lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-11-22 23:05:15 +00:00
Code Issues Actions 2 Packages Projects Releases Wiki Activity

bbgo: add submitOrder retry limit

Browse Source
This commit is contained in:
c9s 2022-09-24 01:25:28 +08:00
parent 90303b38e2
commit 14c941c9f3
No known key found for this signature in database
GPG Key ID: 7385E7E464CB0A54
1 changed files with 30 additions and 8 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

38
pkg/bbgo/order_executor_general.go
View File

@ -16,6 +16,15 @@ import (
"github.com/c9s/bbgo/pkg/util" "github.com/c9s/bbgo/pkg/util"
) )
var ErrExceededSubmitOrderRetryLimit = errors.New("exceeded submit order retry limit")
// quantityReduceDelta is used to modify the order to submit, especially for the market order
var quantityReduceDelta = fixedpoint.NewFromFloat(0.005)
// submitOrderRetryLimit is used when SubmitOrder failed, we will re-submit the order.
// This is for the maximum retries
const submitOrderRetryLimit = 5
// GeneralOrderExecutor implements the general order executor for strategy // GeneralOrderExecutor implements the general order executor for strategy
type GeneralOrderExecutor struct { type GeneralOrderExecutor struct {
session *ExchangeSession session *ExchangeSession
@ -217,22 +226,29 @@ type OpenPositionOptions struct {
Tags []string `json:"-" yaml:"-"` Tags []string `json:"-" yaml:"-"`
} }
// Delta used to modify the order to submit, especially for the market order
var QuantityReduceDelta fixedpoint.Value = fixedpoint.NewFromFloat(0.005)
func (e *GeneralOrderExecutor) reduceQuantityAndSubmitOrder(ctx context.Context, price fixedpoint.Value, submitOrder types.SubmitOrder) (types.OrderSlice, error) { func (e *GeneralOrderExecutor) reduceQuantityAndSubmitOrder(ctx context.Context, price fixedpoint.Value, submitOrder types.SubmitOrder) (types.OrderSlice, error) {
for { var err error
for i := 0; i < submitOrderRetryLimit; i++ {
q := submitOrder.Quantity.Mul(fixedpoint.One.Sub(quantityReduceDelta))
log.Warnf("retrying order, adjusting order quantity: %f -> %f", submitOrder.Quantity.Float64(), q.Float64())
submitOrder.Quantity = q
if e.position.Market.IsDustQuantity(submitOrder.Quantity, price) {
return nil, types.NewZeroAssetError(nil)
}
createdOrder, err2 := e.SubmitOrders(ctx, submitOrder) createdOrder, err2 := e.SubmitOrders(ctx, submitOrder)
if err2 != nil { if err2 != nil {
submitOrder.Quantity = submitOrder.Quantity.Mul(fixedpoint.One.Sub(QuantityReduceDelta)) // collect the error object
if e.position.Market.IsDustQuantity(submitOrder.Quantity, price) { err = multierr.Append(err, err2)
return nil, err2
}
continue continue
} }
log.Infof("created order: %+v", createdOrder) log.Infof("created order: %+v", createdOrder)
return createdOrder, nil return createdOrder, nil
} }
return nil, multierr.Append(ErrExceededSubmitOrderRetryLimit, err)
} }
func (e *GeneralOrderExecutor) OpenPosition(ctx context.Context, options OpenPositionOptions) (types.OrderSlice, error) { func (e *GeneralOrderExecutor) OpenPosition(ctx context.Context, options OpenPositionOptions) (types.OrderSlice, error) {
@ -290,6 +306,12 @@ func (e *GeneralOrderExecutor) OpenPosition(ctx context.Context, options OpenPos
submitOrder.Quantity = quantity submitOrder.Quantity = quantity
Notify("Opening %s long position with quantity %v at price %v", e.position.Symbol, quantity, price) Notify("Opening %s long position with quantity %v at price %v", e.position.Symbol, quantity, price)
createdOrder, err := e.SubmitOrders(ctx, submitOrder)
if err == nil {
return createdOrder, nil
}
return e.reduceQuantityAndSubmitOrder(ctx, price, submitOrder) return e.reduceQuantityAndSubmitOrder(ctx, price, submitOrder)
} else if options.Short { } else if options.Short {
if quantity.IsZero() { if quantity.IsZero() {