FEATURE: merge active orders recover and grid recover logic

pkg/strategy/grid2/active_order_recover.go

@@ -1,159 +0,0 @@
-package grid2
-
-import (
-	"context"
-	"strconv"
-	"time"
-
-	"github.com/c9s/bbgo/pkg/bbgo"
-	"github.com/c9s/bbgo/pkg/exchange/retry"
-	"github.com/c9s/bbgo/pkg/types"
-	"github.com/c9s/bbgo/pkg/util"
-	"github.com/pkg/errors"
-	"github.com/prometheus/client_golang/prometheus"
-	"github.com/sirupsen/logrus"
-	"go.uber.org/multierr"
-)
-
-type SyncActiveOrdersOpts struct {
-	logger            *logrus.Entry
-	metricsLabels     prometheus.Labels
-	activeOrderBook   *bbgo.ActiveOrderBook
-	orderQueryService types.ExchangeOrderQueryService
-	exchange          types.Exchange
-}
-
-func (s *Strategy) initializeRecoverCh() bool {
-	s.mu.Lock()
-	defer s.mu.Unlock()
-
-	isInitialize := false
-
-	if s.activeOrdersRecoverC == nil {
-		s.logger.Info("initializing recover channel")
-		s.activeOrdersRecoverC = make(chan struct{}, 1)
-	} else {
-		s.logger.Info("recover channel is already initialized, trigger active orders recover")
-		isInitialize = true
-
-		select {
-		case s.activeOrdersRecoverC <- struct{}{}:
-			s.logger.Info("trigger active orders recover")
-		default:
-			s.logger.Info("activeOrdersRecoverC is full")
-		}
-	}
-
-	return isInitialize
-}
-
-func (s *Strategy) recoverActiveOrdersPeriodically(ctx context.Context) {
-	// every time we activeOrdersRecoverC receive signal, do active orders recover
-	if isInitialize := s.initializeRecoverCh(); isInitialize {
-		return
-	}
-
-	// make ticker's interval random in 25 min ~ 35 min
-	interval := util.MillisecondsJitter(25*time.Minute, 10*60*1000)
-	s.logger.Infof("[ActiveOrderRecover] interval: %s", interval)
-	ticker := time.NewTicker(interval)
-	defer ticker.Stop()
-
-	opts := SyncActiveOrdersOpts{
-		logger:            s.logger,
-		metricsLabels:     s.newPrometheusLabels(),
-		activeOrderBook:   s.orderExecutor.ActiveMakerOrders(),
-		orderQueryService: s.orderQueryService,
-		exchange:          s.session.Exchange,
-	}
-
-	for {
-		select {
-
-		case <-ctx.Done():
-			return
-
-		case <-ticker.C:
-			if err := syncActiveOrders(ctx, opts); err != nil {
-				log.WithError(err).Errorf("unable to sync active orders")
-			}
-
-		case <-s.activeOrdersRecoverC:
-			if err := syncActiveOrders(ctx, opts); err != nil {
-				log.WithError(err).Errorf("unable to sync active orders")
-			}
-
-		}
-	}
-}
-
-func syncActiveOrders(ctx context.Context, opts SyncActiveOrdersOpts) error {
-	opts.logger.Infof("[ActiveOrderRecover] syncActiveOrders")
-
-	notAddNonExistingOpenOrdersAfter := time.Now().Add(-5 * time.Minute)
-
-	openOrders, err := retry.QueryOpenOrdersUntilSuccessful(ctx, opts.exchange, opts.activeOrderBook.Symbol)
-	if err != nil {
-		opts.logger.WithError(err).Error("[ActiveOrderRecover] failed to query open orders, skip this time")
-		return errors.Wrapf(err, "[ActiveOrderRecover] failed to query open orders, skip this time")
-	}
-
-	if metricsNumOfOpenOrders != nil {
-		metricsNumOfOpenOrders.With(opts.metricsLabels).Set(float64(len(openOrders)))
-	}
-
-	activeOrders := opts.activeOrderBook.Orders()
-
-	openOrdersMap := make(map[uint64]types.Order)
-	for _, openOrder := range openOrders {
-		openOrdersMap[openOrder.OrderID] = openOrder
-	}
-
-	var errs error
-	// update active orders not in open orders
-	for _, activeOrder := range activeOrders {
-		if _, exist := openOrdersMap[activeOrder.OrderID]; exist {
-			// no need to sync active order already in active orderbook, because we only need to know if it filled or not.
-			delete(openOrdersMap, activeOrder.OrderID)
-		} else {
-			opts.logger.Infof("found active order #%d is not in the open orders, updating...", activeOrder.OrderID)
-
-			// sleep 100ms to avoid DDOS
-			time.Sleep(100 * time.Millisecond)
-
-			if err := syncActiveOrder(ctx, opts.activeOrderBook, opts.orderQueryService, activeOrder.OrderID); err != nil {
-				opts.logger.WithError(err).Errorf("[ActiveOrderRecover] unable to query order #%d", activeOrder.OrderID)
-				errs = multierr.Append(errs, err)
-				continue
-			}
-		}
-	}
-
-	// update open orders not in active orders
-	for _, openOrder := range openOrdersMap {
-		// we don't add open orders into active orderbook if updated in 5 min
-		if openOrder.UpdateTime.After(notAddNonExistingOpenOrdersAfter) {
-			continue
-		}
-
-		opts.activeOrderBook.Add(openOrder)
-		// opts.activeOrderBook.Update(openOrder)
-	}
-
-	return errs
-}
-
-func syncActiveOrder(ctx context.Context, activeOrderBook *bbgo.ActiveOrderBook, orderQueryService types.ExchangeOrderQueryService, orderID uint64) error {
-	updatedOrder, err := retry.QueryOrderUntilSuccessful(ctx, orderQueryService, types.OrderQuery{
-		Symbol:  activeOrderBook.Symbol,
-		OrderID: strconv.FormatUint(orderID, 10),
-	})
-
-	if err != nil {
-		return err
-	}
-
-	activeOrderBook.Update(*updatedOrder)
-
-	return nil
-}

