Merge pull request #1464 from c9s/kbearXD/dca2/run-state-and-recover

FEATURE: [dca2] run state machine

config/dca2.yaml

@@ -23,8 +23,9 @@ exchangeStrategies:
   dca2:
     symbol: ETHUSDT
     short: false
-    budget: 5000
+    budget: 200
-    maxOrderNum: 10
+    maxOrderNum: 5
     priceDeviation: 1%
-    takeProfitRatio: 1%
+    takeProfitRatio: 0.2%
-    coolDownInterval: 5m
+    coolDownInterval: 3m
+    circuitBreakLossThreshold: -0.9

pkg/exchange/max/maxapi/v3/get_wallet_open_orders_request_requestgen.go

@@ -72,7 +72,6 @@ func (g *GetWalletOpenOrdersRequest) GetParameters() (map[string]interface{}, er
 		// assign parameter of timestamp
 		// convert time.Time to milliseconds time stamp
 		params["timestamp"] = strconv.FormatInt(timestamp.UnixNano()/int64(time.Millisecond), 10)
-		fmt.Println(params["timestamp"], timestamp)
 	} else {
 	}
 	// check orderBy field -> json key order_by

pkg/strategy/dca2/debug.go

@@ -5,6 +5,7 @@ import (
 	"strings"
 
 	"github.com/c9s/bbgo/pkg/types"
+	"github.com/sirupsen/logrus"
 )
 
 func (s *Strategy) debugOrders(submitOrders []types.Order) {
@@ -17,3 +18,15 @@ func (s *Strategy) debugOrders(submitOrders []types.Order) {
 
 	s.logger.Info(sb.String())
 }
+
+func debugRoundOrders(logger *logrus.Entry, roundName string, round Round) {
+	var sb strings.Builder
+	sb.WriteString("ROUND " + roundName + " [\n")
+	sb.WriteString(round.TakeProfitOrder.String() + "\n")
+	sb.WriteString("------------------------------------------------\n")
+	for i, order := range round.OpenPositionOrders {
+		sb.WriteString(fmt.Sprintf("%3d) ", i+1) + order.String() + "\n")
+	}
+	sb.WriteString("] END OF ROUND")
+	logger.Info(sb.String())
+}

pkg/strategy/dca2/open_position_test.go

@@ -38,8 +38,6 @@ func newTestStrategy(va ...string) *Strategy {
 		Market:          market,
 		Short:           false,
 		TakeProfitRatio: Number("10%"),
-		openPositionSide: types.SideTypeBuy,
-		takeProfitSide:   types.SideTypeSell,
 	}
 	return s
 }

