mirror of
https://github.com/c9s/bbgo.git
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FEATURE: merge recover logic and run periodically
This commit is contained in:
parent
ad5674d9cb
commit
3735499753
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@ -1,98 +0,0 @@
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package grid2
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import (
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"context"
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"time"
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"github.com/c9s/bbgo/pkg/exchange/retry"
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"github.com/c9s/bbgo/pkg/strategy/common"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/util"
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)
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func (s *Strategy) initializeRecoverC() bool {
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s.mu.Lock()
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defer s.mu.Unlock()
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isInitialize := false
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if s.recoverC == nil {
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s.logger.Info("initializing recover channel")
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s.recoverC = make(chan struct{}, 1)
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} else {
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s.logger.Info("recover channel is already initialized, trigger active orders recover")
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isInitialize = true
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select {
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case s.recoverC <- struct{}{}:
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s.logger.Info("trigger active orders recover")
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default:
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s.logger.Info("activeOrdersRecoverC is full")
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}
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}
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return isInitialize
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}
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func (s *Strategy) recoverActiveOrdersPeriodically(ctx context.Context) {
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// every time we activeOrdersRecoverC receive signal, do active orders recover
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if isInitialize := s.initializeRecoverC(); isInitialize {
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return
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}
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// make ticker's interval random in 25 min ~ 35 min
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interval := util.MillisecondsJitter(25*time.Minute, 10*60*1000)
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s.logger.Infof("[ActiveOrderRecover] interval: %s", interval)
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metricsLabel := s.newPrometheusLabels()
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orderQueryService, ok := s.session.Exchange.(types.ExchangeOrderQueryService)
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if !ok {
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s.logger.Errorf("exchange %s doesn't support ExchangeOrderQueryService, please check it", s.session.ExchangeName)
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return
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}
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opts := common.SyncActiveOrdersOpts{
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Logger: s.logger,
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Exchange: s.session.Exchange,
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OrderQueryService: orderQueryService,
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ActiveOrderBook: s.orderExecutor.ActiveMakerOrders(),
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}
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ticker := time.NewTicker(interval)
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defer ticker.Stop()
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var lastRecoverTime time.Time
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for {
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select {
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case <-ctx.Done():
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return
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case <-ticker.C:
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s.recoverC <- struct{}{}
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case <-s.recoverC:
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if !time.Now().After(lastRecoverTime.Add(10 * time.Minute)) {
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continue
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}
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openOrders, err := retry.QueryOpenOrdersUntilSuccessfulLite(ctx, s.session.Exchange, s.Symbol)
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if err != nil {
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s.logger.WithError(err).Error("[ActiveOrderRecover] failed to query open orders, skip this time")
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continue
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}
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if metricsNumOfOpenOrders != nil {
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metricsNumOfOpenOrders.With(metricsLabel).Set(float64(len(openOrders)))
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}
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opts.OpenOrders = openOrders
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if err := common.SyncActiveOrders(ctx, opts); err != nil {
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log.WithError(err).Errorf("unable to sync active orders")
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} else {
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lastRecoverTime = time.Now()
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}
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}
