package dca2 import ( "context" "fmt" "strconv" "time" "git.qtrade.icu/lychiyu/bbgo/pkg/bbgo" "git.qtrade.icu/lychiyu/bbgo/pkg/exchange/retry" "git.qtrade.icu/lychiyu/bbgo/pkg/types" "github.com/pkg/errors" ) var recoverSinceLimit = time.Date(2024, time.January, 29, 12, 0, 0, 0, time.Local) type descendingClosedOrderQueryService interface { QueryClosedOrdersDesc(ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64) ([]types.Order, error) } func (s *Strategy) recover(ctx context.Context) error { s.logger.Info("[DCA] recover") currentRound, err := s.collector.CollectCurrentRound(ctx) debugRoundOrders(s.logger, "current", currentRound) // recover profit stats if s.DisableProfitStatsRecover { s.logger.Info("disableProfitStatsRecover is set, skip profit stats recovery") } else { if err := recoverProfitStats(ctx, s); err != nil { return err } s.logger.Info("recover profit stats DONE") } // recover position if s.DisablePositionRecover { s.logger.Info("disablePositionRecover is set, skip position recovery") } else { if err := recoverPosition(ctx, s.Position, currentRound, s.collector.queryService); err != nil { return err } s.logger.Info("recover position DONE") } // recover startTimeOfNextRound startTimeOfNextRound := recoverStartTimeOfNextRound(ctx, currentRound, s.CoolDownInterval) s.startTimeOfNextRound = startTimeOfNextRound // recover state state, err := recoverState(ctx, int(s.MaxOrderCount), currentRound, s.OrderExecutor) if err != nil { return err } s.updateState(state) s.logger.Info("recover stats DONE") return nil } // recover state func recoverState(ctx context.Context, maxOrderCount int, currentRound Round, orderExecutor *bbgo.GeneralOrderExecutor) (State, error) { activeOrderBook := orderExecutor.ActiveMakerOrders() orderStore := orderExecutor.OrderStore() // dca stop at take-profit order stage if len(currentRound.TakeProfitOrders) > 0 { openedOrders, cancelledOrders, filledOrders, unexpectedOrders := classifyOrders(currentRound.TakeProfitOrders) if len(unexpectedOrders) > 0 { return None, fmt.Errorf("there is unexpected status in orders %+v", unexpectedOrders) } if len(filledOrders) > 0 && len(openedOrders) == 0 { return WaitToOpenPosition, nil } if len(filledOrders) == 0 && len(openedOrders) > 0 { // add opened order into order store for _, order := range openedOrders { activeOrderBook.Add(order) orderStore.Add(order) } return TakeProfitReady, nil } return None, fmt.Errorf("the classify orders count is not expected (opened: %d, cancelled: %d, filled: %d)", len(openedOrders), len(cancelledOrders), len(filledOrders)) } // dca stop at no take-profit order stage openPositionOrders := currentRound.OpenPositionOrders // new strategy if len(openPositionOrders) == 0 { return WaitToOpenPosition, nil } // collect open-position orders' status openedOrders, cancelledOrders, filledOrders, unexpectedOrders := classifyOrders(currentRound.OpenPositionOrders) if len(unexpectedOrders) > 0 { return None, fmt.Errorf("there is unexpected status of orders %+v", unexpectedOrders) } for _, order := range openedOrders { activeOrderBook.Add(order) orderStore.Add(order) } // no order is filled -> OpenPositionReady if len(filledOrders) == 0 { return OpenPositionReady, nil } // there are at least one open-position orders filled if len(cancelledOrders) == 0 { if len(openedOrders) > 0 { return OpenPositionOrderFilled, nil } else { // all open-position orders filled, change to cancelling and place the take-profit order return OpenPositionOrdersCancelling, nil } } // there are at last one open-position orders cancelled and at least one filled order -> open position order cancelling return OpenPositionOrdersCancelling, nil } func recoverPosition(ctx context.Context, position *types.Position, currentRound Round, queryService types.ExchangeOrderQueryService) error { if position == nil { return fmt.Errorf("position is nil, please check it") } // reset position to recover position.Reset() var positionOrders []types.Order var filledCnt int64 for _, order := range currentRound.TakeProfitOrders { if !types.IsActiveOrder(order) { filledCnt++ } positionOrders = append(positionOrders, order) } // all take-profit orders are filled if len(currentRound.TakeProfitOrders) > 0 && filledCnt == int64(len(currentRound.TakeProfitOrders)) { return nil } for _, order := range currentRound.OpenPositionOrders { // no executed quantity order, no need to get trades if order.ExecutedQuantity.IsZero() { continue } positionOrders = append(positionOrders, order) } for _, positionOrder := range positionOrders { trades, err := retry.QueryOrderTradesUntilSuccessful(ctx, queryService, types.OrderQuery{ Symbol: position.Symbol, OrderID: strconv.FormatUint(positionOrder.OrderID, 10), }) if err != nil { return errors.Wrapf(err, "failed to get order (%d) trades", positionOrder.OrderID) } position.AddTrades(trades) } return nil } func recoverProfitStats(ctx context.Context, strategy *Strategy) error { if strategy.ProfitStats == nil { return fmt.Errorf("profit stats is nil, please check it") } _, err := strategy.UpdateProfitStats(ctx) return err } func recoverStartTimeOfNextRound(ctx context.Context, currentRound Round, coolDownInterval types.Duration) time.Time { var startTimeOfNextRound time.Time for _, order := range currentRound.TakeProfitOrders { if t := order.UpdateTime.Time().Add(coolDownInterval.Duration()); t.After(startTimeOfNextRound) { startTimeOfNextRound = t } } return startTimeOfNextRound } func classifyOrders(orders []types.Order) (opened, cancelled, filled, unexpected []types.Order) { for _, order := range orders { switch order.Status { case types.OrderStatusNew, types.OrderStatusPartiallyFilled: opened = append(opened, order) case types.OrderStatusFilled: filled = append(filled, order) case types.OrderStatusCanceled: cancelled = append(cancelled, order) default: unexpected = append(unexpected, order) } } return opened, cancelled, filled, unexpected }