pkg/strategy/dca2/recover.go

@@ -0,0 +1,270 @@
+package dca2
+
+import (
+	"context"
+	"fmt"
+	"strconv"
+	"time"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/core"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type descendingClosedOrderQueryService interface {
+	QueryClosedOrdersDesc(ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64) ([]types.Order, error)
+}
+
+type RecoverApiQueryService interface {
+	types.ExchangeOrderQueryService
+	types.ExchangeTradeService
+	descendingClosedOrderQueryService
+}
+
+func (s *Strategy) recover(ctx context.Context) error {
+	s.logger.Info("[DCA] recover")
+	queryService, ok := s.Session.Exchange.(RecoverApiQueryService)
+	if !ok {
+		return fmt.Errorf("[DCA] exchange %s doesn't support queryAPI interface", s.Session.ExchangeName)
+	}
+
+	openOrders, err := queryService.QueryOpenOrders(ctx, s.Symbol)
+	if err != nil {
+		return err
+	}
+
+	closedOrders, err := queryService.QueryClosedOrdersDesc(ctx, s.Symbol, time.Time{}, time.Now(), 0)
+	if err != nil {
+		return err
+	}
+
+	currentRound, err := getCurrentRoundOrders(s.Short, openOrders, closedOrders, s.OrderGroupID)
+	if err != nil {
+		return err
+	}
+	debugRoundOrders(s.logger, "current", currentRound)
+
+	// recover state
+	state, err := recoverState(ctx, s.Symbol, s.Short, int(s.MaxOrderNum), openOrders, currentRound, s.OrderExecutor.ActiveMakerOrders(), s.OrderExecutor.OrderStore(), s.OrderGroupID)
+	if err != nil {
+		return err
+	}
+
+	// recover position
+	if err := recoverPosition(ctx, s.Position, queryService, currentRound); err != nil {
+		return err
+	}
+
+	// recover budget
+	budget := recoverBudget(currentRound)
+
+	// recover startTimeOfNextRound
+	startTimeOfNextRound := recoverStartTimeOfNextRound(ctx, currentRound, s.CoolDownInterval)
+
+	s.state = state
+	if !budget.IsZero() {
+		s.Budget = budget
+	}
+	s.startTimeOfNextRound = startTimeOfNextRound
+
+	return nil
+}
+
+// recover state
+func recoverState(ctx context.Context, symbol string, short bool, maxOrderNum int, openOrders []types.Order, currentRound Round, activeOrderBook *bbgo.ActiveOrderBook, orderStore *core.OrderStore, groupID uint32) (State, error) {
+	if len(currentRound.OpenPositionOrders) == 0 {
+		// new strategy
+		return WaitToOpenPosition, nil
+	}
+
+	numOpenOrders := len(openOrders)
+	// dca stop at take profit order stage
+	if currentRound.TakeProfitOrder.OrderID != 0 {
+		if numOpenOrders == 0 {
+			// current round's take-profit order filled, wait to open next round
+			return WaitToOpenPosition, nil
+		}
+
+		// check the open orders is take profit order or not
+		if numOpenOrders == 1 {
+			if openOrders[0].OrderID == currentRound.TakeProfitOrder.OrderID {
+				activeOrderBook.Add(openOrders[0])
+				// current round's take-profit order still opened, wait to fill
+				return TakeProfitReady, nil
+			} else {
+				return None, fmt.Errorf("stop at taking profit stage, but the open order's OrderID is not the take-profit order's OrderID")
+			}
+		}
+
+		return None, fmt.Errorf("stop at taking profit stage, but the number of open orders is > 1")
+	}
+
+	numOpenPositionOrders := len(currentRound.OpenPositionOrders)
+	if numOpenPositionOrders > maxOrderNum {
+		return None, fmt.Errorf("the number of open-position orders is > max order number")
+	} else if numOpenPositionOrders < maxOrderNum {
+		// The number of open-position orders should be the same as maxOrderNum
+		// If not, it may be the following possible cause
+		// 1. This strategy at position opening, so it may not place all orders we want successfully
+		// 2. There are some errors when placing open-position orders. e.g. cannot lock fund.....
+		return None, fmt.Errorf("the number of open-position orders is < max order number")
+	}
+
+	if numOpenOrders > numOpenPositionOrders {
+		return None, fmt.Errorf("the number of open orders is > the number of open-position orders")
+	}
+
+	if numOpenOrders == numOpenPositionOrders {
+		activeOrderBook.Add(openOrders...)
+		orderStore.Add(openOrders...)
+		return OpenPositionReady, nil
+	}
+
+	var openedCnt, filledCnt, cancelledCnt int64
+	for _, order := range currentRound.OpenPositionOrders {