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}
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}
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@ -14,26 +14,84 @@ import (
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"github.com/c9s/bbgo/pkg/exchange/retry"
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"github.com/c9s/bbgo/pkg/exchange/retry"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/util"
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)
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)
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var syncWindow = -3 * time.Minute
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var syncWindow = -3 * time.Minute
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func (s *Strategy) initializeRecoverC() bool {
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s.mu.Lock()
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defer s.mu.Unlock()
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isInitialize := false
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if s.recoverC == nil {
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s.logger.Info("[Recover] initializing recover channel")
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s.recoverC = make(chan struct{}, 1)
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} else {
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s.logger.Info("[Recover] recover channel is already initialized, trigger active orders recover")
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isInitialize = true
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select {
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case s.recoverC <- struct{}{}:
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s.logger.Info("[Recover] trigger active orders recover")
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default:
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s.logger.Info("[Recover] activeOrdersRecoverC is full")
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}
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}
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return isInitialize
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}
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func (s *Strategy) recoverPeriodically(ctx context.Context) {
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if isInitialize := s.initializeRecoverC(); isInitialize {
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return
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}
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interval := util.MillisecondsJitter(25*time.Minute, 10*60*1000)
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s.logger.Infof("[Recover] interval: %s", interval)
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ticker := time.NewTicker(interval)
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defer ticker.Stop()
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var lastRecoverTime time.Time
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for {
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select {
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case <-ctx.Done():
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return
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case <-ticker.C:
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s.recoverC <- struct{}{}
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case <-s.recoverC:
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// if we already recovered in 10 min, we should skip to avoid recovering too frequently
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if !time.Now().After(lastRecoverTime.Add(10 * time.Minute)) {
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continue
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}
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if err := s.recover(ctx); err != nil {
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s.logger.WithError(err).Error("failed to recover")
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} else {
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lastRecoverTime = time.Now()
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}
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}
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}
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}
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/*
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/*
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Background knowledge
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Background knowledge
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1. active orderbook add orders only when receive new order event or call Add/Update method manually
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1. active orderbook add orders only when receive new order event or call Add/Update method manually
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2. active orderbook remove orders only when receive filled/cancelled event or call Remove/Update method manually
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2. active orderbook remove orders only when receive filled/cancelled event or call Remove/Update method manually
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As a result
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As a result
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1. at the same twin-order-price, there is order in open orders but not in active orderbook
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1. at the same twin-order-price, there is no order in open orders and no order in active orderbook
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- not receive new order event
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=> add order into active orderbook
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2. at the same twin-order-price, there is order in active orderbook but not in open orders
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- not receive filled event
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=> query the filled order and call Update method
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3. at the same twin-order-price, there is no order in open orders and no order in active orderbook
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- failed to create the order
