mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-22 06:53:52 +00:00
Merge pull request #1699 from c9s/c9s/refactor-twap
REFACTOR: [twap] upgrade twap command and add optional order update rate limiter
This commit is contained in:
c9s
GitHub
commit
055cfbb3ff
221
pkg/cmd/execute_order.go
Normal file
221
pkg/cmd/execute_order.go
Normal file
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@ -0,0 +1,221 @@
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package cmd
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import (
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"context"
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"fmt"
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"os"
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"os/signal"
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"syscall"
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"time"
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"github.com/pkg/errors"
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"github.com/sirupsen/logrus"
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"github.com/spf13/cobra"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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_ "github.com/c9s/bbgo/pkg/twap"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/util"
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"github.com/c9s/bbgo/pkg/twap/v2"
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)
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func init() {
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executeOrderCmd.Flags().String("session", "", "the exchange session name for sync")
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executeOrderCmd.Flags().String("symbol", "", "the trading pair, like btcusdt")
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executeOrderCmd.Flags().String("side", "", "the trading side: buy or sell")
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executeOrderCmd.Flags().String("target-quantity", "", "target quantity")
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executeOrderCmd.Flags().String("slice-quantity", "", "slice quantity")
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executeOrderCmd.Flags().String("stop-price", "0", "stop price")
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executeOrderCmd.Flags().String("order-update-rate-limit", "1s", "order update rate limit, syntax: 1+1/1m")
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executeOrderCmd.Flags().Duration("update-interval", time.Second*10, "order update time")
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executeOrderCmd.Flags().Duration("delay-interval", time.Second*3, "order delay time after filled")
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executeOrderCmd.Flags().Duration("deadline", 0, "deadline duration of the order execution, e.g. 1h")
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executeOrderCmd.Flags().Int("price-ticks", 0, "the number of price tick for the jump spread, default to 0")
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RootCmd.AddCommand(executeOrderCmd)
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}
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var executeOrderCmd = &cobra.Command{
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Use: "execute-order --session SESSION --symbol SYMBOL --side SIDE --target-quantity TOTAL_QUANTITY --slice-quantity SLICE_QUANTITY",
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Short: "execute buy/sell on the balance/position you have on specific symbol",
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SilenceUsage: true,
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PreRunE: cobraInitRequired([]string{
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"symbol",
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"side",
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"target-quantity",
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"slice-quantity",
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}),
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RunE: func(cmd *cobra.Command, args []string) error {
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ctx := context.Background()
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sessionName, err := cmd.Flags().GetString("session")
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if err != nil {
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return err
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}
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symbol, err := cmd.Flags().GetString("symbol")
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if err != nil {
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return fmt.Errorf("can not get the symbol from flags: %w", err)
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}
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if symbol == "" {
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return fmt.Errorf("symbol not found")
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}
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sideS, err := cmd.Flags().GetString("side")
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if err != nil {
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return fmt.Errorf("can't get side: %w", err)
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}
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side, err := types.StrToSideType(sideS)
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if err != nil {
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return err
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}
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targetQuantityS, err := cmd.Flags().GetString("target-quantity")
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if err != nil {
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return err
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}
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if len(targetQuantityS) == 0 {
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return errors.New("--target-quantity can not be empty")
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}
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targetQuantity, err := fixedpoint.NewFromString(targetQuantityS)
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if err != nil {
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return err
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}
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sliceQuantityS, err := cmd.Flags().GetString("slice-quantity")
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if err != nil {
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return err
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}
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if len(sliceQuantityS) == 0 {
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return errors.New("--slice-quantity can not be empty")
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}
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sliceQuantity, err := fixedpoint.NewFromString(sliceQuantityS)
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if err != nil {
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return err
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}
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numOfPriceTicks, err := cmd.Flags().GetInt("price-ticks")
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if err != nil {