pkg/strategy/grid2/active_order_recover_test.go

@@ -1,176 +0,0 @@
-package grid2
-
-import (
-	"context"
-	"strconv"
-	"testing"
-	"time"
-
-	"github.com/c9s/bbgo/pkg/bbgo"
-	"github.com/c9s/bbgo/pkg/types"
-	"github.com/c9s/bbgo/pkg/types/mocks"
-	"github.com/golang/mock/gomock"
-	"github.com/prometheus/client_golang/prometheus"
-	"github.com/stretchr/testify/assert"
-)
-
-func TestSyncActiveOrders(t *testing.T) {
-	assert := assert.New(t)
-
-	mockCtrl := gomock.NewController(t)
-	defer mockCtrl.Finish()
-
-	ctx, cancel := context.WithCancel(context.Background())
-	defer cancel()
-
-	symbol := "ETHUSDT"
-	labels := prometheus.Labels{
-		"exchange": "default",
-		"symbol":   symbol,
-	}
-	t.Run("all open orders are match with active orderbook", func(t *testing.T) {
-		mockOrderQueryService := mocks.NewMockExchangeOrderQueryService(mockCtrl)
-		mockExchange := mocks.NewMockExchange(mockCtrl)
-		activeOrderbook := bbgo.NewActiveOrderBook(symbol)
-
-		opts := SyncActiveOrdersOpts{
-			logger:            log,
-			metricsLabels:     labels,
-			activeOrderBook:   activeOrderbook,
-			orderQueryService: mockOrderQueryService,
-			exchange:          mockExchange,
-		}
-
-		order := types.Order{
-			OrderID: 1,
-			Status:  types.OrderStatusNew,
-		}
-		order.Symbol = symbol
-
-		activeOrderbook.Add(order)
-		mockExchange.EXPECT().QueryOpenOrders(ctx, symbol).Return([]types.Order{order}, nil)
-
-		assert.NoError(syncActiveOrders(ctx, opts))
-
-		// verify active orderbook
-		activeOrders := activeOrderbook.Orders()
-		assert.Equal(1, len(activeOrders))
-		assert.Equal(uint64(1), activeOrders[0].OrderID)
-		assert.Equal(types.OrderStatusNew, activeOrders[0].Status)
-	})
-
-	t.Run("there is order in active orderbook but not in open orders", func(t *testing.T) {
-		mockOrderQueryService := mocks.NewMockExchangeOrderQueryService(mockCtrl)
-		mockExchange := mocks.NewMockExchange(mockCtrl)
-		activeOrderbook := bbgo.NewActiveOrderBook(symbol)
-
-		opts := SyncActiveOrdersOpts{
-			logger:            log,
-			metricsLabels:     labels,
-			activeOrderBook:   activeOrderbook,
-			orderQueryService: mockOrderQueryService,
-			exchange:          mockExchange,
-		}
-
-		order := types.Order{
-			OrderID: 1,
-			Status:  types.OrderStatusNew,
-			SubmitOrder: types.SubmitOrder{
-				Symbol: symbol,
-			},
-		}
-		updatedOrder := order
-		updatedOrder.Status = types.OrderStatusFilled
-
-		activeOrderbook.Add(order)
-		mockExchange.EXPECT().QueryOpenOrders(ctx, symbol).Return(nil, nil)
-		mockOrderQueryService.EXPECT().QueryOrder(ctx, types.OrderQuery{
-			Symbol:  symbol,
-			OrderID: strconv.FormatUint(order.OrderID, 10),
-		}).Return(&updatedOrder, nil)
-
-		assert.NoError(syncActiveOrders(ctx, opts))
-
-		// verify active orderbook
-		activeOrders := activeOrderbook.Orders()
-		assert.Equal(0, len(activeOrders))
-	})
-
-	t.Run("there is order on open orders but not in active orderbook", func(t *testing.T) {
-		mockOrderQueryService := mocks.NewMockExchangeOrderQueryService(mockCtrl)
-		mockExchange := mocks.NewMockExchange(mockCtrl)
-		activeOrderbook := bbgo.NewActiveOrderBook(symbol)
-
-		opts := SyncActiveOrdersOpts{
-			logger:            log,
-			metricsLabels:     labels,
-			activeOrderBook:   activeOrderbook,
-			orderQueryService: mockOrderQueryService,
-			exchange:          mockExchange,
-		}
-
-		order := types.Order{
-			OrderID: 1,
-			Status:  types.OrderStatusNew,
-			SubmitOrder: types.SubmitOrder{
-				Symbol: symbol,
-			},
-			CreationTime: types.Time(time.Now()),
-		}
-
-		mockExchange.EXPECT().QueryOpenOrders(ctx, symbol).Return([]types.Order{order}, nil)
-		assert.NoError(syncActiveOrders(ctx, opts))
-
-		// verify active orderbook
-		activeOrders := activeOrderbook.Orders()
-		assert.Equal(1, len(activeOrders))
-		assert.Equal(uint64(1), activeOrders[0].OrderID)
-		assert.Equal(types.OrderStatusNew, activeOrders[0].Status)
-	})
-
-	t.Run("there is order on open order but not in active orderbook also order in active orderbook but not on open orders", func(t *testing.T) {
-		mockOrderQueryService := mocks.NewMockExchangeOrderQueryService(mockCtrl)
-		mockExchange := mocks.NewMockExchange(mockCtrl)
-		activeOrderbook := bbgo.NewActiveOrderBook(symbol)
-
-		opts := SyncActiveOrdersOpts{
-			logger:            log,
-			metricsLabels:     labels,
-			activeOrderBook:   activeOrderbook,
-			orderQueryService: mockOrderQueryService,
-			exchange:          mockExchange,
-		}
-
-		order1 := types.Order{
-			OrderID: 1,
-			Status:  types.OrderStatusNew,
-			SubmitOrder: types.SubmitOrder{
-				Symbol: symbol,
-			},
-		}
-		updatedOrder1 := order1
-		updatedOrder1.Status = types.OrderStatusFilled
-		order2 := types.Order{
-			OrderID: 2,
-			Status:  types.OrderStatusNew,
-			SubmitOrder: types.SubmitOrder{
-				Symbol: symbol,
-			},
-		}
-
-		activeOrderbook.Add(order1)
-		mockExchange.EXPECT().QueryOpenOrders(ctx, symbol).Return([]types.Order{order2}, nil)
-		mockOrderQueryService.EXPECT().QueryOrder(ctx, types.OrderQuery{
-			Symbol:  symbol,
-			OrderID: strconv.FormatUint(order1.OrderID, 10),
-		}).Return(&updatedOrder1, nil)
-
-		assert.NoError(syncActiveOrders(ctx, opts))
-
-		// verify active orderbook
-		activeOrders := activeOrderbook.Orders()
-		assert.Equal(1, len(activeOrders))
-		assert.Equal(uint64(2), activeOrders[0].OrderID)
-		assert.Equal(types.OrderStatusNew, activeOrders[0].Status)
-	})
-}

pkg/strategy/grid2/profit_stats.go

@@ -22,7 +22,6 @@ type GridProfitStats struct {
 	TotalFee         map[string]fixedpoint.Value `json:"totalFee,omitempty"`
 	Volume           fixedpoint.Value            `json:"volume,omitempty"`
 	Market           types.Market                `json:"market,omitempty"`
-	ProfitEntries    []*GridProfit               `json:"profitEntries,omitempty"`
 	Since            *time.Time                  `json:"since,omitempty"`
 	InitialOrderID   uint64                      `json:"initialOrderID"`
 }
@@ -38,7 +37,6 @@ func newGridProfitStats(market types.Market) *GridProfitStats {
 		TotalFee:         make(map[string]fixedpoint.Value),
 		Volume:           fixedpoint.Zero,
 		Market:           market,
-		ProfitEntries:    nil,
 	}
 }
 
