all: simplify underlying exchange submitOrder method

- Replace SubmitOrders with SubmitOrder
- Accept only one submit order and return one created order
- Add bbgo.BatchPlaceOrders helper method and bbgo.BatchRetryPlaceOrders method
This commit is contained in:
c9s 2022-09-09 18:41:06 +08:00
parent 94780b39e6
commit 29105eb57f
No known key found for this signature in database
GPG Key ID: 7385E7E464CB0A54
17 changed files with 366 additions and 356 deletions

View File

@ -94,7 +94,7 @@ var rootCmd = &cobra.Command{
time.Sleep(time.Second)
createdOrders, err := exchange.SubmitOrders(ctx, types.SubmitOrder{
createdOrders, err := exchange.SubmitOrder(ctx, types.SubmitOrder{
Symbol: symbol,
Market: market,
Side: types.SideTypeBuy,

View File

@ -169,31 +169,23 @@ func (e *Exchange) QueryOrder(ctx context.Context, q types.OrderQuery) (*types.O
return nil, nil
}
func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error) {
for _, order := range orders {
func (e *Exchange) SubmitOrder(ctx context.Context, order types.SubmitOrder) (createdOrder *types.Order, err error) {
symbol := order.Symbol
matching, ok := e.matchingBook(symbol)
if !ok {
return nil, fmt.Errorf("matching engine is not initialized for symbol %s", symbol)
}
createdOrder, _, err := matching.PlaceOrder(order)
if err != nil {
return nil, err
}
createdOrder, _, err = matching.PlaceOrder(order)
if createdOrder != nil {
createdOrders = append(createdOrders, *createdOrder)
// market order can be closed immediately.
switch createdOrder.Status {
case types.OrderStatusFilled, types.OrderStatusCanceled, types.OrderStatusRejected:
e.addClosedOrder(*createdOrder)
}
}
}
return createdOrders, nil
return createdOrder, err
}
func (e *Exchange) QueryOpenOrders(ctx context.Context, symbol string) (orders []types.Order, err error) {

View File

@ -35,7 +35,7 @@ func TestTrailingStop_ShortPosition(t *testing.T) {
mockEx := mocks.NewMockExchange(mockCtrl)
mockEx.EXPECT().NewStream().Return(&types.StandardStream{}).Times(2)
mockEx.EXPECT().SubmitOrders(gomock.Any(), types.SubmitOrder{
mockEx.EXPECT().SubmitOrder(gomock.Any(), types.SubmitOrder{
Symbol: "BTCUSDT",
Side: types.SideTypeBuy,
Type: types.OrderTypeMarket,
@ -113,7 +113,7 @@ func TestTrailingStop_LongPosition(t *testing.T) {
mockEx := mocks.NewMockExchange(mockCtrl)
mockEx.EXPECT().NewStream().Return(&types.StandardStream{}).Times(2)
mockEx.EXPECT().SubmitOrders(gomock.Any(), types.SubmitOrder{
mockEx.EXPECT().SubmitOrder(gomock.Any(), types.SubmitOrder{
Symbol: "BTCUSDT",
Side: types.SideTypeSell,
Type: types.OrderTypeMarket,

View File

@ -6,6 +6,7 @@ import (
"github.com/pkg/errors"
log "github.com/sirupsen/logrus"
"go.uber.org/multierr"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
@ -42,7 +43,41 @@ func (e *ExchangeOrderExecutionRouter) SubmitOrdersTo(ctx context.Context, sessi
return nil, err
}
return es.Exchange.SubmitOrders(ctx, formattedOrders...)
createdOrders, _, err := BatchPlaceOrder(ctx, es.Exchange, formattedOrders...)
return createdOrders, err
}
func BatchRetryPlaceOrder(ctx context.Context, exchange types.Exchange, errIdx []int, submitOrders ...types.SubmitOrder) (types.OrderSlice, error) {
var createdOrders types.OrderSlice
var err error
for _, idx := range errIdx {
createdOrder, err2 := exchange.SubmitOrder(ctx, submitOrders[idx])
if err2 != nil {
err = multierr.Append(err, err2)
} else if createdOrder != nil {
createdOrders = append(createdOrders, *createdOrder)
}
}
return createdOrders, err
}
func BatchPlaceOrder(ctx context.Context, exchange types.Exchange, submitOrders ...types.SubmitOrder) (types.OrderSlice, []int, error) {
var createdOrders types.OrderSlice
var err error
var errIndexes []int
for i, submitOrder := range submitOrders {
createdOrder, err2 := exchange.SubmitOrder(ctx, submitOrder)
if err2 != nil {
err = multierr.Append(err, err2)
errIndexes = append(errIndexes, i)
} else if createdOrder != nil {
createdOrder.Tag = submitOrder.Tag
createdOrders = append(createdOrders, *createdOrder)
}
}
return createdOrders, errIndexes, err
}
func (e *ExchangeOrderExecutionRouter) CancelOrdersTo(ctx context.Context, session string, orders ...types.Order) error {
@ -105,7 +140,8 @@ func (e *ExchangeOrderExecutor) SubmitOrders(ctx context.Context, orders ...type
e.notifySubmitOrders(formattedOrders...)
return e.Session.Exchange.SubmitOrders(ctx, formattedOrders...)
createdOrders, _, err := BatchPlaceOrder(ctx, e.Session.Exchange, formattedOrders...)
return createdOrders, err
}
func (e *ExchangeOrderExecutor) CancelOrders(ctx context.Context, orders ...types.Order) error {

