bbgo_origin/pkg/bbgo/activeorderbook.go

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package bbgo
import (
"context"
"encoding/json"
"sort"
"time"
"github.com/pkg/errors"
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log "github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/sigchan"
"github.com/c9s/bbgo/pkg/types"
)
const CancelOrderWaitTime = 20 * time.Millisecond
// ActiveOrderBook manages the local active order books.
//go:generate callbackgen -type ActiveOrderBook
type ActiveOrderBook struct {
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Symbol string
orders *types.SyncOrderMap
newCallbacks []func(o types.Order)
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filledCallbacks []func(o types.Order)
canceledCallbacks []func(o types.Order)
pendingOrderUpdates *types.SyncOrderMap
// sig is the order update signal
// this signal will be emitted when a new order is added or removed.
C sigchan.Chan
}
func NewActiveOrderBook(symbol string) *ActiveOrderBook {
return &ActiveOrderBook{
Symbol: symbol,
orders: types.NewSyncOrderMap(),
pendingOrderUpdates: types.NewSyncOrderMap(),
C: sigchan.New(1),
}
}
func (b *ActiveOrderBook) MarshalJSON() ([]byte, error) {
orders := b.Backup()
return json.Marshal(orders)
}
func (b *ActiveOrderBook) Backup() []types.SubmitOrder {
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return b.orders.Backup()
}
func (b *ActiveOrderBook) BindStream(stream types.Stream) {
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stream.OnOrderUpdate(b.orderUpdateHandler)
}
func (b *ActiveOrderBook) waitClear(ctx context.Context, order types.Order, waitTime, timeout time.Duration) (bool, error) {
if !b.Exists(order) {
return true, nil
}
timeoutC := time.After(timeout)
for {
select {
case <-time.After(waitTime):
case <-b.C:
}
clear := !b.Exists(order)
select {
case <-timeoutC:
return clear, nil
case <-ctx.Done():
return clear, ctx.Err()
default:
if clear {
return clear, nil
}
}
}
}
// waitAllClear waits for the order book be clear (meaning every order is removed)
// if err != nil, it's the context error.
func (b *ActiveOrderBook) waitAllClear(ctx context.Context, waitTime, timeout time.Duration) (bool, error) {
clear := b.NumOfOrders() == 0
if clear {
return clear, nil
}
timeoutC := time.After(timeout)
for {
select {
case <-time.After(waitTime):
case <-b.C:
}
// update clear flag
clear = b.NumOfOrders() == 0
select {
case <-timeoutC:
return clear, nil
case <-ctx.Done():
return clear, ctx.Err()
default:
if clear {
return clear, nil
}
}
}
}
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// FastCancel cancels the orders without verification
// It calls the exchange cancel order api and then remove the orders from the active orderbook directly.
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func (b *ActiveOrderBook) FastCancel(ctx context.Context, ex types.Exchange, orders ...types.Order) error {
// if no orders are given, set to cancelAll
if len(orders) == 0 {
orders = b.Orders()
} else {
// simple check on given input
for _, o := range orders {
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if b.Symbol != "" && o.Symbol != b.Symbol {
return errors.New("[ActiveOrderBook] cancel " + b.Symbol + " orderbook with different order symbol: " + o.Symbol)
}
}
}
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// optimize order cancel for back-testing
if IsBackTesting {
return ex.CancelOrders(context.Background(), orders...)
}
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log.Debugf("[ActiveOrderBook] no wait cancelling %s orders...", b.Symbol)
// since ctx might be canceled, we should use background context here
if err := ex.CancelOrders(context.Background(), orders...); err != nil {
log.WithError(err).Errorf("[ActiveOrderBook] no wait can not cancel %s orders", b.Symbol)
}
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for _, o := range orders {
b.Remove(o)
}
return nil
}
// GracefulCancel cancels the active orders gracefully
func (b *ActiveOrderBook) GracefulCancel(ctx context.Context, ex types.Exchange, orders ...types.Order) error {
// if no orders are given, set to cancelAll
if len(orders) == 0 {
orders = b.Orders()
} else {
// simple check on given input
for _, o := range orders {
if b.Symbol != "" && o.Symbol != b.Symbol {
return errors.New("[ActiveOrderBook] cancel " + b.Symbol + " orderbook with different symbol: " + o.Symbol)
}
}
}
// optimize order cancel for back-testing
if IsBackTesting {
return ex.CancelOrders(context.Background(), orders...)
}
log.Debugf("[ActiveOrderBook] gracefully cancelling %s orders...", b.Symbol)
waitTime := CancelOrderWaitTime
startTime := time.Now()
// ensure every order is cancelled
for {
// Some orders in the variable are not created on the server side yet,
// If we cancel these orders directly, we will get an unsent order error
// We wait here for a while for server to create these orders.
