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rename LocalActiveOrderBook to just ActiveOrderBook

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c9s 2022-06-06 05:43:38 +08:00
parent 1e27caa5e2
commit 3786fc64f1
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GPG Key ID: 7385E7E464CB0A54
14 changed files with 41 additions and 58 deletions
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52
pkg/bbgo/active_book.go → pkg/bbgo/activeorderbook.go
View File

@ -12,35 +12,35 @@ import (
const CancelOrderWaitTime = 20 * time.Millisecond
// LocalActiveOrderBook manages the local active order books.
//go:generate callbackgen -type LocalActiveOrderBook
type LocalActiveOrderBook struct {
// ActiveOrderBook manages the local active order books.
//go:generate callbackgen -type ActiveOrderBook
type ActiveOrderBook struct {
Symbol string
orders *types.SyncOrderMap
filledCallbacks []func(o types.Order)
}
func NewLocalActiveOrderBook(symbol string) *LocalActiveOrderBook {
return &LocalActiveOrderBook{
func NewLocalActiveOrderBook(symbol string) *ActiveOrderBook {
return &ActiveOrderBook{
Symbol: symbol,
orders: types.NewSyncOrderMap(),
}
}
func (b *LocalActiveOrderBook) MarshalJSON() ([]byte, error) {
func (b *ActiveOrderBook) MarshalJSON() ([]byte, error) {
orders := b.Backup()
return json.Marshal(orders)
}
func (b *LocalActiveOrderBook) Backup() []types.SubmitOrder {
func (b *ActiveOrderBook) Backup() []types.SubmitOrder {
return b.orders.Backup()
}
func (b *LocalActiveOrderBook) BindStream(stream types.Stream) {
func (b *ActiveOrderBook) BindStream(stream types.Stream) {
stream.OnOrderUpdate(b.orderUpdateHandler)
}
func (b *LocalActiveOrderBook) waitAllClear(ctx context.Context, waitTime, timeout time.Duration) (bool, error) {
func (b *ActiveOrderBook) waitAllClear(ctx context.Context, waitTime, timeout time.Duration) (bool, error) {
numOfOrders := b.NumOfOrders()
clear := numOfOrders == 0
if clear {
@ -68,8 +68,8 @@ func (b *LocalActiveOrderBook) waitAllClear(ctx context.Context, waitTime, timeo
}
// GracefulCancel cancels the active orders gracefully
func (b *LocalActiveOrderBook) GracefulCancel(ctx context.Context, ex types.Exchange) error {
log.Debugf("[LocalActiveOrderBook] gracefully cancelling %s orders...", b.Symbol)
func (b *ActiveOrderBook) GracefulCancel(ctx context.Context, ex types.Exchange) error {
log.Debugf("[ActiveOrderBook] gracefully cancelling %s orders...", b.Symbol)
startTime := time.Now()
// ensure every order is cancelled
@ -83,21 +83,21 @@ func (b *LocalActiveOrderBook) GracefulCancel(ctx context.Context, ex types.Exch
// since ctx might be canceled, we should use background context here
if err := ex.CancelOrders(context.Background(), orders...); err != nil {
log.WithError(err).Errorf("[LocalActiveOrderBook] can not cancel %s orders", b.Symbol)
log.WithError(err).Errorf("[ActiveOrderBook] can not cancel %s orders", b.Symbol)
}
log.Debugf("[LocalActiveOrderBook] waiting %s for %s orders to be cancelled...", CancelOrderWaitTime, b.Symbol)
log.Debugf("[ActiveOrderBook] waiting %s for %s orders to be cancelled...", CancelOrderWaitTime, b.Symbol)
clear, err := b.waitAllClear(ctx, CancelOrderWaitTime, 5*time.Second)
