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xmaker: pull out PriceHeartBeat

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This commit is contained in:
c9s 2022-01-12 12:14:51 +08:00
parent 7195c6ed27
commit 420e221f5b
1 changed files with 28 additions and 32 deletions
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60
pkg/strategy/xmaker/strategy.go
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@ -20,6 +20,26 @@ import (
"github.com/c9s/bbgo/pkg/util"
)
type PriceHeartBeat struct {
PriceVolume types.PriceVolume
LastTime time.Time
}
func (b *PriceHeartBeat) Update(pv types.PriceVolume) (bool, error) {
if b.PriceVolume.Price == 0 || b.PriceVolume != pv {
b.PriceVolume = pv
b.LastTime = time.Now()
return true, nil // successfully updated
} else if time.Since(b.LastTime) > priceNotUpdatingTimeout {
return false, fmt.Errorf("price %s has not been updating for %s, last update: %s, skip quoting",
b.PriceVolume.String(),
priceNotUpdatingTimeout,
b.LastTime)
}
return false, nil
}
var defaultMargin = fixedpoint.NewFromFloat(0.003)
const priceNotUpdatingTimeout = 30 * time.Second
@ -110,6 +130,8 @@ type Strategy struct {
lastBidPrice, lastAskPrice fixedpoint.Value
lastBidPriceTime, lastAskPriceTime time.Time
askPriceHeartBeat, bidPriceHeartBeat PriceHeartBeat
lastPrice float64
groupID uint32
@ -190,40 +212,14 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
// use mid-price for the last price
s.lastPrice = (bestBid.Price + bestAsk.Price).Float64() / 2
if s.lastBidPrice == 0 {
s.lastBidPrice = bestBid.Price
s.lastBidPriceTime = time.Now()
} else if s.lastBidPrice != bestBid.Price {
s.lastBidPrice = bestAsk.Price
s.lastBidPriceTime = time.Now()
} else {
// same price, check time
if time.Since(s.lastBidPriceTime) > priceNotUpdatingTimeout {
log.Errorf("%s bid price %f has not been updating for %s, last update: %s, skip quoting",
s.Symbol,
s.lastBidPrice.Float64(),
priceNotUpdatingTimeout,
s.lastBidPriceTime)
return
}
if _, err := s.bidPriceHeartBeat.Update(bestBid) ; err != nil {
log.WithError(err).Errorf("quote update error, %s price not updating", s.Symbol)
return
}
if s.lastAskPrice == 0 {
s.lastAskPrice = bestAsk.Price
s.lastAskPriceTime = time.Now()
} else if s.lastAskPrice != bestAsk.Price {
s.lastAskPrice = bestAsk.Price
s.lastAskPriceTime = time.Now()
} else {
// same price, check time
if time.Since(s.lastAskPriceTime) > priceNotUpdatingTimeout {
log.Errorf("%s ask price %f has not been updating for %s, last update: %s, skip quoting",
s.Symbol,
s.lastAskPrice.Float64(),
priceNotUpdatingTimeout,
s.lastAskPriceTime)
return
}
if _, err := s.askPriceHeartBeat.Update(bestAsk) ; err != nil {
log.WithError(err).Errorf("quote update error, %s price not updating", s.Symbol)
return
}
sourceBook := s.book.CopyDepth(20)