Merge pull request #1796 from c9s/c9s/liqmaker/metrics-and-tests

IMPROVE: [liqmaker] improve interval checking and tickers

pkg/bbgo/order_executor_general.go

@@ -14,8 +14,8 @@ import (
 	"github.com/c9s/bbgo/pkg/exchange/retry"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
-	"github.com/c9s/bbgo/pkg/util"
 	"github.com/c9s/bbgo/pkg/util/backoff"
+	"github.com/c9s/bbgo/pkg/util/timejitter"
 )
 
 var ErrExceededSubmitOrderRetryLimit = errors.New("exceeded submit order retry limit")
@@ -146,7 +146,7 @@ func (e *GeneralOrderExecutor) updateMarginAssetMaxBorrowable(
 func (e *GeneralOrderExecutor) marginAssetMaxBorrowableUpdater(
 	ctx context.Context, interval time.Duration, marginService types.MarginBorrowRepayService, market types.Market,
 ) {
-	t := time.NewTicker(util.MillisecondsJitter(interval, 500))
+	t := time.NewTicker(timejitter.Milliseconds(interval, 500))
 	defer t.Stop()
 
 	e.updateMarginAssetMaxBorrowable(ctx, marginService, market)

pkg/strategy/dca2/sync.go

@@ -7,7 +7,7 @@ import (
 	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/exchange/retry"
 	"github.com/c9s/bbgo/pkg/strategy/common"
-	"github.com/c9s/bbgo/pkg/util"
+	"github.com/c9s/bbgo/pkg/util/timejitter"
 )
 
 func (s *Strategy) syncPeriodically(ctx context.Context) {
@@ -18,7 +18,7 @@ func (s *Strategy) syncPeriodically(ctx context.Context) {
 	defer syncPersistenceTicker.Stop()
 
 	// sync active orders
-	syncActiveOrdersTicker := time.NewTicker(util.MillisecondsJitter(10*time.Minute, 5*60*1000))
+	syncActiveOrdersTicker := time.NewTicker(timejitter.Milliseconds(10*time.Minute, 5*60*1000))
 	defer syncActiveOrdersTicker.Stop()
 
 	for {

pkg/strategy/grid2/recover.go

@@ -14,7 +14,7 @@ import (
 	"github.com/c9s/bbgo/pkg/exchange/retry"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
-	"github.com/c9s/bbgo/pkg/util"
+	"github.com/c9s/bbgo/pkg/util/timejitter"
 )
 
 var syncWindow = -3 * time.Minute
@@ -48,7 +48,7 @@ func (s *Strategy) recoverPeriodically(ctx context.Context) {
 		return
 	}
 
-	interval := util.MillisecondsJitter(25*time.Minute, 10*60*1000)
+	interval := timejitter.Milliseconds(25*time.Minute, 10*60*1000)
 	s.logger.Infof("[Recover] interval: %s", interval)
 	ticker := time.NewTicker(interval)
 	defer ticker.Stop()

pkg/strategy/liquiditymaker/strategy.go

@@ -4,6 +4,7 @@ import (
 	"context"
 	"fmt"
 	"sync"
+	"time"
 
 	"github.com/prometheus/client_golang/prometheus"
 	log "github.com/sirupsen/logrus"
@@ -135,6 +136,22 @@ func (s *Strategy) Defaults() error {
 	return nil
 }
 
+func (s *Strategy) liquidityWorker(ctx context.Context, interval types.Interval) {
+	ticker := time.NewTicker(interval.Duration())
+	defer ticker.Stop()
+
+	s.placeLiquidityOrders(ctx)
+	for {
+		select {
+		case <-ctx.Done():
+			return
+
+		case <-ticker.C:
+			s.placeLiquidityOrders(ctx)
+		}
+	}
+}
+
 func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
 	if s.ProfitFixerBundle.ProfitFixerConfig != nil {
 		market, _ := session.Market(s.Symbol)
@@ -182,20 +199,29 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
 		return err
 	}
 
-	session.UserDataStream.OnStart(func() {
-		s.placeLiquidityOrders(ctx)
-	})
-
 	session.MarketDataStream.OnKLineClosed(func(k types.KLine) {
 		if k.Interval == s.AdjustmentUpdateInterval {
 			s.placeAdjustmentOrders(ctx)
 		}
-
-		if k.Interval == s.LiquidityUpdateInterval {
-			s.placeLiquidityOrders(ctx)
-		}
 	})
 