@@ -69,8 +67,6 @@ func (s *GridProfitStats) AddProfit(profit *GridProfit) {
 	case s.Market.BaseCurrency:
 		s.TotalBaseProfit = s.TotalBaseProfit.Add(profit.Profit)
 	}
-
-	s.ProfitEntries = append(s.ProfitEntries, profit)
 }
 
 func (s *GridProfitStats) SlackAttachment() slack.Attachment {

pkg/strategy/grid2/recover.go

@@ -6,41 +6,121 @@ import (
 	"strconv"
 	"time"
 
-	"github.com/pkg/errors"
-
 	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/exchange/retry"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
+	"github.com/c9s/bbgo/pkg/util"
+	"github.com/pkg/errors"
 )
 
-func (s *Strategy) recoverByScanningTrades(ctx context.Context, session *bbgo.ExchangeSession) error {
+/*
-	defer func() {
+  	Background knowledge
-		s.updateGridNumOfOrdersMetricsWithLock()
+  	1. active orderbook add orders only when receive new order event or call Add/Update method manually
-	}()
+  	2. active orderbook remove orders only when receive filled/cancelled event or call Remove/Update method manually
 
-	historyService, implemented := session.Exchange.(types.ExchangeTradeHistoryService)
+  	As a result
+  	1. at the same twin-order-price, there is order in open orders but not in active orderbook
+  		- not receive new order event
+		  	=> add order into active orderbook
+  	2. at the same twin-order-price, there is order in active orderbook but not in open orders
+  		- not receive filled event
+			=> query the filled order and call Update method
+  	3. at the same twin-order-price, there is no order in open orders and no order in active orderbook
+		- failed to create the order
+			=> query the last order from trades to emit filled, and it will submit again
+		- not receive new order event and the order filled before we find it.
+			=> query the untracked order (also is the last order) from trades to emit filled and it will submit the reversed order
+  	4. at the same twin-order-price, there are different orders in open orders and active orderbook
+	  	- should not happen !!!
+		  	=> log error
+	5. at the same twin-order-price, there is the same order in open orders and active orderbook
+		- normal case
+			=> no need to do anything
+
+	After killing pod, active orderbook must be empty. we can think it is the same as not receive new event.
+
+	Process
+	1. build twin orderbook with pins and open orders.
+	2. build twin orderbook with pins and active orders.
+	3. compare above twin orderbooks to add open orders into active orderbook and update active orders.
+	4. run grid recover to make sure all the twin price has its order.
+*/
+
+func (s *Strategy) initializeRecoverC() bool {
+	s.mu.Lock()
+	defer s.mu.Unlock()
+
+	isInitialize := false
+
+	if s.recoverC == nil {
+		s.logger.Info("initializing recover channel")
+		s.recoverC = make(chan struct{}, 1)
+	} else {
+		s.logger.Info("recover channel is already initialized, trigger active orders recover")
+		isInitialize = true
+
+		select {
+		case s.recoverC <- struct{}{}:
+			s.logger.Info("trigger active orders recover")
+		default:
+			s.logger.Info("activeOrdersRecoverC is full")
+		}
+	}
+
+	return isInitialize
+}
+
+func (s *Strategy) recoverPeriodically(ctx context.Context) {
+	// every time we activeOrdersRecoverC receive signal, do active orders recover
+	if isInitialize := s.initializeRecoverC(); isInitialize {
+		return
+	}
+
+	// make ticker's interval random in 25 min ~ 35 min
+	interval := util.MillisecondsJitter(25*time.Minute, 10*60*1000)
+	s.logger.Infof("[Recover] interval: %s", interval)
+	ticker := time.NewTicker(interval)
+	defer ticker.Stop()
+
+	for {
+		select {
+		case <-ctx.Done():
+			return
+
+		case <-ticker.C:
+			if err := s.recover(ctx); err != nil {
+				s.logger.WithError(err).Error("failed to recover")
+			}
+
+		case <-s.recoverC:
+			if err := s.recover(ctx); err != nil {
+				s.logger.WithError(err).Error("failed to recover")
+			}
+		}
+	}
+}
+
+func (s *Strategy) recover(ctx context.Context) error {
+	historyService, implemented := s.session.Exchange.(types.ExchangeTradeHistoryService)
 	// if the exchange doesn't support ExchangeTradeHistoryService, do not run recover
 	if !implemented {
 		s.logger.Warn("ExchangeTradeHistoryService is not implemented, can not recover grid")
 		return nil
 	}
 
-	openOrders, err := session.Exchange.QueryOpenOrders(ctx, s.Symbol)
+	activeOrderBook := s.orderExecutor.ActiveMakerOrders()
+	activeOrders := activeOrderBook.Orders()
+
+	openOrders, err := retry.QueryOpenOrdersUntilSuccessful(ctx, s.session.Exchange, s.Symbol)
 	if err != nil {
-		return errors.Wrapf(err, "unable to query open orders when recovering")
+		return err
 	}
 
-	s.logger.Infof("found %d open orders left on the %s order book", len(openOrders), s.Symbol)
+	// check if it's new strategy or need to recover
-
+	if len(activeOrders) == 0 && len(openOrders) == 0 && s.GridProfitStats.InitialOrderID == 0 {
-	if s.GridProfitStats.InitialOrderID != 0 {
+		// even though there is no open orders and initial orderID is 0
-		s.logger.Info("InitialOrderID is already there, need to recover")
+		// we still need to query trades to make sure if we need to recover or not
-	} else if len(openOrders) != 0 {
-		s.logger.Info("even though InitialOrderID is 0, there are open orders so need to recover")
-	} else {
-		s.logger.Info("InitialOrderID is 0 and there is no open orders, query trades to check it")
-		// initial order id may be new strategy or lost data in redis, so we need to check trades + open orders
-		// if there are open orders or trades, we need to recover
 		trades, err := historyService.QueryTrades(ctx, s.Symbol, &types.TradeQueryOptions{
 			// from 1, because some API will ignore 0 last trade id
 			LastTradeID: 1,
@@ -53,181 +133,153 @@ func (s *Strategy) recoverByScanningTrades(ctx context.Context, session *bbgo.Ex
 		}
 
 		if len(trades) == 0 {
-			s.logger.Info("0 trades found, it's a new strategy so no need to recover")
+			s.logger.Info("no open order, no active order, no trade, it's a new strategy so no need to recover")
 			return nil
 		}
 	}
 
