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FIX: fix some error and use chan to trigger active orders recover when on auth

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This commit is contained in:
chiahung 2023-10-06 18:04:57 +08:00
parent 4c9b1e78fe
commit 27294ac9b6
2 changed files with 46 additions and 43 deletions
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41
pkg/strategy/grid2/active_order_recover.go
View File

@ -12,23 +12,28 @@ import (
)
func (s *Strategy) recoverActiveOrdersWithOpenOrdersPeriodically(ctx context.Context) {
// sleep for a while to wait for recovered
time.Sleep(util.MillisecondsJitter(5*time.Second, 1000*10))
// every time we activeOrdersRecoverCh receive signal, do active orders recover
s.activeOrdersRecoverCh = make(chan struct{}, 1)
if openOrders, err := retry.QueryOpenOrdersUntilSuccessful(ctx, s.session.Exchange, s.Symbol); err != nil {
s.logger.WithError(err).Error("[ActiveOrderRecover] failed to query open orders, skip this time")
} else {
if err := s.recoverActiveOrdersWithOpenOrders(ctx, openOrders); err != nil {
s.logger.WithError(err).Error("[ActiveOrderRecover] failed to recover avtive orderbook")
}
}
ticker := time.NewTicker(util.MillisecondsJitter(40*time.Minute, 30*60*1000))
// make ticker's interval random in 40 min ~ 70 min
interval := util.MillisecondsJitter(40*time.Minute, 30*60*1000)
s.logger.Infof("[ActiveOrderRecover] interval: %s", interval)
ticker := time.NewTicker(interval)
defer ticker.Stop()
for {
select {
case <-ticker.C:
s.queryOpenOrdersThenRecoverActiveOrders(ctx)
case <-s.activeOrdersRecoverCh:
s.queryOpenOrdersThenRecoverActiveOrders(ctx)
case <-ctx.Done():
return
}
}
}
func (s *Strategy) queryOpenOrdersThenRecoverActiveOrders(ctx context.Context) {
if openOrders, err := retry.QueryOpenOrdersUntilSuccessful(ctx, s.session.Exchange, s.Symbol); err != nil {
s.logger.WithError(err).Error("[ActiveOrderRecover] failed to query open orders, skip this time")
} else {
@ -36,10 +41,6 @@ func (s *Strategy) recoverActiveOrdersWithOpenOrdersPeriodically(ctx context.Con
s.logger.WithError(err).Error("[ActiveOrderRecover] failed to recover avtive orderbook")
}
}
case <-ctx.Done():
return
}
}
}
func (s *Strategy) recoverActiveOrdersWithOpenOrders(ctx context.Context, openOrders []types.Order) error {
@ -63,14 +64,13 @@ func (s *Strategy) recoverActiveOrdersWithOpenOrders(ctx context.Context, openOr
openOrdersMap := make(map[uint64]types.Order)
for _, openOrder := range openOrders {
openOrders[openOrder.OrderID] = openOrder
openOrdersMap[openOrder.OrderID] = openOrder
}
// update active orders not in open orders
for _, activeOrder := range activeOrders {
if _, exist := openOrdersMap[activeOrder.OrderID]; !exist {
s.logger.Infof("find active order (%d) not in open orders, updating...", activeOrder.OrderID)
delete(openOrdersMap, activeOrder.OrderID)
updatedOrder, err := retry.QueryOrderUntilSuccessful(ctx, s.orderQueryService, types.OrderQuery{
Symbol: activeOrder.Symbol,
OrderID: strconv.FormatUint(activeOrder.OrderID, 10),
@ -82,12 +82,15 @@ func (s *Strategy) recoverActiveOrdersWithOpenOrders(ctx context.Context, openOr
}
activeOrderBook.Update(*updatedOrder)
} else {
delete(openOrdersMap, activeOrder.OrderID)
}
}
// TODO: should we add open orders back into active orderbook ?
// update open orders not in active orders
for _, openOrders := range openOrdersMap {
activeOrderBook.Update(openOrders)
for _, openOrder := range openOrdersMap {
activeOrderBook.Update(openOrder)
}
return nil

36
pkg/strategy/grid2/strategy.go
View File

@ -207,6 +207,7 @@ type Strategy struct {
cancelWrite context.CancelFunc
recovered int32
activeOrdersRecoverCh chan struct{}
// this ensures that bbgo.Sync to lock the object
sync.Mutex
@ -1977,8 +1978,12 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
s.logger.Infof("user data stream started, initializing grid...")
if !bbgo.IsBackTesting {
go time.AfterFunc(3*time.Second, func() {
s.startProcess(ctx, session)
time.AfterFunc(3*time.Second, func() {
if err := s.startProcess(ctx, session); err != nil {
return
}
s.recoverActiveOrdersWithOpenOrdersPeriodically(ctx)
})
} else {
s.startProcess(ctx, session)
@ -1987,27 +1992,20 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
}
session.UserDataStream.OnAuth(func() {
if !bbgo.IsBackTesting {
go s.recoverActiveOrdersWithOpenOrdersPeriodically(ctx)
/*
// callback may block the stream execution, so we spawn the recover function to the background
// add (5 seconds + random <10 seconds jitter) delay
go time.AfterFunc(util.MillisecondsJitter(5*time.Second, 1000*10), func() {
recovered := atomic.LoadInt32(&s.recovered)
if recovered == 0 {
return
time.AfterFunc(util.MillisecondsJitter(5*time.Second, 1000*10), func() {
select {
case s.activeOrdersRecoverCh <- struct{}{}:
s.logger.Info("trigger active orders recover when on auth")
default:
s.logger.Warn("failed to trigger active orders recover when on auth")
}
s.recoverActiveOrders(ctx, session)
})
*/
}
})
return nil
}
func (s *Strategy) startProcess(ctx context.Context, session *bbgo.ExchangeSession) {
func (s *Strategy) startProcess(ctx context.Context, session *bbgo.ExchangeSession) error {
s.debugGridProfitStats("startProcess")
if s.RecoverOrdersWhenStart {
// do recover only when triggerPrice is not set and not in the back-test mode
@ -2016,15 +2014,17 @@ func (s *Strategy) startProcess(ctx context.Context, session *bbgo.ExchangeSessi
// if recover fail, return and do not open grid
s.logger.WithError(err).Error("failed to start process, recover error")
s.EmitGridError(errors.Wrapf(err, "failed to start process, recover error"))
return
return err
}
}
// avoid using goroutine here for back-test
if err := s.openGrid(ctx, session); err != nil {
s.EmitGridError(errors.Wrapf(err, "failed to start process, setup grid orders error"))
return
return err
}
return nil
}
func (s *Strategy) recoverGrid(ctx context.Context, session *bbgo.ExchangeSession) error {