+	if intervalProvider, ok := session.Exchange.(types.CustomIntervalProvider); ok {
+		if intervalProvider.IsSupportedInterval(s.LiquidityUpdateInterval) {
+			session.UserDataStream.OnAuth(func() {
+				s.placeLiquidityOrders(ctx)
+			})
+			session.MarketDataStream.OnKLineClosed(func(k types.KLine) {
+				if k.Interval == s.LiquidityUpdateInterval {
+					s.placeLiquidityOrders(ctx)
+				}
+			})
+		} else {
+			session.UserDataStream.OnStart(func() {
+				go s.liquidityWorker(ctx, s.LiquidityUpdateInterval)
+			})
+		}
+	}
+
 	bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
 		defer wg.Done()
 
@@ -366,7 +392,7 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
 	if s.stopEMA != nil {
 		emaPrice := fixedpoint.NewFromFloat(s.stopEMA.Last(0))
 		if midPrice.Compare(emaPrice) > 0 {
-			s.logger.Infof("mid price %f < stop ema price %f, turning off ask orders", midPrice.Float64(), emaPrice.Float64())
+			s.logger.Infof("mid price %f > stop ema price %f, turning off bid orders", midPrice.Float64(), emaPrice.Float64())
 			placeBid = false
 		}
 
@@ -419,6 +445,10 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
 		}
 	}
 
+	s.logger.Infof("place bid: %v, place ask: %v", placeBid, placeAsk)
+
+	s.logger.Infof("bid liquidity amount %f, ask liquidity amount %f", s.BidLiquidityAmount.Float64(), s.AskLiquidityAmount.Float64())
+
 	var bidExposureInUsd = fixedpoint.Zero
 	var askExposureInUsd = fixedpoint.Zero
 	var orderForms []types.SubmitOrder

pkg/strategy/xbalance/strategy.go

@@ -14,8 +14,8 @@ import (
 	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
-	"github.com/c9s/bbgo/pkg/util"
 	"github.com/c9s/bbgo/pkg/util/templateutil"
+	"github.com/c9s/bbgo/pkg/util/timejitter"
 )
 
 const ID = "xbalance"
@@ -283,7 +283,9 @@ func (s *Strategy) checkBalance(ctx context.Context, sessions map[string]*bbgo.E
 	}
 }
 
-func (s *Strategy) findHighestBalanceLevelSession(sessions map[string]*bbgo.ExchangeSession, requiredAmount fixedpoint.Value) (*bbgo.ExchangeSession, types.Balance, error) {
+func (s *Strategy) findHighestBalanceLevelSession(
+	sessions map[string]*bbgo.ExchangeSession, requiredAmount fixedpoint.Value,
+) (*bbgo.ExchangeSession, types.Balance, error) {
 	var balance types.Balance
 	var maxBalanceLevel = fixedpoint.Zero
 	var maxBalanceSession *bbgo.ExchangeSession = nil
@@ -350,7 +352,7 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
 	}
 
 	go func() {
-		ticker := time.NewTicker(util.MillisecondsJitter(s.Interval.Duration(), 1000))
+		ticker := time.NewTicker(timejitter.Milliseconds(s.Interval.Duration(), 1000))
 		defer ticker.Stop()
 
 		for {

pkg/strategy/xdepthmaker/strategy.go

@@ -21,7 +21,7 @@ import (
 	"github.com/c9s/bbgo/pkg/strategy/common"
 	"github.com/c9s/bbgo/pkg/strategy/xmaker"
 	"github.com/c9s/bbgo/pkg/types"
-	"github.com/c9s/bbgo/pkg/util"
+	"github.com/c9s/bbgo/pkg/util/timejitter"
 	"github.com/c9s/bbgo/pkg/util/tradingutil"
 )
 
@@ -409,10 +409,10 @@ func (s *Strategy) Defaults() error {
 }
 
 func (s *Strategy) quoteWorker(ctx context.Context) {
-	updateTicker := time.NewTicker(util.MillisecondsJitter(s.FastLayerUpdateInterval.Duration(), 200))
+	updateTicker := time.NewTicker(timejitter.Milliseconds(s.FastLayerUpdateInterval.Duration(), 200))
 	defer updateTicker.Stop()
 
-	fullReplenishTicker := time.NewTicker(util.MillisecondsJitter(s.FullReplenishInterval.Duration(), 200))
+	fullReplenishTicker := time.NewTicker(timejitter.Milliseconds(s.FullReplenishInterval.Duration(), 200))
 	defer fullReplenishTicker.Stop()
 
