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https://github.com/c9s/bbgo.git
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Merge pull request #1034 from c9s/feature/grid2
strategy: grid2: use initial order ID to query closed order history to recover grid
This commit is contained in:
Yo-An Lin
GitHub
commit
5bb590faec
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@ -24,6 +24,7 @@ type GridProfitStats struct {
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Market types.Market `json:"market,omitempty"`
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ProfitEntries []*GridProfit `json:"profitEntries,omitempty"`
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Since *time.Time `json:"since,omitempty"`
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InitialOrderID uint64 `json:"initialOrderID"`
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}
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func newGridProfitStats(market types.Market) *GridProfitStats {
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@ -3,6 +3,7 @@ package grid2
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import (
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"context"
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"fmt"
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"sort"
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"strconv"
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"sync"
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"time"
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@ -116,7 +117,6 @@ type Strategy struct {
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SkipSpreadCheck bool `json:"skipSpreadCheck"`
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GridProfitStats *GridProfitStats `persistence:"grid_profit_stats"`
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ProfitStats *types.ProfitStats `persistence:"profit_stats"`
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Position *types.Position `persistence:"position"`
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grid *Grid
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@ -179,7 +179,15 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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// InstanceID returns the instance identifier from the current grid configuration parameters
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func (s *Strategy) InstanceID() string {
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return fmt.Sprintf("%s-%s-%d-%d-%d", ID, s.Symbol, s.GridNum, s.UpperPrice.Int(), s.LowerPrice.Int())
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id := fmt.Sprintf("%s-%s-size-%d", ID, s.Symbol, s.GridNum)
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if s.AutoRange != nil {
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id += "-autoRange-" + s.AutoRange.String()
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} else {
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id += "-" + s.UpperPrice.String() + "-" + s.LowerPrice.String()
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}
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return id
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}
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func (s *Strategy) checkSpread() error {
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@ -820,10 +828,23 @@ func (s *Strategy) openGrid(ctx context.Context, session *bbgo.ExchangeSession)
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return err
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}
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var orderIds []uint64
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for _, order := range createdOrders {
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orderIds = append(orderIds, order.OrderID)
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s.logger.Info(order.String())
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}
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sort.Slice(orderIds, func(i, j int) bool {
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return orderIds[i] < orderIds[j]
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})
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if len(orderIds) > 0 {
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s.GridProfitStats.InitialOrderID = orderIds[0]
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bbgo.Sync(ctx, s)
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}
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s.logger.Infof("ALL GRID ORDERS SUBMITTED")
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return nil
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}
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@ -998,9 +1019,13 @@ func (s *Strategy) recoverGrid(ctx context.Context, historyService types.Exchang
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_ = lastOrderTime
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// for MAX exchange we need the order ID to query the closed order history
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if s.GridProfitStats != nil && s.GridProfitStats.InitialOrderID > 0 {
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lastOrderID = s.GridProfitStats.InitialOrderID
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} else {
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if oid, ok := findEarliestOrderID(openOrders); ok {
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lastOrderID = oid
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}
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}
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activeOrderBook := s.orderExecutor.ActiveMakerOrders()
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@ -1251,10 +1276,6 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
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s.GridProfitStats = newGridProfitStats(s.Market)
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}
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if s.ProfitStats == nil {
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s.ProfitStats = types.NewProfitStats(s.Market)
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}
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if s.Position == nil {
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s.Position = types.NewPositionFromMarket(s.Market)
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}
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@ -1276,7 +1297,6 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
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orderExecutor := bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
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orderExecutor.BindEnvironment(s.Environment)
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orderExecutor.BindProfitStats(s.ProfitStats)
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orderExecutor.Bind()
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orderExecutor.TradeCollector().OnTrade(func(trade types.Trade, _, _ fixedpoint.Value) {
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s.GridProfitStats.AddTrade(trade)
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@ -1338,14 +1358,14 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
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session.MarketDataStream.OnKLineClosed(s.newTakeProfitHandler(ctx, session))
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}
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session.UserDataStream.OnStart(func() {
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// if TriggerPrice is zero, that means we need to open the grid when start up
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if s.TriggerPrice.IsZero() {
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session.UserDataStream.OnStart(func() {
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if err := s.openGrid(ctx, session); err != nil {
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s.logger.WithError(err).Errorf("failed to setup grid orders")
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}
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return
