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FEATURE: recover grids with open orders by querying trades process and its buildPinOrderMap method
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4288c82e25
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@ -1339,6 +1339,70 @@ func (s *Strategy) checkMinimalQuoteInvestment(grid *Grid) error {
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return nil
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return nil
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}
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}
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func (s *Strategy) recoverGridWithOpenOrdersByScanningTrades(ctx context.Context, historyService types.ExchangeTradeHistoryService, openOrdersOnGrid []types.Order) error {
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if s.orderQueryService == nil {
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return fmt.Errorf("orderQueryService is nil, it can't get orders by trade")
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}
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// set grid
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grid := s.newGrid()
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s.setGrid(grid)
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// add open orders to active order book
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s.addOrdersToActiveOrderBook(openOrdersOnGrid)
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expectedOrderNums := s.GridNum - 1
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openOrdersOnGridNums := int64(len(openOrdersOnGrid))
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s.logger.Infof("[DEBUG] open orders nums: %d, expected nums: %d", openOrdersOnGridNums, expectedOrderNums)
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if expectedOrderNums == openOrdersOnGridNums {
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// no need to recover
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return nil
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}
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// 1. build pin-order map
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// 2. fill the pin-order map by querying trades
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// 3. get the filled orders from pin-order map
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// 4. emit the filled orders
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// 5. emit grid ready
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s.EmitGridReady()
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// 6. debug and send metrics
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debugGrid(s.logger, grid, s.orderExecutor.ActiveMakerOrders())
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s.updateGridNumOfOrdersMetrics()
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s.updateOpenOrderPricesMetrics(s.orderExecutor.ActiveMakerOrders().Orders())
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return nil
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}
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// buildPinOrderMap build the pin-order map with grid and open orders.
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// The keys of this map contains all required pins of this grid.
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// If the Order of the pin is empty types.Order (OrderID == 0), it means there is no open orders at this pin.
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func (s *Strategy) buildPinOrderMap(grid *Grid, openOrders []types.Order) (map[string]types.Order, error) {
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pinOrderMap := make(map[string]types.Order)
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for _, pin := range grid.Pins {
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priceStr := s.FormatPrice(fixedpoint.Value(pin))
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pinOrderMap[priceStr] = types.Order{}
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}
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for _, openOrder := range openOrders {
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priceStr := s.FormatPrice(openOrder.Price)
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v, exist := pinOrderMap[priceStr]
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if !exist {
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return nil, fmt.Errorf("the price of the order (id: %d) is not in pins", openOrder.OrderID)
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}
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if v.OrderID != 0 {
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return nil, fmt.Errorf("there are duplicated open orders at the same pin")
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}
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pinOrderMap[priceStr] = openOrder
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}
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return pinOrderMap, nil
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}
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func (s *Strategy) recoverGridWithOpenOrders(ctx context.Context, historyService types.ExchangeTradeHistoryService, openOrders []types.Order) error {
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func (s *Strategy) recoverGridWithOpenOrders(ctx context.Context, historyService types.ExchangeTradeHistoryService, openOrders []types.Order) error {
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grid := s.newGrid()
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grid := s.newGrid()
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@ -1846,7 +1910,7 @@ func (s *Strategy) startProcess(ctx context.Context, session *bbgo.ExchangeSessi
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if s.RecoverOrdersWhenStart {
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if s.RecoverOrdersWhenStart {
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// do recover only when triggerPrice is not set and not in the back-test mode
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// do recover only when triggerPrice is not set and not in the back-test mode
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s.logger.Infof("recoverWhenStart is set, trying to recover grid orders...")
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s.logger.Infof("recoverWhenStart is set, trying to recover grid orders...")