 	// clean up the previous open orders
@@ -456,7 +456,7 @@ func (s *Strategy) quoteWorker(ctx context.Context) {
 }
 
 func (s *Strategy) hedgeWorker(ctx context.Context) {
-	ticker := time.NewTicker(util.MillisecondsJitter(s.HedgeInterval.Duration(), 200))
+	ticker := time.NewTicker(timejitter.Milliseconds(s.HedgeInterval.Duration(), 200))
 	defer ticker.Stop()
 
 	for {

pkg/strategy/xgap/strategy.go

@@ -14,7 +14,7 @@ import (
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/strategy/common"
 	"github.com/c9s/bbgo/pkg/types"
-	"github.com/c9s/bbgo/pkg/util"
+	"github.com/c9s/bbgo/pkg/util/timejitter"
 )
 
 const ID = "xgap"
@@ -169,7 +169,7 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
 
 	go func() {
 		ticker := time.NewTicker(
-			util.MillisecondsJitter(s.UpdateInterval.Duration(), 1000),
+			timejitter.Milliseconds(s.UpdateInterval.Duration(), 1000),
 		)
 		defer ticker.Stop()
 
@@ -187,7 +187,7 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
 				}
 
 				// < 10 seconds jitter sleep
-				delay := util.MillisecondsJitter(s.UpdateInterval.Duration(), 10*1000)
+				delay := timejitter.Milliseconds(s.UpdateInterval.Duration(), 10*1000)
 				if delay < s.UpdateInterval.Duration() {
 					time.Sleep(delay)
 				}

pkg/strategy/xmaker/strategy.go

@@ -22,6 +22,7 @@ import (
 	"github.com/c9s/bbgo/pkg/strategy/common"
 	"github.com/c9s/bbgo/pkg/types"
 	"github.com/c9s/bbgo/pkg/util"
+	"github.com/c9s/bbgo/pkg/util/timejitter"
 )
 
 var defaultMargin = fixedpoint.NewFromFloat(0.003)
@@ -1426,7 +1427,7 @@ func (s *Strategy) Validate() error {
 }
 
 func (s *Strategy) quoteWorker(ctx context.Context) {
-	ticker := time.NewTicker(util.MillisecondsJitter(s.UpdateInterval.Duration(), 200))
+	ticker := time.NewTicker(timejitter.Milliseconds(s.UpdateInterval.Duration(), 200))
 	defer ticker.Stop()
 
 	defer func() {
@@ -1500,7 +1501,7 @@ func (s *Strategy) houseCleanWorker(ctx context.Context) {
 }
 
 func (s *Strategy) hedgeWorker(ctx context.Context) {
-	ticker := time.NewTicker(util.MillisecondsJitter(s.HedgeInterval.Duration(), 200))
+	ticker := time.NewTicker(timejitter.Milliseconds(s.HedgeInterval.Duration(), 200))
 	defer ticker.Stop()
 
 	profitChanged := false

pkg/strategy/xnav/strategy.go

@@ -9,8 +9,8 @@ import (
 	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
-	"github.com/c9s/bbgo/pkg/util"
 	"github.com/c9s/bbgo/pkg/util/templateutil"
+	"github.com/c9s/bbgo/pkg/util/timejitter"
 
 	"github.com/robfig/cron/v3"
 	"github.com/sirupsen/logrus"
@@ -173,7 +173,7 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
 
 	if s.Interval != "" {
 		go func() {
-			ticker := time.NewTicker(util.MillisecondsJitter(s.Interval.Duration(), 1000))
+			ticker := time.NewTicker(timejitter.Milliseconds(s.Interval.Duration(), 1000))
 			defer ticker.Stop()
 
 			for {

pkg/util/time.go

@@ -1,16 +1,9 @@
 package util
 
 import (
-	"math/rand"
 	"time"
 )
 
-func MillisecondsJitter(d time.Duration, jitterInMilliseconds int) time.Duration {
-	n := rand.Intn(jitterInMilliseconds)
-	return d + time.Duration(n)*time.Millisecond
-}
-
 func UnixMilli() int64 {
 	return time.Now().UnixNano() / int64(time.Millisecond)
 }
-

pkg/util/timejitter/milliseconds.go

@@ -0,0 +1,21 @@
+package timejitter
+
+import (
+	"math/rand"
+	"time"
+)
+
+func Milliseconds(d time.Duration, jitterInMilliseconds int) time.Duration {
+	n := rand.Intn(jitterInMilliseconds)
+	return d + time.Duration(n)*time.Millisecond
+}
+
+func Seconds(d time.Duration, jitterInSeconds int) time.Duration {
+	n := rand.Intn(jitterInSeconds)
+	return d + time.Duration(n)*time.Second
+}
+
+func Microseconds(d time.Duration, us int) time.Duration {
+	n := rand.Intn(us)
+	return d + time.Duration(n)*time.Microsecond
+}