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♻️ Adding back reverse mode for FTX futures #36

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♻️ Adding back reverse mode for FTX futures #36

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9 changes: 6 additions & 3 deletions src/constants/trading.constants.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -9,8 +9,11 @@ export enum Side {
export const SIDES = [Side.Buy, Side.Close, Side.Long, Side.Sell, Side.Short];

export enum TradingMode {
Reverse = 'reverse',
Overflow = 'overflow'
Reverse = 'reverse'
// Overflow = 'overflow'
}

export const TRADING_MODES = [TradingMode.Overflow, TradingMode.Reverse];
export const TRADING_MODES = [
// TradingMode.Overflow,
TradingMode.Reverse
];
15 changes: 10 additions & 5 deletions src/entities/trade.entities.ts
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Expand Up @@ -5,7 +5,12 @@ import {
Matches,
ValidateIf
} from 'class-validator';
import { SIDES, Side } from '../constants/trading.constants';
import {
SIDES,
Side,
TradingMode,
TRADING_MODES
} from '../constants/trading.constants';

export class Trade {
@IsString()
Expand All @@ -19,10 +24,10 @@ export class Trade {
@IsOptional()
max?: string;

// @IsString()
// @IsIn(TRADING_MODES)
// @IsOptional()
// mode?: TradingMode;
@IsString()
@IsIn(TRADING_MODES)
@IsOptional()
mode?: TradingMode;

@IsString()
@Matches(/.*(PERP|USD).*/)
Expand Down
68 changes: 30 additions & 38 deletions src/services/exchanges/base/base.exchange.service.ts
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Expand Up @@ -41,7 +41,7 @@ import {
OpenPositionError,
OrderSizeError
} from '../../../errors/trading.errors';
import { Side } from '../../../constants/trading.constants';
import { Side, TradingMode } from '../../../constants/trading.constants';
import {
IBalance,
ISession
Expand Down Expand Up @@ -79,11 +79,11 @@ export abstract class BaseExchangeService {
trade: Trade
): Promise<IOrderOptions>;

// abstract handleReverseOrder(
// account: Account,
// ticker: Ticker,
// trade: Trade
// ): Promise<void>;
abstract handleReverseOrder(
account: Account,
ticker: Ticker,
trade: Trade
): Promise<boolean>;

// abstract handleOverflow(
// account: Account,
Expand Down Expand Up @@ -230,23 +230,6 @@ export abstract class BaseExchangeService {
return availableFunds;
};

// handleOrderModes = async (
// account: Account,
// ticker: Ticker,
// trade: Trade
// ): Promise<boolean> => {
// const { mode } = trade;
// if (mode === TradingMode.Reverse) {
// await this.handleReverseOrder(account, ticker, trade);
// } else if (mode === TradingMode.Overflow) {
// const isOverflowing = await this.handleOverflow(account, ticker, trade);
// if (isOverflowing) {
// return false; // on overflow we only close position
// }
// }
// return true;
// };

getOpenOrderOptions = async (
account: Account,
ticker: Ticker,
Expand All @@ -267,6 +250,7 @@ export abstract class BaseExchangeService {
await this.handleMaxBudget(account, ticker, trade, funds);
}
}

// if (isSpotExchange(ticker, this.exchangeId) && orderSize > funds) {
// // TODO create dedicated error
// throw new Error('Insufficient funds');
Expand All @@ -284,29 +268,37 @@ export abstract class BaseExchangeService {
}
};

handleOrderModes = async (
account: Account,
ticker: Ticker,
trade: Trade
): Promise<boolean> => {
const { mode } = trade;
let isAllowed = true;
if (mode === TradingMode.Reverse && this.exchangeId === ExchangeId.FTX) {
isAllowed = await this.handleReverseOrder(account, ticker, trade);
}
return isAllowed;
};

createOrder = async (account: Account, trade: Trade): Promise<Order> => {
await this.refreshSession(account);
const { symbol, direction } = trade;
const accountId = getAccountId(account);
const side = getSide(direction);
try {
const ticker = await this.getTicker(symbol);
// const isOrderAllowed = await this.handleOrderModes(
// account,
// ticker,
// trade
// );
// if (isOrderAllowed) {
// TODO refacto
// close on sell spot order
if (
getSide(direction) === Side.Sell &&
isSpotExchange(ticker, this.exchangeId)
) {
return await this.createCloseOrder(account, trade, ticker);
} else {
const isOrderAllowed = await this.handleOrderModes(
account,
ticker,
trade
);
if (isOrderAllowed) {
if (isSpotExchange(ticker, this.exchangeId) && side === Side.Sell) {
return await this.createCloseOrder(account, trade, ticker);
}
return await this.createOpenOrder(account, trade, ticker);
}
// }
} catch (err) {
error(CREATE_ORDER_ERROR(this.exchangeId, accountId, trade), err);
throw new CreateOrderError(
Expand Down
8 changes: 8 additions & 0 deletions src/services/exchanges/base/spot.exchange.service.ts
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Expand Up @@ -111,4 +111,12 @@ export abstract class SpotExchangeService extends BaseExchangeService {
: balance // default 100%
};
};