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return err
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}
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stopPriceS, err := cmd.Flags().GetString("stop-price")
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if err != nil {
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return err
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}
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stopPrice, err := fixedpoint.NewFromString(stopPriceS)
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if err != nil {
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return err
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}
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orderUpdateRateLimitStr, err := cmd.Flags().GetString("order-update-rate-limit")
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if err != nil {
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return err
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}
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updateInterval, err := cmd.Flags().GetDuration("update-interval")
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if err != nil {
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return err
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}
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delayInterval, err := cmd.Flags().GetDuration("delay-interval")
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if err != nil {
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return err
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}
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deadlineDuration, err := cmd.Flags().GetDuration("deadline")
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if err != nil {
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return err
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}
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var deadlineTime time.Time
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if deadlineDuration > 0 {
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deadlineTime = time.Now().Add(deadlineDuration)
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}
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environ := bbgo.NewEnvironment()
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if err := environ.ConfigureExchangeSessions(userConfig); err != nil {
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return err
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}
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if err := environ.Init(ctx); err != nil {
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return err
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}
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session, ok := environ.Session(sessionName)
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if !ok {
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return fmt.Errorf("session %s not found", sessionName)
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}
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executionCtx, cancelExecution := context.WithCancel(ctx)
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defer cancelExecution()
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market, ok := session.Market(symbol)
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if !ok {
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return fmt.Errorf("market %s not found", symbol)
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}
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executor := twap.NewFixedQuantityExecutor(session.Exchange, symbol, market, side, targetQuantity, sliceQuantity)
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if updateInterval > 0 {
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executor.SetUpdateInterval(updateInterval)
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}
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if len(orderUpdateRateLimitStr) > 0 {
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rateLimit, err := util.ParseRateLimitSyntax(orderUpdateRateLimitStr)
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if err != nil {
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return err
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}
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executor.SetOrderUpdateRateLimit(rateLimit)
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}
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if delayInterval > 0 {
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executor.SetDelayInterval(delayInterval)
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}
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if stopPrice.Sign() > 0 {
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executor.SetStopPrice(stopPrice)
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}
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// NumOfTicks: numOfPriceTicks,
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if !deadlineTime.IsZero() {
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executor.SetDeadlineTime(deadlineTime)
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}
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if numOfPriceTicks > 0 {
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executor.SetNumOfTicks(numOfPriceTicks)
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}
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if err := executor.Start(executionCtx); err != nil {
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return err
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}
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var sigC = make(chan os.Signal, 1)
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signal.Notify(sigC, syscall.SIGINT, syscall.SIGTERM)
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defer signal.Stop(sigC)
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select {
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case <-ctx.Done():
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case sig := <-sigC:
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logrus.Warnf("signal %v", sig)
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logrus.Infof("shutting down order executor...")
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shutdownCtx, cancelShutdown := context.WithDeadline(ctx, time.Now().Add(10*time.Second))
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executor.Shutdown(shutdownCtx)
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cancelShutdown()
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case <-executor.Done():
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logrus.Infof("the order execution is completed")
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}
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return nil
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},
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}
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@ -3,20 +3,14 @@ package cmd
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import (
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"context"
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"fmt"
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"os"
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"os/signal"
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"strings"