if clear || err != nil {
break
}
log.Warnf("[LocalActiveOrderBook] %d %s orders are not cancelled yet:", b.NumOfOrders(), b.Symbol)
log.Warnf("[ActiveOrderBook] %d %s orders are not cancelled yet:", b.NumOfOrders(), b.Symbol)
b.Print()
// verify the current open orders via the RESTful API
log.Warnf("[LocalActiveOrderBook] using REStful API to verify active orders...")
log.Warnf("[ActiveOrderBook] using REStful API to verify active orders...")
openOrders, err := ex.QueryOpenOrders(ctx, b.Symbol)
if err != nil {
log.WithError(err).Errorf("can not query %s open orders", b.Symbol)
@ -114,17 +114,17 @@ func (b *LocalActiveOrderBook) GracefulCancel(ctx context.Context, ex types.Exch
}
}
log.Debugf("[LocalActiveOrderBook] all %s orders are cancelled successfully in %s", b.Symbol, time.Since(startTime))
log.Debugf("[ActiveOrderBook] all %s orders are cancelled successfully in %s", b.Symbol, time.Since(startTime))
return nil
}
func (b *LocalActiveOrderBook) orderUpdateHandler(order types.Order) {
func (b *ActiveOrderBook) orderUpdateHandler(order types.Order) {
hasSymbol := len(b.Symbol) > 0
if hasSymbol && order.Symbol != b.Symbol {
return
}
log.Debugf("[LocalActiveOrderBook] received order update: %+v", order)
log.Debugf("[ActiveOrderBook] received order update: %+v", order)
switch order.Status {
case types.OrderStatusFilled:
@ -137,7 +137,7 @@ func (b *LocalActiveOrderBook) orderUpdateHandler(order types.Order) {
b.Update(order)
case types.OrderStatusCanceled, types.OrderStatusRejected:
log.Debugf("[LocalActiveOrderBook] order status %s, removing order %s", order.Status, order)
log.Debugf("[ActiveOrderBook] order status %s, removing order %s", order.Status, order)
b.Remove(order)
default:
@ -145,13 +145,13 @@ func (b *LocalActiveOrderBook) orderUpdateHandler(order types.Order) {
}
}
func (b *LocalActiveOrderBook) Print() {
func (b *ActiveOrderBook) Print() {
for _, o := range b.orders.Orders() {
log.Infof("%s", o)
}
}
func (b *LocalActiveOrderBook) Update(orders ...types.Order) {
func (b *ActiveOrderBook) Update(orders ...types.Order) {
hasSymbol := len(b.Symbol) > 0
for _, order := range orders {
if hasSymbol && b.Symbol == order.Symbol {
@ -160,7 +160,7 @@ func (b *LocalActiveOrderBook) Update(orders ...types.Order) {
}
}
func (b *LocalActiveOrderBook) Add(orders ...types.Order) {
func (b *ActiveOrderBook) Add(orders ...types.Order) {
hasSymbol := len(b.Symbol) > 0
for _, order := range orders {
if hasSymbol && b.Symbol == order.Symbol {
@ -169,18 +169,18 @@ func (b *LocalActiveOrderBook) Add(orders ...types.Order) {
}
}
func (b *LocalActiveOrderBook) Exists(order types.Order) bool {
func (b *ActiveOrderBook) Exists(order types.Order) bool {
return b.orders.Exists(order.OrderID)
}
func (b *LocalActiveOrderBook) Remove(order types.Order) bool {
func (b *ActiveOrderBook) Remove(order types.Order) bool {
return b.orders.Remove(order.OrderID)
}
func (b *LocalActiveOrderBook) NumOfOrders() int {
func (b *ActiveOrderBook) NumOfOrders() int {
return b.orders.Len()
}
func (b *LocalActiveOrderBook) Orders() types.OrderSlice {
func (b *ActiveOrderBook) Orders() types.OrderSlice {
return b.orders.Orders()
}