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- failed to create the order
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=> query the last order from trades to emit filled, and it will submit again
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=> query the last order from trades to emit filled, and it will submit again
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- not receive new order event and the order filled before we find it.
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- not receive new order event and the order filled before we find it.
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=> query the untracked order (also is the last order) from trades to emit filled and it will submit the reversed order
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=> query the untracked order (also is the last order) from trades to emit filled and it will submit the reversed order
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2. at the same twin-order-price, there is order in open orders but not in active orderbook
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- not receive new order event
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=> add order into active orderbook
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3. at the same twin-order-price, there is order in active orderbook but not in open orders
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- not receive filled event
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=> query the filled order and call Update method
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4. at the same twin-order-price, there are different orders in open orders and active orderbook
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4. at the same twin-order-price, there are different orders in open orders and active orderbook
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- should not happen !!!
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- should not happen !!!
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=> log error
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=> log error
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@ -49,10 +107,11 @@ var syncWindow = -3 * time.Minute
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*/
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*/
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func (s *Strategy) recover(ctx context.Context) error {
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func (s *Strategy) recover(ctx context.Context) error {
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s.logger.Info("[Recover] try to recover")
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historyService, implemented := s.session.Exchange.(types.ExchangeTradeHistoryService)
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historyService, implemented := s.session.Exchange.(types.ExchangeTradeHistoryService)
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// if the exchange doesn't support ExchangeTradeHistoryService, do not run recover
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// if the exchange doesn't support ExchangeTradeHistoryService, do not run recover
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if !implemented {
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if !implemented {
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s.logger.Warn("ExchangeTradeHistoryService is not implemented, can not recover grid")
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s.logger.Warn("[Recover] ExchangeTradeHistoryService is not implemented, can not recover grid")
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return nil
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return nil
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}
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}
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@ -76,28 +135,28 @@ func (s *Strategy) recover(ctx context.Context) error {
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})
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})
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if err != nil {
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if err != nil {
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return errors.Wrapf(err, "unable to query trades when recovering")
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return errors.Wrapf(err, "[Recover] unable to query trades when recovering")
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}
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}
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if len(trades) == 0 {
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if len(trades) == 0 {
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s.logger.Info("no open order, no active order, no trade, it's a new strategy so no need to recover")
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s.logger.Info("[Recover] no open order, no active order, no trade, it's a new strategy so no need to recover")
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return nil
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return nil
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}
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}
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}
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}
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s.logger.Info("start recovering")
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s.logger.Info("[Recover] start recovering")
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if s.getGrid() == nil {
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if s.getGrid() == nil {
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s.setGrid(s.newGrid())
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s.setGrid(s.newGrid())
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}
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}
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s.mu.Lock()
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defer s.mu.Unlock()
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pins := s.getGrid().Pins
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pins := s.getGrid().Pins
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syncBefore := time.Now().Add(syncWindow)