View File

@ -7,6 +7,7 @@ import (
"strings"
log "github.com/sirupsen/logrus"
"go.uber.org/multierr"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
@ -110,28 +111,14 @@ func (e *GeneralOrderExecutor) SubmitOrders(ctx context.Context, submitOrders ..
return nil, err
}
var createdOrders types.OrderSlice
retOrders, err := e.session.Exchange.SubmitOrders(ctx, formattedOrders...)
if len(retOrders) > 0 {
createdOrders = append(createdOrders, retOrders...)
createdOrders, errIdx, err := BatchPlaceOrder(ctx, e.session.Exchange, formattedOrders...)
if len(errIdx) > 0 {
createdOrders2, err2 := BatchRetryPlaceOrder(ctx, e.session.Exchange, errIdx, formattedOrders...)
if err2 != nil {
err = multierr.Append(err, err2)
} else {
createdOrders = append(createdOrders, createdOrders2...)
}
if err != nil {
// retry once
retOrders, err = e.session.Exchange.SubmitOrders(ctx, formattedOrders...)
if len(retOrders) > 0 {
createdOrders = append(createdOrders, retOrders...)
}
if err != nil {
err = fmt.Errorf("can not place orders: %w", err)
}
}
// FIXME: map by price and volume
for i := 0; i < len(createdOrders); i++ {
createdOrders[i].Tag = formattedOrders[i].Tag
}
e.orderStore.Add(createdOrders...)

View File

@ -384,12 +384,12 @@ var submitOrderCmd = &cobra.Command{
so.TimeInForce = types.TimeInForceGTC
}
co, err := session.Exchange.SubmitOrders(ctx, so)
co, err := session.Exchange.SubmitOrder(ctx, so)
if err != nil {
return err
}
log.Infof("submitted order: %+v\ncreated order: %+v", so, co[0])
log.Infof("submitted order: %+v\ncreated order: %+v", so, co)
return nil
},
}

View File

@ -1251,13 +1251,11 @@ func (e *Exchange) submitSpotOrder(ctx context.Context, order types.SubmitOrder)
return createdOrder, err
}
func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error) {
for _, order := range orders {
func (e *Exchange) SubmitOrder(ctx context.Context, order types.SubmitOrder) (createdOrder *types.Order, err error) {
if err := orderLimiter.Wait(ctx); err != nil {
log.WithError(err).Errorf("order rate limiter wait error")
}
var createdOrder *types.Order
if e.IsMargin {
createdOrder, err = e.submitMarginOrder(ctx, order)
} else if e.IsFutures {
@ -1266,18 +1264,7 @@ func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder
createdOrder, err = e.submitSpotOrder(ctx, order)
}
if err != nil {
return createdOrders, err
}
if createdOrder == nil {
return createdOrders, errors.New("nil converted order")
}
createdOrders = append(createdOrders, *createdOrder)
}
return createdOrders, err
return createdOrder, err
}
// QueryKLines queries the Kline/candlestick bars for a symbol. Klines are uniquely identified by their open time.

