Live auto trade mode

Author: sjanel

data/static/auto-trade-example.json

@@ -0,0 +1,63 @@
+{
+    "kraken": {
+        "BTC-EUR": {
+            "accounts": [
+                "user1",
+                "user2"
+            ],
+            "algorithmName": "example-trader",
+            "repeatTime": "5s",
+            "baseStartAmount": "0.5BTC",
+            "quoteStartAmount": "50%EUR",
+            "stopCriteria": [
+                {
+                    "type": "duration",
+                    "value": "4h"
+                },
+                {
+                    "type": "protectLoss",
+                    "value": "-30%"
+                },
+                {
+                    "type": "secureProfit",
+                    "value": "80%"
+                }
+            ]
+        },
+        "ETH-EUR": {
+            "accounts": [
+                "user1"
+            ],
+            "algorithmName": "example-trader",
+            "repeatTime": "3s",
+            "baseStartAmount": "45ETH",
+            "quoteStartAmount": "50%EUR",
+            "stopCriteria": [
+                {
+                    "type": "duration",
+                    "value": "4h"
+                },
+                {
+                    "type": "protectLoss",
+                    "value": "-30%"
+                },
+                {
+                    "type": "secureProfit",
+                    "value": "80%"
+                }
+            ]
+        }
+    },
+    "binance": {
+        "XRP-USDT": {
+            "accounts": [
+                "user1"
+            ],
+            "algorithmName": "example-trader",
+            "repeatTime": "1s",
+            "baseStartAmount": "50000.56XRP",
+            "quoteStartAmount": "100%USDT",
+            "stopCriteria": []
+        }
+    }
+}

src/basic-objects/include/coincentercommandtype.hpp

@@ -13,7 +13,7 @@ namespace cct {
       Balance, DepositInfo, OrdersClosed, OrdersOpened, OrdersCancel, RecentDeposits, RecentWithdraws, Trade, Buy, \
       Sell, Withdraw, DustSweeper,                                                                                 \
                                                                                                                    \
-      MarketData, Replay, ReplayMarkets
+      MarketData, Replay, ReplayMarkets, AutoTrade
 
 enum class CoincenterCommandType : int8_t { CCT_COINCENTER_COMMAND_TYPES };
 
@@ -26,4 +26,4 @@ struct glz::meta<::cct::CoincenterCommandType> {
   static constexpr auto value = enumerate(CCT_COINCENTER_COMMAND_TYPES);
 };
 
-#undef CCT_COINCENTER_COMMAND_TYPES
+#undef CCT_COINCENTER_COMMAND_TYPES

src/engine/include/auto-trade-options.hpp

@@ -0,0 +1,58 @@
+#pragma once
+
+#include <map>
+
+#include "auto-trade-config.hpp"
+#include "cct_const.hpp"
+#include "cct_fixedcapacityvector.hpp"
+#include "cct_smallvector.hpp"
+#include "cct_vector.hpp"
+#include "exchange-names.hpp"
+#include "exchangename.hpp"
+
+namespace cct {
+
+class AutoTradeOptions {
+ public:
+  using AccountAutoTradeOptionsPtrVector =
+      SmallVector<const schema::AutoTradeExchangeConfig *, kTypicalNbPrivateAccounts>;
+
+  struct MarketExchanges {
+    Market market;
+    ExchangeNames privateExchangeNames;
+    const schema::AutoTradeMarketConfig *pMarketAutoTradeOptions{};
+  };
+
+  using MarketStatusVector = vector<MarketExchanges>;
+
+  struct MarketExchangeOptions {
+    MarketStatusVector marketStatusVector;
+  };
+
+  struct PublicExchangeMarketOptions {
+    ExchangeName publicExchangeName;
+    MarketExchangeOptions marketExchangeOptions;
+  };
+
+  using PublicExchangeMarketOptionsVector = FixedCapacityVector<schema::AutoTradeExchangeConfig, kNbSupportedExchanges>;
+
+  AutoTradeOptions() noexcept = default;
+
+  explicit AutoTradeOptions(schema::AutoTradeConfig &&autoTradeConfig);
+
+  auto begin() const { return _autoTradeConfig.begin(); }
+  auto end() const { return _autoTradeConfig.end(); }
+
+  ExchangeNames exchangeNames() const;
+
+  ExchangeNameEnumVector publicExchanges() const;
+
+  AccountAutoTradeOptionsPtrVector accountAutoTradeOptionsPtr(std::string_view publicExchangeName) const;
+
+  const schema::AutoTradeExchangeConfig &operator[](ExchangeNameEnum exchangeNameEnum) const;
+
+ private:
+  schema::AutoTradeConfig _autoTradeConfig;
+};
+
+}  // namespace cct