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"syscall"
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"time"
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"github.com/pkg/errors"
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log "github.com/sirupsen/logrus"
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"github.com/spf13/cobra"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/twap"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -146,155 +140,6 @@ var listOrdersCmd = &cobra.Command{
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},
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}
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var executeOrderCmd = &cobra.Command{
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Use: "execute-order --session SESSION --symbol SYMBOL --side SIDE --target-quantity TOTAL_QUANTITY --slice-quantity SLICE_QUANTITY",
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Short: "execute buy/sell on the balance/position you have on specific symbol",
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SilenceUsage: true,
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PreRunE: cobraInitRequired([]string{
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"symbol",
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"side",
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"target-quantity",
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"slice-quantity",
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}),
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RunE: func(cmd *cobra.Command, args []string) error {
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ctx := context.Background()
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sessionName, err := cmd.Flags().GetString("session")
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if err != nil {
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return err
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}
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symbol, err := cmd.Flags().GetString("symbol")
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if err != nil {
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return fmt.Errorf("can not get the symbol from flags: %w", err)
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}
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if symbol == "" {
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return fmt.Errorf("symbol not found")
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}
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sideS, err := cmd.Flags().GetString("side")
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if err != nil {
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return fmt.Errorf("can't get side: %w", err)
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}
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side, err := types.StrToSideType(sideS)
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if err != nil {
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return err
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}
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targetQuantityS, err := cmd.Flags().GetString("target-quantity")
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if err != nil {
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return err
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}
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if len(targetQuantityS) == 0 {
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return errors.New("--target-quantity can not be empty")
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}
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targetQuantity, err := fixedpoint.NewFromString(targetQuantityS)
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if err != nil {
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return err
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}
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sliceQuantityS, err := cmd.Flags().GetString("slice-quantity")
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if err != nil {
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return err
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}
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if len(sliceQuantityS) == 0 {
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return errors.New("--slice-quantity can not be empty")
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}
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sliceQuantity, err := fixedpoint.NewFromString(sliceQuantityS)
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if err != nil {
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return err
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}
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numOfPriceTicks, err := cmd.Flags().GetInt("price-ticks")
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if err != nil {
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return err
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}
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stopPriceS, err := cmd.Flags().GetString("stop-price")
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if err != nil {
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return err
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}
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stopPrice, err := fixedpoint.NewFromString(stopPriceS)
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if err != nil {
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return err
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}
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updateInterval, err := cmd.Flags().GetDuration("update-interval")
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if err != nil {
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return err
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}
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deadlineDuration, err := cmd.Flags().GetDuration("deadline")
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if err != nil {
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return err
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}
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var deadlineTime time.Time
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if deadlineDuration > 0 {
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deadlineTime = time.Now().Add(deadlineDuration)
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}
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environ := bbgo.NewEnvironment()
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if err := environ.ConfigureExchangeSessions(userConfig); err != nil {
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return err
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}
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if err := environ.Init(ctx); err != nil {
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return err
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}
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session, ok := environ.Session(sessionName)
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if !ok {
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return fmt.Errorf("session %s not found", sessionName)
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}
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executionCtx, cancelExecution := context.WithCancel(ctx)
