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all: improve UniversalCancelAllOrders and add mutex to covered position

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This commit is contained in:
c9s 2024-09-23 18:26:23 +08:00
parent a8444e9796
commit 345c92c295
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GPG Key ID: 7385E7E464CB0A54
7 changed files with 87 additions and 31 deletions
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8
pkg/exchange/bitget/stream.go
View File

@ -435,10 +435,14 @@ func (s *Stream) handleOrderTradeEvent(m OrderTradeEvent) {
return
}
debugf("received OrderTradeEvent: %+v", m)
debugf("received %s (%s) OrderTradeEvent: %+v", m.instId, m.actionType, m)
for _, order := range m.Orders {
debugf("received Order: %+v", order)
if order.TradeId == 0 {
debugf("%s order update #%d: %+v", m.instId, order.OrderId, order)
} else {
debugf("%s order update #%d and trade update #%d: %+v", m.instId, order.OrderId, order, order.TradeId)
}
globalOrder, err := order.toGlobalOrder()
if err != nil {

37
pkg/fixedpoint/mutex.go Normal file
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@ -0,0 +1,37 @@
package fixedpoint
import "sync"
type MutexValue struct {
value Value
mu sync.Mutex
}
func (f *MutexValue) Add(v Value) Value {
f.mu.Lock()
f.value = f.value.Add(v)
ret := f.value
f.mu.Unlock()
return ret
}
func (f *MutexValue) Sub(v Value) Value {
f.mu.Lock()
f.value = f.value.Sub(v)
ret := f.value
f.mu.Unlock()
return ret
}
func (f *MutexValue) Set(v Value) {
f.mu.Lock()
f.value = v
f.mu.Unlock()
}
func (f *MutexValue) Get() Value {
f.mu.Lock()
v := f.value
f.mu.Unlock()
return v
}

6
pkg/strategy/dca2/strategy.go
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@ -375,7 +375,7 @@ func (s *Strategy) Close(ctx context.Context) error {
var err error
if s.UniversalCancelAllOrdersWhenClose {
err = tradingutil.UniversalCancelAllOrders(ctx, s.ExchangeSession.Exchange, nil)
err = tradingutil.UniversalCancelAllOrders(ctx, s.ExchangeSession.Exchange, s.Symbol, nil)
} else {
err = s.OrderExecutor.GracefulCancel(ctx)
}
@ -398,7 +398,7 @@ func (s *Strategy) CleanUp(ctx context.Context) error {
}
// ignore the first cancel error, this skips one open-orders query request
if err := tradingutil.UniversalCancelAllOrders(ctx, session.Exchange, nil); err == nil {
if err := tradingutil.UniversalCancelAllOrders(ctx, session.Exchange, s.Symbol, nil); err == nil {
return nil
}
@ -418,7 +418,7 @@ func (s *Strategy) CleanUp(ctx context.Context) error {
break
}
if err := tradingutil.UniversalCancelAllOrders(ctx, session.Exchange, openOrders); err != nil {
if err := tradingutil.UniversalCancelAllOrders(ctx, session.Exchange, s.Symbol, openOrders); err != nil {
s.logger.WithError(err).Errorf("unable to cancel all orders")
werr = multierr.Append(werr, err)
}

2
pkg/strategy/liquiditymaker/strategy.go
View File

@ -159,7 +159,7 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
util.LogErr(err, "unable to cancel adjustment orders")
}
if err := tradingutil.UniversalCancelAllOrders(ctx, s.Session.Exchange, nil); err != nil {
if err := tradingutil.UniversalCancelAllOrders(ctx, s.Session.Exchange, s.Symbol, nil); err != nil {
util.LogErr(err, "unable to cancel all orders")
}