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if err := s.recoverGrid(ctx, session); err != nil {
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if err := s.recoverGridByScanningOrders(ctx, session); err != nil {
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s.logger.WithError(err).Errorf("recover error")
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s.logger.WithError(err).Errorf("recover error")
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}
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}
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}
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}
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@ -1857,7 +1921,7 @@ func (s *Strategy) startProcess(ctx context.Context, session *bbgo.ExchangeSessi
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}
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}
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}
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}
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func (s *Strategy) recoverGrid(ctx context.Context, session *bbgo.ExchangeSession) error {
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func (s *Strategy) recoverGridByScanningOrders(ctx context.Context, session *bbgo.ExchangeSession) error {
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openOrders, err := session.Exchange.QueryOpenOrders(ctx, s.Symbol)
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openOrders, err := session.Exchange.QueryOpenOrders(ctx, s.Symbol)
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if err != nil {
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if err != nil {
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return err
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return err
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@ -1884,6 +1948,45 @@ func (s *Strategy) recoverGrid(ctx context.Context, session *bbgo.ExchangeSessio
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return nil
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return nil
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}
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}
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func (s *Strategy) recoverGridByScanningTrades(ctx context.Context, session *bbgo.ExchangeSession) error {
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// no initial order id means we don't need to recover
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if s.GridProfitStats.InitialOrderID == 0 {
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s.logger.Info("[DEBUG] new strategy, no need to recover")
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return nil
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}
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openOrders, err := session.Exchange.QueryOpenOrders(ctx, s.Symbol)
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if err != nil {
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return err
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}
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s.logger.Infof("found %d open orders left on the %s order book", len(openOrders), s.Symbol)
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s.logger.Infof("[DEBUG] recover grid with group id: %d", s.OrderGroupID)
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// filter out the order with the group id belongs to this grid
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var openOrdersOnGrid []types.Order
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for _, order := range openOrders {
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s.logger.Infof("[DEBUG] order (%d) group id: %d", order.OrderID, order.GroupID)
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if order.GroupID == s.OrderGroupID {
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openOrdersOnGrid = append(openOrdersOnGrid, order)
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}
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}
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s.logger.Infof("found %d open orders belong to this grid on the %s order book", len(openOrdersOnGrid), s.Symbol)
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historyService, implemented := session.Exchange.(types.ExchangeTradeHistoryService)
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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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return nil
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}
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if err := s.recoverGridWithOpenOrdersByScanningTrades(ctx, historyService, openOrdersOnGrid); err != nil {
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return errors.Wrap(err, "grid recover error")
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}
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return nil
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}
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// openOrdersMismatches verifies if the open orders are on the grid pins
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// openOrdersMismatches verifies if the open orders are on the grid pins
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// return true if mismatches
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// return true if mismatches
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func (s *Strategy) openOrdersMismatches(ctx context.Context, session *bbgo.ExchangeSession) (bool, error) {
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func (s *Strategy) openOrdersMismatches(ctx context.Context, session *bbgo.ExchangeSession) (bool, error) {
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@ -981,3 +981,118 @@ func Test_roundUpMarketQuantity(t *testing.T) {
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assert.Equal(t, "0.00000003", q3.String(), "rounding prec 8")
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assert.Equal(t, "0.00000003", q3.String(), "rounding prec 8")
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assert.Equal(t, 8, prec)
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assert.Equal(t, 8, prec)
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}
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}
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func Test_buildPinOrderMap(t *testing.T) {
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assert := assert.New(t)
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s := newTestStrategy()
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s.UpperPrice = number(2000.0)
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s.LowerPrice = number(1000.0)
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s.GridNum = 11
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s.grid = s.newGrid()
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t.Run("successful case", func(t *testing.T) {
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openOrders := []types.Order{
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types.Order{
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SubmitOrder: types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimit,
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Quantity: number(1.0),
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Price: number(1000.0),
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AveragePrice: number(0),
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StopPrice: number(0),
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Market: s.Market,
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TimeInForce: types.TimeInForceGTC,
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},
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Exchange: "max",
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GID: 1,
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OrderID: 1,
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Status: types.OrderStatusNew,
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ExecutedQuantity: number(0.0),
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IsWorking: false,
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},
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}
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m, err := s.buildPinOrderMap(s.grid, openOrders)
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assert.NoError(err)
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assert.Len(m, 11)
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for pin, order := range m {
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if pin == s.FormatPrice(openOrders[0].Price) {
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assert.Equal(openOrders[0].OrderID, order.OrderID)
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} else {
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assert.Equal(uint64(0), order.OrderID)
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}
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}
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})
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t.Run("there is one order with non-pin price in openOrders", func(t *testing.T) {
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openOrders := []types.Order{
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types.Order{
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SubmitOrder: types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimit,
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Quantity: number(1.0),
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Price: number(1111.0),
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AveragePrice: number(0),
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StopPrice: number(0),
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Market: s.Market,
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TimeInForce: types.TimeInForceGTC,
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},
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Exchange: "max",
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GID: 1,
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OrderID: 1,
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Status: types.OrderStatusNew,
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ExecutedQuantity: number(0.0),
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IsWorking: false,
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},
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}
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_, err := s.buildPinOrderMap(s.grid, openOrders)
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assert.Error(err)
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})
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t.Run("there are duplicated open orders at same pin", func(t *testing.T) {
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openOrders := []types.Order{
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types.Order{
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SubmitOrder: types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimit,
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Quantity: number(1.0),
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Price: number(1000.0),
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AveragePrice: number(0),
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StopPrice: number(0),
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Market: s.Market,
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TimeInForce: types.TimeInForceGTC,
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},
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Exchange: "max",
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GID: 1,
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OrderID: 1,
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Status: types.OrderStatusNew,
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ExecutedQuantity: number(0.0),
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IsWorking: false,
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},
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types.Order{
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SubmitOrder: types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimit,
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Quantity: number(1.0),
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Price: number(1000.0),
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AveragePrice: number(0),
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StopPrice: number(0),
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Market: s.Market,
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TimeInForce: types.TimeInForceGTC,
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},
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Exchange: "max",
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GID: 2,
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OrderID: 2,
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Status: types.OrderStatusNew,
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ExecutedQuantity: number(0.0),
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IsWorking: false,
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},
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}
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_, err := s.buildPinOrderMap(s.grid, openOrders)
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assert.Error(err)
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})
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}
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