Merge pull request #1782 from c9s/c9s/xmaker/improvements2

IMPROVE: [grid2][xmaker] prune expired trades

pkg/core/orderstore.go

@@ -2,6 +2,7 @@ package core
 
 import (
 	"sync"
+	"time"
 
 	"github.com/c9s/bbgo/pkg/types"
 )
@@ -138,6 +139,26 @@ func (s *OrderStore) BindStream(stream types.Stream) {
 	})
 }
 
+func (s *OrderStore) Prune(expiryDuration time.Duration) {
+	cutOffTime := time.Now().Add(-expiryDuration)
+	orders := make(map[uint64]types.Order, len(s.orders))
+
+	s.mu.Lock()
+	defer s.mu.Unlock()
+
+	for idx, o := range s.orders {
+		if o.Status == types.OrderStatusCanceled || o.Status == types.OrderStatusFilled {
+			if o.UpdateTime.Time().Before(cutOffTime) {
+				continue
+			}
+		}
+
+		orders[idx] = o
+	}
+
+	s.orders = orders
+}
+
 func (s *OrderStore) HandleOrderUpdate(order types.Order) {
 
 	switch order.Status {

pkg/core/tradecollector.go

@@ -125,7 +125,7 @@ type TradeCollector struct {
 
 func NewTradeCollector(symbol string, position *types.Position, orderStore *OrderStore) *TradeCollector {
 	tradeStore := NewTradeStore()
-	tradeStore.EnablePrune = true
+	tradeStore.pruneEnabled = true
 
 	return &TradeCollector{
 		Symbol:   symbol,

pkg/core/tradestore.go

@@ -17,18 +17,33 @@ type TradeStore struct {
 	// any created trades for tracking trades
 	sync.Mutex
 
-	EnablePrune bool
-
-	trades        map[uint64]types.Trade
-	lastTradeTime time.Time
+	pruneEnabled        bool
+	storeSize           int
+	trades              map[uint64]types.Trade
+	tradeExpiryDuration time.Duration
+	lastTradeTime       time.Time
 }
 
 func NewTradeStore() *TradeStore {
 	return &TradeStore{
-		trades: make(map[uint64]types.Trade),
+		trades:              make(map[uint64]types.Trade),
+		storeSize:           MaximumTradeStoreSize,
+		tradeExpiryDuration: TradeExpiryTime,
 	}
 }
 
+func (s *TradeStore) SetPruneEnabled(enabled bool) {
+	s.pruneEnabled = enabled
+}
+
+func (s *TradeStore) SetTradeExpiryDuration(d time.Duration) {
+	s.tradeExpiryDuration = d
+}
+
+func (s *TradeStore) SetStoreSize(size int) {
+	s.storeSize = size
+}
+
 func (s *TradeStore) Num() (num int) {
 	s.Lock()
 	num = len(s.trades)
@@ -122,7 +137,7 @@ func (s *TradeStore) Prune(curTime time.Time) {
 	defer s.Unlock()
 
 	var trades = make(map[uint64]types.Trade)
-	var cutOffTime = curTime.Add(-TradeExpiryTime)
+	var cutOffTime = curTime.Add(-s.tradeExpiryDuration)
 
 	log.Infof("pruning expired trades, cutoff time = %s", cutOffTime.String())
 	for _, trade := range s.trades {
@@ -144,7 +159,7 @@ func (s *TradeStore) isCoolTrade(trade types.Trade) bool {
 }
 
 func (s *TradeStore) exceededMaximumTradeStoreSize() bool {
-	return len(s.trades) > MaximumTradeStoreSize
+	return len(s.trades) > s.storeSize
 }
 
 func (s *TradeStore) BindStream(stream types.Stream) {
@@ -152,7 +167,7 @@ func (s *TradeStore) BindStream(stream types.Stream) {
 		s.Add(trade)
 	})
 
-	if s.EnablePrune {
+	if s.pruneEnabled {
 		stream.OnTradeUpdate(func(trade types.Trade) {
 			if s.isCoolTrade(trade) || s.exceededMaximumTradeStoreSize() {
 				s.Prune(time.Time(trade.Time))

pkg/strategy/grid2/strategy.go

@@ -1892,7 +1892,7 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
 	}
 
 	s.historicalTrades = core.NewTradeStore()
-	s.historicalTrades.EnablePrune = true
+	s.historicalTrades.SetPruneEnabled(true)
 	s.historicalTrades.BindStream(session.UserDataStream)
 
 	orderExecutor := bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)

pkg/strategy/xmaker/strategy.go

@@ -1297,6 +1297,8 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
 	} else {
 		s.coveredPosition.Add(quantity.Neg())
 	}
+
+	s.resetPositionStartTime()
 }
 
 func (s *Strategy) tradeRecover(ctx context.Context) {
@@ -1475,6 +1477,25 @@ func (s *Strategy) accountUpdater(ctx context.Context) {
 	}
 }
 
+func (s *Strategy) houseCleanWorker(ctx context.Context) {
+	expiryDuration := 3 * time.Hour
+	ticker := time.NewTicker(time.Hour)
+
+	defer ticker.Stop()
+	for {
+		select {
+		case <-ctx.Done():
+			return
+
+		case <-ticker.C:
+			s.orderStore.Prune(expiryDuration)
+
+		}
+
+	}
+
+}
+
 func (s *Strategy) hedgeWorker(ctx context.Context) {
 	ticker := time.NewTicker(util.MillisecondsJitter(s.HedgeInterval.Duration(), 200))
 	defer ticker.Stop()
@@ -1743,6 +1764,7 @@ func (s *Strategy) CrossRun(
 	s.orderStore.BindStream(s.makerSession.UserDataStream)
 
 	s.tradeCollector = core.NewTradeCollector(s.Symbol, s.Position, s.orderStore)
+	s.tradeCollector.TradeStore().SetPruneEnabled(true)
 
 	if s.NotifyTrade {
 		s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
@@ -1808,6 +1830,7 @@ func (s *Strategy) CrossRun(
 		go s.accountUpdater(ctx)
 		go s.hedgeWorker(ctx)
 		go s.quoteWorker(ctx)
+		go s.houseCleanWorker(ctx)
 
 		if s.RecoverTrade {
 			go s.tradeRecover(ctx)