Implement buy twap strategy (closes #522)

[debnil]

This PR implements the buy twap strategy with all necessary files and closes #522.

The following log runs confirm that the strategy successfully creates buy offers that fill previously made sell offers, through sell twap, with the same config:

2020/10/19 15:46:45 Starting fill tracker with 2 handlers
2020/10/19 15:46:45 Starting the trader bot...
2020/10/19 15:46:45 ----------------------------------------------------------------------------------------------------
2020/10/19 15:46:45 there were no trades, leaving lastCursor value as 5621167297667073-0
2020/10/19 15:46:46 synchronized state loading is disabled
2020/10/19 15:46:46  (base) assetA=native, maxA=8999.99997970, trustA=math.MaxFloat64
2020/10/19 15:46:46 (quote) assetB=COUPON:GBMMZMK2DC4FFP4CAI6KCVNCQ7WLO5A7DQU7EC7WGHRDQBZB763X4OQI, maxB=85.33766260, trustB=922337203685.47753906
2020/10/19 15:46:46 orderConstraints for trading pair XLM/COUPON: OrderConstraints[PricePrecision: 7, VolumePrecision: 7, MinBaseVolume: 0.0000001, MinQuoteVolume: <nil>]
2020/10/19 15:46:46 liabilities after resetting
2020/10/19 15:46:46 asset=base  , balance=8999.99997970, trust=math.MaxFloat64, minAccountBal=22.00000000, buyingLiabilities=0.00000000, sellingLiabilities=0.00000000
2020/10/19 15:46:46 asset=quote , balance=85.33766260, trust=922337203685.47753906, minAccountBal=0.08533766, buyingLiabilities=0.00000000, sellingLiabilities=0.00000000
2020/10/19 15:46:46 GetLevels, unix timestamp for 'now' in UTC = 1603147606 (2020-10-19 22:46:46.8704 +0000 UTC)
2020/10/19 15:46:46 volumeFilter = volume/daily/sell/base/10000.0/exact
2020/10/19 15:46:46 returning kraken API key at index 0
2020/10/19 15:46:47 (modifier: mid) price from exchange feed (kraken/XXLM/ZUSD/mid): bidPrice=0.085293, askPrice=0.085349, midPrice=0.085321, lastTradePrice=0.085287; price=0.085321
2020/10/19 15:46:47 bucketInfo: BucketInfo[UUID=e783c018475cd5beeafa6d9d0458ed69738bc896, date=2020-10-19, dayID=1 (Monday), bucketID=136, startTime=2020-10-19T22:40:00Z, endTime=2020-10-19T22:49:59Z, sizeSeconds=600, totalBuckets=144, totalBucketsToSell=138, dayBaseSoldStart=0.00000000, dayBaseCapacity=10000.00000000, totalBaseSurplusStart=9855.07246377, baseSurplusIncluded=9855.07246377, baseCapacity=9927.53623188, minOrderSizeBase=1985.50724638, DynamicBucketValues[isNew=true, isLast=false, roundID=0, dayBaseSold=0.00000000, dayBaseRemaining=10000.00000000, baseSold=0.00000000, baseRemaining=9927.53623188, bucketProgress=0.00%, bucketTimeElapsed=67.78%]]; roundInfo: RoundInfo[roundID=0, bucketID=136, bucketUUID=e783c018475cd5beeafa6d9d0458ed69738bc896, now=2020-10-19T22:46:46Z (day=Monday, secondsElapsedToday=82006), sizeBaseCapped=6304.77380840, price=0.08532100]
2020/10/19 15:46:47 levels returned (side = buy ): [{0.0853210 6304.7738084}]
2020/10/19 15:46:47 deleteSideStrategy: deleting 1 offers
2020/10/19 15:46:47 created 1 operations to prune excess offers
2020/10/19 15:46:47 lastFee <= maxOpFeeStroops; using last_ledger_base_fee of 100 stroops (maxOpFeeStroops = 5000)
2020/10/19 15:46:47 reloading sequence number
2020/10/19 15:46:47 tx XDR: AAAAAE9zGoPa0Ask5Xf/v4uTK0Yxrz/gvVCR5en7u7YiqilsAAAAZAAARv8AAAoVAAAAAQAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAQAAAAEAAAAAhTStdpNWrQjnj6iRrzbV2X37s4sQ7VDENvLteKvUcC0AAAADAAAAAAAAAAJDT1VQT04AAAAAAAAAAAAAWMyxWhi4Ur+CAjyhVaKH7Ld0Hxwp8gv2MeI4ByH/t34AAAAAAAAAAAAApqEAB6EgAAAAAACjkxgAAAAAAAAAAiKqKWwAAABABzyTrmp6hqMU8h7t+74jAA5to/HQ/olbX88Dq/vbYd0oJRy6vxBRH2uAqtAKUo4b+GmSFamSxRuxcqARnUijAqvUcC0AAABAIOo3o5UX+YBF+g2nS4zrkQVxBWfKJLA2plIh2hcEtBxrxY0cYEkul0ehGsOa51wj1hrmyw66k7OXHy4Xzx/hBg==