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defer cancelExecution()
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execution := &twap.StreamExecutor{
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Session: session,
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Symbol: symbol,
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Side: side,
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TargetQuantity: targetQuantity,
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SliceQuantity: sliceQuantity,
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StopPrice: stopPrice,
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NumOfTicks: numOfPriceTicks,
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UpdateInterval: updateInterval,
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DeadlineTime: deadlineTime,
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}
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if err := execution.Run(executionCtx); err != nil {
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return err
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}
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var sigC = make(chan os.Signal, 1)
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signal.Notify(sigC, syscall.SIGINT, syscall.SIGTERM)
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defer signal.Stop(sigC)
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select {
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case sig := <-sigC:
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log.Warnf("signal %v", sig)
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log.Infof("shutting down order executor...")
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shutdownCtx, cancelShutdown := context.WithDeadline(ctx, time.Now().Add(10*time.Second))
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execution.Shutdown(shutdownCtx)
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cancelShutdown()
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case <-execution.Done():
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log.Infof("the order execution is completed")
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case <-ctx.Done():
|
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|
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}
|
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|
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return nil
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},
|
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}
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// go run ./cmd/bbgo submit-order --session=ftx --symbol=BTCUSDT --side=buy --price=18000 --quantity=0.001
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var submitOrderCmd = &cobra.Command{
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Use: "submit-order --session SESSION --symbol SYMBOL --side SIDE --quantity QUANTITY [--price PRICE]",
|
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|
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@ -414,18 +259,7 @@ func init() {
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submitOrderCmd.Flags().Bool("market", false, "submit order as a market order")
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submitOrderCmd.Flags().String("margin-side-effect", "", "margin order side effect")
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|
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executeOrderCmd.Flags().String("session", "", "the exchange session name for sync")
|
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executeOrderCmd.Flags().String("symbol", "", "the trading pair, like btcusdt")
|
||||
executeOrderCmd.Flags().String("side", "", "the trading side: buy or sell")
|
||||
executeOrderCmd.Flags().String("target-quantity", "", "target quantity")
|
||||
executeOrderCmd.Flags().String("slice-quantity", "", "slice quantity")
|
||||
executeOrderCmd.Flags().String("stop-price", "0", "stop price")
|
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executeOrderCmd.Flags().Duration("update-interval", time.Second*10, "order update time")
|
||||
executeOrderCmd.Flags().Duration("deadline", 0, "deadline of the order execution")
|
||||
executeOrderCmd.Flags().Int("price-ticks", 0, "the number of price tick for the jump spread, default to 0")
|
||||
|
||||
RootCmd.AddCommand(listOrdersCmd)
|
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RootCmd.AddCommand(getOrderCmd)
|
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RootCmd.AddCommand(submitOrderCmd)
|
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RootCmd.AddCommand(executeOrderCmd)
|
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}
|
||||
|
|
|
|||
|
|
@ -21,7 +21,7 @@ func NewBboMonitor() *BboMonitor {
|
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return &BboMonitor{}
|
||||
}
|
||||
|
||||
func (m *BboMonitor) OnUpdateFromBook(book *types.StreamOrderBook) bool {
|
||||
func (m *BboMonitor) UpdateFromBook(book *types.StreamOrderBook) bool {
|
||||
bestBid, ok1 := book.BestBid()
|
||||
bestAsk, ok2 := book.BestAsk()
|
||||
if !ok1 || !ok2 {
|
||||
|
|
|
|||
39
pkg/twap/v2/done.go
Normal file
39
pkg/twap/v2/done.go
Normal file
|
|
@ -0,0 +1,39 @@
|
|||
package twap
|
||||
|
||||
import "sync"
|
||||
|
||||
type DoneSignal struct {
|
||||
doneC chan struct{}
|
||||
mu sync.Mutex
|
||||
}
|
||||
|
||||
func NewDoneSignal() *DoneSignal {
|
||||
return &DoneSignal{
|
||||
doneC: make(chan struct{}),
|
||||
}
|
||||
}
|
||||
|
||||
func (e *DoneSignal) Emit() {
|
||||
e.mu.Lock()
|
||||
if e.doneC == nil {
|
||||
e.doneC = make(chan struct{})
|
||||
}
|
||||
|
||||
close(e.doneC)
|
||||
e.mu.Unlock()
|
||||
}
|
||||
|
||||
// Chan returns a channel that emits a signal when the execution is done.
|
||||
func (e *DoneSignal) Chan() (c <-chan struct{}) {
|
||||
// if the channel is not allocated, it means it's not started yet, we need to return a closed channel
|
||||
e.mu.Lock()
|
||||
if e.doneC == nil {
|
||||
e.doneC = make(chan struct{})
|
||||
c = e.doneC
|
||||
} else {
|
||||
c = e.doneC
|
||||
}
|
||||
e.mu.Unlock()
|
||||
|
||||
return c
|
||||
}
|
||||
|
|
@ -8,6 +8,7 @@ import (
|
|||
"time"
|
||||
|
||||
"github.com/sirupsen/logrus"
|
||||
"golang.org/x/time/rate"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/bbgo"
|
||||
"github.com/c9s/bbgo/pkg/core"
|
||||
|
|
@ -17,42 +18,6 @@ import (
|
|||
|
||||
var defaultUpdateInterval = time.Minute
|
||||
|
||||
type DoneSignal struct {
|
||||
doneC chan struct{}
|
||||
mu sync.Mutex
|
||||
}
|
||||
|
||||
func NewDoneSignal() *DoneSignal {
|
||||
return &DoneSignal{
|
||||
doneC: make(chan struct{}),
|
||||
}
|
||||
}
|
||||
|
||||
func (e *DoneSignal) Emit() {
|
||||
e.mu.Lock()
|
||||
if e.doneC == nil {
|
||||
e.doneC = make(chan struct{})
|
||||
}
|
||||
|
||||
close(e.doneC)
|
||||
e.mu.Unlock()
|
||||
}
|
||||
|
||||
// Chan returns a channel that emits a signal when the execution is done.
|
||||
func (e *DoneSignal) Chan() (c <-chan struct{}) {
|
||||
// if the channel is not allocated, it means it's not started yet, we need to return a closed channel
|
||||
e.mu.Lock()
|
||||
if e.doneC == nil {
|
||||
e.doneC = make(chan struct{})
|
||||
c = e.doneC
|
||||
} else {
|
||||
c = e.doneC
|
||||
}
|
||||
e.mu.Unlock()
|
||||
|
||||
return c
|
||||
}
|
||||
|
||||
// FixedQuantityExecutor is a TWAP executor that places orders on the exchange using the exchange's stream API.
|
||||
// It uses a fixed target quantity to place orders.
