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grid2: add historicalTrades store

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This commit is contained in:
c9s 2022-12-05 19:23:39 +08:00
parent 5c83044297
commit 16224583ff
1 changed files with 52 additions and 2 deletions
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54
pkg/strategy/grid2/strategy.go
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@ -3,6 +3,7 @@ package grid2
import (
"context"
"fmt"
"strconv"
"sync"
"github.com/pkg/errors"
@ -92,7 +93,8 @@ type Strategy struct {
session *bbgo.ExchangeSession
orderQueryService types.ExchangeOrderQueryService
orderExecutor *bbgo.GeneralOrderExecutor
orderExecutor *bbgo.GeneralOrderExecutor
historicalTrades *bbgo.TradeStore
// groupID is the group ID used for the strategy instance for canceling orders
groupID uint32
@ -195,6 +197,28 @@ func (s *Strategy) calculateProfit(o types.Order, buyPrice, buyQuantity fixedpoi
return profit
}
func (s *Strategy) verifyOrderTrades(o types.Order, trades []types.Trade) bool {
tq := fixedpoint.Zero
for _, t := range trades {
if t.Fee.IsZero() && t.FeeCurrency == "" {
s.logger.Warnf("trade fee and feeCurrency is zero: %+v", t)
return false
}
tq = tq.Add(t.Quantity)
}
if tq.Compare(o.Quantity) != 0 {
s.logger.Warnf("order trades missing. expected: %f actual: %f",
o.Quantity.Float64(),
tq.Float64())
return false
}
return true
}
// handleOrderFilled is called when a order status is FILLED
func (s *Strategy) handleOrderFilled(o types.Order) {
if s.grid == nil {
return
@ -202,7 +226,29 @@ func (s *Strategy) handleOrderFilled(o types.Order) {
s.logger.Infof("GRID ORDER FILLED: %s", o.String())
// var profit *GridProfit = nil
// collect trades
if s.orderQueryService != nil {
tradeCollector := s.orderExecutor.TradeCollector()
// tradeCollector.Process()
orderTrades := tradeCollector.TradeStore().GetOrderTrades(o)
s.logger.Infof("FILLED ORDER TRADES: %+v", orderTrades)
// TODO: check if there is no missing trades
if !s.verifyOrderTrades(o, orderTrades) {
s.logger.Warnf("missing order trades or missing trade fee, pulling order trades from API")
apiOrderTrades, err := s.orderQueryService.QueryOrderTrades(context.Background(), types.OrderQuery{
Symbol: o.Symbol,
OrderID: strconv.FormatUint(o.OrderID, 10),
})
if err != nil {
s.logger.WithError(err).Errorf("query order trades error")
} else {
orderTrades = apiOrderTrades
}
}
}
// check order fee
newSide := types.SideTypeSell
@ -228,6 +274,7 @@ func (s *Strategy) handleOrderFilled(o types.Order) {
}
// calculate profit
// TODO: send profit notification
profit := s.calculateProfit(o, newPrice, newQuantity)
s.logger.Infof("GENERATED GRID PROFIT: %+v", profit)
s.GridProfitStats.AddProfit(profit)
@ -564,6 +611,7 @@ func (s *Strategy) closeGrid(ctx context.Context) error {
// openGrid
// 1) if quantity or amount is set, we should use quantity/amount directly instead of using investment amount to calculate.
// 2) if baseInvestment, quoteInvestment is set, then we should calculate the quantity from the given base investment and quote investment.
// TODO: fix sell order placement for profitSpread
func (s *Strategy) openGrid(ctx context.Context, session *bbgo.ExchangeSession) error {
// grid object guard
if s.grid != nil {
@ -809,6 +857,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
// make this an option
// s.Position.Reset()
s.historicalTrades = bbgo.NewTradeStore()
s.historicalTrades.BindStream(session.UserDataStream)
s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
s.orderExecutor.BindEnvironment(s.Environment)