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syncBefore := time.Now().Add(syncWindow)
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s.mu.Lock()
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defer s.mu.Unlock()
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activeOrdersInTwinOrderBook, err := buildTwinOrderBook(pins, activeOrders)
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activeOrdersInTwinOrderBook, err := buildTwinOrderBook(pins, activeOrders)
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openOrdersInTwinOrderBook, err := buildTwinOrderBook(pins, openOrders)
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openOrdersInTwinOrderBook, err := buildTwinOrderBook(pins, openOrders)
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@ -113,7 +172,7 @@ func (s *Strategy) recover(ctx context.Context) error {
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activeOrder := activeOrdersInTwinOrderBook.GetTwinOrder(v)
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activeOrder := activeOrdersInTwinOrderBook.GetTwinOrder(v)
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openOrder := openOrdersInTwinOrderBook.GetTwinOrder(v)
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openOrder := openOrdersInTwinOrderBook.GetTwinOrder(v)
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if activeOrder == nil || openOrder == nil {
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if activeOrder == nil || openOrder == nil {
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return fmt.Errorf("there is no any twin order at this pin, can not recover")
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return fmt.Errorf("this pin (%s) is invalid. Please check it.", v.String())
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}
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}
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var activeOrderID uint64 = 0
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var activeOrderID uint64 = 0
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@ -126,23 +185,28 @@ func (s *Strategy) recover(ctx context.Context) error {
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openOrderID = openOrder.GetOrder().OrderID
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openOrderID = openOrder.GetOrder().OrderID
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}
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}
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// case 3
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// case 1
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if activeOrderID == 0 && openOrderID == 0 {
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if activeOrderID == 0 && openOrderID == 0 {
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noTwinOrderPins = append(noTwinOrderPins, v)
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noTwinOrderPins = append(noTwinOrderPins, v)
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continue
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continue
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}
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}
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// case 1
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// case 2
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if activeOrderID == 0 {
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if activeOrderID == 0 {
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order := openOrder.GetOrder()
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order := openOrder.GetOrder()
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s.logger.Infof("[Recover] found open order #%d is not in the active orderbook, adding...", order.OrderID)
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s.logger.Infof("[Recover] found open order #%d is not in the active orderbook, adding...", order.OrderID)
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activeOrderBook.Add(order)
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// also add open orders into active order's twin orderbook, we will use this active orderbook to recover empty price grid
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if order.UpdateTime.Before(syncBefore) {
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activeOrdersInTwinOrderBook.AddTwinOrder(v, openOrder)
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activeOrderBook.Add(order)
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// also add open orders into active order's twin orderbook, we will use this active orderbook to recover empty price grid
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activeOrdersInTwinOrderBook.AddOrder(order, true)
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} else {
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s.logger.Infof("[Recover] open order #%d is updated in 3 min, skip adding...", order.OrderID)
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}
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continue
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continue
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}
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}
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// case 2
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// case 3
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if openOrderID == 0 {
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if openOrderID == 0 {
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order := activeOrder.GetOrder()
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order := activeOrder.GetOrder()
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s.logger.Infof("[Recover] found active order #%d is not in the open orders, updating...", order.OrderID)
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s.logger.Infof("[Recover] found active order #%d is not in the open orders, updating...", order.OrderID)
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@ -155,43 +219,50 @@ func (s *Strategy) recover(ctx context.Context) error {
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if !isActiveOrderBookUpdated {
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if !isActiveOrderBookUpdated {
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s.logger.Infof("[Recover] active order #%d is updated in 3 min, skip updating...", order.OrderID)
