Working order

pulse-sdk/src/general.rs

@@ -51,7 +51,7 @@ pub struct Signal {
 
 #[derive(Debug, Clone, Copy, serde::Serialize, serde::Deserialize)]
 pub struct EngineOrder {
-    pub risk_equity: Decimal,
+    pub risk: Decimal,
     pub size: Decimal,
     pub stop_loss: Decimal,
 

pulse-sdk/src/lib.rs

@@ -3,6 +3,8 @@ pub mod strategy;
 pub mod terminal;
 pub use hypersdk;
 
+use hypersdk::Decimal;
+use rust_decimal::RoundingStrategy;
 use tokio::io::{AsyncReadExt, AsyncWriteExt};
 
 use crate::{general::LogKind, strategy::StrategyEngineMessage};
@@ -10,9 +12,9 @@ use crate::{general::LogKind, strategy::StrategyEngineMessage};
 pub mod prelude {
     pub use crate::Strategy;
     pub use crate::general::*;
-    pub use crate::server_path;
     pub use crate::strategy::*;
     pub use crate::terminal::*;
+    pub use crate::{round_price, server_path};
 
     pub use hypersdk;
     pub use postcard;
@@ -26,6 +28,21 @@ pub fn map_postcard_err<T>(res: postcard::Result<T>) -> tokio::io::Result<T> {
     res.map_err(|e| tokio::io::Error::new(std::io::ErrorKind::Other, e))
 }
 
+pub fn round_price(price: Decimal) -> Decimal {
+    let digits = price.trunc().to_string().len() as u32;
+    let decimal_places = 5_i32 - digits as i32;
+
+    if decimal_places < 0 {
+        let factor = Decimal::from(10_u64.pow((-decimal_places) as u32));
+        (price / factor).round() * factor
+    } else {
+        price.round_dp_with_strategy(
+            decimal_places as u32,
+            RoundingStrategy::MidpointAwayFromZero,
+        )
+    }
+}
+
 pub async fn send_raw(data: &[u8]) -> tokio::io::Result<()> {
     let mut stdout = tokio::io::stdout();
 

src/engine/engine/execution.rs

@@ -37,13 +37,16 @@ impl Engine {
 
         *size = Some(engine_order);
 
+        let limit_px = round_price(signal.entry_price);
+        let sz = round_price(engine_order.size / signal.entry_price);
+
         let order = BatchOrder {
             orders: vec![
                 OrderRequest {
                     asset: asset_id,
                     is_buy: matches!(signal.side, Side::Bid),
-                    limit_px: signal.entry_price,
+                    limit_px,
-                    sz: engine_order.size,
+                    sz,
                     reduce_only: false,
                     order_type: OrderTypePlacement::Limit {
                         tif: TimeInForce::Gtc,
@@ -53,12 +56,12 @@ impl Engine {
                 OrderRequest {
                     asset: asset_id,
                     is_buy: !matches!(signal.side, Side::Bid),
-                    limit_px: signal.entry_price,
+                    limit_px,
-                    sz: engine_order.size,
+                    sz,
                     reduce_only: true,
                     order_type: OrderTypePlacement::Trigger {
                         is_market: true,
-                        trigger_px: signal.take_profit,
+                        trigger_px: round_price(signal.take_profit),
                         tpsl: hypercore::TpSl::Tp,
                     },
                     cloid: engine_order.take_profit,
@@ -66,12 +69,12 @@ impl Engine {
                 OrderRequest {
                     asset: asset_id,
                     is_buy: !matches!(signal.side, Side::Bid),
-                    limit_px: signal.entry_price,
+                    limit_px,
-                    sz: engine_order.size,
+                    sz,
                     reduce_only: true,
                     order_type: OrderTypePlacement::Trigger {
                         is_market: true,
-                        trigger_px: engine_order.stop_loss,
+                        trigger_px: round_price(engine_order.stop_loss),
                         tpsl: hypercore::TpSl::Sl,
                     },
                     cloid: engine_order.stop_loss_id,
@@ -81,6 +84,8 @@ impl Engine {
             builder: None,
         };
 
+        println!("{order:?}");
+
         let nonce = NonceHandler::default();
 
         match client

src/engine/engine/risk.rs

@@ -87,7 +87,7 @@ impl RiskEngine {
                             for r in rm {
                                 let order = self.orders.lock().await.remove(r);
 
-                                self.state.lock().await.pnl -= order.risk_equity;
+                                self.state.lock().await.pnl -= order.risk;
                             }
                         }
                     }
@@ -157,15 +157,14 @@ impl RiskEngine {
             take_profit: Cloid::random(),
             stop_loss_id: Cloid::random(),
 
-            size: size.round_dp(3),
+            size,
-            risk_equity: risk,
+            risk,
 
             stop_loss: if matches!(signal.side, Side::Ask) {
                 signal.entry_price + sl_distance
             } else {
                 signal.entry_price - sl_distance
-            }
+            },
-            .round_dp(3),
         })
     }