2020/10/19 15:46:47 submitting tx XDR to network (async)
2020/10/19 15:46:48 liabilities after resetting
2020/10/19 15:46:48 asset=base  , balance=8999.99997970, trust=math.MaxFloat64, minAccountBal=22.00000000, buyingLiabilities=0.00000000, sellingLiabilities=0.00000000
2020/10/19 15:46:48 asset=quote , balance=85.33766260, trust=922337203685.47753906, minAccountBal=0.08533766, buyingLiabilities=0.00000000, sellingLiabilities=0.00000000
2020/10/19 15:46:48 buy  | create | new level=1 | priceQuote=11.72044397 | amtBase=6304.77380840
2020/10/19 15:46:48 we will oversell the asset 'COUPON:GBMMZMK2DC4FFP4CAI6KCVNCQ7WLO5A7DQU7EC7WGHRDQBZB763X4OQI', amountSelling = 73894.74816750, bal = 85.33766260, minAccountBal = 0.08533766, liabilities.Selling = 0.00000000
2020/10/19 15:46:48 computed remainder amount, constrained by selling capacity, returning sellingAmount=85.25232494, buyingAmount=7.27381362
2020/10/19 15:46:48 buy  | create | new level=1 | priceQuote=11.72044397 | amtBase=7.27381362
2020/10/19 15:46:48 buy , done creating preceding offers (numLevelsConsumed=1, hitCapacityLimit=true, numOps=1, newTopOfferPrice=0.0853210)
2020/10/19 15:46:48 liabilities at the end of a call to UpdateWithOps
2020/10/19 15:46:48 asset=base  , balance=8999.99997970, trust=math.MaxFloat64, minAccountBal=22.00000000, buyingLiabilities=7.27381362, sellingLiabilities=0.50000000
2020/10/19 15:46:48 asset=quote , balance=85.33766260, trust=922337203685.47753906, minAccountBal=0.08533766, buyingLiabilities=0.00000000, sellingLiabilities=85.25232494
2020/10/19 15:46:48 orderConstraintsFilter:  buying, baseAmount=7.27381361, quoteAmount=85.25232490, keep = true
2020/10/19 15:46:48 orderConstraintsFilter: dropped 0, kept 1 ops from original 1 ops, len(filteredOps) = 1
2020/10/19 15:46:48 created 1 operations to update existing offers
2020/10/19 15:46:48 lastFee <= maxOpFeeStroops; using last_ledger_base_fee of 100 stroops (maxOpFeeStroops = 5000)
2020/10/19 15:46:48 tx XDR: AAAAAE9zGoPa0Ask5Xf/v4uTK0Yxrz/gvVCR5en7u7YiqilsAAAAZAAARv8AAAoWAAAAAQAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAQAAAAEAAAAAhTStdpNWrQjnj6iRrzbV2X37s4sQ7VDENvLteKvUcC0AAAADAAAAAkNPVVBPTgAAAAAAAAAAAABYzLFaGLhSv4ICPKFVoofst3QfHCnyC/Yx4jgHIf+3fgAAAAAAAAAAMtB48QABTUkAD0JAAAAAAAAAAAAAAAAAAAAAAiKqKWwAAABAb1CJyBE1109QMePtiHINvp9tp4MHFpzF+4mAn9L+GslYSTV6BLfpIbvkLDb6VA5aQp4MmiLK/VHSv+VJSy4HBKvUcC0AAABA1vT/bwLRWmpF8lkUtnw+1i04egtb9MKH2WvmIxsW3vyM52GgxwuxCUqQnjIPMrKAPnuzt3dDXlK2H8ChAPqcCw==
2020/10/19 15:46:48 submitting tx XDR to network (async)
2020/10/19 15:46:48 metric - not sending event metric of type 'ce:update' because metrics are disabled
2020/10/19 15:46:53 (async) tx confirmation hash: 571ba740326f1e894a6b2cd9ff4a65e116a24509c696d60120e3353e57e17b7d
2020/10/19 15:46:58 (async) tx confirmation hash: ec89e9da2fa45c3aa9983763060620c75133a16c504dfd75d66ef3ed001d2fd7
2020/10/19 15:46:58 ----------------------------------------------------------------------------------------------------
2020/10/19 15:46:58 sleeping for 4m46.95205609s...
2020/10/19 15:49:16 received fill: Trade[txid: 5621227427213313-0, orderId: , ts: 1603147616000, pair: XLM/COUPON, action: buy, type: limit, counterPrice: 0.0855074, baseVolume: 997.0169236, counterCost: 85.2523249, fee: 0.0000100]
2020/10/19 15:49:16 registered market in db: tradingMarket[ID=b0d66371cd, ExchangeName=sdex, BaseAsset=native, QuoteAsset=COUPON:GBMMZMK2DC4FFP4CAI6KCVNCQ7WLO5A7DQU7EC7WGHRDQBZB763X4OQI]
2020/10/19 15:49:16 wrote trade (txid=5621227427213313-0) to db
2020/10/19 15:49:16 updated lastCursor value to 5621227427213313-0