+		switch order.Status {
+		case types.OrderStatusNew, types.OrderStatusPartiallyFilled:
+			openedCnt++
+		case types.OrderStatusFilled:
+			filledCnt++
+		case types.OrderStatusCanceled:
+			cancelledCnt++
+		default:
+			return None, fmt.Errorf("there is unexpected status %s of order %s", order.Status, order)
+		}
+	}
+
+	if filledCnt > 0 && cancelledCnt == 0 {
+		activeOrderBook.Add(openOrders...)
+		orderStore.Add(openOrders...)
+		return OpenPositionOrderFilled, nil
+	}
+
+	if openedCnt > 0 && filledCnt > 0 && cancelledCnt > 0 {
+		return OpenPositionOrdersCancelling, nil
+	}
+
+	if openedCnt == 0 && filledCnt > 0 && cancelledCnt > 0 {
+		return OpenPositionOrdersCancelled, nil
+	}
+
+	return None, fmt.Errorf("unexpected order status combination")
+}
+
+func recoverPosition(ctx context.Context, position *types.Position, queryService RecoverApiQueryService, currentRound Round) error {
+	if position == nil {
+		return nil
+	}
+
+	var positionOrders []types.Order
+	position.Reset()
+	if currentRound.TakeProfitOrder.OrderID != 0 {
+		if !types.IsActiveOrder(currentRound.TakeProfitOrder) {
+			return nil
+		}
+
+		positionOrders = append(positionOrders, currentRound.TakeProfitOrder)
+	}
+
+	for _, order := range currentRound.OpenPositionOrders {
+		// no executed quantity order, no need to get trades
+		if order.ExecutedQuantity.IsZero() {
+			continue
+		}
+
+		positionOrders = append(positionOrders, order)
+	}
+
+	for _, positionOrder := range positionOrders {
+		trades, err := queryService.QueryOrderTrades(ctx, types.OrderQuery{
+			Symbol:  position.Symbol,
+			OrderID: strconv.FormatUint(positionOrder.OrderID, 10),
+		})
+
+		if err != nil {
+			return fmt.Errorf("failed to get trades of order (%d)", positionOrder.OrderID)
+		}
+
+		position.AddTrades(trades)
+	}
+
+	return nil
+}
+
+func recoverBudget(currentRound Round) fixedpoint.Value {
+	if len(currentRound.OpenPositionOrders) == 0 {
+		return fixedpoint.Zero
+	}
+
+	total := fixedpoint.Zero
+	for _, order := range currentRound.OpenPositionOrders {
+		total = total.Add(order.Quantity.Mul(order.Price))
+	}
+
+	if currentRound.TakeProfitOrder.OrderID != 0 && currentRound.TakeProfitOrder.Status == types.OrderStatusFilled {
+		total = total.Add(currentRound.TakeProfitOrder.Quantity.Mul(currentRound.TakeProfitOrder.Price))
+		for _, order := range currentRound.OpenPositionOrders {
+			total = total.Sub(order.ExecutedQuantity.Mul(order.Price))
+		}
+	}
+
+	return total
+}
+
+func recoverStartTimeOfNextRound(ctx context.Context, currentRound Round, coolDownInterval types.Duration) time.Time {
+	if currentRound.TakeProfitOrder.OrderID != 0 && currentRound.TakeProfitOrder.Status == types.OrderStatusFilled {
+		return currentRound.TakeProfitOrder.UpdateTime.Time().Add(coolDownInterval.Duration())
+	}
+
+	return time.Time{}
+}
+
+type Round struct {
+	OpenPositionOrders []types.Order
+	TakeProfitOrder    types.Order
+}
+
+func getCurrentRoundOrders(short bool, openOrders, closedOrders []types.Order, groupID uint32) (Round, error) {
+	openPositionSide := types.SideTypeBuy
+	takeProfitSide := types.SideTypeSell
+
+	if short {
+		openPositionSide = types.SideTypeSell
+		takeProfitSide = types.SideTypeBuy
+	}
+
+	var allOrders []types.Order
+	allOrders = append(allOrders, openOrders...)
+	allOrders = append(allOrders, closedOrders...)
+
+	types.SortOrdersDescending(allOrders)
+
+	var currentRound Round
+	lastSide := takeProfitSide
+	for _, order := range allOrders {
+		// group id filter is used for debug when local running
+		if order.GroupID != groupID {
+			continue
+		}
+
+		if order.Side == takeProfitSide && lastSide == openPositionSide {
+			break
+		}
+
+		switch order.Side {
+		case openPositionSide:
+			currentRound.OpenPositionOrders = append(currentRound.OpenPositionOrders, order)
+		case takeProfitSide:
+			if currentRound.TakeProfitOrder.OrderID != 0 {
+				return currentRound, fmt.Errorf("there are two take-profit orders in one round, please check it")
+			}
+			currentRound.TakeProfitOrder = order
+		default:
+		}
+
+		lastSide = order.Side
+	}
+
+	return currentRound, nil
+}