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}
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})
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}
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return nil
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}
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@ -52,7 +52,7 @@ func (s *State) SlackAttachment() slack.Attachment {
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Title: s.Asset + " Transfer States",
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Fields: []slack.AttachmentField{
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{Title: "Total Number of Transfers", Value: fmt.Sprintf("%d", s.DailyNumberOfTransfers), Short: true},
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{Title: "Total Amount of Transfers", Value: util.FormatFloat(s.DailyAmountOfTransfers.Float64(), 4), Short: true},
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{Title: "Total Amount of Transfers", Value: s.DailyAmountOfTransfers.String(), Short: true},
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},
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Footer: templateutil.Render("Since {{ . }}", time.Unix(s.Since, 0).Format(time.RFC822)),
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}
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@ -10,7 +10,7 @@ import (
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"github.com/pkg/errors"
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)
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var simpleDurationRegExp = regexp.MustCompile("^(\\d+)([hdw])$")
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var simpleDurationRegExp = regexp.MustCompile(`^(\d+)([hdw])$`)
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var ErrNotSimpleDuration = errors.New("the given input is not simple duration format, valid format: [1-9][0-9]*[hdw]")
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@ -20,6 +20,10 @@ type SimpleDuration struct {
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Duration Duration
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}
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func (d *SimpleDuration) String() string {
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return fmt.Sprintf("%d%s", d.Num, d.Unit)
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}
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func (d *SimpleDuration) Interval() Interval {
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switch d.Unit {
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@ -1,60 +0,0 @@
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package util
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import (
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"math"
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"strconv"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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)
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const MaxDigits = 18 // MAX_INT64 ~ 9 * 10^18
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var Pow10Table = [MaxDigits + 1]int64{
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1, 1e1, 1e2, 1e3, 1e4, 1e5, 1e6, 1e7, 1e8, 1e9, 1e10, 1e11, 1e12, 1e13, 1e14, 1e15, 1e16, 1e17, 1e18,
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}
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func Pow10(n int64) int64 {
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if n < 0 || n > MaxDigits {
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return 0
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}
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return Pow10Table[n]
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}
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func FormatValue(val fixedpoint.Value, prec int) string {
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return val.FormatString(prec)
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}
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func FormatFloat(val float64, prec int) string {
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return strconv.FormatFloat(val, 'f', prec, 64)
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}
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func ParseFloat(s string) (float64, error) {
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if len(s) == 0 {
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return 0.0, nil
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}
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return strconv.ParseFloat(s, 64)
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}
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func MustParseFloat(s string) float64 {
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if len(s) == 0 {
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return 0.0
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}
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v, err := strconv.ParseFloat(s, 64)
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if err != nil {
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panic(err)
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}
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return v
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}
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const epsilon = 0.0000001
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func Zero(v float64) bool {
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return math.Abs(v) < epsilon
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}
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func NotZero(v float64) bool {
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return math.Abs(v) > epsilon
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}
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@ -1,36 +1 @@
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package util
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import "testing"
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func TestNotZero(t *testing.T) {
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type args struct {
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v float64
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}
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tests := []struct {
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name string
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args args
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want bool
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}{
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{
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name: "0",
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args: args{
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v: 0,
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},
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want: false,
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},
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{
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name: "0.00001",
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args: args{
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v: 0.00001,
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},
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want: true,
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},
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}
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for _, tt := range tests {
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t.Run(tt.name, func(t *testing.T) {
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if got := NotZero(tt.args.v); got != tt.want {
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t.Errorf("NotZero() = %v, want %v", got, tt.want)
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}
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})
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}
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}
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@ -1,2 +0,0 @@
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package util
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