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bbgo: add submitOrder retry limit

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c9s 2022-09-24 01:25:28 +08:00
parent 90303b38e2
commit 14c941c9f3
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1 changed files with 30 additions and 8 deletions
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38
pkg/bbgo/order_executor_general.go
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@ -16,6 +16,15 @@ import (
"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
type GeneralOrderExecutor struct {
session *ExchangeSession
@ -217,22 +226,29 @@ type OpenPositionOptions struct {
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) {
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)
if err2 != nil {
submitOrder.Quantity = submitOrder.Quantity.Mul(fixedpoint.One.Sub(QuantityReduceDelta))
if e.position.Market.IsDustQuantity(submitOrder.Quantity, price) {
return nil, err2
}
// collect the error object
err = multierr.Append(err, err2)
continue
}
log.Infof("created order: %+v", createdOrder)
return createdOrder, nil
}
return nil, multierr.Append(ErrExceededSubmitOrderRetryLimit, err)
}
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
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)
} else if options.Short {
if quantity.IsZero() {