pkg/strategy/dca2/recover_test.go

@@ -0,0 +1,233 @@
+package dca2
+
+import (
+	"context"
+	"math/rand"
+	"testing"
+	"time"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/core"
+	"github.com/c9s/bbgo/pkg/types"
+	"github.com/stretchr/testify/assert"
+)
+
+func generateTestOrder(side types.SideType, status types.OrderStatus, createdAt time.Time) types.Order {
+	return types.Order{
+		OrderID: rand.Uint64(),
+		SubmitOrder: types.SubmitOrder{
+			Side: side,
+		},
+		Status:       status,
+		CreationTime: types.Time(createdAt),
+	}
+
+}
+
+func Test_GetCurrenctAndLastRoundOrders(t *testing.T) {
+	t.Run("case 1", func(t *testing.T) {
+		now := time.Now()
+		openOrders := []types.Order{
+			generateTestOrder(types.SideTypeSell, types.OrderStatusNew, now),
+		}
+
+		closedOrders := []types.Order{
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-1*time.Second)),
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-2*time.Second)),
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-3*time.Second)),
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-4*time.Second)),
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-5*time.Second)),
+		}
+
+		currentRound, err := getCurrentRoundOrders(false, openOrders, closedOrders, 0)
+
+		assert.NoError(t, err)
+		assert.NotEqual(t, 0, currentRound.TakeProfitOrder.OrderID)
+		assert.Equal(t, 5, len(currentRound.OpenPositionOrders))
+	})
+
+	t.Run("case 2", func(t *testing.T) {
+		now := time.Now()
+		openOrders := []types.Order{
+			generateTestOrder(types.SideTypeSell, types.OrderStatusNew, now),
+		}
+
+		closedOrders := []types.Order{
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-1*time.Second)),
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-2*time.Second)),
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-3*time.Second)),
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-4*time.Second)),
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-5*time.Second)),
+			generateTestOrder(types.SideTypeSell, types.OrderStatusFilled, now.Add(-6*time.Second)),
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-7*time.Second)),
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-8*time.Second)),
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-9*time.Second)),
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-10*time.Second)),
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-11*time.Second)),
+			generateTestOrder(types.SideTypeSell, types.OrderStatusFilled, now.Add(-12*time.Second)),
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-13*time.Second)),
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-14*time.Second)),
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-15*time.Second)),
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-16*time.Second)),
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-17*time.Second)),
+		}
+
+		currentRound, err := getCurrentRoundOrders(false, openOrders, closedOrders, 0)
+
+		assert.NoError(t, err)
+		assert.NotEqual(t, 0, currentRound.TakeProfitOrder.OrderID)
+		assert.Equal(t, 5, len(currentRound.OpenPositionOrders))
+	})
+}
+
+type MockQueryOrders struct {
+	OpenOrders   []types.Order
+	ClosedOrders []types.Order
+}
+
+func (m *MockQueryOrders) QueryOpenOrders(ctx context.Context, symbol string) ([]types.Order, error) {
+	return m.OpenOrders, nil
+}
+
+func (m *MockQueryOrders) QueryClosedOrdersDesc(ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64) ([]types.Order, error) {
+	return m.ClosedOrders, nil
+}
+
+func Test_RecoverState(t *testing.T) {
+	symbol := "BTCUSDT"
+
+	t.Run("new strategy", func(t *testing.T) {
+		openOrders := []types.Order{}
+		currentRound := Round{}
+		activeOrderBook := bbgo.NewActiveOrderBook(symbol)
+		orderStore := core.NewOrderStore(symbol)
+		state, err := recoverState(context.Background(), symbol, false, 5, openOrders, currentRound, activeOrderBook, orderStore, 0)
+		assert.NoError(t, err)
+		assert.Equal(t, WaitToOpenPosition, state)
+	})
+
+	t.Run("at open position stage and no filled order", func(t *testing.T) {
+		now := time.Now()
+		openOrders := []types.Order{
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusPartiallyFilled, now.Add(-1*time.Second)),
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusNew, now.Add(-2*time.Second)),
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusNew, now.Add(-3*time.Second)),
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusNew, now.Add(-4*time.Second)),
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusNew, now.Add(-5*time.Second)),
+		}
+		currentRound := Round{
+			OpenPositionOrders: openOrders,
+		}
+		orderStore := core.NewOrderStore(symbol)
+		activeOrderBook := bbgo.NewActiveOrderBook(symbol)
+		state, err := recoverState(context.Background(), symbol, false, 5, openOrders, currentRound, activeOrderBook, orderStore, 0)
+		assert.NoError(t, err)
+		assert.Equal(t, OpenPositionReady, state)
+	})
+
