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xmaker: rewrite and clean up order submission

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c9s 2024-08-24 12:13:15 +08:00
parent f7dc07327e
commit 5ca1c4fb62
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1 changed files with 40 additions and 27 deletions
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67
pkg/strategy/xmaker/strategy.go
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@ -590,31 +590,45 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
log.Infof("submitting %s hedge order %s %v", s.Symbol, side.String(), quantity)
bbgo.Notify("Submitting %s hedge order %s %v", s.Symbol, side.String(), quantity)
// TODO: improve order executor
orderExecutor := &bbgo.ExchangeOrderExecutor{Session: s.sourceSession}
returnOrders, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Market: s.sourceMarket,
Symbol: s.Symbol,
Type: types.OrderTypeMarket,
Side: side,
Quantity: quantity,
MarginSideEffect: types.SideEffectTypeMarginBuy,
})
submitOrders := []types.SubmitOrder{
{
Market: s.sourceMarket,
Symbol: s.Symbol,
Type: types.OrderTypeMarket,
Side: side,
Quantity: quantity,
MarginSideEffect: types.SideEffectTypeMarginBuy,
},
}
formattedOrders, err := s.sourceSession.FormatOrders(submitOrders)
if err != nil {
log.WithError(err).Errorf("unable to format orders")
return
}
orderCreateCallback := func(createdOrder types.Order) {
s.orderStore.Add(createdOrder)
s.activeMakerOrders.Add(createdOrder)
}
defer s.tradeCollector.Process()
createdOrders, _, err := bbgo.BatchPlaceOrder(ctx, s.sourceSession.Exchange, orderCreateCallback, formattedOrders...)
if err != nil {
s.hedgeErrorRateReservation = s.hedgeErrorLimiter.Reserve()
log.WithError(err).Errorf("market order submit error: %s", err.Error())
return
}
// if it's selling, than we should add positive position
log.Infof("submitted hedge orders: %+v", createdOrders)
// if it's selling, then we should add a positive position
if side == types.SideTypeSell {
s.CoveredPosition = s.CoveredPosition.Add(quantity)
} else {
s.CoveredPosition = s.CoveredPosition.Add(quantity.Neg())
}
s.orderStore.Add(returnOrders...)
}
func (s *Strategy) tradeRecover(ctx context.Context) {
@ -831,29 +845,28 @@ func (s *Strategy) CrossRun(
if profit.Compare(fixedpoint.Zero) == 0 {
s.Environment.RecordPosition(s.Position, trade, nil)
} else {
log.Infof("%s generated profit: %v", s.Symbol, profit)
p := s.Position.NewProfit(trade, profit, netProfit)
p.Strategy = ID
p.StrategyInstanceID = instanceID
bbgo.Notify(&p)
s.ProfitStats.AddProfit(p)
s.Environment.RecordPosition(s.Position, trade, &p)
if s.CircuitBreaker != nil {
s.CircuitBreaker.RecordProfit(profit, trade.Time.Time())
}
}
})
s.tradeCollector.OnProfit(func(trade types.Trade, profit *types.Profit) {
if s.CircuitBreaker != nil {
s.CircuitBreaker.RecordProfit(profit.Profit, trade.Time.Time())
}
bbgo.Notify(profit)
s.ProfitStats.AddProfit(*profit)
s.Environment.RecordPosition(s.Position, trade, profit)
})
s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
bbgo.Notify(position)
})
s.tradeCollector.OnRecover(func(trade types.Trade) {
bbgo.Notify("Recovered trade", trade)
})
// bind two user data streams so that we can collect the trades together
s.tradeCollector.BindStream(s.sourceSession.UserDataStream)
s.tradeCollector.BindStream(s.makerSession.UserDataStream)