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Merge pull request #1834 from c9s/c9s/improve-connectivity-group

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REFACTOR: integrate connectivity into session
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c9s 2024-11-18 16:35:54 +08:00 committed by GitHub
commit 4fea25e00a
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4 changed files with 77 additions and 50 deletions
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18
pkg/bbgo/order_execution.go
View File

@ -48,7 +48,9 @@ type ExchangeOrderExecutionRouter struct {
executors map[string]OrderExecutor
}
func (e *ExchangeOrderExecutionRouter) SubmitOrdersTo(ctx context.Context, session string, orders ...types.SubmitOrder) (types.OrderSlice, error) {
func (e *ExchangeOrderExecutionRouter) SubmitOrdersTo(
ctx context.Context, session string, orders ...types.SubmitOrder,
) (types.OrderSlice, error) {
if executor, ok := e.executors[session]; ok {
return executor.SubmitOrders(ctx, orders...)
}
@ -80,6 +82,7 @@ func (e *ExchangeOrderExecutionRouter) CancelOrdersTo(ctx context.Context, sessi
}
// ExchangeOrderExecutor is an order executor wrapper for single exchange instance.
// Deprecated: please use GeneralOrderExecutor instead.
//
//go:generate callbackgen -type ExchangeOrderExecutor
type ExchangeOrderExecutor struct {
@ -128,7 +131,9 @@ type BasicRiskController struct {
// 1. Increase the quantity by the minimal requirement
// 2. Decrease the quantity by risk controls
// 3. If the quantity does not meet minimal requirement, we should ignore the submit order.
func (c *BasicRiskController) ProcessOrders(session *ExchangeSession, orders ...types.SubmitOrder) (outOrders []types.SubmitOrder, errs []error) {
func (c *BasicRiskController) ProcessOrders(
session *ExchangeSession, orders ...types.SubmitOrder,
) (outOrders []types.SubmitOrder, errs []error) {
balances := session.GetAccount().Balances()
addError := func(err error) {
@ -310,7 +315,9 @@ func (c *BasicRiskController) ProcessOrders(session *ExchangeSession, orders ...
type OrderCallback func(order types.Order)
// BatchPlaceOrder
func BatchPlaceOrder(ctx context.Context, exchange types.Exchange, orderCallback OrderCallback, submitOrders ...types.SubmitOrder) (types.OrderSlice, []int, error) {
func BatchPlaceOrder(
ctx context.Context, exchange types.Exchange, orderCallback OrderCallback, submitOrders ...types.SubmitOrder,
) (types.OrderSlice, []int, error) {
var createdOrders types.OrderSlice
var err error
@ -335,7 +342,10 @@ func BatchPlaceOrder(ctx context.Context, exchange types.Exchange, orderCallback
}
// BatchRetryPlaceOrder places the orders and retries the failed orders
func BatchRetryPlaceOrder(ctx context.Context, exchange types.Exchange, errIdx []int, orderCallback OrderCallback, logger log.FieldLogger, submitOrders ...types.SubmitOrder) (types.OrderSlice, []int, error) {
func BatchRetryPlaceOrder(
ctx context.Context, exchange types.Exchange, errIdx []int, orderCallback OrderCallback, logger log.FieldLogger,
submitOrders ...types.SubmitOrder,
) (types.OrderSlice, []int, error) {
if logger == nil {
logger = log.StandardLogger()
}

61
pkg/bbgo/session.go
View File

@ -83,14 +83,29 @@ type ExchangeSession struct {
// Deprecated: use GeneralOrderExecutor instead
OrderExecutor *ExchangeOrderExecutor `json:"orderExecutor,omitempty" yaml:"orderExecutor,omitempty"`
// UserDataStream is the connection stream of the exchange
UserDataStream types.Stream `json:"-" yaml:"-"`
// UserDataStream is the user data connection stream of the exchange
// This stream is used for managing user data, such as orders, trades, balances, etc.
UserDataStream types.Stream `json:"-" yaml:"-"`
// MarketDataStream is the market data connection stream of the exchange
// This stream is used for managing market data, such as klines, trades, order books, etc.
MarketDataStream types.Stream `json:"-" yaml:"-"`
// Subscriptions
// this is a read-only field when running strategy
// UserDataConnectivity is the connectivity of the user data stream
UserDataConnectivity *types.Connectivity `json:"-" yaml:"-"`
// MarketDataConnectivity is the connectivity of the market data stream
MarketDataConnectivity *types.Connectivity `json:"-" yaml:"-"`
// Connectivity is the group of connectivity of the session
// This is used for managing both user data and market data connectivity
Connectivity *types.ConnectivityGroup `json:"-" yaml:"-"`
// Subscriptions is the subscription list of the session
// This is a read-only field when running strategy
Subscriptions map[types.Subscription]types.Subscription `json:"-" yaml:"-"`
// Exchange is the exchange instance, it is used for querying the exchange data or submitting orders
Exchange types.Exchange `json:"-" yaml:"-"`
UseHeikinAshi bool `json:"heikinAshi,omitempty" yaml:"heikinAshi,omitempty"`
@ -130,17 +145,33 @@ type ExchangeSession struct {
func NewExchangeSession(name string, exchange types.Exchange) *ExchangeSession {
userDataStream := exchange.NewStream()
marketDataStream := exchange.NewStream()
marketDataStream.SetPublicOnly()
userDataConnectivity := types.NewConnectivity()
userDataConnectivity.Bind(userDataStream)
marketDataConnectivity := types.NewConnectivity()
marketDataConnectivity.Bind(marketDataStream)
connectivityGroup := types.NewConnectivityGroup(marketDataConnectivity, userDataConnectivity)
session := &ExchangeSession{
Name: name,
Exchange: exchange,
UserDataStream: userDataStream,
MarketDataStream: marketDataStream,
Subscriptions: make(map[types.Subscription]types.Subscription),
Account: &types.Account{},
Trades: make(map[string]*types.TradeSlice),
Name: name,
Exchange: exchange,
UserDataStream: userDataStream,
UserDataConnectivity: userDataConnectivity,
MarketDataStream: marketDataStream,
MarketDataConnectivity: marketDataConnectivity,
Connectivity: connectivityGroup,
Subscriptions: make(map[types.Subscription]types.Subscription),
Account: &types.Account{},
Trades: make(map[string]*types.TradeSlice),
orderBooks: make(map[string]*types.StreamOrderBook),
markets: make(map[string]types.Market),
@ -851,6 +882,14 @@ func (session *ExchangeSession) InitExchange(name string, ex types.Exchange) err
session.MarketDataStream = ex.NewStream()
session.MarketDataStream.SetPublicOnly()
session.UserDataConnectivity = types.NewConnectivity()
session.UserDataConnectivity.Bind(session.UserDataStream)
session.MarketDataConnectivity = types.NewConnectivity()
session.MarketDataConnectivity.Bind(session.MarketDataStream)
session.Connectivity = types.NewConnectivityGroup(session.MarketDataConnectivity, session.MarketDataConnectivity)
// pointer fields
session.Subscriptions = make(map[types.Subscription]types.Subscription)
session.Account = &types.Account{}

