smart_order.algo

/*
-----BEGIN ALGO DEFINITION-----
{
    "id": "blinktrade",
    "description": "Make sure your order is always on top",
    "params": [
      {"name":"side", "label":"Buy(1) / Sell(2)", "type":"number", "value":"1", "filter":"positive_number", "validator":"required; validateMin 1; validateMax 2; validateNumber;" },
      {"name":"qty",    "label":"Qty",            "type":"number", "value":"" , "filter":"positive_number", "validator":"required; validateMin 0; validateNumber;" },
      {"name":"min_price", "label":"Minimum Price",   "type":"number", "value":"" , "filter":"positive_number", "validator":"required; validateMin 0; validateNumber;" },
      {"name":"max_price", "label":"Maximum Price",   "type":"number", "value":"" , "filter":"positive_number", "validator":"required; validateMin 0; validateNumber;" }
    ],
    "creator": "blinktrade.SmartOrderAlgo.create",
    "destructor": "blinktrade.SmartOrderAlgo.destroy",
    "permissions": ["notification", "balance", "execution_report", "new_order_limited", "cancel_order"]
}
-----END ALGO DEFINITION-----
-----BEGIN ALGO-----
/**/

/**
  * Namespace. 
  */
var blinktrade = {};

/**
  * @param {Object} application
  * @param {string} symbol
  * @constructor
  */
blinktrade.SmartOrderAlgo = function(application, symbol){
  this.application_ = application;
  this.symbol_ = symbol;

  this.my_orders_prefix_ = 'p' + parseInt( 1e4 * Math.random() , 10 ) + '_';
  this.price_increment_ = 0.10;
};

/**
 * @type {Object}
 */
blinktrade.SmartOrderAlgo.prototype.current_order_;


/**
 * @type {number}
 */
blinktrade.SmartOrderAlgo.prototype.target_price_;


/**
  * @param {Application} application
  * @param {string} symbol
  * @return {blinktrade.SmartOrderAlgo}
  */
blinktrade.SmartOrderAlgo.create = function(application,symbol) {
  return new blinktrade.SmartOrderAlgo(application,symbol);
};

/**
  * @param {Object} params
  */
blinktrade.SmartOrderAlgo.prototype.start = function(params) {
  this.target_qty_ = params['qty'] * 1e8;

  this.cancellAlgoOrders();
  this.sendOrders();

  this.timer_ = setInterval(goog.bind(this.sendOrders, this), 1000 ); // every 1 second
};

blinktrade.SmartOrderAlgo.prototype.stop = function() {
  clearInterval(this.timer_);
  this.cancellAlgoOrders();
};

/**
  * @param {Object.<string,*>} params
  */
blinktrade.SmartOrderAlgo.prototype.onUpdateParams = function(params) {
  if (params['qty'] * 1e8 !== this.target_qty_) {
    this.target_qty_ = params['qty'] * 1e8;
    this.cancellAlgoOrders();
  }
  this.sendOrders();
};

/**
 *
 * @param {Object.<string,string|number>} msg
 */
blinktrade.SmartOrderAlgo.prototype.onExecutionReport  = function(msg) {
  this.target_qty_ = msg['LeavesQty'];
  console.log(msg);
};


blinktrade.SmartOrderAlgo.prototype.cancellAlgoOrders = function() {
  if (goog.isDefAndNotNull(this.current_order_)) {
    this.application_.cancelOrder(this.current_order_['ClOrdID']);
  }
  this.current_order_ = null;
};


blinktrade.SmartOrderAlgo.prototype.sendOrders = function() {
  var params   = this.application_.getParameters();
  var max_price = params["max_price"] * 1e8;
  var min_price = params["min_price"] * 1e8;


  var order_book = this.application_.getOrderBook();

  var best_market_price;
  var order_at_top_of_the_book;
  var counter_order_at_top_of_the_book;


  if (params["side"] == 1) {
    order_at_top_of_the_book = order_book["bids"][0];
    counter_order_at_top_of_the_book = order_book["asks"][0];
  } else {
    order_at_top_of_the_book = order_book["asks"][0];
    counter_order_at_top_of_the_book = order_book["bids"][0];
  }

  var do_i_have_the_best_order = false;
  if (goog.isDefAndNotNull(this.current_order_)) {
    do_i_have_the_best_order =  (this.current_order_['Price'] == order_at_top_of_the_book[0] &&
                                this.current_order_['Qty'] == order_at_top_of_the_book[1]);
  }

  var price_better_than_the_current_order_price =  order_at_top_of_the_book[0];
  if (do_i_have_the_best_order) {
    var book_side = "bids";
    if (params["side"] == 2) {
      book_side = "asks";
    }

    for (var i =1; i < order_book[book_side].length; ++i ) {
      if (   (book_side == "bids" && order_book[book_side][i][0] < price_better_than_the_current_order_price)
          || (book_side == "asks" && order_book[book_side][i][0] > price_better_than_the_current_order_price) ) {
        price_better_than_the_current_order_price = order_book[book_side][i][0];
        break;
      }
    }
  }


  if (params["side"] == 1 ) { // BUY
    price_better_than_the_current_order_price =
        price_better_than_the_current_order_price + (this.price_increment_ * 1e8);
  } else if (params["side"] == 2 ) { // SELL
    price_better_than_the_current_order_price =
        price_better_than_the_current_order_price - (this.price_increment_ * 1e8);
  }

  // find the target price now
  if (params["side"] == 1 ) { // BUY
    if (price_better_than_the_current_order_price <= max_price && price_better_than_the_current_order_price >= min_price ){
      this.target_price_ = price_better_than_the_current_order_price;
    } else if (price_better_than_the_current_order_price >= max_price ) {
      this.target_price_ = max_price;
    } else {
      this.target_price_ = min_price;
    }
  } else {
    if (price_better_than_the_current_order_price <= max_price && price_better_than_the_current_order_price >= min_price ){
      this.target_price_ = price_better_than_the_current_order_price;
    } else if (price_better_than_the_current_order_price <= min_price ) {
      this.target_price_ = min_price;
    } else {
      this.target_price_ = max_price;
    }
  }

  if (params["side"] == 1 && this.target_price_ >= counter_order_at_top_of_the_book[0] ||
      params["side"] == 2 && this.target_price_ <= counter_order_at_top_of_the_book[0]) {
    return;  // we don't want to cause an execution.
  }


  var should_send_new_order = false;
  if (goog.isDefAndNotNull(this.current_order_)) {
    if ((this.current_order_["Side"] != params["side"] ))  {
      this.application_.cancelOrder(this.current_order_['ClOrdID']);
      should_send_new_order = true;
    }
    if (this.current_order_["Price"] !== this.target_price_ ) {
      this.application_.cancelOrder(this.current_order_['ClOrdID']);
      should_send_new_order = true;
    }
  } else {
    should_send_new_order = true;
  }

  if (should_send_new_order) {
    this.current_order_ = {
      'Side'      : params["side"],
      'ClOrdID'   : this.my_orders_prefix_  + parseInt( 1e7 * Math.random() , 10 ),
      'Qty'       : this.target_qty_,
      'Price'     : this.target_price_
    };

    if (this.current_order_['Side'] == 1 ) {
      this.application_.sendBuyLimitedOrder(this.current_order_['Qty'],
                                            this.current_order_['Price'],
                                            this.current_order_['ClOrdID']);

    } else {
      this.application_.sendSellLimitedOrder(this.current_order_['Qty'],
                                            this.current_order_['Price'],
                                            this.current_order_['ClOrdID']);
    }
  }
};



//-----END ALGO-----