src/engine/include/auto-trade-processor.hpp

@@ -0,0 +1,60 @@
+#pragma once
+
+#include <array>
+#include <compare>
+#include <functional>
+#include <unordered_map>
+
+#include "auto-trade-config.hpp"
+#include "cct_smallvector.hpp"
+#include "cct_vector.hpp"
+#include "exchange-names.hpp"
+#include "exchange.hpp"
+#include "market-trader-engine.hpp"
+#include "market.hpp"
+#include "timedef.hpp"
+
+namespace cct {
+class AutoTradeOptions;
+class CoincenterInfo;
+
+class AutoTradeProcessor {
+ public:
+  using MarketTraderEngines = std::array<std::unordered_map<Market, MarketTraderEngine>, kNbSupportedExchanges>;
+
+  explicit AutoTradeProcessor(const AutoTradeOptions& autoTradeOptions);
+
+  struct SelectedMarket {
+    ExchangeNames privateExchangeNames;
+    Market market;
+  };
+
+  using SelectedMarketVector = SmallVector<SelectedMarket, kTypicalNbPrivateAccounts>;
+
+  SelectedMarketVector computeSelectedMarkets();
+
+  MarketTraderEngines createMarketTraderEngines(const CoincenterInfo& coincenterInfo) const;
+
+ private:
+  struct MarketStatus {
+    ExchangeNames privateExchangeNames;
+    Market market;
+    TimePoint lastQueryTime;
+    const schema::AutoTradeMarketConfig* pMarketAutoTradeOptions{};
+  };
+
+  using MarketStatusVector = vector<MarketStatus>;
+
+  struct ExchangeStatus {
+    MarketStatusVector marketStatusVector;
+    const schema::AutoTradeExchangeConfig* pPublicExchangeAutoTradeOptions{};
+    ExchangeNameEnum exchangeNameEnum;
+  };
+
+  using ExchangeStatusVector = SmallVector<ExchangeStatus, kTypicalNbPrivateAccounts>;
+
+  ExchangeStatusVector _exchangeStatusVector;
+  TimePoint _startTs = Clock::now();
+  TimePoint _ts{_startTs};
+};
+}  // namespace cct

src/engine/include/coincenter.hpp

@@ -4,6 +4,7 @@
 #include <span>
 
 #include "apikeysprovider.hpp"
+#include "auto-trade-options.hpp"
 #include "cct_const.hpp"
 #include "cct_fixedcapacityvector.hpp"
 #include "coincenterinfo.hpp"
@@ -149,6 +150,9 @@ class Coincenter {
   ReplayResults replay(const AbstractMarketTraderFactory &marketTraderFactory, const ReplayOptions &replayOptions,
                        Market market, ExchangeNameSpan exchangeNames);
 
+  /// Run auto trade.
+  void autoTrade(const AutoTradeOptions &autoTradeOptions);
+
   /// Dumps the content of all file caches in data directory to save cURL queries.
   void updateFileCaches() const;
 
@@ -173,8 +177,8 @@ class Coincenter {
                                                        const ExchangeNameEnumVector &exchangesWithThisMarketData);
 
   // TODO: may be moved somewhere else?
-  MarketTraderEngineVector createMarketTraderEngines(const ReplayOptions &replayOptions, Market market,
-                                                     ExchangeNameEnumVector &exchangesWithThisMarketData);
+  MarketTraderEngineVector createMarketTraderEnginesForReplay(const ReplayOptions &replayOptions, Market market,
+                                                              ExchangeNameEnumVector &exchangesWithThisMarketData);
 
   MarketTradeRangeStatsPerExchange tradingProcess(const ReplayOptions &replayOptions,
                                                   std::span<MarketTraderEngine> marketTraderEngines,

src/engine/include/coincentercommand.hpp

@@ -2,6 +2,7 @@
 
 #include <cstdint>
 #include <optional>
+#include <string_view>
 #include <type_traits>
 #include <variant>
 
@@ -47,6 +48,8 @@ class CoincenterCommand {
 
   CoincenterCommand& setReplayOptions(ReplayOptions replayOptions);
 
+  CoincenterCommand& setJsonConfigFile(std::string_view jsonConfigFile);
+
   CoincenterCommand& setPercentageAmount(bool value = true);
   CoincenterCommand& withBalanceInUse(bool value = true);
 
@@ -79,6 +82,8 @@ class CoincenterCommand {
 
   const ReplayOptions& replayOptions() const { return std::get<ReplayOptions>(_specialOptions); }
 
+  std::string_view getJsonConfigFile() const { return std::get<std::string_view>(_specialOptions); }
+
   bool operator==(const CoincenterCommand&) const noexcept = default;
 
   using trivially_relocatable =
@@ -89,7 +94,7 @@ class CoincenterCommand {
 
  private:
   using SpecialOptions = std::variant<std::monostate, OrdersConstraints, WithdrawsOrDepositsConstraints, TradeOptions,
-                                      WithdrawOptions, ReplayOptions>;
+                                      WithdrawOptions, ReplayOptions, std::string_view>;
 
   ExchangeNames _exchangeNames;
   SpecialOptions _specialOptions;

src/engine/include/coincenteroptions.hpp

@@ -104,6 +104,8 @@ class CoincenterCmdLineOptions {
 
   std::string_view marketData;
 