33
pkg/strategy/xdepthmaker/strategy.go
View File

@ -18,6 +18,7 @@ import (
"github.com/c9s/bbgo/pkg/strategy/common"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
"github.com/c9s/bbgo/pkg/util/tradingutil"
)
var lastPriceModifier = fixedpoint.NewFromFloat(1.001)
@ -46,9 +47,10 @@ type CrossExchangeMarketMakingStrategy struct {
makerMarket, hedgeMarket types.Market
// persistence fields
Position *types.Position `json:"position,omitempty" persistence:"position"`
ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
CoveredPosition fixedpoint.Value `json:"coveredPosition,omitempty" persistence:"covered_position"`
Position *types.Position `json:"position,omitempty" persistence:"position"`
ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
CoveredPosition fixedpoint.MutexValue
core.ConverterManager
@ -152,9 +154,7 @@ func (s *CrossExchangeMarketMakingStrategy) Initialize(
// 2) short position -> increase short position
// TODO: make this atomic
s.mu.Lock()
s.CoveredPosition = s.CoveredPosition.Add(c)
s.mu.Unlock()
s.CoveredPosition.Add(c)
})
return nil
}
@ -486,13 +486,18 @@ func (s *Strategy) CrossRun(
s.MakerOrderExecutor.TradeCollector().Process()
position := s.Position.GetBase()
uncoverPosition := position.Sub(s.CoveredPosition)
s.mu.Lock()
coveredPosition := s.CoveredPosition.Get()
uncoverPosition := position.Sub(coveredPosition)
s.mu.Unlock()
absPos := uncoverPosition.Abs()
if absPos.Compare(s.hedgeMarket.MinQuantity) > 0 {
log.Infof("%s base position %v coveredPosition: %v uncoverPosition: %v",
s.Symbol,
position,
s.CoveredPosition,
coveredPosition,
uncoverPosition,
)
@ -520,6 +525,10 @@ func (s *Strategy) CrossRun(
log.WithError(err).Errorf("graceful cancel %s order error", s.HedgeSymbol)
}
if err := tradingutil.UniversalCancelAllOrders(ctx, s.makerSession.Exchange, s.Symbol, s.MakerOrderExecutor.ActiveMakerOrders().Orders()); err != nil {
log.WithError(err).Errorf("unable to cancel all orders")
}
bbgo.Sync(ctx, s)
bbgo.Notify("%s: %s position", ID, s.Symbol, s.Position)
})
@ -625,13 +634,9 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
// if the hedge is on sell side, then we should add positive position
switch side {
case types.SideTypeSell:
s.mu.Lock()
s.CoveredPosition = s.CoveredPosition.Add(quantity)
s.mu.Unlock()
s.CoveredPosition.Add(quantity)
case types.SideTypeBuy:
s.mu.Lock()
s.CoveredPosition = s.CoveredPosition.Add(quantity.Neg())
s.mu.Unlock()
s.CoveredPosition.Add(quantity.Neg())
}
}

6
pkg/util/logerr.go
View File

@ -4,6 +4,12 @@ import (
log "github.com/sirupsen/logrus"
)
// LogErr logs the error with the message and arguments if the error is not nil.
// It returns true if the error is not nil.
// Examples:
// LogErr(err)
// LogErr(err, "error message")
// LogErr(err, "error message %s", "with argument")
func LogErr(err error, msgAndArgs ...interface{}) bool {
if err == nil {
return false

26
pkg/util/tradingutil/cancel.go
View File

@ -2,7 +2,6 @@ package tradingutil
import (
"context"
"errors"
"fmt"
log "github.com/sirupsen/logrus"
@ -28,7 +27,7 @@ type CancelAllOrdersByGroupIDService interface {
//
// if CancelAllOrdersService is not supported, then it tries CancelAllOrdersBySymbolService which needs at least one symbol
// for the cancel api request.
func UniversalCancelAllOrders(ctx context.Context, exchange types.Exchange, openOrders []types.Order) error {
func UniversalCancelAllOrders(ctx context.Context, exchange types.Exchange, symbol string, openOrders []types.Order) error {
if service, ok := exchange.(CancelAllOrdersService); ok {
if _, err := service.CancelAllOrders(ctx); err == nil {
return nil
@ -37,17 +36,17 @@ func UniversalCancelAllOrders(ctx context.Context, exchange types.Exchange, open
}
}
if len(openOrders) == 0 {
return errors.New("to cancel all orders, openOrders can not be empty")
}
var anyErr error
if service, ok := exchange.(CancelAllOrdersBySymbolService); ok {
var symbols = CollectOrderSymbols(openOrders)
for _, symbol := range symbols {
_, err := service.CancelOrdersBySymbol(ctx, symbol)
if err != nil {
anyErr = err
if len(symbol) > 0 {
_, anyErr = service.CancelOrdersBySymbol(ctx, symbol)
} else if len(openOrders) > 0 {
var orderSymbols = CollectOrderSymbols(openOrders)
for _, orderSymbol := range orderSymbols {
_, err := service.CancelOrdersBySymbol(ctx, orderSymbol)
if err != nil {
anyErr = err
}
}
}
@ -56,6 +55,11 @@ func UniversalCancelAllOrders(ctx context.Context, exchange types.Exchange, open
}
}
if len(openOrders) == 0 {
log.Warnf("empty open orders, unable to call specific cancel all orders api, skip")
return nil
}
if service, ok := exchange.(CancelAllOrdersByGroupIDService); ok {
var groupIds = CollectOrderGroupIds(openOrders)
for _, groupId := range groupIds {