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s.logger.Infof("[Recover] active order #%d is updated in 3 min, skip updating...", order.OrderID)
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}
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}
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continue
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continue
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}
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}
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// case 4
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// case 4
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if activeOrderID != openOrderID {
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if activeOrderID != openOrderID {
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return fmt.Errorf("there are two different orders in the same pin, can not recover")
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return fmt.Errorf("[Recover] there are two different orders in the same pin, can not recover")
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}
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}
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// case 5
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// case 5
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// do nothing
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// do nothing
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}
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}
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s.logger.Infof("twin orderbook after adding open orders\n%s", activeOrdersInTwinOrderBook.String())
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s.logger.Infof("[Recover] twin orderbook after adding open orders\n%s", activeOrdersInTwinOrderBook.String())
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s.logger.Infof("[Recover] pins without twin orders: %+v", noTwinOrderPins)
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if len(noTwinOrderPins) != 0 {
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if len(noTwinOrderPins) != 0 {
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if err := s.recoverEmptyGridOnTwinOrderBook(ctx, activeOrdersInTwinOrderBook, historyService, s.orderQueryService); err != nil {
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if err := s.recoverEmptyGridOnTwinOrderBook(ctx, activeOrdersInTwinOrderBook, historyService, s.orderQueryService); err != nil {
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s.logger.WithError(err).Error("failed to recover empty grid")
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s.logger.WithError(err).Error("[Recover] failed to recover empty grid")
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return err
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return err
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}
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}
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s.logger.Infof("twin orderbook after recovering no twin order on grid\n%s", activeOrdersInTwinOrderBook.String())
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s.logger.Infof("[Recover] twin orderbook after recovering no twin order on grid\n%s", activeOrdersInTwinOrderBook.String())
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if activeOrdersInTwinOrderBook.EmptyTwinOrderSize() > 0 {
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if activeOrdersInTwinOrderBook.EmptyTwinOrderSize() > 0 {
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return fmt.Errorf("there is still empty grid in twin orderbook")
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return fmt.Errorf("[Recover] there is still empty grid in twin orderbook")
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}
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}
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for _, pin := range noTwinOrderPins {
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for _, pin := range noTwinOrderPins {
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twinOrder := activeOrdersInTwinOrderBook.GetTwinOrder(pin)
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twinOrder := activeOrdersInTwinOrderBook.GetTwinOrder(pin)
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if twinOrder == nil {
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if twinOrder == nil {
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return fmt.Errorf("should not get nil twin order after recovering empty grid, check it")
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return fmt.Errorf("[Recover] should not get nil twin order after recovering empty grid, check it")
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}
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}
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if !twinOrder.Exist() {
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if !twinOrder.Exist() {
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return fmt.Errorf("should not get empty twin order after recovering empty grid, check it")
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return fmt.Errorf("[Recover] should not get empty twin order after recovering empty grid, check it")
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}
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}
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filledOrder := twinOrder.GetOrder()
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s.logger.Infof("[Recover] find filled order #%d (status: %s)", filledOrder.OrderID, filledOrder.Status)
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if filledOrder.Status != types.OrderStatusFilled {
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return fmt.Errorf("[Recover] should not get non-filled status, check it")
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}
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s.logger.Infof("[Recover] emit filled order %s", filledOrder)
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activeOrderBook.EmitFilled(twinOrder.GetOrder())
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activeOrderBook.EmitFilled(twinOrder.GetOrder())
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time.Sleep(100 * time.Millisecond)
|
time.Sleep(100 * time.Millisecond)
|
||||||
|
