FEATURE: recover the grid when there is error at grid opening

This commit is contained in:
chiahung 2023-04-18 11:06:47 +08:00
parent 5c33c764da
commit 3717569953
2 changed files with 160 additions and 3 deletions

View File

@ -0,0 +1,81 @@
package grid2
import (
"context"
"strings"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
"go.uber.org/multierr"
)
type GridOrder struct {
OrderID uint64 `json:"orderID"`
ClientOrderID string `json:"clientOrderID"`
Side types.SideType `json:"side"`
Price fixedpoint.Value `json:"price"`
Quantity fixedpoint.Value `json:"quantity"`
}
type GridOrderStates struct {
Orders map[fixedpoint.Value]GridOrder `json:"orders"`
}
func newGridOrderStates() *GridOrderStates {
return &GridOrderStates{
Orders: make(map[fixedpoint.Value]GridOrder),
}
}
func (s *GridOrderStates) AddCreatedOrders(createdOrders ...types.Order) {
for _, createdOrder := range createdOrders {
s.Orders[createdOrder.Price] = GridOrder{
OrderID: createdOrder.OrderID,
ClientOrderID: createdOrder.ClientOrderID,
Side: createdOrder.Side,
Price: createdOrder.Price,
Quantity: createdOrder.Quantity,
}
}
}
func (s *GridOrderStates) AddSubmitOrders(submitOrders ...types.SubmitOrder) {
for _, submitOrder := range submitOrders {
s.Orders[submitOrder.Price] = GridOrder{
ClientOrderID: submitOrder.ClientOrderID,
Side: submitOrder.Side,
Price: submitOrder.Price,
Quantity: submitOrder.Quantity,
}
}
}
func (s *GridOrderStates) GetFailedOrdersWhenGridOpening(ctx context.Context, orderQueryService types.ExchangeOrderQueryService) ([]GridOrder, error) {
var failed []GridOrder
var errs error
for _, order := range s.Orders {
if order.OrderID == 0 {
_, err := orderQueryService.QueryOrder(ctx, types.OrderQuery{
ClientOrderID: order.ClientOrderID,
})
if err != nil {
// error handle
if strings.Contains(err.Error(), "resource not found") {
// not found error, need to re-place this order
// if order not found: {"success":false,"error":{"code":404,"message":"resource not found"}}
failed = append(failed, order)
} else {
// other error
// need to log the error and stop
errs = multierr.Append(errs, err)
}
continue
}
}
}
return failed, errs
}