-	s.logger.Infof("start recovering")
+	s.logger.Info("start recovering")
-	filledOrders, err := s.getFilledOrdersByScanningTrades(ctx, historyService, s.orderQueryService, openOrders)
-	if err != nil {
-		return errors.Wrap(err, "grid recover error")
-	}
-	s.debugOrders("emit filled orders", filledOrders)
 
-	// add open orders into avtive maker orders
+	if s.getGrid() == nil {
-	s.addOrdersToActiveOrderBook(openOrders)
+		s.setGrid(s.newGrid())
-
-	// emit the filled orders
-	activeOrderBook := s.orderExecutor.ActiveMakerOrders()
-	for _, filledOrder := range filledOrders {
-		activeOrderBook.EmitFilled(filledOrder)
 	}
 
-	// emit ready after recover
+	s.mu.Lock()
-	s.EmitGridReady()
+	defer s.mu.Unlock()
 
-	// debug and send metrics
+	pins := s.getGrid().Pins
-	// wait for the reverse order to be placed
-	time.Sleep(2 * time.Second)
-	debugGrid(s.logger, s.grid, s.orderExecutor.ActiveMakerOrders())
 
-	defer bbgo.Sync(ctx, s)
+	activeOrdersInTwinOrderBook, err := s.buildTwinOrderBook(pins, activeOrders)
+	openOrdersInTwinOrderBook, err := s.buildTwinOrderBook(pins, openOrders)
 
-	if s.EnableProfitFixer {
+	s.logger.Infof("active orders' twin orderbook\n%s", activeOrdersInTwinOrderBook.String())
-		until := time.Now()
+	s.logger.Infof("open orders in twin orderbook\n%s", openOrdersInTwinOrderBook.String())
-		since := until.Add(-7 * 24 * time.Hour)
+
-		if s.FixProfitSince != nil {
+	// remove index 0, because twin orderbook's price is from the second one
-			since = s.FixProfitSince.Time()
+	pins = pins[1:]
+	var noTwinOrderPins []fixedpoint.Value
+
+	for _, pin := range pins {
+		v := fixedpoint.Value(pin)
+		activeOrder := activeOrdersInTwinOrderBook.GetTwinOrder(v)
+		openOrder := openOrdersInTwinOrderBook.GetTwinOrder(v)
+		if activeOrder == nil || openOrder == nil {
+			return fmt.Errorf("there is no any twin order at this pin, can not recover")
 		}
 
-		fixer := newProfitFixer(s.grid, s.Symbol, historyService)
+		var activeOrderID uint64 = 0
-		fixer.SetLogger(s.logger)
+		if activeOrder.Exist() {
+			activeOrderID = activeOrder.GetOrder().OrderID
+		}
 
-		// set initial order ID = 0 instead of s.GridProfitStats.InitialOrderID because the order ID could be incorrect
+		var openOrderID uint64 = 0
-		if err := fixer.Fix(ctx, since, until, 0, s.GridProfitStats); err != nil {
+		if openOrder.Exist() {
+			openOrderID = openOrder.GetOrder().OrderID
+		}
+
+		// case 3
+		if activeOrderID == 0 && openOrderID == 0 {
+			noTwinOrderPins = append(noTwinOrderPins, v)
+			continue
+		}
+
+		// case 1
+		if activeOrderID == 0 {
+			activeOrderBook.Add(openOrder.GetOrder())
+			// also add open orders into active order's twin orderbook, we will use this active orderbook to recover empty price grid
+			activeOrdersInTwinOrderBook.AddTwinOrder(v, openOrder)
+			continue
+		}
+
+		// case 2
+		if openOrderID == 0 {
+			syncActiveOrder(ctx, activeOrderBook, s.orderQueryService, activeOrder.GetOrder().OrderID)
+			continue
+		}
+
+		// case 4
+		if activeOrderID != openOrderID {
+			return fmt.Errorf("there are two different orders in the same pin, can not recover")
+		}
+
+		// case 5
+		// do nothing
+	}
+
+	s.logger.Infof("twin orderbook after adding open orders\n%s", activeOrdersInTwinOrderBook.String())
+
+	if err := s.recoverEmptyGrid(ctx, activeOrdersInTwinOrderBook, historyService, s.orderQueryService); err != nil {
+		s.logger.WithError(err).Error("failed to recover empty grid")
 		return err
 	}
 
-		s.logger.Infof("fixed profitStats: %#v", s.GridProfitStats)
+	s.logger.Infof("twin orderbook after recovering\n%s", activeOrdersInTwinOrderBook.String())
 
-		s.EmitGridProfit(s.GridProfitStats, nil)
+	if activeOrdersInTwinOrderBook.EmptyTwinOrderSize() > 0 {
+		return fmt.Errorf("there is still empty grid in twin orderbook")
 	}
 
+	for _, pin := range noTwinOrderPins {
+		twinOrder := activeOrdersInTwinOrderBook.GetTwinOrder(pin)
+		if twinOrder == nil {
+			return fmt.Errorf("should not get nil twin order after recovering empty grid, check it")
+		}
+
+		if !twinOrder.Exist() {
+			return fmt.Errorf("should not get empty twin order after recovering empty grid, check it")
+		}
+
+		activeOrderBook.EmitFilled(twinOrder.GetOrder())
+
+		time.Sleep(100 * time.Millisecond)
+	}
+
+	s.EmitGridReady()
+
+	time.Sleep(2 * time.Second)
+	debugGrid(s.logger, s.grid, s.orderExecutor.ActiveMakerOrders())
+
+	bbgo.Sync(ctx, s)
+
 	return nil
 }
 