@ -216,7 +287,7 @@ func (s *Strategy) recoverEmptyGridOnTwinOrderBook(
|
||||||
queryOrderService types.ExchangeOrderQueryService,
|
queryOrderService types.ExchangeOrderQueryService,
|
||||||
) error {
|
) error {
|
||||||
if twinOrderBook.EmptyTwinOrderSize() == 0 {
|
if twinOrderBook.EmptyTwinOrderSize() == 0 {
|
||||||
s.logger.Info("no empty grid")
|
s.logger.Info("[Recover] no empty grid")
|
||||||
return nil
|
return nil
|
||||||
}
|
}
|
||||||
|
|
||||||
|
@ -233,24 +304,24 @@ func (s *Strategy) recoverEmptyGridOnTwinOrderBook(
|
||||||
|
|
||||||
for {
|
for {
|
||||||
if err := queryTradesToUpdateTwinOrderBook(ctx, s.Symbol, twinOrderBook, queryTradesService, queryOrderService, existedOrders, since, until, s.debugLog); err != nil {
|
if err := queryTradesToUpdateTwinOrderBook(ctx, s.Symbol, twinOrderBook, queryTradesService, queryOrderService, existedOrders, since, until, s.debugLog); err != nil {
|
||||||
return errors.Wrapf(err, "failed to query trades to update twin orderbook")
|
return errors.Wrapf(err, "[Recover] failed to query trades to update twin orderbook")
|
||||||
}
|
}
|
||||||
|
|
||||||
until = since
|
until = since
|
||||||
since = until.Add(-6 * time.Hour)
|
since = until.Add(-6 * time.Hour)
|
||||||
|
|
||||||
if twinOrderBook.EmptyTwinOrderSize() == 0 {
|
if twinOrderBook.EmptyTwinOrderSize() == 0 {
|
||||||
s.logger.Infof("stop querying trades because there is no empty twin order on twin orderbook")
|
s.logger.Infof("[Recover] stop querying trades because there is no empty twin order on twin orderbook")
|
||||||
break
|
break
|
||||||
}
|
}
|
||||||
|
|
||||||
if s.GridProfitStats != nil && s.GridProfitStats.Since != nil && until.Before(*s.GridProfitStats.Since) {
|
if s.GridProfitStats != nil && s.GridProfitStats.Since != nil && until.Before(*s.GridProfitStats.Since) {
|
||||||
s.logger.Infof("stop querying trades because the time range is out of the strategy's since (%s)", *s.GridProfitStats.Since)
|
s.logger.Infof("[Recover] stop querying trades because the time range is out of the strategy's since (%s)", *s.GridProfitStats.Since)
|
||||||
break
|
break
|
||||||
}
|
}
|
||||||
|
|
||||||
if until.Before(recoverSinceLimit) {
|
if until.Before(recoverSinceLimit) {
|
||||||
s.logger.Infof("stop querying trades because the time range is out of the limit (%s)", recoverSinceLimit)
|
s.logger.Infof("[Recover] stop querying trades because the time range is out of the limit (%s)", recoverSinceLimit)
|
||||||
break
|
break
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
@ -262,7 +333,7 @@ func buildTwinOrderBook(pins []Pin, orders []types.Order) (*TwinOrderBook, error
|
||||||
book := newTwinOrderBook(pins)
|
book := newTwinOrderBook(pins)
|
||||||
|
|
||||||
for _, order := range orders {
|
for _, order := range orders {
|
||||||
if err := book.AddOrder(order); err != nil {
|
if err := book.AddOrder(order, true); err != nil {
|
||||||
return nil, err
|
return nil, err
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
@ -311,7 +382,7 @@ func queryTradesToUpdateTwinOrderBook(
|
||||||
logger func(format string, args ...interface{}),
|
logger func(format string, args ...interface{}),
|
||||||
) error {
|
) error {
|
||||||
if twinOrderBook == nil {
|
if twinOrderBook == nil {
|
||||||
return fmt.Errorf("twin orderbook should not be nil, please check it")
|
return fmt.Errorf("[Recover] twin orderbook should not be nil, please check it")
|
||||||
}
|
}
|
||||||
|
|
||||||
var fromTradeID uint64 = 0
|
var fromTradeID uint64 = 0
|
||||||
|
@ -325,11 +396,11 @@ func queryTradesToUpdateTwinOrderBook(
|
||||||
})
|
})
|
||||||
|
|
||||||
if err != nil {
|
if err != nil {
|
||||||
return errors.Wrapf(err, "failed to query trades to recover the grid")
|
return errors.Wrapf(err, "[Recover] failed to query trades to recover the grid")
|
||||||
}
|
}
|
||||||
|
|
||||||
if logger != nil {
|
if logger != nil {
|
||||||
logger("QueryTrades from %s <-> %s (from: %d) return %d trades", since, until, fromTradeID, len(trades))
|
logger("[Recover] QueryTrades from %s <-> %s (from: %d) return %d trades", since, until, fromTradeID, len(trades))
|
||||||
}
|
}
|
||||||
|
|
||||||
for _, trade := range trades {
|
for _, trade := range trades {
|
||||||
|
@ -338,7 +409,7 @@ func queryTradesToUpdateTwinOrderBook(
|
||||||
}
|
}
|
||||||
|
|
||||||
if logger != nil {
|
if logger != nil {
|
||||||
logger(trade.String())
|
logger("[Recover] " + trade.String())
|
||||||
}
|
}
|
||||||
|
|
||||||
if existedOrders.Exists(trade.OrderID) {
|
if existedOrders.Exists(trade.OrderID) {
|
||||||
|
@ -351,19 +422,19 @@ func queryTradesToUpdateTwinOrderBook(
|
||||||
})
|
})
|
||||||
|
|
||||||
if err != nil {
|
if err != nil {
|
||||||
return errors.Wrapf(err, "failed to query order by trade (trade id: %d, order id: %d)", trade.ID, trade.OrderID)
|
return errors.Wrapf(err, "[Recover] failed to query order by trade (trade id: %d, order id: %d)", trade.ID, trade.OrderID)
|
||||||
}
|
}
|
||||||
|
|
||||||
if logger != nil {
|
if logger != nil {
|
||||||
logger(order.String())
|
logger("[Recover] " + order.String())
|
||||||
}
|
}
|
||||||
// avoid query this order again
|
// avoid query this order again
|
||||||
existedOrders.Add(*order)
|
existedOrders.Add(*order)
|
||||||
// add 1 to avoid duplicate
|
// add 1 to avoid duplicate
|
||||||
fromTradeID = trade.ID + 1
|
fromTradeID = trade.ID + 1
|
||||||
|
|
||||||
if err := twinOrderBook.AddOrder(*order); err != nil {
|
if err := twinOrderBook.AddOrder(*order, true); err != nil {
|
||||||
return errors.Wrapf(err, "failed to add queried order into twin orderbook")
|
return errors.Wrapf(err, "[Recover] failed to add queried order into twin orderbook: %s", order.String())
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
|
||||||
|
|
|
@ -1993,7 +1993,7 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
|
||||||
return
|
return
|
||||||
}
|
}
|
||||||
|
|
||||||
s.recoverActiveOrdersPeriodically(ctx)
|
s.recoverPeriodically(ctx)
|
||||||
})
|
})
|
||||||
} else {
|
} else {
|
||||||
s.startProcess(ctx, session)
|
s.startProcess(ctx, session)
|
||||||
|
@ -2008,12 +2008,14 @@ func (s *Strategy) startProcess(ctx context.Context, session *bbgo.ExchangeSessi
|
||||||
if s.RecoverOrdersWhenStart {
|
if s.RecoverOrdersWhenStart {
|
||||||
// do recover only when triggerPrice is not set and not in the back-test mode
|
// 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...")
|
s.logger.Infof("recoverWhenStart is set, trying to recover grid orders...")