// time.Sleep(SentOrderWaitTime)
// since ctx might be canceled, we should use background context here
if err := ex.CancelOrders(context.Background(), orders...); err != nil {
log.WithError(err).Errorf("[ActiveOrderBook] can not cancel %s orders", b.Symbol)
}
log.Debugf("[ActiveOrderBook] waiting %s for %s orders to be cancelled...", waitTime, b.Symbol)
clear, err := b.waitAllClear(ctx, waitTime, 5*time.Second)
if clear || err != nil {
break
}
log.Warnf("[ActiveOrderBook] %d %s orders are not cancelled yet:", b.NumOfOrders(), b.Symbol)
b.Print()
// verify the current open orders via the RESTful API
log.Warnf("[ActiveOrderBook] using REStful API to verify active orders...")
var symbols = map[string]struct{}{}
for _, order := range orders {
symbols[order.Symbol] = struct{}{}
}
var leftOrders []types.Order
for symbol := range symbols {
openOrders, err := ex.QueryOpenOrders(ctx, symbol)
if err != nil {
log.WithError(err).Errorf("can not query %s open orders", symbol)
continue
}
openOrderStore := NewOrderStore(symbol)
openOrderStore.Add(openOrders...)
for _, o := range orders {
// if it's not on the order book (open orders), we should remove it from our local side
if !openOrderStore.Exists(o.OrderID) {
b.Remove(o)
} else {
leftOrders = append(leftOrders, o)
}
}
}
orders = leftOrders
}
log.Debugf("[ActiveOrderBook] all %s orders are cancelled successfully in %s", b.Symbol, time.Since(startTime))
return nil
}
func (b *ActiveOrderBook) orderUpdateHandler(order types.Order) {
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hasSymbol := len(b.Symbol) > 0
if hasSymbol && order.Symbol != b.Symbol {
return
}
if !b.orders.Exists(order.OrderID) {
b.pendingOrderUpdates.Add(order)
return
}
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switch order.Status {
case types.OrderStatusFilled:
// make sure we have the order and we remove it
if b.Remove(order) {
b.EmitFilled(order)
}
b.C.Emit()
case types.OrderStatusPartiallyFilled:
b.Update(order)
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case types.OrderStatusNew:
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b.Update(order)
b.C.Emit()
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case types.OrderStatusCanceled, types.OrderStatusRejected:
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if order.Status == types.OrderStatusCanceled {
b.EmitCanceled(order)
}
log.Debugf("[ActiveOrderBook] order is %s, removing order %s", order.Status, order)
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b.Remove(order)
b.C.Emit()
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default:
log.Warnf("unhandled order status: %s", order.Status)
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}
}
func (b *ActiveOrderBook) Print() {
orders := b.orders.Orders()
// sort orders by price
sort.Slice(orders, func(i, j int) bool {
o1 := orders[i]
o2 := orders[j]
return o1.Price.Compare(o2.Price) > 0
})
for _, o := range orders {
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log.Infof("%s", o)
}
}
func (b *ActiveOrderBook) Update(orders ...types.Order) {
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hasSymbol := len(b.Symbol) > 0
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for _, order := range orders {
if hasSymbol && b.Symbol != order.Symbol {
continue
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}
b.orders.Update(order)
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}
}
func (b *ActiveOrderBook) Add(orders ...types.Order) {
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hasSymbol := len(b.Symbol) > 0
for _, order := range orders {
if hasSymbol && b.Symbol != order.Symbol {
continue
}
b.add(order)
}
}
// add the order to the active order book and check the pending order
func (b *ActiveOrderBook) add(order types.Order) {
if pendingOrder, ok := b.pendingOrderUpdates.Get(order.OrderID); ok {
// if the pending order update time is newer than the adding order
// we should use the pending order rather than the adding order.
// if pending order is older, than we should add the new one, and drop the pending order
if pendingOrder.UpdateTime.Time().After(order.UpdateTime.Time()) {
order = pendingOrder
}
b.orders.Add(order)
b.pendingOrderUpdates.Remove(pendingOrder.OrderID)
// when using add(order), it's usually a new maker order on the order book.
// so, when it's not status=new, we should trigger order update handler
if order.Status != types.OrderStatusNew {
// emit the order update handle function to trigger callback
b.orderUpdateHandler(order)
}
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} else {
b.orders.Add(order)
}
}
func (b *ActiveOrderBook) Exists(order types.Order) bool {
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return b.orders.Exists(order.OrderID)
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}
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func (b *ActiveOrderBook) Get(orderID uint64) (types.Order, bool) {
return b.orders.Get(orderID)
}
func (b *ActiveOrderBook) Remove(order types.Order) bool {
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return b.orders.Remove(order.OrderID)
}
func (b *ActiveOrderBook) NumOfOrders() int {
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return b.orders.Len()
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}
func (b *ActiveOrderBook) Orders() types.OrderSlice {
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return b.orders.Orders()
}
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func (b *ActiveOrderBook) Lookup(f func(o types.Order) bool) *types.Order {
return b.orders.Lookup(f)
}