View File

@ -290,7 +290,7 @@ func (e *Exchange) _queryKLines(ctx context.Context, symbol string, interval typ
}
}
resp, err := e.newRest().HistoricalPrices(ctx, toLocalSymbol(symbol), interval, int64(options.Limit), options.StartTime, options.EndTime)
resp, err := e.newRest().marketRequest.HistoricalPrices(ctx, toLocalSymbol(symbol), interval, int64(options.Limit), options.StartTime, options.EndTime)
if err != nil {
return nil, err
}
@ -401,11 +401,10 @@ func (e *Exchange) QueryDepositHistory(ctx context.Context, asset string, since,
return
}
func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (types.OrderSlice, error) {
var createdOrders types.OrderSlice
func (e *Exchange) SubmitOrder(ctx context.Context, order types.SubmitOrder) (*types.Order, error) {
// TODO: currently only support limit and market order
// TODO: support time in force
for _, so := range orders {
so := order
if err := requestLimit.Wait(ctx); err != nil {
logrus.WithError(err).Error("rate limit error")
}
@ -445,17 +444,11 @@ func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder
or, err := req.Do(ctx)
if err != nil {
return createdOrders, fmt.Errorf("failed to place order %+v: %w", so, err)
return nil, fmt.Errorf("failed to place order %+v: %w", so, err)
}
globalOrder, err := toGlobalOrderNew(*or)
if err != nil {
return createdOrders, fmt.Errorf("failed to convert response to global order")
}
createdOrders = append(createdOrders, globalOrder)
}
return createdOrders, nil
return &globalOrder, err
}
func (e *Exchange) QueryOrder(ctx context.Context, q types.OrderQuery) (*types.Order, error) {
@ -470,8 +463,12 @@ func (e *Exchange) QueryOrder(ctx context.Context, q types.OrderQuery) (*types.O
return nil, err
}
order, err := toGlobalOrderNew(*ftxOrder)
return &order, err
o, err := toGlobalOrderNew(*ftxOrder)
if err != nil {
return nil, err
}
return &o, err
}
func (e *Exchange) QueryOpenOrders(ctx context.Context, symbol string) (orders []types.Order, err error) {
@ -572,7 +569,6 @@ func (e *Exchange) QueryTicker(ctx context.Context, symbol string) (*types.Ticke
}
func (e *Exchange) QueryTickers(ctx context.Context, symbol ...string) (map[string]types.Ticker, error) {
var tickers = make(map[string]types.Ticker)
markets, err := e._queryMarkets(ctx)
@ -586,7 +582,6 @@ func (e *Exchange) QueryTickers(ctx context.Context, symbol ...string) (map[stri
}
rest := e.newRest()
for k, v := range markets {
// if we provide symbol as condition then we only query the gieven symbol ,
@ -603,7 +598,7 @@ func (e *Exchange) QueryTickers(ctx context.Context, symbol ...string) (map[stri
now := time.Now()
since := now.Add(time.Duration(-1) * time.Hour)
until := now
prices, err := rest.HistoricalPrices(ctx, v.Market.LocalSymbol, types.Interval1h, 1, &since, &until)
prices, err := rest.marketRequest.HistoricalPrices(ctx, v.Market.LocalSymbol, types.Interval1h, 1, &since, &until)
if err != nil || !prices.Success || len(prices.Result) == 0 {
continue
}

View File

@ -34,7 +34,7 @@ func TestExchange_IOCOrder(t *testing.T) {
}
ex := NewExchange(key, secret, "")
createdOrder, err := ex.SubmitOrders(context.Background(), types.SubmitOrder{
createdOrder, err := ex.SubmitOrder(context.Background(), types.SubmitOrder{
Symbol: "LTCUSDT",
Side: types.SideTypeBuy,
Type: types.OrderTypeLimitMaker,

View File

@ -207,8 +207,7 @@ func (e *Exchange) QueryKLines(ctx context.Context, symbol string, interval type
return klines, nil
}
func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error) {
for _, order := range orders {
func (e *Exchange) SubmitOrder(ctx context.Context, order types.SubmitOrder) (createdOrder *types.Order, err error) {
req := e.client.TradeService.NewPlaceOrderRequest()
req.Symbol(toLocalSymbol(order.Symbol))
req.Side(toLocalSide(order.Side))
@ -262,10 +261,10 @@ func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder
orderResponse, err := req.Do(ctx)
if err != nil {
return createdOrders, err
return createdOrder, err
}
createdOrders = append(createdOrders, types.Order{
return &types.Order{
SubmitOrder: order,
Exchange: types.ExchangeKucoin,
OrderID: hashStringID(orderResponse.OrderID),
@ -275,10 +274,7 @@ func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder
IsWorking: true,
CreationTime: types.Time(time.Now()),
UpdateTime: types.Time(time.Now()),
})
}
return createdOrders, err
}, nil
}
// QueryOpenOrders

