Merge pull request #31 from Overmuse/SR/normalize_intents

normalize intents before sending
Overmuse · Sep 13, 2021 · f6da140 · f6da140
2 parents dba316c + 1769b63
commit f6da140
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Showing 3 changed files with 74 additions and 6 deletions.
diff --git a/Cargo.lock b/Cargo.lock
diff --git a/Cargo.toml b/Cargo.toml
@@ -1,6 +1,6 @@
 [package]
 name = "trader"
-version = "2.0.0"
+version = "2.0.1"
 authors = ["RollenRegistratorBot <[email protected]>"]
 edition = "2018"
 
@@ -15,6 +15,7 @@ dotenv = "0.15"
 futures = "0.3"
 kafka-settings = { git = "ssh://[email protected]/Overmuse/kafka-settings", tag = "v0.3.3" }
 rdkafka = {version = "0.26", features = ["ssl-vendored"]}
+rust_decimal = "1.15.0"
 sentry = "0.23"
 serde = "1.0"
 serde_json = "1.0"

diff --git a/src/lib.rs b/src/lib.rs
@@ -7,8 +7,9 @@ use anyhow::{anyhow, Result};
 use futures::StreamExt;
 use kafka_settings::consumer;
 use rdkafka::{message::OwnedMessage, Message};
+use rust_decimal::prelude::*;
 use tracing::{info, warn};
-use trading_base::TradeIntent;
+use trading_base::{OrderType, TradeIntent};
 
 mod settings;
 pub use settings::Settings;
@@ -23,6 +24,45 @@ fn parse_message(msg: OwnedMessage) -> Result<TradeIntent> {
     }
 }
 
+fn normalize_intent(ti: &mut TradeIntent) {
+    let new_order_type = if ti.qty.is_positive() {
+        match ti.order_type {
+            OrderType::Market => OrderType::Market,
+            OrderType::Limit { limit_price } => OrderType::Limit {
+                limit_price: limit_price.round_dp_with_strategy(2, RoundingStrategy::ToZero),
+            },
+            OrderType::Stop { stop_price } => OrderType::Stop {
+                stop_price: stop_price.round_dp_with_strategy(2, RoundingStrategy::AwayFromZero),
+            },
+            OrderType::StopLimit {
+                stop_price,
+                limit_price,
+            } => OrderType::StopLimit {
+                stop_price: stop_price.round_dp_with_strategy(2, RoundingStrategy::AwayFromZero),
+                limit_price: limit_price.round_dp_with_strategy(2, RoundingStrategy::ToZero),
+            },
+        }
+    } else {
+        match ti.order_type {
+            OrderType::Market => OrderType::Market,
+            OrderType::Limit { limit_price } => OrderType::Limit {
+                limit_price: limit_price.round_dp_with_strategy(2, RoundingStrategy::AwayFromZero),
+            },
+            OrderType::Stop { stop_price } => OrderType::Stop {
+                stop_price: stop_price.round_dp_with_strategy(2, RoundingStrategy::ToZero),
+            },
+            OrderType::StopLimit {
+                stop_price,
+                limit_price,
+            } => OrderType::StopLimit {
+                stop_price: stop_price.round_dp_with_strategy(2, RoundingStrategy::ToZero),
+                limit_price: limit_price.round_dp_with_strategy(2, RoundingStrategy::AwayFromZero),
+            },
+        }
+    };
+    ti.order_type = new_order_type;
+}
+
 fn translate_intent(ti: TradeIntent) -> OrderIntent {
     let (qty, side) = if ti.qty > 0 {
         (ti.qty as usize, Side::Buy)
@@ -65,7 +105,8 @@ async fn execute_order(api: &Client, oi: &OrderIntent) -> Result<Order> {
 
 #[tracing::instrument(name = "Received message", skip(api, msg))]
 async fn handle_message(api: &Client, msg: OwnedMessage) -> Result<Order> {
-    let trade_intent = parse_message(msg)?;
+    let mut trade_intent = parse_message(msg)?;
+    normalize_intent(&mut trade_intent);
     let order_intent = translate_intent(trade_intent);
     again::retry(|| execute_order(api, &order_intent)).await
 }
@@ -103,6 +144,31 @@ mod test {
     use mockito::mock;
     use rdkafka::message::Timestamp;
 
+    #[test]
+    fn test_normalize_intent() {
+        let mut ti = TradeIntent::new("AAPL", 100).order_type(OrderType::Limit {
+            limit_price: Decimal::new(7777, 3),
+        });
+        normalize_intent(&mut ti);
+        assert_eq!(
+            ti.order_type,
+            OrderType::Limit {
+                limit_price: Decimal::new(777, 2)
+            }
+        );
+
+        let mut ti = TradeIntent::new("AAPL", -100).order_type(OrderType::Limit {
+            limit_price: Decimal::new(7777, 3),
+        });
+        normalize_intent(&mut ti);
+        assert_eq!(
+            ti.order_type,
+            OrderType::Limit {
+                limit_price: Decimal::new(778, 2)
+            }
+        );
+    }
+
     #[test]
     fn unwrap_msg() {
         let payload = r#"{