check_entry_exit.cpp

#include <sstream> 
#include <stdlib.h>
#include <iomanip>
#include "check_entry_exit.h"

std::string percToStr(double perc) {
  
  std::ostringstream s;
  if (perc < 0.0) {
    s << std::fixed << std::setprecision(2) <<  perc * 100.0 << "%";
  } else {
    s << " " << std::fixed << std::setprecision(2) << perc * 100.0 << "%";
  }
  return s.str();
}


bool checkEntry(Bitcoin *btcLong, Bitcoin *btcShort, Result &res, Parameters params) {

  double priceLong;
  double priceShort;
  int longId = btcLong->getId();
  int shortId = btcShort->getId();
  
  // compute limit (fees + spreadEntry)
  double limit = 2 * btcLong->getFees() + 2 * btcShort->getFees() + params.spreadEntry;

  // check if btcLong is below btcShort
  if (btcShort->getHasShort()) {
   
    // btcLong:  buy looking to match ask
    // btcShort: sell looking to match bid
    priceLong = btcLong->getLastAsk();
    priceShort = btcShort->getLastBid();
    res.spreadIn = (priceShort - priceLong) / priceLong;

    // maxSpread and minSpread
    if (res.spreadIn > res.maxSpread[longId][shortId]) {
      res.maxSpread[longId][shortId] = res.spreadIn;
    }
    if (res.spreadIn < res.minSpread[longId][shortId]) {
      res.minSpread[longId][shortId] = res.spreadIn;
    }
    if (params.verbose) {
      std::cout << "   " << btcLong->getExchName() << "/" << btcShort->getExchName() << ":\t" << percToStr(res.spreadIn);
      std::cout << " [target " << percToStr(limit) << ", min " << percToStr(res.minSpread[longId][shortId]) << ", max " << percToStr(res.maxSpread[longId][shortId]) << "]" << std::endl;
    }
    // TODO Kraken (id 3) is not ready to be traded on
    if (res.spreadIn >= limit && priceLong > 0.0 && priceShort > 0.0 && longId != 3 && shortId != 3) {
      // opportunity found
      res.idExchLong = longId;
      res.idExchShort = shortId;
      res.feesLong = btcLong->getFees();
      res.feesShort = btcShort->getFees();
      res.exchNameLong = btcLong->getExchName();
      res.exchNameShort = btcShort->getExchName();
      res.priceLongIn = priceLong;
      res.priceShortIn = priceShort;
      return true;
    }
  }
  // no opportunity
  return false;
}


bool checkExit(Bitcoin *btcLong, Bitcoin *btcShort, Result &res, Parameters params, time_t period) {

  double priceLong;
  double priceShort;
  int longId = btcLong->getId();
  int shortId = btcShort->getId();

  // close btcLong:  sell looking to match bid
  // close btcShort: buy looking to match ask
  priceLong  = btcLong->getLastBid();
  priceShort = btcShort->getLastAsk();
  res.spreadOut = (priceShort - priceLong) / priceLong;
  
  // maxSpread and minSpread
  if (res.spreadOut > res.maxSpread[longId][shortId]) {
    res.maxSpread[longId][shortId] = res.spreadOut;
  }
  if (res.spreadOut < res.minSpread[longId][shortId]) {
    res.minSpread[longId][shortId] = res.spreadOut;
  }

  if (params.verbose) {
    std::cout << "   " << btcLong->getExchName() << "/" << btcShort->getExchName() << ":\t" << percToStr(res.spreadOut);
    std::cout << " [target " << percToStr(params.spreadExit) << ", min " << percToStr(res.minSpread[longId][shortId]) << ", max " << percToStr(res.maxSpread[longId][shortId]) << "]" << std::endl;
  }


  // check length
  if (period - res.entryTime >= params.maxLength) {
    res.priceLongOut  = priceLong;
    res.priceShortOut = priceShort;
    return true;
  }
  
  if (res.spreadOut <= params.spreadExit && priceLong > 0.0 && priceShort > 0.0) {
    // exit opportunity found
    res.priceLongOut  = priceLong;
    res.priceShortOut = priceShort;
    return true;
  }
  // no exit opportunity
  return false;
}