-func (s *Strategy) getFilledOrdersByScanningTrades(ctx context.Context, queryTradesService types.ExchangeTradeHistoryService, queryOrderService types.ExchangeOrderQueryService, openOrdersOnGrid []types.Order) ([]types.Order, error) {
+func (s *Strategy) buildTwinOrderBook(pins []Pin, orders []types.Order) (*TwinOrderBook, error) {
-	// set grid
+	book := NewTwinOrderBook(pins)
-	grid := s.newGrid()
-	s.setGrid(grid)
 
-	expectedNumOfOrders := s.GridNum - 1
+	for _, order := range orders {
-	numGridOpenOrders := int64(len(openOrdersOnGrid))
+		if err := book.AddOrder(order); err != nil {
-	s.debugLog("open orders nums: %d, expected nums: %d", numGridOpenOrders, expectedNumOfOrders)
+			return nil, err
-	if expectedNumOfOrders == numGridOpenOrders {
+		}
-		// no need to recover, only need to add open orders back to active order book
-		return nil, nil
-	} else if expectedNumOfOrders < numGridOpenOrders {
-		return nil, fmt.Errorf("amount of grid's open orders should not > amount of expected grid's orders")
 	}
 
-	// 1. build twin-order map
+	return book, nil
-	twinOrdersOpen, err := s.buildTwinOrderMap(grid.Pins, openOrdersOnGrid)
+}
+
+func syncActiveOrder(ctx context.Context, activeOrderBook *bbgo.ActiveOrderBook, orderQueryService types.ExchangeOrderQueryService, orderID uint64) error {
+	updatedOrder, err := retry.QueryOrderUntilSuccessful(ctx, orderQueryService, types.OrderQuery{
+		Symbol:  activeOrderBook.Symbol,
+		OrderID: strconv.FormatUint(orderID, 10),
+	})
+
 	if err != nil {
-		return nil, errors.Wrapf(err, "failed to build pin order map with open orders")
+		return err
 	}
 
-	// 2. build the filled twin-order map by querying trades
+	activeOrderBook.Update(*updatedOrder)
-	expectedFilledNum := int(expectedNumOfOrders - numGridOpenOrders)
-	twinOrdersFilled, err := s.buildFilledTwinOrderMapFromTrades(ctx, queryTradesService, queryOrderService, twinOrdersOpen, expectedFilledNum)
-	if err != nil {
-		return nil, errors.Wrapf(err, "failed to build filled pin order map")
-	}
-
-	// 3. get the filled orders from twin-order map
-	filledOrders := twinOrdersFilled.AscendingOrders()
-
-	// 4. verify the grid
-	if err := s.verifyFilledTwinGrid(s.grid.Pins, twinOrdersOpen, filledOrders); err != nil {
-		return nil, errors.Wrapf(err, "verify grid with error")
-	}
-
-	return filledOrders, nil
-}
-
-func (s *Strategy) verifyFilledTwinGrid(pins []Pin, twinOrders TwinOrderMap, filledOrders []types.Order) error {
-	s.debugLog("verifying filled grid - pins: %+v", pins)
-	s.debugOrders("verifying filled grid - filled orders", filledOrders)
-	s.debugLog("verifying filled grid - open twin orders:\n%s", twinOrders.String())
-
-	if err := s.addOrdersIntoTwinOrderMap(twinOrders, filledOrders); err != nil {
-		return errors.Wrapf(err, "verifying filled grid error when add orders into twin order map")
-	}
-
-	s.debugLog("verifying filled grid - filled twin orders:\n%+v", twinOrders.String())
-
-	for i, pin := range pins {
-		// we use twinOrderMap to make sure there are no duplicated order at one grid, and we use the sell price as key so we skip the pins[0] which is only for buy price
-		if i == 0 {
-			continue
-		}
-
-		twin, exist := twinOrders[fixedpoint.Value(pin)]
-		if !exist {
-			return fmt.Errorf("there is no order at price (%+v)", pin)
-		}
-
-		if !twin.Exist() {
-			return fmt.Errorf("all the price need a twin")
-		}
-
-		if !twin.IsValid() {
-			return fmt.Errorf("all the twins need to be valid")
-		}
-	}
 
 	return nil
 }
 
-// buildTwinOrderMap build the pin-order map with grid and open orders.
+func (s *Strategy) recoverEmptyGrid(ctx context.Context, twinOrderBook *TwinOrderBook, queryTradesService types.ExchangeTradeHistoryService, queryOrderService types.ExchangeOrderQueryService) error {
-// The keys of this map contains all required pins of this grid.
+	if twinOrderBook.EmptyTwinOrderSize() == 0 {
-// If the Order of the pin is empty types.Order (OrderID == 0), it means there is no open orders at this pin.
+		s.logger.Info("no empty grid")
-func (s *Strategy) buildTwinOrderMap(pins []Pin, openOrders []types.Order) (TwinOrderMap, error) {
+		return nil
-	twinOrderMap := make(TwinOrderMap)
-
-	for i, pin := range pins {
-		// twin order map only use sell price as key, so skip 0
-		if i == 0 {
-			continue
 	}
 
-		twinOrderMap[fixedpoint.Value(pin)] = TwinOrder{}
+	existedOrders := twinOrderBook.SyncOrderMap()
-	}
 
-	for _, openOrder := range openOrders {
-		twinKey, err := findTwinOrderMapKey(s.grid, openOrder)
-		if err != nil {
-			return nil, errors.Wrapf(err, "failed to build twin order map")
-		}
-
-		twinOrder, exist := twinOrderMap[twinKey]
-		if !exist {
-			return nil, fmt.Errorf("the price of the openOrder (id: %d) is not in pins", openOrder.OrderID)
-		}
-
-		if twinOrder.Exist() {
-			return nil, fmt.Errorf("there are multiple order in a twin")
-		}
-
-		twinOrder.SetOrder(openOrder)
-		twinOrderMap[twinKey] = twinOrder
-	}
-
-	return twinOrderMap, nil
-}
-
-// buildFilledTwinOrderMapFromTrades will query the trades from last 24 hour and use them to build a pin order map
-// It will skip the orders on pins at which open orders are already
-func (s *Strategy) buildFilledTwinOrderMapFromTrades(ctx context.Context, queryTradesService types.ExchangeTradeHistoryService, queryOrderService types.ExchangeOrderQueryService, twinOrdersOpen TwinOrderMap, expectedFillNum int) (TwinOrderMap, error) {
-	twinOrdersFilled := make(TwinOrderMap)
-
-	// existedOrders is used to avoid re-query the same orders
-	existedOrders := twinOrdersOpen.SyncOrderMap()
-
-	// get the filled orders when bbgo is down in order from trades
 	until := time.Now()
-	// the first query only query the last 1 hour, because mostly shutdown and recovery happens within 1 hour
 	since := until.Add(-1 * time.Hour)
 	// hard limit for recover
 	recoverSinceLimit := time.Date(2023, time.March, 10, 0, 0, 0, 0, time.UTC)
@@ -237,15 +289,15 @@ func (s *Strategy) buildFilledTwinOrderMapFromTrades(ctx context.Context, queryT
 	}
 