+	t.Run("at open position stage and there at least one filled order", func(t *testing.T) {
+		now := time.Now()
+		openOrders := []types.Order{
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusNew, now.Add(-2*time.Second)),
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusNew, now.Add(-3*time.Second)),
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusNew, now.Add(-4*time.Second)),
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusNew, now.Add(-5*time.Second)),
+		}
+		currentRound := Round{
+			OpenPositionOrders: []types.Order{
+				generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-1*time.Second)),
+				openOrders[0],
+				openOrders[1],
+				openOrders[2],
+				openOrders[3],
+			},
+		}
+		orderStore := core.NewOrderStore(symbol)
+		activeOrderBook := bbgo.NewActiveOrderBook(symbol)
+		state, err := recoverState(context.Background(), symbol, false, 5, openOrders, currentRound, activeOrderBook, orderStore, 0)
+		assert.NoError(t, err)
+		assert.Equal(t, OpenPositionOrderFilled, state)
+	})
+
+	t.Run("open position stage finish, but stop at cancelling", func(t *testing.T) {
+		now := time.Now()
+		openOrders := []types.Order{
+			generateTestOrder(types.SideTypeBuy, types.OrderStatusNew, now.Add(-5*time.Second)),
+		}
+		currentRound := Round{
+			OpenPositionOrders: []types.Order{
+				generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-1*time.Second)),
+				generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-2*time.Second)),
+				generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-3*time.Second)),
+				generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-4*time.Second)),
+				openOrders[0],
+			},
+		}
+		orderStore := core.NewOrderStore(symbol)
+		activeOrderBook := bbgo.NewActiveOrderBook(symbol)
+		state, err := recoverState(context.Background(), symbol, false, 5, openOrders, currentRound, activeOrderBook, orderStore, 0)
+		assert.NoError(t, err)
+		assert.Equal(t, OpenPositionOrdersCancelling, state)
+	})
+
+	t.Run("open-position orders are cancelled", func(t *testing.T) {
+		now := time.Now()
+		openOrders := []types.Order{}
+		currentRound := Round{
+			OpenPositionOrders: []types.Order{
+				generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-1*time.Second)),
+				generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-2*time.Second)),
+				generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-3*time.Second)),
+				generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-4*time.Second)),
+				generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-5*time.Second)),
+			},
+		}
+		orderStore := core.NewOrderStore(symbol)
+		activeOrderBook := bbgo.NewActiveOrderBook(symbol)
+		state, err := recoverState(context.Background(), symbol, false, 5, openOrders, currentRound, activeOrderBook, orderStore, 0)
+		assert.NoError(t, err)
+		assert.Equal(t, OpenPositionOrdersCancelled, state)
+	})
+
+	t.Run("at take profit stage, and not filled yet", func(t *testing.T) {
+		now := time.Now()
+		openOrders := []types.Order{
+			generateTestOrder(types.SideTypeSell, types.OrderStatusNew, now),
+		}
+		currentRound := Round{
+			TakeProfitOrder: openOrders[0],
+			OpenPositionOrders: []types.Order{
+				generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-1*time.Second)),
+				generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-2*time.Second)),
+				generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-3*time.Second)),
+				generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-4*time.Second)),
+				generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-5*time.Second)),
+			},
+		}
+		orderStore := core.NewOrderStore(symbol)
+		activeOrderBook := bbgo.NewActiveOrderBook(symbol)
+		state, err := recoverState(context.Background(), symbol, false, 5, openOrders, currentRound, activeOrderBook, orderStore, 0)
+		assert.NoError(t, err)
+		assert.Equal(t, TakeProfitReady, state)
+	})
+
+	t.Run("at take profit stage, take-profit order filled", func(t *testing.T) {
+		now := time.Now()
+		openOrders := []types.Order{}
+		currentRound := Round{
+			TakeProfitOrder: generateTestOrder(types.SideTypeSell, types.OrderStatusFilled, now),
+			OpenPositionOrders: []types.Order{
+				generateTestOrder(types.SideTypeBuy, types.OrderStatusFilled, now.Add(-1*time.Second)),
+				generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-2*time.Second)),
+				generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-3*time.Second)),
+				generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-4*time.Second)),
+				generateTestOrder(types.SideTypeBuy, types.OrderStatusCanceled, now.Add(-5*time.Second)),
+			},
+		}
+		orderStore := core.NewOrderStore(symbol)
+		activeOrderBook := bbgo.NewActiveOrderBook(symbol)
+		state, err := recoverState(context.Background(), symbol, false, 5, openOrders, currentRound, activeOrderBook, orderStore, 0)
+		assert.NoError(t, err)
+		assert.Equal(t, WaitToOpenPosition, state)
+	})
+}

