bbgo_origin/pkg/exchange/batch/batch.go

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package batch
import (
"context"
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"github.com/pkg/errors"
"sort"
"time"
"github.com/sirupsen/logrus"
"golang.org/x/time/rate"
"github.com/c9s/bbgo/pkg/types"
)
type ClosedOrderBatchQuery struct {
types.Exchange
}
func (e ClosedOrderBatchQuery) Query(ctx context.Context, symbol string, startTime, endTime time.Time, lastOrderID uint64) (c chan types.Order, errC chan error) {
c = make(chan types.Order, 500)
errC = make(chan error, 1)
tradeHistoryService, ok := e.Exchange.(types.ExchangeTradeHistoryService)
if !ok {
// skip exchanges that does not support trading history services
logrus.Warnf("exchange %s does not implement ExchangeTradeHistoryService, skip syncing closed orders", e.Exchange.Name())
return c, errC
}
go func() {
limiter := rate.NewLimiter(rate.Every(5*time.Second), 2) // from binance (original 1200, use 1000 for safety)
defer close(c)
defer close(errC)
orderIDs := make(map[uint64]struct{}, 500)
if lastOrderID > 0 {
orderIDs[lastOrderID] = struct{}{}
}
for startTime.Before(endTime) {
if err := limiter.Wait(ctx); err != nil {
logrus.WithError(err).Error("rate limit error")
}
logrus.Infof("batch querying %s closed orders %s <=> %s", symbol, startTime, endTime)
orders, err := tradeHistoryService.QueryClosedOrders(ctx, symbol, startTime, endTime, lastOrderID)
if err != nil {
errC <- err
return
}
if len(orders) == 0 || (len(orders) == 1 && orders[0].OrderID == lastOrderID) {
return
}
for _, o := range orders {
if _, ok := orderIDs[o.OrderID]; ok {
continue
}
c <- o
startTime = o.CreationTime.Time()
lastOrderID = o.OrderID
orderIDs[o.OrderID] = struct{}{}
}
}
}()
return c, errC
}
type KLineBatchQuery struct {
types.Exchange
}
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func (e KLineBatchQuery) Query(ctx context.Context, symbol string, interval types.Interval, startTime, endTime time.Time) (c chan []types.KLine, errC chan error) {
c = make(chan []types.KLine, 1000)
errC = make(chan error, 1)
go func() {
defer close(c)
defer close(errC)
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tryQueryKlineTimes := 0
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var currentTime = startTime
for currentTime.Before(endTime) {
kLines, err := e.QueryKLines(ctx, symbol, interval, types.KLineQueryOptions{
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StartTime: &currentTime,
EndTime: &endTime,
})
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sort.Slice(kLines, func(i, j int) bool { return kLines[i].StartTime.Unix() < kLines[j].StartTime.Unix() })
tryQueryKlineTimes++
if err != nil {
errC <- err
return
}
if len(kLines) == 0 {
return
}
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const BatchSize = 200
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var batchKLines = make([]types.KLine, 0, BatchSize)
for _, kline := range kLines {
// ignore any kline before the given start time
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if currentTime.Unix() != startTime.Unix() && kline.StartTime.Unix() <= currentTime.Unix() {
continue
}
if kline.StartTime.After(endTime) || kline.EndTime.After(endTime) {
if len(batchKLines) != 0 {
c <- batchKLines
batchKLines = nil
}
return
}
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batchKLines = append(batchKLines, kline)
if len(batchKLines) == BatchSize {
c <- batchKLines
batchKLines = nil
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}
//The issue is in FTX, prev endtime = next start time , so if add 1 ms , it would query forever.
currentTime = kline.StartTime.Time()
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tryQueryKlineTimes = 0
}
if len(batchKLines) != 0 {
c <- batchKLines
batchKLines = nil
}
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if tryQueryKlineTimes > 10 { // it means loop 10 times
errC <- errors.Errorf("There's a dead loop in batch.go#Query , symbol: %s , interval: %s, startTime :%s ", symbol, interval, startTime.String())
return
}
}
}()
return c, errC
}
type TradeBatchQuery struct {
types.Exchange
}
func (e TradeBatchQuery) Query(ctx context.Context, symbol string, options *types.TradeQueryOptions) (c chan types.Trade, errC chan error) {
c = make(chan types.Trade, 500)
errC = make(chan error, 1)
tradeHistoryService, ok := e.Exchange.(types.ExchangeTradeHistoryService)
if !ok {
// skip exchanges that does not support trading history services
logrus.Warnf("exchange %s does not implement ExchangeTradeHistoryService, skip syncing closed orders", e.Exchange.Name())
return c, errC
}
var lastTradeID = options.LastTradeID
go func() {
limiter := rate.NewLimiter(rate.Every(5*time.Second), 2) // from binance (original 1200, use 1000 for safety)
defer close(c)
defer close(errC)
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var tradeKeys = map[types.TradeKey]struct{}{}
for {
if err := limiter.Wait(ctx); err != nil {
logrus.WithError(err).Error("rate limit error")
}
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logrus.Infof("querying %s trades from id=%d limit=%d", symbol, lastTradeID, options.Limit)
var err error
var trades []types.Trade
trades, err = tradeHistoryService.QueryTrades(ctx, symbol, &types.TradeQueryOptions{
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Limit: options.Limit,
LastTradeID: lastTradeID,
})
if err != nil {
errC <- err
return
}
if len(trades) == 0 {
return
} else if len(trades) == 1 {
k := trades[0].Key()
if _, exists := tradeKeys[k]; exists {
return
}
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}
for _, t := range trades {
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key := t.Key()
if _, ok := tradeKeys[key]; ok {
logrus.Debugf("ignore duplicated trade: %+v", key)
continue
}
lastTradeID = t.ID
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tradeKeys[key] = struct{}{}
// ignore the first trade if last TradeID is given
c <- t
}
}
}()
return c, errC
}
type RewardBatchQuery struct {
Service types.ExchangeRewardService
}
func (q *RewardBatchQuery) Query(ctx context.Context, startTime, endTime time.Time) (c chan types.Reward, errC chan error) {
c = make(chan types.Reward, 500)
errC = make(chan error, 1)
go func() {
limiter := rate.NewLimiter(rate.Every(5*time.Second), 2) // from binance (original 1200, use 1000 for safety)
defer close(c)
defer close(errC)
lastID := ""
rewardKeys := make(map[string]struct{}, 500)
for startTime.Before(endTime) {
if err := limiter.Wait(ctx); err != nil {
logrus.WithError(err).Error("rate limit error")
}
logrus.Infof("batch querying rewards %s <=> %s", startTime, endTime)
rewards, err := q.Service.QueryRewards(ctx, startTime)
if err != nil {
errC <- err
return
}
// empty data
if len(rewards) == 0 {
return
}
// there is no new data
if len(rewards) == 1 && rewards[0].UUID == lastID {
return
}
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newCnt := 0
for _, o := range rewards {
if _, ok := rewardKeys[o.UUID]; ok {
continue
}
if o.CreatedAt.Time().After(endTime) {
// stop batch query
return
}
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newCnt++
c <- o
rewardKeys[o.UUID] = struct{}{}
}
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if newCnt == 0 {
return
}
end := len(rewards) - 1
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startTime = rewards[end].CreatedAt.Time()
lastID = rewards[end].UUID
}
}()
return c, errC
}