handleReverseOrder(
_account: Account,
_ticker: Ticker,
_trade: Trade
): Promise<boolean> {
throw new Error('Method not implemented.');
}
}
7 changes: 7 additions & 0 deletions src/services/exchanges/binance-usdm.futures.exchange.service.ts
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Expand Up @@ -101,4 +101,11 @@ export class BinanceFuturesUSDMExchangeService extends FuturesExchangeService {
// }
// return false;
// };
handleReverseOrder(
_account: Account,
_ticker: Ticker,
_trade: Trade
): Promise<boolean> {
throw new Error('Method not implemented.');
}
}
62 changes: 39 additions & 23 deletions src/services/exchanges/ftx.exchange.service.ts
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Expand Up @@ -4,10 +4,13 @@ import { getAccountId } from '../../utils/account.utils';
import { Exchange, Ticker } from 'ccxt';
import { Side } from '../../constants/trading.constants';
import { IOrderOptions } from '../../interfaces/trading.interfaces';
import { error } from '../logger.service';
import { error, info } from '../logger.service';
import { Trade } from '../../entities/trade.entities';
import { isFTXSpot } from '../../utils/exchanges/ftx.utils';
import { OPEN_TRADE_ERROR_MAX_SIZE } from '../../messages/trading.messages';
import {
OPEN_TRADE_ERROR_MAX_SIZE,
REVERSING_TRADE
} from '../../messages/trading.messages';
import { OpenPositionError } from '../../errors/trading.errors';
import { CompositeExchangeService } from './base/composite.exchange.service';
import { IFTXFuturesPosition } from '../../interfaces/exchanges/ftx.exchange.interfaces';
Expand All @@ -16,7 +19,11 @@ import {
getOrderCost,
getRelativeOrderSize
} from '../../utils/trading/conversion.utils';
import { getInvertedSide, getSide } from '../../utils/trading/side.utils';
import {
getInvertedSide,
getSide,
isSideDifferent
} from '../../utils/trading/side.utils';

export class FTXExchangeService extends CompositeExchangeService {
constructor() {
Expand Down Expand Up @@ -109,26 +116,35 @@ export class FTXExchangeService extends CompositeExchangeService {
}
};

// handleReverseOrder = async (
// account: Account,
// ticker: Ticker,
// trade: Trade
// ): Promise<void> => {
// const { direction } = trade;
// const accountId = getAccountId(account);
// try {
// const position = (await this.getTickerPosition(
// account,
// ticker
// )) as IFTXFuturesPosition;
// if (position && isSideDifferent(position.side as Side, direction)) {
// info(REVERSING_TRADE(this.exchangeId, accountId, ticker.symbol));
// await this.closeOrder(account, trade, ticker);
// }
// } catch (err) {
// // ignore throw
// }
// };
handleReverseOrder = async (
account: Account,
ticker: Ticker,
trade: Trade
): Promise<boolean> => {
const { direction } = trade;
const accountId = getAccountId(account);
try {
const position = (await this.getTickerPosition(
account,
ticker
)) as IFTXFuturesPosition;
if (position) {
if (!isSideDifferent(position.side as Side, direction)) {
return false;
} else {
info(REVERSING_TRADE(this.exchangeId, accountId, ticker.symbol));
await this.createCloseOrder(
account,
{ ...trade, size: '100%' },
ticker
);
}
}
} catch (err) {
// ignore throw
}
return true;
};

// handleOverflow = async (
// account: Account,
Expand Down
3 changes: 0 additions & 3 deletions src/utils/trading/__tests__/conversion.utils.test.ts
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Expand Up @@ -17,9 +17,6 @@ describe('Conversion utils', () => {

it('should throw if range is incorrect', () => {
expect(() => getRelativeOrderSize(70, '0%')).toThrowError(OrderSizeError);
expect(() => getRelativeOrderSize(70, '100.0000000001')).toThrowError(
OrderSizeError
);
expect(() => getRelativeOrderSize(70, '-0.001%')).toThrowError(
OrderSizeError
);
Expand Down
2 changes: 1 addition & 1 deletion src/utils/trading/conversion.utils.ts
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Expand Up @@ -12,7 +12,7 @@ import { getTickerPrice } from './ticker.utils';

export const getRelativeOrderSize = (balance: number, size: string): number => {
const percent = Number(size.replace(/%/g, ''));
if (percent <= 0 || percent > 100) {
if (percent <= 0) {
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Why would > 100% be allowed?

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Owner Author

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if you're using leverage to trade like a degenerate 😅

error(TRADE_ERROR_SIZE(size));
throw new OrderSizeError(TRADE_ERROR_SIZE(size));
}
Expand Down