View File

@ -162,8 +162,9 @@ type Strategy struct {
// it makes sure that your grid configuration is profitable.
FeeRate fixedpoint.Value `json:"feeRate"`
SkipSpreadCheck bool `json:"skipSpreadCheck"`
RecoverGridByScanningTrades bool `json:"recoverGridByScanningTrades"`
SkipSpreadCheck bool `json:"skipSpreadCheck"`
RecoverGridByScanningTrades bool `json:"recoverGridByScanningTrades"`
RecoverFailedOrdersWhenGridOpening bool `json:"recoverFailedOrdersWhenGridOpening"`
// Debug enables the debug mode
Debug bool `json:"debug"`
@ -171,6 +172,9 @@ type Strategy struct {
GridProfitStats *GridProfitStats `persistence:"grid_profit_stats"`
Position *types.Position `persistence:"position"`
// this is used to check all generated orders are placed
GridOrderStates *GridOrderStates `persistence:"grid_order_states"`
// ExchangeSession is an injection field
ExchangeSession *bbgo.ExchangeSession
@ -1068,6 +1072,10 @@ func (s *Strategy) openGrid(ctx context.Context, session *bbgo.ExchangeSession)
return err
}
// use grid order states to check the orders are placed when opening grid
s.GridOrderStates = newGridOrderStates()
s.GridOrderStates.AddSubmitOrders(submitOrders...)
s.debugGridOrders(submitOrders, lastPrice)
writeCtx := s.getWriteContext(ctx)
@ -1078,6 +1086,8 @@ func (s *Strategy) openGrid(ctx context.Context, session *bbgo.ExchangeSession)
return err2
}
s.GridOrderStates.AddCreatedOrders(createdOrders...)
// try to always emit grid ready
defer s.EmitGridReady()
@ -1230,6 +1240,26 @@ func (s *Strategy) debugOrders(desc string, orders []types.Order) {
s.logger.Infof(sb.String())
}
func (s *Strategy) debugSubmitOrders(desc string, orders []types.SubmitOrder) {
if !s.Debug {
return
}
var sb strings.Builder
if desc == "" {
desc = "ORDERS"
}
sb.WriteString(desc + " [\n")
for i, order := range orders {
sb.WriteString(fmt.Sprintf(" - %d) %s\n", i, order.String()))
}
sb.WriteString("]")
s.logger.Infof(sb.String())
}
func (s *Strategy) debugGridProfitStats(trigger string) {
if !s.Debug {
return
@ -1237,7 +1267,6 @@ func (s *Strategy) debugGridProfitStats(trigger string) {
stats := *s.GridProfitStats
// ProfitEntries may have too many profits, make it nil to readable
stats.ProfitEntries = nil
b, err := json.Marshal(stats)
if err != nil {
s.logger.WithError(err).Errorf("[%s] failed to debug grid profit stats", trigger)
@ -1936,6 +1965,15 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
func (s *Strategy) startProcess(ctx context.Context, session *bbgo.ExchangeSession) {
s.debugGridProfitStats("startProcess")
if s.RecoverFailedOrdersWhenGridOpening {
s.logger.Info("recover failed orders when grid opening")
if err := s.recoverFailedOrdersWhenGridOpening(ctx); err != nil {
s.logger.WithError(err).Error("failed to start process, recover failed orders when grid opening error")
s.EmitGridError(errors.Wrapf(err, "failed to start process, recover failed orders when grid opening error"))
return
}
}
if s.RecoverOrdersWhenStart {
// do recover only when triggerPrice is not set and not in the back-test mode
s.logger.Infof("recoverWhenStart is set, trying to recover grid orders...")
@ -1954,6 +1992,44 @@ func (s *Strategy) startProcess(ctx context.Context, session *bbgo.ExchangeSessi
}
}
func (s *Strategy) recoverFailedOrdersWhenGridOpening(ctx context.Context) error {
if s.GridOrderStates == nil {
return nil
}
failedOrders, err := s.GridOrderStates.GetFailedOrdersWhenGridOpening(ctx, s.orderQueryService)
if err != nil {
return errors.Wrapf(err, "failed to get failed orders")
}
var submitOrders []types.SubmitOrder
for _, failedOrder := range failedOrders {
submitOrders = append(submitOrders, types.SubmitOrder{
Symbol: s.Symbol,
Type: types.OrderTypeLimit,
Side: failedOrder.Side,
Price: failedOrder.Price,
Quantity: failedOrder.Quantity,
Market: s.Market,
TimeInForce: types.TimeInForceGTC,
Tag: orderTag,
GroupID: s.OrderGroupID,
ClientOrderID: failedOrder.ClientOrderID,
})
}
s.debugSubmitOrders("RECOVER FAILED ORDERS WHEN GRID OPENING", submitOrders)
writeCtx := s.getWriteContext(ctx)
createdOrders, err := s.orderExecutor.SubmitOrders(writeCtx, submitOrders...)
if err != nil {
return errors.Wrapf(err, "failed to submit orders")
}
s.GridOrderStates.AddCreatedOrders(createdOrders...)
return nil
}
func (s *Strategy) recoverGrid(ctx context.Context, session *bbgo.ExchangeSession) error {
if s.RecoverGridByScanningTrades {
s.debugLog("recovering grid by scanning trades")