+  std::string_view autoTrade;
+
   std::optional<std::string_view> replay;
   std::string_view algorithmNames;
   std::string_view market;

src/engine/include/coincenteroptionsdef.hpp

@@ -477,6 +477,22 @@ struct CoincenterAllowedOptions : private CoincenterCmdLineOptionsDefinitions {
         "\nNominal replay will not validate input data to optimize performance, use this option to validate data once "
         "and for all."},
        &OptValueType::validateOnly},
+      {{{"Automation", 8004},
+        "auto-trade",
+        "<path/to/json.conf>",
+        "Automatic live trading mode. Once you have validated on historical market-data the performance of an "
+        "algorithm, it's time to try it for real!\n"
+        "This command has some particularities:\n"
+        "- next commands will never be executed\n"
+        "- repeat is ignored (the auto trade will continue until one of terminating signals defined in the "
+        "configuration file is reached)\n"
+        "Configuration will be loaded from given json file, with following options (check README to get full "
+        "configuration schema):\n"
+        "- 'algorithm' : algorithm name to use\n"
+        "- 'market' : the market to trade onto\n"
+        "- 'startAmount' : the starting amount in base currency (can be a percentage of available amount)\n"
+        "- 'exchange' : exchange with account key (not needed if not ambiguous)"},
+       &OptValueType::autoTrade},
       {{{"Monitoring", 9000},
         "--monitoring",
         "",

src/engine/include/exchangesorchestrator.hpp

@@ -3,6 +3,8 @@
 #include <optional>
 #include <span>
 
+#include "auto-trade-options.hpp"
+#include "auto-trade-processor.hpp"
 #include "exchange-names.hpp"
 #include "exchangename.hpp"
 #include "exchangeretriever.hpp"

src/engine/src/auto-trade-options.cpp

@@ -0,0 +1,63 @@
+#include "auto-trade-options.hpp"
+
+#include <utility>
+
+#include "auto-trade-config.hpp"
+#include "cct_invalid_argument_exception.hpp"
+
+namespace cct {
+
+AutoTradeOptions::AutoTradeOptions(schema::AutoTradeConfig &&autoTradeConfig)
+    : _autoTradeConfig(std::move(autoTradeConfig)) {}
+
+ExchangeNames AutoTradeOptions::exchangeNames() const {
+  ExchangeNames exchangeNames;
+  for (const auto &[exchangeNameEnum, publicExchangeAutoTradeOptions] : _autoTradeConfig) {
+    const int posPublicExchangeName = exchangeNames.size();
+    for (const auto &[market, autoTradeMarketConfig] : publicExchangeAutoTradeOptions) {
+      const int posMarket = exchangeNames.size();
+      for (std::string_view account : autoTradeMarketConfig.accounts) {
+        ExchangeName exchangeName(exchangeNameEnum, account);
+        const auto it = std::find(exchangeNames.begin() + posPublicExchangeName, exchangeNames.end(), exchangeName);
+        if (it == exchangeNames.end()) {
+          exchangeNames.push_back(std::move(exchangeName));
+        } else if (it >= exchangeNames.begin() + posMarket) {
+          throw invalid_argument("Duplicated account {} for exchange {}", account, exchangeName.name());
+        }
+      }
+    }
+  }
+  return exchangeNames;
+}
+
+ExchangeNameEnumVector AutoTradeOptions::publicExchanges() const {
+  ExchangeNameEnumVector exchanges;
+  for (const auto &[publicExchangeName, _] : _autoTradeConfig) {
+    exchanges.emplace_back(publicExchangeName);
+  }
+  std::ranges::sort(exchanges);
+  return exchanges;
+}
+
+AutoTradeOptions::AccountAutoTradeOptionsPtrVector AutoTradeOptions::accountAutoTradeOptionsPtr(
+    std::string_view publicExchangeName) const {
+  AccountAutoTradeOptionsPtrVector accountAutoTradeOptionsPtr;
+  for (const auto &[exchangeNameEnum, publicExchangeAutoTradeOptions] : _autoTradeConfig) {
+    if (kSupportedExchanges[static_cast<int>(exchangeNameEnum)] == publicExchangeName) {
+      accountAutoTradeOptionsPtr.emplace_back(&publicExchangeAutoTradeOptions);
+    }
+  }
+  return accountAutoTradeOptionsPtr;
+}
+
+const schema::AutoTradeExchangeConfig &AutoTradeOptions::operator[](ExchangeNameEnum exchangeNameEnum) const {
+  const auto it = std::ranges::find_if(_autoTradeConfig, [exchangeNameEnum](const auto &exchangeConfig) {
+    return exchangeConfig.first == exchangeNameEnum;
+  });
+  if (it == _autoTradeConfig.end()) {
+    throw exception("No auto trade options for exchange {}", kSupportedExchanges[static_cast<int>(exchangeNameEnum)]);
+  }
+  return it->second;
+}
+
+}  // namespace cct