View File

@ -485,16 +485,16 @@ func (e *Exchange) Withdraw(ctx context.Context, asset string, amount fixedpoint
return nil
}
func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error) {
func (e *Exchange) SubmitOrder(ctx context.Context, order types.SubmitOrder) (createdOrder *types.Order, err error) {
walletType := maxapi.WalletTypeSpot
if e.MarginSettings.IsMargin {
walletType = maxapi.WalletTypeMargin
}
for _, o := range orders {
o := order
orderType, err := toLocalOrderType(o.Type)
if err != nil {
return createdOrders, err
return createdOrder, err
}
// case IOC type
@ -543,22 +543,15 @@ func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder
retOrder, err := req.Do(ctx)
if err != nil {
return createdOrders, err
return createdOrder, err
}
if retOrder == nil {
return createdOrders, errors.New("returned nil order")
return createdOrder, errors.New("returned nil order")
}
createdOrder, err := toGlobalOrder(*retOrder)
if err != nil {
return createdOrders, err
}
createdOrders = append(createdOrders, *createdOrder)
}
return createdOrders, err
createdOrder, err = toGlobalOrder(*retOrder)
return createdOrder, err
}
// PlatformFeeCurrency

View File

@ -159,9 +159,7 @@ func (e *Exchange) QueryAccountBalances(ctx context.Context) (types.BalanceMap,
return balanceMap, nil
}
func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error) {
var reqs []*okexapi.PlaceOrderRequest
for _, order := range orders {
func (e *Exchange) SubmitOrder(ctx context.Context, order types.SubmitOrder) (*types.Order, error) {
orderReq := e.client.TradeService.NewPlaceOrderRequest()
orderType, err := toLocalOrderType(order.Type)
@ -199,9 +197,31 @@ func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder
orderReq.OrderType(orderType)
}
reqs = append(reqs, orderReq)
orderHead, err := orderReq.Do(ctx)
if err != nil {
return nil, err
}
orderID, err := strconv.ParseInt(orderHead.OrderID, 10, 64)
if err != nil {
return nil, err
}
return &types.Order{
SubmitOrder: order,
Exchange: types.ExchangeOKEx,
OrderID: uint64(orderID),
Status: types.OrderStatusNew,
ExecutedQuantity: fixedpoint.Zero,
IsWorking: true,
CreationTime: types.Time(time.Now()),
UpdateTime: types.Time(time.Now()),
IsMargin: false,
IsIsolated: false,
}, nil
// TODO: move this to batch place orders interface
/*
batchReq := e.client.TradeService.NewBatchPlaceOrderRequest()
batchReq.Add(reqs...)
orderHeads, err := batchReq.Do(ctx)
@ -212,11 +232,11 @@ func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder
for idx, orderHead := range orderHeads {
orderID, err := strconv.ParseInt(orderHead.OrderID, 10, 64)
if err != nil {
return createdOrders, err
return createdOrder, err
}
submitOrder := orders[idx]
createdOrders = append(createdOrders, types.Order{
submitOrder := order[idx]
createdOrder = append(createdOrder, types.Order{
SubmitOrder: submitOrder,
Exchange: types.ExchangeOKEx,
OrderID: uint64(orderID),
@ -229,8 +249,7 @@ func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder
IsIsolated: false,
})
}
return createdOrders, nil
*/
}
func (e *Exchange) QueryOpenOrders(ctx context.Context, symbol string) (orders []types.Order, err error) {

View File

@ -9,6 +9,7 @@ import (
"github.com/pkg/errors"
log "github.com/sirupsen/logrus"
"go.uber.org/multierr"
"google.golang.org/grpc"
"google.golang.org/grpc/reflection"
@ -46,20 +47,27 @@ func (s *TradingService) SubmitOrder(ctx context.Context, request *pb.SubmitOrde
}
}
createdOrders, err := session.Exchange.SubmitOrders(ctx, submitOrders...)
if err != nil {
return nil, err
createdOrders, errIdx, err := bbgo.BatchPlaceOrder(ctx, session.Exchange, submitOrders...)
if len(errIdx) > 0 {
createdOrders2, err2 := bbgo.BatchRetryPlaceOrder(ctx, session.Exchange, errIdx, submitOrders...)
if err2 != nil {
err = multierr.Append(err, err2)
} else {
createdOrders = append(createdOrders, createdOrders2...)
}
}
// convert response
resp := &pb.SubmitOrderResponse{
Session: sessionName,
Orders: nil,
}
for _, createdOrder := range createdOrders {
resp.Orders = append(resp.Orders, transOrder(session, createdOrder))
}
return resp, nil
return resp, err
}
func (s *TradingService) CancelOrder(ctx context.Context, request *pb.CancelOrderRequest) (*pb.CancelOrderResponse, error) {