21
pkg/strategy/xmaker/strategy.go
View File

@ -234,7 +234,6 @@ type Strategy struct {
metricsLabels prometheus.Labels
sourceMarketDataConnectivity, sourceUserDataConnectivity *types.Connectivity
makerMarketDataConnectivity, makerUserDataConnectivity *types.Connectivity
connectivityGroup *types.ConnectivityGroup
// lastAggregatedSignal stores the last aggregated signal with mutex
@ -591,7 +590,13 @@ func (s *Strategy) updateQuote(ctx context.Context) error {
return nil
}
if !s.sourceMarketDataConnectivity.IsConnected() || !s.sourceUserDataConnectivity.IsConnected() {
if !s.sourceSession.Connectivity.IsConnected() {
s.logger.Warnf("source session is disconnected, skipping update quote")
return nil
}
if !s.makerSession.Connectivity.IsConnected() {
s.logger.Warnf("maker session is disconnected, skipping update quote")
return nil
}
@ -1846,16 +1851,10 @@ func (s *Strategy) CrossRun(
s.stopC = make(chan struct{})
s.sourceUserDataConnectivity = types.NewConnectivity()
s.sourceUserDataConnectivity.Bind(s.sourceSession.UserDataStream)
s.sourceUserDataConnectivity = s.sourceSession.UserDataConnectivity
s.sourceMarketDataConnectivity = s.sourceSession.MarketDataConnectivity
s.makerUserDataConnectivity = types.NewConnectivity()
s.makerUserDataConnectivity.Bind(s.makerSession.UserDataStream)
s.sourceMarketDataConnectivity = types.NewConnectivity()
s.sourceMarketDataConnectivity.Bind(s.sourceSession.MarketDataStream)
s.connectivityGroup = types.NewConnectivityGroup(s.sourceUserDataConnectivity, s.makerUserDataConnectivity)
s.connectivityGroup = types.NewConnectivityGroup(s.sourceSession.UserDataConnectivity, s.makerSession.UserDataConnectivity)
go func() {
s.logger.Infof("waiting for authentication connections to be ready...")

27
pkg/types/connectivitygroup.go
View File

@ -173,28 +173,7 @@ func (g *ConnectivityGroup) Add(con *Connectivity) {
})
}
func (g *ConnectivityGroup) AnyDisconnected(ctx context.Context) bool {
g.mu.Lock()
conns := g.connections
g.mu.Unlock()
for _, conn := range conns {
select {
case <-ctx.Done():
return false
case <-conn.connectedC:
continue
case <-conn.disconnectedC:
return true
}
}
return false
}
func (g *ConnectivityGroup) waitAllAuthed(ctx context.Context, c chan struct{}) {
func (g *ConnectivityGroup) waitForState(ctx context.Context, c chan struct{}, expected ConnectivityState) {
for {
select {
case <-ctx.Done():
@ -202,7 +181,7 @@ func (g *ConnectivityGroup) waitAllAuthed(ctx context.Context, c chan struct{})
default:
state := g.GetState()
if state == ConnectivityStateAuthed {
if state == expected {
close(c)
return
}
@ -217,6 +196,6 @@ func (g *ConnectivityGroup) waitAllAuthed(ctx context.Context, c chan struct{})
// and the channel can only be used once (because we can't close a channel twice)
func (g *ConnectivityGroup) AllAuthedC(ctx context.Context) <-chan struct{} {
c := make(chan struct{})
go g.waitAllAuthed(ctx, c)
go g.waitForState(ctx, c, ConnectivityStateAuthed)
return c
}