|
||||||
if err := s.recoverGrid(ctx, session); err != nil {
|
if err := s.recover(ctx); err != nil {
|
||||||
// if recover fail, return and do not open grid
|
// if recover fail, return and do not open grid
|
||||||
s.logger.WithError(err).Error("failed to start process, recover error")
|
s.logger.WithError(err).Error("failed to start process, recover error")
|
||||||
s.EmitGridError(errors.Wrapf(err, "failed to start process, recover error"))
|
s.EmitGridError(errors.Wrapf(err, "failed to start process, recover error"))
|
||||||
return err
|
return err
|
||||||
}
|
}
|
||||||
|
|
||||||
|
s.EmitGridReady()
|
||||||
}
|
}
|
||||||
|
|
||||||
// avoid using goroutine here for back-test
|
// avoid using goroutine here for back-test
|
||||||
|
|
|
@ -175,6 +175,9 @@ func (b *TwinOrderBook) String() string {
|
||||||
sb.WriteString("================== TWIN ORDERBOOK ==================\n")
|
sb.WriteString("================== TWIN ORDERBOOK ==================\n")
|
||||||
for _, pin := range b.pins {
|
for _, pin := range b.pins {
|
||||||
twin := b.m[fixedpoint.Value(pin)]
|
twin := b.m[fixedpoint.Value(pin)]
|
||||||
|
if twin == nil {
|
||||||
|
continue
|
||||||
|
}
|
||||||
twinOrder := twin.GetOrder()
|
twinOrder := twin.GetOrder()
|
||||||
sb.WriteString(fmt.Sprintf("-> %8s) %s\n", pin, twinOrder.String()))
|
sb.WriteString(fmt.Sprintf("-> %8s) %s\n", pin, twinOrder.String()))
|
||||||
}
|
}
|
||||||
|
@ -217,7 +220,7 @@ func (b *TwinOrderBook) GetTwinOrderPin(order types.Order) (fixedpoint.Value, er
|
||||||
return b.pins[idx], nil
|
return b.pins[idx], nil
|
||||||
}
|
}
|
||||||
|
|
||||||
func (b *TwinOrderBook) AddOrder(order types.Order) error {
|
func (b *TwinOrderBook) AddOrder(order types.Order, checkUpdateTime bool) error {
|
||||||
b.mu.Lock()
|
b.mu.Lock()
|
||||||
defer b.mu.Unlock()
|
defer b.mu.Unlock()
|
||||||
|
|
||||||
|
@ -238,7 +241,12 @@ func (b *TwinOrderBook) AddOrder(order types.Order) error {
|
||||||
// Exist == false means there is no twin order on this pin
|
// Exist == false means there is no twin order on this pin
|
||||||
if !twinOrder.Exist() {
|
if !twinOrder.Exist() {
|
||||||
b.size++
|
b.size++
|
||||||
|
} else {
|
||||||
|
if checkUpdateTime && twinOrder.GetOrder().UpdateTime.After(order.UpdateTime.Time()) {
|
||||||
|
return nil
|
||||||
|
}
|
||||||
}
|
}
|
||||||
|
|
||||||
if b.size >= len(b.pins) {
|
if b.size >= len(b.pins) {
|
||||||
return fmt.Errorf("the maximum size of twin orderbook is len(pins) - 1, need to check it")
|
return fmt.Errorf("the maximum size of twin orderbook is len(pins) - 1, need to check it")
|
||||||
}
|
}
|
||||||
|
@ -251,13 +259,6 @@ func (b *TwinOrderBook) GetTwinOrder(pin fixedpoint.Value) *TwinOrder {
|
||||||
return b.m[pin]
|
return b.m[pin]
|
||||||
}
|
}
|
||||||
|
|
||||||
func (b *TwinOrderBook) AddTwinOrder(pin fixedpoint.Value, order *TwinOrder) {
|
|
||||||
b.mu.Lock()
|
|
||||||
defer b.mu.Unlock()
|
|
||||||
|
|
||||||
b.m[pin] = order
|
|
||||||
}
|
|
||||||
|
|
||||||
// Size is the valid twin order on grid.
|
// Size is the valid twin order on grid.
|
||||||
func (b *TwinOrderBook) Size() int {
|
func (b *TwinOrderBook) Size() int {
|
||||||
return b.size
|
return b.size
|
||||||
|
|
|
@ -53,7 +53,7 @@ func TestTwinOrderBook(t *testing.T) {
|
||||||
}
|
}
|
||||||
|
|
||||||
for _, order := range orders {
|
for _, order := range orders {
|
||||||
assert.NoError(book.AddOrder(order))
|
assert.NoError(book.AddOrder(order, false))
|
||||||
}
|
}
|
||||||
assert.Equal(2, book.Size())
|
assert.Equal(2, book.Size())
|
||||||
assert.Equal(2, book.EmptyTwinOrderSize())
|
assert.Equal(2, book.EmptyTwinOrderSize())
|
||||||
|
|
Loading…
Reference in New Issue
Block a user