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FIX: recover even though inital order id is 0

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This commit is contained in:
chiahung 2023-04-06 11:36:32 +08:00
parent f54fe28142
commit 00352b2a0d
1 changed files with 36 additions and 11 deletions
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47
pkg/strategy/grid2/strategy.go
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@ -2,6 +2,7 @@ package grid2
import (
"context"
"encoding/json"
"fmt"
"math"
"sort"
@ -825,6 +826,7 @@ func (s *Strategy) newOrderUpdateHandler(ctx context.Context, session *bbgo.Exch
s.handleOrderFilled(o)
// sync the profits to redis
s.debugGridProfitStats("OrderUpdate")
bbgo.Sync(ctx, s)
s.updateGridNumOfOrdersMetricsWithLock()
@ -944,6 +946,7 @@ func (s *Strategy) CloseGrid(ctx context.Context) error {
defer s.EmitGridClosed()
s.debugGridProfitStats("CloseGrid")
bbgo.Sync(ctx, s)
// now we can cancel the open orders
@ -1082,6 +1085,7 @@ func (s *Strategy) openGrid(ctx context.Context, session *bbgo.ExchangeSession)
if len(orderIds) > 0 {
s.GridProfitStats.InitialOrderID = orderIds[0]
s.debugGridProfitStats("openGrid")
bbgo.Sync(ctx, s)
}
@ -1212,6 +1216,23 @@ func (s *Strategy) debugOrders(desc string, orders []types.Order) {
s.logger.Infof(sb.String())
}
func (s *Strategy) debugGridProfitStats(where string) {
if !s.Debug {
return
}
stats := *s.GridProfitStats
// ProfitEntries may have too many profits, make it nil to readable
stats.ProfitEntries = nil
b, err := json.Marshal(stats)
if err != nil {
s.logger.WithError(err).Errorf("[%s] failed to debug grid profit stats", where)
return
}
s.logger.Infof("[%s] grid profit stats: %s", where, string(b))
}
func (s *Strategy) debugLog(format string, args ...interface{}) {
if !s.Debug {
return
@ -1441,10 +1462,12 @@ func (s *Strategy) recoverGridWithOpenOrdersByScanningTrades(ctx context.Context
s.debugOrders("emit filled orders", filledOrders)
// 5. emit the filled orders
activeOrderBook := s.orderExecutor.ActiveMakerOrders()
for _, filledOrder := range filledOrders {
activeOrderBook.EmitFilled(filledOrder)
}
/*
activeOrderBook := s.orderExecutor.ActiveMakerOrders()
for _, filledOrder := range filledOrders {
activeOrderBook.EmitFilled(filledOrder)
}
*/
// 6. emit grid ready
s.EmitGridReady()
@ -2032,6 +2055,7 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
s.GridProfitStats.AddTrade(trade)
})
orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
s.debugGridProfitStats("OnPositionUpdate")
bbgo.Sync(ctx, s)
})
orderExecutor.ActiveMakerOrders().OnFilled(s.newOrderUpdateHandler(ctx, session))
@ -2132,6 +2156,7 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
}
func (s *Strategy) startProcess(ctx context.Context, session *bbgo.ExchangeSession) {
s.debugGridProfitStats("startProcess")
if s.RecoverOrdersWhenStart {
// do recover only when triggerPrice is not set and not in the back-test mode
s.logger.Infof("recoverWhenStart is set, trying to recover grid orders...")
@ -2187,19 +2212,12 @@ func (s *Strategy) recoverGridByScanningOrders(ctx context.Context, session *bbg
}
func (s *Strategy) recoverGridByScanningTrades(ctx context.Context, session *bbgo.ExchangeSession) error {
// no initial order id means we don't need to recover
if s.GridProfitStats.InitialOrderID == 0 {
s.logger.Debug("new strategy, no need to recover")
return nil
}
openOrders, err := session.Exchange.QueryOpenOrders(ctx, s.Symbol)
if err != nil {
return err
}
s.logger.Infof("found %d open orders left on the %s order book", len(openOrders), s.Symbol)
s.debugLog("recover grid with group id: %d", s.OrderGroupID)
// filter out the order with the group id belongs to this grid
var openOrdersOnGrid []types.Order
@ -2211,6 +2229,13 @@ func (s *Strategy) recoverGridByScanningTrades(ctx context.Context, session *bbg
s.logger.Infof("found %d open orders belong to this grid on the %s order book", len(openOrdersOnGrid), s.Symbol)
// no initial order id means we don't need to recover
// 3/31 updated : Find there may be 0 initial order id when the strategy is not strategy, so we need to add more checking on it.
if s.GridProfitStats.InitialOrderID == 0 && len(openOrdersOnGrid) == 0 {
s.debugLog("new strategy, no need to recover")
return nil
}
historyService, implemented := session.Exchange.(types.ExchangeTradeHistoryService)
if !implemented {
s.logger.Warn("ExchangeTradeHistoryService is not implemented, can not recover grid")