// Handle communication for a FOK order
func fillOrKill(exg exchange.Interface, action string, amount, price float64, fillChan chan<- float64) {
var (
id int64
err error
order exchange.Order
)
// Send order
id, err = exg.SendOrder(action, "limit", amount, price)
if isError(err) || id == 0 {
fillChan <- 0
return
}
// Check status and cancel if necessary
for {
order, err = exg.GetOrderStatus(id)
isError(err)
if order.Status == "live" {
_, err = exg.CancelOrder(id)
isError(err)
} else if order.Status == "dead" {
break
}
// Continues while order status is empty
}
filledAmount := order.FilledAmount
// Update position
if action == "buy" {
if exg.HasCryptoFee() {
filledAmount = filledAmount * (1 - exg.Fee())
}
exg.SetPosition(exg.Position() + filledAmount)
} else {
exg.SetPosition(exg.Position() - filledAmount)
}
// Print to log
log.Printf("%s trade: %s %.4f at %.4f\n", exg, action, order.FilledAmount, price)
fillChan <- filledAmount
}
// Calculate arb needed for a trade based on existing positions
func calcNeededArb(buyExg, sellExg exchange.Interface) float64 {
// Middle between min and max
center := (cfg.Sec.MaxArb + cfg.Sec.MinArb) / 2
// Half distance from center to min and max
halfDist := (cfg.Sec.MaxArb - center) / 2
// If taking currency risk, add required premium
if buyExg.CurrencyCode() != sellExg.CurrencyCode() {
center += cfg.Sec.FXPremium
}
// Percent of max
buyExgPct := buyExg.Position() / buyExg.MaxPos()
sellExgPct := sellExg.Position() / sellExg.MaxPos()
// Return required arb
return center + buyExgPct*halfDist - sellExgPct*halfDist
}