 	for {
-		if err := s.queryTradesToUpdateTwinOrdersMap(ctx, queryTradesService, queryOrderService, twinOrdersOpen, twinOrdersFilled, existedOrders, since, until); err != nil {
+		if err := s.queryTradesToUpdateTwinOrderBook(ctx, twinOrderBook, queryTradesService, queryOrderService, existedOrders, since, until); err != nil {
-			return nil, errors.Wrapf(err, "failed to query trades to update twin orders map")
+			return errors.Wrapf(err, "failed to query trades to update twin orderbook")
 		}
 
 		until = since
 		since = until.Add(-6 * time.Hour)
 
-		if len(twinOrdersFilled) >= expectedFillNum {
+		if twinOrderBook.EmptyTwinOrderSize() == 0 {
-			s.logger.Infof("stop querying trades because twin orders filled (%d) >= expected filled nums (%d)", len(twinOrdersFilled), expectedFillNum)
+			s.logger.Infof("stop querying trades because there is no empty twin order on twin orderbook")
 			break
 		}
 
@@ -260,10 +312,10 @@ func (s *Strategy) buildFilledTwinOrderMapFromTrades(ctx context.Context, queryT
 		}
 	}
 
-	return twinOrdersFilled, nil
+	return nil
 }
 
-func (s *Strategy) queryTradesToUpdateTwinOrdersMap(ctx context.Context, queryTradesService types.ExchangeTradeHistoryService, queryOrderService types.ExchangeOrderQueryService, twinOrdersOpen, twinOrdersFilled TwinOrderMap, existedOrders *types.SyncOrderMap, since, until time.Time) error {
+func (s *Strategy) queryTradesToUpdateTwinOrderBook(ctx context.Context, twinOrderBook *TwinOrderBook, queryTradesService types.ExchangeTradeHistoryService, queryOrderService types.ExchangeOrderQueryService, existedOrders *types.SyncOrderMap, since, until time.Time) error {
 	var fromTradeID uint64 = 0
 	var limit int64 = 1000
 	for {
@@ -275,9 +327,8 @@ func (s *Strategy) queryTradesToUpdateTwinOrdersMap(ctx context.Context, queryTr
 		})
 
 		if err != nil {
-			return errors.Wrapf(err, "failed to query trades to recover the grid with open orders")
+			return errors.Wrapf(err, "failed to query trades to recover the grid")
 		}
-
 		s.debugLog("QueryTrades from %s <-> %s (from: %d) return %d trades", since, until, fromTradeID, len(trades))
 
 		for _, trade := range trades {
@@ -306,31 +357,9 @@ func (s *Strategy) queryTradesToUpdateTwinOrdersMap(ctx context.Context, queryTr
 			// add 1 to avoid duplicate
 			fromTradeID = trade.ID + 1
 
-			twinOrderKey, err := findTwinOrderMapKey(s.grid, *order)
+			if err := twinOrderBook.AddOrder(*order); err != nil {
-			if err != nil {
+				return errors.Wrapf(err, "failed to add queried order into twin orderbook")
-				return errors.Wrapf(err, "failed to find grid order map's key when recover")
 			}
-
-			twinOrderOpen, exist := twinOrdersOpen[twinOrderKey]
-			if !exist {
-				return fmt.Errorf("the price of the order with the same GroupID is not in pins")
-			}
-
-			if twinOrderOpen.Exist() {
-				continue
-			}
-
-			if twinOrder, exist := twinOrdersFilled[twinOrderKey]; exist {
-				to := twinOrder.GetOrder()
-				if to.UpdateTime.Time().After(order.UpdateTime.Time()) {
-					s.logger.Infof("twinOrder's update time (%s) should not be after order's update time (%s)", to.UpdateTime, order.UpdateTime)
-					continue
-				}
-			}
-
-			twinOrder := TwinOrder{}
-			twinOrder.SetOrder(*order)
-			twinOrdersFilled[twinOrderKey] = twinOrder
 		}
 
 		// stop condition
@@ -339,24 +368,3 @@ func (s *Strategy) queryTradesToUpdateTwinOrdersMap(ctx context.Context, queryTr
 		}
 	}
 }
-
-func (s *Strategy) addOrdersIntoTwinOrderMap(twinOrders TwinOrderMap, orders []types.Order) error {
-	for _, order := range orders {
-		k, err := findTwinOrderMapKey(s.grid, order)
-		if err != nil {
-			return errors.Wrap(err, "failed to add orders into twin order map")
-		}
-
-		if v, exist := twinOrders[k]; !exist {
-			return fmt.Errorf("the price (%+v) is not in pins", k)
-		} else if v.Exist() {
-			return fmt.Errorf("there is already a twin order at this price (%+v)", k)
-		} else {
-			twin := TwinOrder{}
-			twin.SetOrder(order)
-			twinOrders[k] = twin
-		}
-	}
-
-	return nil
-}