|
||||
type FixedQuantityExecutor struct {
|
||||
|
|
@ -94,10 +59,11 @@ type FixedQuantityExecutor struct {
|
|||
|
||||
userDataStream types.Stream
|
||||
|
||||
activeMakerOrders *bbgo.ActiveOrderBook
|
||||
orderStore *core.OrderStore
|
||||
position *types.Position
|
||||
tradeCollector *core.TradeCollector
|
||||
orderUpdateRateLimit *rate.Limiter
|
||||
activeMakerOrders *bbgo.ActiveOrderBook
|
||||
orderStore *core.OrderStore
|
||||
position *types.Position
|
||||
tradeCollector *core.TradeCollector
|
||||
|
||||
logger logrus.FieldLogger
|
||||
|
||||
|
|
@ -108,7 +74,7 @@ type FixedQuantityExecutor struct {
|
|||
done *DoneSignal
|
||||
}
|
||||
|
||||
func NewStreamExecutor(
|
||||
func NewFixedQuantityExecutor(
|
||||
exchange types.Exchange,
|
||||
symbol string,
|
||||
market types.Market,
|
||||
|
|
@ -197,6 +163,14 @@ func (e *FixedQuantityExecutor) SetUpdateInterval(updateInterval time.Duration)
|
|||
e.updateInterval = updateInterval
|
||||
}
|
||||
|
||||
func (e *FixedQuantityExecutor) SetNumOfTicks(numOfTicks int) {
|
||||
e.numOfTicks = numOfTicks
|
||||
}
|
||||
|
||||
func (e *FixedQuantityExecutor) SetStopPrice(price fixedpoint.Value) {
|
||||
e.stopPrice = price
|
||||
}
|
||||
|
||||
func (e *FixedQuantityExecutor) connectMarketData(ctx context.Context) {
|
||||
e.logger.Infof("connecting market data stream...")
|
||||
if err := e.marketDataStream.Connect(ctx); err != nil {
|
||||
|
|
@ -234,6 +208,10 @@ func (e *FixedQuantityExecutor) cancelContextIfTargetQuantityFilled() bool {
|
|||
return false
|
||||
}
|
||||
|
||||
func (e *FixedQuantityExecutor) SetOrderUpdateRateLimit(rateLimit *rate.Limiter) {
|
||||
e.orderUpdateRateLimit = rateLimit
|
||||
}
|
||||
|
||||
func (e *FixedQuantityExecutor) cancelActiveOrders(ctx context.Context) error {
|
||||
gracefulCtx, gracefulCancel := context.WithTimeout(ctx, 30*time.Second)
|
||||
defer gracefulCancel()
|
||||
|
|
@ -241,8 +219,6 @@ func (e *FixedQuantityExecutor) cancelActiveOrders(ctx context.Context) error {
|
|||
}
|
||||
|
||||
func (e *FixedQuantityExecutor) orderUpdater(ctx context.Context) {
|
||||
// updateLimiter := rate.NewLimiter(rate.Every(3*time.Second), 2)
|
||||
|
||||
defer func() {
|
||||
if err := e.cancelActiveOrders(ctx); err != nil {
|
||||
e.logger.WithError(err).Error("cancel active orders error")
|
||||
|
|
@ -263,18 +239,12 @@ func (e *FixedQuantityExecutor) orderUpdater(ctx context.Context) {
|
|||
return
|
||||
|
||||
case <-e.orderBook.C:
|
||||
changed := monitor.OnUpdateFromBook(e.orderBook)
|
||||
changed := monitor.UpdateFromBook(e.orderBook)
|
||||
if !changed {
|
||||
continue
|
||||
}
|
||||
|
||||
// orderBook.C sends a signal when any price or quantity changes in the order book
|
||||
/*
|
||||
if !updateLimiter.Allow() {
|
||||
break
|
||||
}
|
||||
*/
|
||||
|
||||
if e.cancelContextIfTargetQuantityFilled() {
|
||||
return
|
||||
}
|
||||
|
|
@ -286,17 +256,11 @@ func (e *FixedQuantityExecutor) orderUpdater(ctx context.Context) {
|
|||
}
|
||||
|
||||
case <-ticker.C:
|
||||
changed := monitor.OnUpdateFromBook(e.orderBook)
|
||||
changed := monitor.UpdateFromBook(e.orderBook)
|
||||
if !changed {
|
||||
continue
|
||||
}
|
||||
|
||||
/*
|
||||
if !updateLimiter.Allow() {
|
||||
break
|
||||
}
|
||||
*/
|
||||
|
||||
if e.cancelContextIfTargetQuantityFilled() {
|
||||
return
|
||||
}
|
||||
|
|
@ -309,6 +273,11 @@ func (e *FixedQuantityExecutor) orderUpdater(ctx context.Context) {
