bbgo: integrate connectivity into the session

pkg/bbgo/order_execution.go

@@ -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()
 	}

pkg/bbgo/session.go

@@ -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 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"`
@@ -130,14 +145,30 @@ 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,
+		UserDataConnectivity: userDataConnectivity,
+
 		MarketDataStream:       marketDataStream,
+		MarketDataConnectivity: marketDataConnectivity,
+
+		Connectivity: connectivityGroup,
+
 		Subscriptions: make(map[types.Subscription]types.Subscription),
 		Account:       &types.Account{},
 		Trades:        make(map[string]*types.TradeSlice),
@@ -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{}

pkg/strategy/xmaker/strategy.go

@@ -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...")