bbgo_origin/pkg/core/tradestore.go

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package core
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import (
"sync"
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"time"
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"github.com/c9s/bbgo/pkg/types"
)
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const TradeExpiryTime = 24 * time.Hour
const PruneTriggerNumOfTrades = 10_000
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type TradeStore struct {
// any created trades for tracking trades
sync.Mutex
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EnablePrune bool
trades map[uint64]types.Trade
lastTradeTime time.Time
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}
func NewTradeStore() *TradeStore {
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return &TradeStore{
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trades: make(map[uint64]types.Trade),
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}
}
func (s *TradeStore) Num() (num int) {
s.Lock()
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num = len(s.trades)
s.Unlock()
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return num
}
func (s *TradeStore) Trades() (trades []types.Trade) {
s.Lock()
defer s.Unlock()
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for _, o := range s.trades {
trades = append(trades, o)
}
return trades
}
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func (s *TradeStore) Exists(oID uint64) (ok bool) {
s.Lock()
defer s.Unlock()
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_, ok = s.trades[oID]
return ok
}
func (s *TradeStore) Clear() {
s.Lock()
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s.trades = make(map[uint64]types.Trade)
s.Unlock()
}
type TradeFilter func(trade types.Trade) bool
func (s *TradeStore) Filter(filter TradeFilter) {
s.Lock()
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var trades = make(map[uint64]types.Trade)
for _, trade := range s.trades {
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if !filter(trade) {
trades[trade.ID] = trade
}
}
s.trades = trades
s.Unlock()
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}
func (s *TradeStore) GetOrderTrades(o types.Order) (trades []types.Trade) {
s.Lock()
for _, t := range s.trades {
if t.OrderID == o.OrderID {
trades = append(trades, t)
}
}
s.Unlock()
return trades
}
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func (s *TradeStore) GetAndClear() (trades []types.Trade) {
s.Lock()
for _, t := range s.trades {
trades = append(trades, t)
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}
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s.trades = make(map[uint64]types.Trade)
s.Unlock()
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return trades
}
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func (s *TradeStore) Add(trades ...types.Trade) {
s.Lock()
defer s.Unlock()
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for _, trade := range trades {
s.trades[trade.ID] = trade
s.touchLastTradeTime(trade)
}
}
func (s *TradeStore) touchLastTradeTime(trade types.Trade) {
if trade.Time.Time().After(s.lastTradeTime) {
s.lastTradeTime = trade.Time.Time()
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}
}
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// pruneExpiredTrades prunes trades that are older than the expiry time
// see TradeExpiryTime
func (s *TradeStore) pruneExpiredTrades(curTime time.Time) {
s.Lock()
defer s.Unlock()
var trades = make(map[uint64]types.Trade)
var cutOffTime = curTime.Add(-TradeExpiryTime)
for _, trade := range s.trades {
if trade.Time.Before(cutOffTime) {
continue
}
trades[trade.ID] = trade
}
s.trades = trades
}
func (s *TradeStore) Prune(curTime time.Time) {
s.pruneExpiredTrades(curTime)
}
func (s *TradeStore) isCoolTrade(trade types.Trade) bool {
// if the time of last trade is over 1 hour, we call it's cool trade
return s.lastTradeTime != (time.Time{}) && time.Time(trade.Time).Sub(s.lastTradeTime) > time.Hour
}
func (s *TradeStore) BindStream(stream types.Stream) {
stream.OnTradeUpdate(func(trade types.Trade) {
s.Add(trade)
})
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if s.EnablePrune {
stream.OnTradeUpdate(func(trade types.Trade) {
if s.isCoolTrade(trade) {
s.Prune(time.Time(trade.Time))
}
})
}
}