GreaterThanOrEqual(lower) {
+		return money.RoundToTick(candidate, tick, money.RoundCeil)
+	}
+	return money.RoundToTick(bestAsk, tick, money.RoundCeil)
+}
+
+func ClientOrderID(tradeDate time.Time, instrumentUID string, side domain.Side, attempt int) string {
+	base := fmt.Sprintf("%s|%s|%s|%d", tradeDate.Format("20060102"), instrumentUID, side, attempt)
+	sum := sha256.Sum256([]byte(base))
+	suffix := hex.EncodeToString(sum[:])[:8]
+	cleanUID := nonIDChar.ReplaceAllString(instrumentUID, "_")
+	if len(cleanUID) > 24 {
+		cleanUID = cleanUID[:24]
+	}
+	return strings.ToLower(fmt.Sprintf("otb-%s-%s-%s-%02d-%s", tradeDate.Format("20060102"), cleanUID, side, attempt, suffix))
+}