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grid2: add order filled handler
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parent
3d77a319fc
commit
54ffc8cbcc
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@ -126,7 +126,43 @@ func (s *Strategy) InstanceID() string {
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}
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func (s *Strategy) handleOrderFilled(o types.Order) {
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// check order fee
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newSide := types.SideTypeSell
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newPrice := o.Price
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newQuantity := o.Quantity
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// quantityReduction := fixedpoint.Zero
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switch o.Side {
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case types.SideTypeSell:
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newSide = types.SideTypeBuy
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if pin, ok := s.grid.NextLowerPin(newPrice); ok {
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newPrice = fixedpoint.Value(pin)
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}
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case types.SideTypeBuy:
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newSide = types.SideTypeSell
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if pin, ok := s.grid.NextHigherPin(newPrice); ok {
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newPrice = fixedpoint.Value(pin)
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}
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}
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orderForm := types.SubmitOrder{
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Symbol: s.Symbol,
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Market: s.Market,
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Type: types.OrderTypeLimit,
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Price: newPrice,
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Side: newSide,
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TimeInForce: types.TimeInForceGTC,
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Tag: "grid",
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Quantity: newQuantity,
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}
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if createdOrders, err := s.orderExecutor.SubmitOrders(context.Background(), orderForm); err != nil {
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s.logger.WithError(err).Errorf("can not submit arbitrage order")
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} else {
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s.logger.Infof("order created: %+v", createdOrders)
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}
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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@ -155,6 +191,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
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bbgo.Sync(ctx, s)
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})
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s.orderExecutor.ActiveMakerOrders().OnFilled(s.handleOrderFilled)
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s.grid = NewGrid(s.LowerPrice, s.UpperPrice, fixedpoint.NewFromInt(s.GridNum), s.Market.TickSize)
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s.grid.CalculateArithmeticPins()
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@ -502,7 +539,7 @@ func (s *Strategy) setupGridOrders(ctx context.Context, session *bbgo.ExchangeSe
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if usedBase.Add(quantity).Compare(totalBase) < 0 {
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submitOrders = append(submitOrders, types.SubmitOrder{
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Symbol: s.Symbol,
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Type: types.OrderTypeLimitMaker,
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Type: types.OrderTypeLimit,
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Side: types.SideTypeSell,
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Price: price,
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Quantity: quantity,
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@ -517,7 +554,7 @@ func (s *Strategy) setupGridOrders(ctx context.Context, session *bbgo.ExchangeSe
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nextPrice := fixedpoint.Value(nextPin)
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submitOrders = append(submitOrders, types.SubmitOrder{
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Symbol: s.Symbol,
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Type: types.OrderTypeLimitMaker,
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Type: types.OrderTypeLimit,
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Side: types.SideTypeBuy,
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Price: nextPrice,
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Quantity: quantity,
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@ -536,7 +573,7 @@ func (s *Strategy) setupGridOrders(ctx context.Context, session *bbgo.ExchangeSe
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submitOrders = append(submitOrders, types.SubmitOrder{
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Symbol: s.Symbol,
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Type: types.OrderTypeLimitMaker,
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Type: types.OrderTypeLimit,
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Side: types.SideTypeBuy,
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Price: price,
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Quantity: quantity,
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