pkg/strategy/grid2/recover_test.go

@@ -1,295 +0,0 @@
-package grid2
-
-import (
-	"context"
-	"encoding/csv"
-	"encoding/json"
-	"fmt"
-	"io"
-	"io/ioutil"
-	"os"
-	"sort"
-	"strconv"
-	"testing"
-	"time"
-
-	"github.com/c9s/bbgo/pkg/bbgo"
-	"github.com/c9s/bbgo/pkg/types"
-	"github.com/stretchr/testify/assert"
-)
-
-type TestData struct {
-	Market       types.Market  `json:"market" yaml:"market"`
-	Strategy     Strategy      `json:"strategy" yaml:"strategy"`
-	OpenOrders   []types.Order `json:"openOrders" yaml:"openOrders"`
-	ClosedOrders []types.Order `json:"closedOrders" yaml:"closedOrders"`
-	Trades       []types.Trade `json:"trades" yaml:"trades"`
-}
-
-type TestDataService struct {
-	Orders map[string]types.Order
-	Trades []types.Trade
-}
-
-func (t *TestDataService) QueryTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) ([]types.Trade, error) {
-	var i int = 0
-	if options.LastTradeID != 0 {
-		for idx, trade := range t.Trades {
-			if trade.ID < options.LastTradeID {
-				continue
-			}
-
-			i = idx
-			break
-		}
-	}
-
-	var trades []types.Trade
-	l := len(t.Trades)
-	for ; i < l && len(trades) < int(options.Limit); i++ {
-		trades = append(trades, t.Trades[i])
-	}
-
-	return trades, nil
-}
-
-func (t *TestDataService) QueryOrder(ctx context.Context, q types.OrderQuery) (*types.Order, error) {
-	if len(q.OrderID) == 0 {
-		return nil, fmt.Errorf("order id should not be empty")
-	}
-
-	order, exist := t.Orders[q.OrderID]
-	if !exist {
-		return nil, fmt.Errorf("order not found")
-	}
-
-	return &order, nil
-}
-
-// dummy method for interface
-func (t *TestDataService) QueryClosedOrders(ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64) (orders []types.Order, err error) {
-	return nil, nil
-}
-
-// dummy method for interface
-func (t *TestDataService) QueryOrderTrades(ctx context.Context, q types.OrderQuery) ([]types.Trade, error) {
-	return nil, nil
-}
-
-func NewStrategy(t *TestData) *Strategy {
-	s := t.Strategy
-	s.Debug = true
-	s.Initialize()
-	s.Market = t.Market
-	s.Position = types.NewPositionFromMarket(t.Market)
-	s.orderExecutor = bbgo.NewGeneralOrderExecutor(&bbgo.ExchangeSession{}, t.Market.Symbol, ID, s.InstanceID(), s.Position)
-	return &s
-}
-
-func NewTestDataService(t *TestData) *TestDataService {
-	var orders map[string]types.Order = make(map[string]types.Order)
-	for _, order := range t.OpenOrders {
-		orders[strconv.FormatUint(order.OrderID, 10)] = order
-	}
-
-	for _, order := range t.ClosedOrders {
-		orders[strconv.FormatUint(order.OrderID, 10)] = order
-	}
-
-	trades := t.Trades
-	sort.Slice(t.Trades, func(i, j int) bool {
-		return trades[i].ID < trades[j].ID
-	})
-
-	return &TestDataService{
-		Orders: orders,
-		Trades: trades,
-	}
-}
-
-func readSpec(fileName string) (*TestData, error) {
-	content, err := ioutil.ReadFile(fileName)
-	if err != nil {
-		return nil, err
-	}
-
-	market := types.Market{}
-	if err := json.Unmarshal(content, &market); err != nil {
-		return nil, err
-	}
-
-	strategy := Strategy{}
-	if err := json.Unmarshal(content, &strategy); err != nil {
-		return nil, err
-	}
-
-	data := TestData{
-		Market:   market,
-		Strategy: strategy,
-	}
-	return &data, nil
-}
-
-func readOrdersFromCSV(fileName string) ([]types.Order, error) {
-	csvFile, err := os.Open(fileName)
-	if err != nil {
-		return nil, err
-	}
-	defer csvFile.Close()
-	csvReader := csv.NewReader(csvFile)
-
-	keys, err := csvReader.Read()
-	if err != nil {
-		return nil, err
-	}
-
-	var orders []types.Order
-	for {
-		row, err := csvReader.Read()
-		if err == io.EOF {
-			break
-		}
-
-		if err != nil {
-			return nil, err
-		}
-
-		if len(row) != len(keys) {
-			return nil, fmt.Errorf("length of row should be equal to length of keys")
-		}
-
-		var m map[string]interface{} = make(map[string]interface{})
-		for i, key := range keys {
-			if key == "orderID" {
-				x, err := strconv.ParseUint(row[i], 10, 64)
-				if err != nil {
-					return nil, err
-				}
-				m[key] = x
-			} else {
-				m[key] = row[i]
-			}
-		}
-
-		b, err := json.Marshal(m)
-		if err != nil {
-			return nil, err
-		}
-
-		order := types.Order{}
-		if err = json.Unmarshal(b, &order); err != nil {
-			return nil, err
-		}
-
-		orders = append(orders, order)
-	}
-
-	return orders, nil
-}
-
-func readTradesFromCSV(fileName string) ([]types.Trade, error) {
-	csvFile, err := os.Open(fileName)
-	if err != nil {
-		return nil, err
-	}
-	defer csvFile.Close()
-	csvReader := csv.NewReader(csvFile)
-
-	keys, err := csvReader.Read()
-	if err != nil {
-		return nil, err
-	}
-
-	var trades []types.Trade
-	for {
-		row, err := csvReader.Read()
-		if err == io.EOF {
-			break
-		}
-
-		if err != nil {
-			return nil, err
-		}
-
-		if len(row) != len(keys) {
-			return nil, fmt.Errorf("length of row should be equal to length of keys")
-		}
-
-		var m map[string]interface{} = make(map[string]interface{})
-		for i, key := range keys {
-			switch key {
-			case "id", "orderID":
-				x, err := strconv.ParseUint(row[i], 10, 64)
-				if err != nil {
-					return nil, err
-				}
-				m[key] = x
-			default:
-				m[key] = row[i]
-			}
-		}
-
-		b, err := json.Marshal(m)
-		if err != nil {
-			return nil, err
-		}
-
-		trade := types.Trade{}
-		if err = json.Unmarshal(b, &trade); err != nil {
-			return nil, err
-		}
-
-		trades = append(trades, trade)
-	}
-
-	return trades, nil
-}
-
-func readTestDataFrom(fileDir string) (*TestData, error) {
-	data, err := readSpec(fmt.Sprintf("%s/spec", fileDir))
-	if err != nil {
-		return nil, err
-	}
-
-	openOrders, err := readOrdersFromCSV(fmt.Sprintf("%s/open_orders.csv", fileDir))
-	if err != nil {
-		return nil, err
-	}
-
-	closedOrders, err := readOrdersFromCSV(fmt.Sprintf("%s/closed_orders.csv", fileDir))
-	if err != nil {
-		return nil, err
-	}
-
-	trades, err := readTradesFromCSV(fmt.Sprintf("%s/trades.csv", fileDir))
-	if err != nil {
-		return nil, err
-	}
-
-	data.OpenOrders = openOrders
-	data.ClosedOrders = closedOrders
-	data.Trades = trades
-	return data, nil
-}
-
-func TestRecoverByScanningTrades(t *testing.T) {
-	assert := assert.New(t)
-
-	t.Run("test case 1", func(t *testing.T) {
-		fileDir := "recovery_testcase/testcase1/"
-
-		data, err := readTestDataFrom(fileDir)
-		if !assert.NoError(err) {
-			return
-		}
-
-		testService := NewTestDataService(data)
-		strategy := NewStrategy(data)
-		filledOrders, err := strategy.getFilledOrdersByScanningTrades(context.Background(), testService, testService, data.OpenOrders)
-		if !assert.NoError(err) {
-			return
-		}
-
-		assert.Len(filledOrders, 0)
-	})
-}

pkg/strategy/grid2/strategy.go

@@ -204,7 +204,7 @@ type Strategy struct {
 	tradingCtx, writeCtx context.Context
 	cancelWrite          context.CancelFunc
 
