Execution layer for algorithmic trading
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{-# LANGUAGE FlexibleContexts #-}
{-# LANGUAGE OverloadedStrings #-}
module ATrade.Driver.Junction.BrokerService
(
BrokerService,
mkBrokerService,
submitOrder,
cancelOrder,
getNotifications
) where
import qualified ATrade.Broker.Client as Bro
import ATrade.Broker.Protocol (Notification (..))
import ATrade.Logging (Message, logDebug, logWarning)
import ATrade.Types (Order (..), OrderId)
import Colog (WithLog)
import Control.Monad.IO.Class (MonadIO (liftIO))
import Control.Monad.Reader.Class (MonadReader)
import Data.IORef (IORef, atomicModifyIORef',
newIORef)
import qualified Data.Map.Strict as M
import qualified Data.Text as T
data BrokerService =
BrokerService
{
broker :: Bro.BrokerClientHandle,
orderMap :: IORef (M.Map OrderId T.Text),
orderIdCounter :: IORef OrderId
}
mkBrokerService :: Bro.BrokerClientHandle -> IORef (M.Map OrderId T.Text) -> IO BrokerService
mkBrokerService h om = BrokerService h om <$> newIORef 1
submitOrder :: (MonadIO m, WithLog env Message m, MonadReader env m) => BrokerService -> T.Text -> Order -> m OrderId
submitOrder service identity order = do
oid <- nextOrderId service
logDebug "BrokerService" $ "New order, id: " <> (T.pack . show) oid
liftIO $ atomicModifyIORef' (orderMap service) (\s -> (M.insert oid identity s, ()))
r <- liftIO $ Bro.submitOrder (broker service) order { orderId = oid }
case r of
Left err -> logWarning "BrokerService" $ "Submit order error: " <> err
_ -> return ()
return oid
where
nextOrderId srv = liftIO $ atomicModifyIORef' (orderIdCounter srv) (\s -> (s + 1, s))
cancelOrder :: (MonadIO m, WithLog env Message m) => BrokerService -> OrderId -> m ()
cancelOrder service oid = do
r <- liftIO $ Bro.cancelOrder (broker service) oid
case r of
Left err -> logWarning "BrokerServer" $ "Cancel order error: " <> err
_ -> return ()
return ()
getNotifications :: (MonadIO m, WithLog env Message m) => BrokerService -> m [Notification]
getNotifications service = do
v <- liftIO $ Bro.getNotifications (broker service)
case v of
Left err -> do
logWarning "BrokerServer" $ "Get notifications order error: " <> err
return []
Right n -> return n