[debnil]

A draft version of this PR is #537. A new PR is opened here to remove prior comments.

[nikhilsaraf]

@debnil the sample_twap.cfg needs the filter to say "buy" instead of "sell" otherwise it won't work properly -- i.e. since we are buying the base/quote asset we want the filter to be sensitive to increases in the value of the base/quote asset. That logic in the filter does not exist today.

We need to do two things in the following order (this will take 4 PRs):

1. write tests for volumeFilter ([ad-hoc] [3](5) Add test for volumeFilter to ensure we correctly handle offers that will put us over #483). You can use tests in dailyVolumeByDate_test.go and TestMakeVolumeFilterConfig as inspiration.
2. make a new PR with the infrastructure changes that I committed to this PR (1-4). this includes modifications to volumeFilter and so the newly added tests in step 1 should still pass. for reference, these modifications to volumeFilter is in the commit "4 - update structure of volumeFilter to make room for buy side". Add the missing test in TestDailyVolumeByDate_QueryRow marked as a TODO.
3. implement the buy-side logic in volumeFilter and update the volumeFilter_test.go to include cases for the buy side.
4. Finally, you can submit this PR and change sell to buy and it should work automatically.

PS: didn't realize this would be so many changes so apologies for messing up this PR with the commits.

[debnil]

Got it, I think that makes sense. Will get working on it!

[debnil]

Closing because once the other PRs mentioned above are done, the buy twap implementation will be very short and better to put in a different PR.