-	activeOrdersRecoverC chan struct{}
+	recoverC chan struct{}
 
 	// this ensures that bbgo.Sync to lock the object
 	sync.Mutex
@@ -1953,7 +1953,7 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
 						return
 					}
 
-					s.recoverActiveOrdersPeriodically(ctx)
+					s.recoverPeriodically(ctx)
 				})
 			} else {
 				s.startProcess(ctx, session)
@@ -1968,7 +1968,7 @@ func (s *Strategy) startProcess(ctx context.Context, session *bbgo.ExchangeSessi
 	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...")
-		if err := s.recoverGrid(ctx, session); err != nil {
+		if err := s.recover(ctx); err != nil {
 			// if recover fail, return and do not open grid
 			s.logger.WithError(err).Error("failed to start process, recover error")
 			s.EmitGridError(errors.Wrapf(err, "failed to start process, recover error"))
@@ -1985,6 +1985,7 @@ func (s *Strategy) startProcess(ctx context.Context, session *bbgo.ExchangeSessi
 	return nil
 }
 
+/*
 func (s *Strategy) recoverGrid(ctx context.Context, session *bbgo.ExchangeSession) error {
 	if s.RecoverGridByScanningTrades {
 		s.debugLog("recovering grid by scanning trades")
@@ -1994,6 +1995,7 @@ func (s *Strategy) recoverGrid(ctx context.Context, session *bbgo.ExchangeSessio
 	s.debugLog("recovering grid by scanning orders")
 	return s.recoverByScanningOrders(ctx, session)
 }
+*/
 
 func (s *Strategy) recoverByScanningOrders(ctx context.Context, session *bbgo.ExchangeSession) error {
 	openOrders, err := retry.QueryOpenOrdersUntilSuccessful(ctx, session.Exchange, s.Symbol)

pkg/strategy/grid2/twin_order.go

@@ -111,3 +111,128 @@ func (m TwinOrderMap) String() string {
 	sb.WriteString("================== END OF PIN ORDER MAP ==================\n")
 	return sb.String()
 }
+
+type TwinOrderBook struct {
+	// sort in asc order
+	pins []fixedpoint.Value
+
+	// pin index, use to find the next or last pin in desc order
+	pinIdx map[fixedpoint.Value]int
+
+	// orderbook
+	m map[fixedpoint.Value]*TwinOrder
+
+	size int
+}
+
+func NewTwinOrderBook(pins []Pin) *TwinOrderBook {
+	var v []fixedpoint.Value
+	for _, pin := range pins {
+		v = append(v, fixedpoint.Value(pin))
+	}
+
+	// sort it in asc order
+	sort.Slice(v, func(i, j int) bool {
+		return v[j].Compare(v[i]) > 0
+	})
+
+	pinIdx := make(map[fixedpoint.Value]int)
+	m := make(map[fixedpoint.Value]*TwinOrder)
+	for i, pin := range v {
+		m[pin] = &TwinOrder{}
+		pinIdx[pin] = i
+	}
+
+	ob := TwinOrderBook{
+		pins:   v,
+		pinIdx: pinIdx,
+		m:      m,
+		size:   0,
+	}
+
+	return &ob
+}
+
+func (book *TwinOrderBook) String() string {
+	var sb strings.Builder
+
+	sb.WriteString("================== TWIN ORDER MAP ==================\n")
+	for _, pin := range book.pins {
+		twin := book.m[fixedpoint.Value(pin)]
+		twinOrder := twin.GetOrder()
+		sb.WriteString(fmt.Sprintf("-> %8s) %s\n", pin, twinOrder.String()))
+	}
+	sb.WriteString("================== END OF PIN ORDER MAP ==================\n")
+	return sb.String()
+}
+
+func (book *TwinOrderBook) GetTwinOrderPin(order types.Order) (fixedpoint.Value, error) {
+	idx, exist := book.pinIdx[order.Price]
+	if !exist {
+		return fixedpoint.Zero, fmt.Errorf("the order's (%d) price (%s) is not in pins", order.OrderID, order.Price)
+	}
+
+	if order.Side == types.SideTypeBuy {
+		idx++
+		if idx >= len(book.pins) {
+			return fixedpoint.Zero, fmt.Errorf("this order's twin order price is not in pins, %+v", order)
+		}
+	} else if order.Side == types.SideTypeSell {
+		if idx == 0 {
+			return fixedpoint.Zero, fmt.Errorf("this order's twin order price is at zero index, %+v", order)
+		}
+		// do nothing
+	} else {
+		// should not happen
+		return fixedpoint.Zero, fmt.Errorf("the order's (%d) side (%s) is not supported", order.OrderID, order.Side)
+	}
+
+	return book.pins[idx], nil
+}
+
+func (book *TwinOrderBook) AddOrder(order types.Order) error {
+	pin, err := book.GetTwinOrderPin(order)
+	if err != nil {
+		return err
+	}
+
+	twinOrder, exist := book.m[pin]
+	if !exist {
+		// should not happen
+		return fmt.Errorf("no any empty twin order at pins, should not happen, check it")
+	}
+
+	if !twinOrder.Exist() {
+		book.size++
+	}
+	twinOrder.SetOrder(order)
+
+	return nil
+}
+
+func (book *TwinOrderBook) GetTwinOrder(pin fixedpoint.Value) *TwinOrder {
+	return book.m[pin]
+}
+
+func (book *TwinOrderBook) AddTwinOrder(pin fixedpoint.Value, order *TwinOrder) {
+	book.m[pin] = order
+}
+
+func (book *TwinOrderBook) Size() int {
+	return book.size
+}
+
+func (book *TwinOrderBook) EmptyTwinOrderSize() int {
+	return len(book.pins) - 1 - book.size
+}
+
+func (book *TwinOrderBook) SyncOrderMap() *types.SyncOrderMap {
+	orderMap := types.NewSyncOrderMap()
+	for _, twin := range book.m {
+		if twin.Exist() {
+			orderMap.Add(twin.GetOrder())
+		}
+	}
+
+	return orderMap
+}