17
pkg/bbgo/localactiveorderbook_callbacks.go
View File

@ -1,17 +0,0 @@
// Code generated by "callbackgen -type LocalActiveOrderBook"; DO NOT EDIT.
package bbgo
import (
"github.com/c9s/bbgo/pkg/types"
)
func (b *LocalActiveOrderBook) OnFilled(cb func(o types.Order)) {
b.filledCallbacks = append(b.filledCallbacks, cb)
}
func (b *LocalActiveOrderBook) EmitFilled(o types.Order) {
for _, cb := range b.filledCallbacks {
cb(o)
}
}

2
pkg/bbgo/twap_order_executor.go
View File

@ -36,7 +36,7 @@ type TwapExecution struct {
currentPrice fixedpoint.Value
activePosition fixedpoint.Value
activeMakerOrders *LocalActiveOrderBook
activeMakerOrders *ActiveOrderBook
orderStore *OrderStore
position *types.Position

4
pkg/strategy/bollgrid/strategy.go
View File

@ -74,9 +74,9 @@ type Strategy struct {
Quantity fixedpoint.Value `json:"quantity"`
// activeOrders is the locally maintained active order book of the maker orders.
activeOrders *bbgo.LocalActiveOrderBook
activeOrders *bbgo.ActiveOrderBook
profitOrders *bbgo.LocalActiveOrderBook
profitOrders *bbgo.ActiveOrderBook
orders *bbgo.OrderStore

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

@ -156,7 +156,7 @@ type Strategy struct {
Position *types.Position `json:"position,omitempty" persistence:"position"`
ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
activeMakerOrders *bbgo.LocalActiveOrderBook
activeMakerOrders *bbgo.ActiveOrderBook
orderStore *bbgo.OrderStore
tradeCollector *bbgo.TradeCollector

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

@ -54,7 +54,7 @@ type Strategy struct {
*bbgo.Graceful
bbgo.StrategyController
activeMakerOrders *bbgo.LocalActiveOrderBook
activeMakerOrders *bbgo.ActiveOrderBook
orderStore *bbgo.OrderStore
tradeCollector *bbgo.TradeCollector
entryPrice fixedpoint.Value

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

@ -34,7 +34,7 @@ type Strategy struct {
Position *types.Position `json:"position,omitempty"`
activeMakerOrders *bbgo.LocalActiveOrderBook
activeMakerOrders *bbgo.ActiveOrderBook
orderStore *bbgo.OrderStore
tradeCollector *bbgo.TradeCollector

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

@ -37,7 +37,7 @@ type Strategy struct {
BaseQuantity fixedpoint.Value `json:"baseQuantity"`
// activeOrders is the locally maintained active order book of the maker orders.
activeOrders *bbgo.LocalActiveOrderBook
activeOrders *bbgo.ActiveOrderBook
// Injection fields start
// --------------------------

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

@ -100,7 +100,7 @@ type Strategy struct {
orderStore *bbgo.OrderStore
// activeOrders is the locally maintained active order book of the maker orders.
activeOrders *bbgo.LocalActiveOrderBook
activeOrders *bbgo.ActiveOrderBook
tradeCollector *bbgo.TradeCollector

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

@ -60,7 +60,7 @@ type Strategy struct {
Entry Entry
Exit Exit
activeMakerOrders *bbgo.LocalActiveOrderBook
activeMakerOrders *bbgo.ActiveOrderBook
orderStore *bbgo.OrderStore
tradeCollector *bbgo.TradeCollector

4
pkg/strategy/rebalance/strategy.go
View File

@ -36,7 +36,7 @@ type Strategy struct {
currencies []string
activeOrderBooks map[string]*bbgo.LocalActiveOrderBook
activeOrderBooks map[string]*bbgo.ActiveOrderBook
}
func (s *Strategy) Initialize() error {
@ -81,7 +81,7 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
s.activeOrderBooks = make(map[string]*bbgo.LocalActiveOrderBook)
s.activeOrderBooks = make(map[string]*bbgo.ActiveOrderBook)
for _, symbol := range s.getSymbols() {
activeOrderBook := bbgo.NewLocalActiveOrderBook(symbol)
activeOrderBook.BindStream(session.UserDataStream)

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

@ -171,7 +171,7 @@ type Strategy struct {
tradeCollector *bbgo.TradeCollector
orderStore *bbgo.OrderStore
activeOrders *bbgo.LocalActiveOrderBook
activeOrders *bbgo.ActiveOrderBook
state *State
triggerEMA *indicator.EWMA

4
pkg/strategy/wall/strategy.go
View File

@ -67,8 +67,8 @@ type Strategy struct {
Position *types.Position `json:"position,omitempty" persistence:"position"`
ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
activeAdjustmentOrders *bbgo.LocalActiveOrderBook
activeWallOrders *bbgo.LocalActiveOrderBook
activeAdjustmentOrders *bbgo.ActiveOrderBook
activeWallOrders *bbgo.ActiveOrderBook
orderStore *bbgo.OrderStore
tradeCollector *bbgo.TradeCollector

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

@ -103,7 +103,7 @@ type Strategy struct {
CoveredPosition fixedpoint.Value `json:"coveredPosition,omitempty" persistence:"covered_position"`
book *types.StreamOrderBook
activeMakerOrders *bbgo.LocalActiveOrderBook
activeMakerOrders *bbgo.ActiveOrderBook
hedgeErrorLimiter *rate.Limiter
hedgeErrorRateReservation *rate.Reservation