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@ -132,13 +132,14 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu
// s.Notify("Submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage, submitOrder)
createdOrders, err := s.session.Exchange.SubmitOrders(ctx, submitOrder)
createdOrder, err := s.session.Exchange.SubmitOrder(ctx, submitOrder)
if err != nil {
log.WithError(err).Errorf("can not place position close order")
} else if createdOrder != nil {
s.orderStore.Add(*createdOrder)
s.activeMakerOrders.Add(*createdOrder)
}
s.orderStore.Add(createdOrders...)
s.activeMakerOrders.Add(createdOrders...)
return err
}
func (s *Strategy) InstanceID() string {
@ -464,7 +465,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
// Price: kline.Close.Mul(fixedpoint.One.Add(s.Spread)),
// Quantity: fixedpoint.NewFromFloat(math.Max(math.Min(eq, 0.003), 0.0005)), //0.0005
// }
// createdOrders, err = orderExecutor.SubmitOrders(ctx, submitOrder)
// createdOrders, err = orderExecutor.SubmitOrder(ctx, submitOrder)
// if err != nil {
// log.WithError(err).Errorf("can not place orders")
// }
@ -495,7 +496,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
// Price: kline.Close.Mul(fixedpoint.One.Sub(s.Spread)),
// Quantity: fixedpoint.NewFromFloat(math.Max(math.Min(eq, 0.003), 0.0005)), //0.0005
// }
// createdOrders, err = orderExecutor.SubmitOrders(ctx, submitOrder)
// createdOrders, err = orderExecutor.SubmitOrder(ctx, submitOrder)
// if err != nil {
// log.WithError(err).Errorf("can not place orders")
// }

View File

@ -350,7 +350,7 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
s.tradingMarket.MinNotional.Mul(NotionModifier).Div(price))
}
createdOrders, err := tradingSession.Exchange.SubmitOrders(ctx, types.SubmitOrder{
createdOrders, _, err := bbgo.BatchPlaceOrder(ctx, tradingSession.Exchange, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeLimit,
@ -369,6 +369,7 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
// TimeInForce: types.TimeInForceGTC,
GroupID: s.groupID,
})
if err != nil {
log.WithError(err).Error("order submit error")
}

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@ -96,7 +96,7 @@ type ExchangeTradeService interface {
QueryAccountBalances(ctx context.Context) (BalanceMap, error)
SubmitOrders(ctx context.Context, orders ...SubmitOrder) (createdOrders OrderSlice, err error)
SubmitOrder(ctx context.Context, order SubmitOrder) (createdOrder *Order, err error)
QueryOpenOrders(ctx context.Context, symbol string) (orders []Order, err error)

View File

@ -206,22 +206,17 @@ func (mr *MockExchangeMockRecorder) QueryTickers(arg0 interface{}, arg1 ...inter
return mr.mock.ctrl.RecordCallWithMethodType(mr.mock, "QueryTickers", reflect.TypeOf((*MockExchange)(nil).QueryTickers), varargs...)
}
// SubmitOrders mocks base method.
func (m *MockExchange) SubmitOrders(arg0 context.Context, arg1 ...types.SubmitOrder) (types.OrderSlice, error) {
// SubmitOrder mocks base method.
func (m *MockExchange) SubmitOrder(arg0 context.Context, arg1 types.SubmitOrder) (*types.Order, error) {
m.ctrl.T.Helper()
varargs := []interface{}{arg0}
for _, a := range arg1 {
varargs = append(varargs, a)
}
ret := m.ctrl.Call(m, "SubmitOrders", varargs...)
ret0, _ := ret[0].(types.OrderSlice)
ret := m.ctrl.Call(m, "SubmitOrder", arg0, arg1)
ret0, _ := ret[0].(*types.Order)
ret1, _ := ret[1].(error)
return ret0, ret1
}
// SubmitOrders indicates an expected call of SubmitOrders.
func (mr *MockExchangeMockRecorder) SubmitOrders(arg0 interface{}, arg1 ...interface{}) *gomock.Call {
// SubmitOrder indicates an expected call of SubmitOrder.
func (mr *MockExchangeMockRecorder) SubmitOrder(arg0, arg1 interface{}) *gomock.Call {
mr.mock.ctrl.T.Helper()
varargs := append([]interface{}{arg0}, arg1...)
return mr.mock.ctrl.RecordCallWithMethodType(mr.mock, "SubmitOrders", reflect.TypeOf((*MockExchange)(nil).SubmitOrders), varargs...)
return mr.mock.ctrl.RecordCallWithMethodType(mr.mock, "SubmitOrder", reflect.TypeOf((*MockExchange)(nil).SubmitOrder), arg0, arg1)
}