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grid2: improve UseCancelAllOrdersApiWhenClose process

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c9s 2023-03-01 16:35:09 +08:00
parent f82af6e6dd
commit 06eff47058
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GPG Key ID: 7385E7E464CB0A54
2 changed files with 48 additions and 31 deletions
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6
pkg/exchange/max/convert.go
View File

@ -100,7 +100,7 @@ func toGlobalOrderStatus(orderState max.OrderState, executedVolume, remainingVol
}
log.Errorf("unknown order status: %v", orderState)
log.Errorf("can not convert MAX exchange order status, unknown order state: %q", orderState)
return types.OrderStatus(orderState)
}
@ -157,9 +157,9 @@ func toGlobalOrders(maxOrders []max.Order) (orders []types.Order, err error) {
o, err := toGlobalOrder(localOrder)
if err != nil {
log.WithError(err).Error("order convert error")
} else {
orders = append(orders, *o)
}
orders = append(orders, *o)
}
return orders, err

73
pkg/strategy/grid2/strategy.go
View File

@ -61,8 +61,9 @@ type OrderExecutor interface {
}
type advancedOrderCancelApi interface {
CancelAllOrders(ctx context.Context) ([]types.Order, error)
CancelOrdersBySymbol(ctx context.Context, symbol string) ([]types.Order, error)
CancelOrdersByGroupID(ctx context.Context, groupID int64) ([]types.Order, error)
CancelOrdersByGroupID(ctx context.Context, groupID uint32) ([]types.Order, error)
}
//go:generate callbackgen -type Strategy
@ -827,41 +828,57 @@ func (s *Strategy) CloseGrid(ctx context.Context) error {
// now we can cancel the open orders
s.logger.Infof("canceling grid orders...")
service, support := s.session.Exchange.(advancedOrderCancelApi)
if s.UseCancelAllOrdersApiWhenClose && !support {
s.logger.Warnf("advancedOrderCancelApi interface is not implemented, fallback to default graceful cancel, exchange %T", s.session.Exchange)
s.UseCancelAllOrdersApiWhenClose = false
}
if s.UseCancelAllOrdersApiWhenClose {
s.logger.Infof("useCancelAllOrdersApiWhenClose is set, using advanced order cancel api for canceling...")
if service, ok := s.session.Exchange.(advancedOrderCancelApi); ok {
if s.OrderGroupID > 0 {
s.logger.Infof("found OrderGroupID (%d), using group ID for canceling orders...", s.OrderGroupID)
op := func() error {
_, cancelErr := service.CancelOrdersByGroupID(ctx, int64(s.OrderGroupID))
return cancelErr
}
err := backoff.Retry(op, backoff.WithMaxRetries(backoff.NewExponentialBackOff(), 101))
if err != nil {
werr = multierr.Append(werr, err)
}
if s.OrderGroupID > 0 {
s.logger.Infof("found OrderGroupID (%d), using group ID for canceling orders...", s.OrderGroupID)
op := func() error {
_, cancelErr := service.CancelOrdersByGroupID(ctx, s.OrderGroupID)
return cancelErr
}
time.Sleep(5 * time.Second)
s.logger.Infof("checking %s open orders...", s.Symbol)
openOrders, err := s.session.Exchange.QueryOpenOrders(ctx, s.Symbol)
err := backoff.Retry(op, backoff.WithMaxRetries(backoff.NewExponentialBackOff(), 101))
if err != nil {
return err
werr = multierr.Append(werr, err)
}
} else {
s.logger.Infof("canceling all orders...")
op := func() error {
_, cancelErr := service.CancelAllOrders(ctx)
return cancelErr
}
err := backoff.Retry(op, backoff.WithMaxRetries(backoff.NewExponentialBackOff(), 101))
if err != nil {
werr = multierr.Append(werr, err)
}
}
if len(openOrders) > 0 {
s.logger.Infof("found %d open orders left, using cancel all orders api", len(openOrders))
time.Sleep(5 * time.Second)
op := func() error {
_, cancelErr := service.CancelOrdersBySymbol(ctx, s.Symbol)
return cancelErr
}
if err2 := backoff.Retry(op, backoff.WithMaxRetries(backoff.NewExponentialBackOff(), 101)); err2 != nil {
werr = multierr.Append(werr, err2)
}
s.logger.Infof("checking %s open orders...", s.Symbol)
openOrders, err := s.session.Exchange.QueryOpenOrders(ctx, s.Symbol)
if err != nil {
return err
}
if len(openOrders) > 0 {
s.logger.Infof("found %d open orders left, using cancel all orders api", len(openOrders))
op := func() error {
_, cancelErr := service.CancelOrdersBySymbol(ctx, s.Symbol)
return cancelErr
}
if err2 := backoff.Retry(op, backoff.WithMaxRetries(backoff.NewExponentialBackOff(), 101)); err2 != nil {
werr = multierr.Append(werr, err2)
}
}
} else {