|
|||
}
|
||||
|
||||
func (e *FixedQuantityExecutor) updateOrder(ctx context.Context) error {
|
||||
if e.orderUpdateRateLimit != nil && !e.orderUpdateRateLimit.Allow() {
|
||||
e.logger.Infof("rate limit exceeded, skip updating order")
|
||||
return nil
|
||||
}
|
||||
|
||||
book := e.orderBook.Copy()
|
||||
sideBook := book.SideBook(e.side)
|
||||
|
||||
|
|
@ -350,24 +319,28 @@ func (e *FixedQuantityExecutor) updateOrder(ctx context.Context) error {
|
|||
// DO NOT UPDATE IF:
|
||||
// tickSpread > 0 AND current order price == second price + tickSpread
|
||||
// current order price == first price
|
||||
logrus.Infof("orderPrice = %s first.Price = %s second.Price = %s tickSpread = %s", orderPrice.String(), first.Price.String(), second.Price.String(), tickSpread.String())
|
||||
logrus.Infof("orderPrice = %s, best price = %s, second level price = %s, tickSpread = %s",
|
||||
orderPrice.String(),
|
||||
first.Price.String(),
|
||||
second.Price.String(),
|
||||
tickSpread.String())
|
||||
|
||||
switch e.side {
|
||||
case types.SideTypeBuy:
|
||||
if tickSpread.Sign() > 0 && orderPrice == second.Price.Add(tickSpread) {
|
||||
logrus.Infof("the current order is already on the best ask price %s", orderPrice.String())
|
||||
if tickSpread.Sign() > 0 && orderPrice.Compare(second.Price.Add(tickSpread)) == 0 {
|
||||
e.logger.Infof("the current order is already on the best ask price %s, skip update", orderPrice.String())
|
||||
return nil
|
||||
} else if orderPrice == first.Price {
|
||||
logrus.Infof("the current order is already on the best bid price %s", orderPrice.String())
|
||||
e.logger.Infof("the current order is already on the best bid price %s, skip update", orderPrice.String())
|
||||
return nil
|
||||
}
|
||||
|
||||
case types.SideTypeSell:
|
||||
if tickSpread.Sign() > 0 && orderPrice == second.Price.Sub(tickSpread) {
|
||||
logrus.Infof("the current order is already on the best ask price %s", orderPrice.String())
|
||||
if tickSpread.Sign() > 0 && orderPrice.Compare(second.Price.Sub(tickSpread)) == 0 {
|
||||
e.logger.Infof("the current order is already on the best ask price %s, skip update", orderPrice.String())
|
||||
return nil
|
||||
} else if orderPrice == first.Price {
|
||||
logrus.Infof("the current order is already on the best ask price %s", orderPrice.String())
|
||||
e.logger.Infof("the current order is already on the best ask price %s, skip update", orderPrice.String())
|
||||
return nil
|
||||
}
|
||||
}
|
||||
|
|
@ -379,6 +352,10 @@ func (e *FixedQuantityExecutor) updateOrder(ctx context.Context) error {
|
|||
|
||||
e.tradeCollector.Process()
|
||||
|
||||
if e.delayInterval > 0 {
|
||||
time.Sleep(e.delayInterval)
|
||||
}
|
||||
|
||||
orderForm, err := e.generateOrder()
|
||||
if err != nil {
|
||||
return err
|
||||
|
|
@ -386,7 +363,11 @@ func (e *FixedQuantityExecutor) updateOrder(ctx context.Context) error {
|
|||
return nil
|
||||
}
|
||||
|
||||
createdOrder, err := e.exchange.SubmitOrder(ctx, *orderForm)
|
||||
return e.submitOrder(ctx, *orderForm)
|
||||
}
|
||||
|
||||
func (e *FixedQuantityExecutor) submitOrder(ctx context.Context, orderForm types.SubmitOrder) error {
|
||||
createdOrder, err := e.exchange.SubmitOrder(ctx, orderForm)
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
|
@ -603,6 +584,8 @@ func (e *FixedQuantityExecutor) Done() <-chan struct{} {
|
|||
// 1. Stop the order updater (by using the execution context)
|
||||
// 2. The order updater cancels all open orders and closes the user data stream
|
||||
func (e *FixedQuantityExecutor) Shutdown(shutdownCtx context.Context) {
|
||||
e.tradeCollector.Process()
|
||||
|
||||
e.mu.Lock()
|
||||
if e.cancelExecution != nil {
|
||||
e.cancelExecution()
|
||||
|
|
|
|||
|
|
@ -170,7 +170,7 @@ func TestNewStreamExecutor(t *testing.T) {
|
|||
}
|
||||
mockEx.EXPECT().SubmitOrder(gomock.AssignableToTypeOf(ctx), firstSubmitOrder).Return(&firstOrder, nil)
|
||||
|
||||
executor := NewStreamExecutor(mockEx, symbol, market, types.SideTypeBuy, targetQuantity, sliceQuantity)
|
||||
executor := NewFixedQuantityExecutor(mockEx, symbol, market, types.SideTypeBuy, targetQuantity, sliceQuantity)
|
||||
executor.SetUpdateInterval(200 * time.Millisecond)
|
||||
|
||||
go func() {
|
||||
|
|
|
|||
|
|
@ -4,6 +4,7 @@ import (
|
|||
"fmt"
|
||||
"time"
|
||||
|
||||
log "github.com/sirupsen/logrus"
|
||||
"golang.org/x/time/rate"
|
||||
)
|
||||
|
||||
|
|
@ -17,3 +18,41 @@ func NewValidLimiter(r rate.Limit, b int) (*rate.Limiter, error) {
|
|||
}
|
||||
return rate.NewLimiter(r, b), nil
|
||||
}
|
||||
|
||||
// ParseRateLimitSyntax parses the rate limit syntax into the rate.Limiter parameters
|
||||
// sample inputs:
|
||||
//
|
||||
// 2+1/5s (2 initial tokens, 1 token per 5 seconds)
|
||||
// 5+3/1m (5 initial tokens, 3 tokens per minute)
|
||||
// 3m (3 tokens per minute)
|
||||
// 1/3m (1 token per 3 minutes)
|
||||
func ParseRateLimitSyntax(desc string) (*rate.Limiter, error) {
|
||||
var b = 0
|
||||
var r = 1.0
|
||||
var durStr string
|
||||
var duration time.Duration
|
||||
|
||||
_, err := fmt.Sscanf(desc, "%d+%f/%s", &b, &r, &durStr)
|
||||
if err != nil {
|
||||
b = 0
|
||||
r = 1.0
|
||||
_, err = fmt.Sscanf(desc, "%f/%s", &r, &durStr)
|
||||
if err != nil {
|
||||
durStr = desc
|
||||
// need to reset
|
||||
b = 1
|
||||
r = 1.0
|
||||
}
|
||||
}
|
||||
|
||||
duration, err = time.ParseDuration(durStr)
|
||||
if err != nil {
|
||||
return nil, fmt.Errorf("invalid rate limit syntax: b+n/duration, err: %v", err)
|
||||
}
|
||||
if r == 1.0 {
|
||||
return NewValidLimiter(rate.Every(duration), b)
|
||||
}
|
||||
|
||||
log.Infof("%v %v", duration, r)
|
||||
return NewValidLimiter(rate.Every(time.Duration(float64(duration)/r)), b)
|
||||
}
|
||||
|
|
|
|||
|
|
@ -41,3 +41,32 @@ func TestShouldDelay(t *testing.T) {
|
|||
assert.True(t, ShouldDelay(limiter, minInterval) > 0)
|
||||
}
|
||||
}
|
||||
|
||||
func TestParseRateLimitSyntax(t *testing.T) {
|
||||
var tests = []struct {
|
||||
desc string
|
||||
expectedBurst int
|
||||
expectedRate float64
|
||||
|
||||
wantErr bool
|
||||
}{
|
||||
{"2+1/5s", 2, 1.0 / 5.0, false},
|
||||
{"5+1/3m", 5, 1 / 3 * 60.0, false},
|
||||
{"1m", 1, 1.0 / 60.0, false},
|
||||
}
|
||||
for _, test := range tests {
|
||||
t.Run(test.desc, func(t *testing.T) {
|
||||
limiter, err := ParseRateLimitSyntax(test.desc)
|
||||
if test.wantErr {
|
||||
assert.Error(t, err)
|
||||
} else if assert.NoError(t, err) {
|
||||
assert.NotNil(t, limiter)
|
||||
burst := limiter.Burst()
|
||||
assert.Equal(t, test.expectedBurst, burst)
|
||||
|
||||
limit := limiter.Limit()
|
||||
assert.InDeltaf(t, test.expectedRate, float64(limit), 0.01, "expected rate %f, got %f", test.expectedRate, limit)
|
||||
}
|
||||
})
|
||||
}
|
||||
}
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user