pkg/strategy/dca2/state.go

@@ -0,0 +1,195 @@
+package dca2
+
+import (
+	"context"
+	"time"
+)
+
+type State int64
+
+const (
+	None State = iota
+	WaitToOpenPosition
+	PositionOpening
+	OpenPositionReady
+	OpenPositionOrderFilled
+	OpenPositionOrdersCancelling
+	OpenPositionOrdersCancelled
+	TakeProfitReady
+)
+
+var stateTransition map[State]State = map[State]State{
+	WaitToOpenPosition:           PositionOpening,
+	PositionOpening:              OpenPositionReady,
+	OpenPositionReady:            OpenPositionOrderFilled,
+	OpenPositionOrderFilled:      OpenPositionOrdersCancelling,
+	OpenPositionOrdersCancelling: OpenPositionOrdersCancelled,
+	OpenPositionOrdersCancelled:  TakeProfitReady,
+	TakeProfitReady:              WaitToOpenPosition,
+}
+
+func (s *Strategy) initializeNextStateC() bool {
+	s.mu.Lock()
+	defer s.mu.Unlock()
+
+	isInitialize := false
+	if s.nextStateC == nil {
+		s.logger.Info("[DCA] initializing next state channel")
+		s.nextStateC = make(chan State, 1)
+	} else {
+		s.logger.Info("[DCA] nextStateC is already initialized")
+		isInitialize = true
+	}
+
+	return isInitialize
+}
+
+func (s *Strategy) emitNextState(nextState State) {
+	select {
+	case s.nextStateC <- nextState:
+	default:
+		s.logger.Info("[DCA] nextStateC is full or not initialized")
+	}
+}
+
+// runState
+// WaitToOpenPosition -> after startTimeOfNextRound, place dca orders ->
+// PositionOpening
+// OpenPositionReady -> any dca maker order filled ->
+// OpenPositionOrderFilled -> price hit the take profit ration, start cancelling ->
+// OpenPositionOrdersCancelled -> place the takeProfit order ->
+// TakeProfitReady -> the takeProfit order filled ->
+func (s *Strategy) runState(ctx context.Context) {
+	s.logger.Info("[DCA] runState")
+	ticker := time.NewTicker(5 * time.Second)
+	defer ticker.Stop()
+
+	for {
+		select {
+		case <-ctx.Done():
+			s.logger.Info("[DCA] runState DONE")
+			return
+		case <-ticker.C:
+			s.triggerNextState()
+		case nextState := <-s.nextStateC:
+			s.logger.Infof("[DCA] currenct state: %d, next state: %d", s.state, nextState)
+
+			// check the next state is valid
+			validNextState, exist := stateTransition[s.state]
+			if !exist {
+				s.logger.Warnf("[DCA] %d not in stateTransition", s.state)
+				continue
+			}
+
+			if nextState != validNextState {
+				s.logger.Warnf("[DCA] %d is not valid next state of curreny state %d", nextState, s.state)
+			}
+
+			// move to next state
+			switch s.state {
+			case WaitToOpenPosition:
+				s.runWaitToOpenPositionState(ctx, nextState)
+			case PositionOpening:
+				s.runPositionOpening(ctx, nextState)
+			case OpenPositionReady:
+				s.runOpenPositionReady(ctx, nextState)
+			case OpenPositionOrderFilled:
+				s.runOpenPositionOrderFilled(ctx, nextState)
+			case OpenPositionOrdersCancelling:
+				s.runOpenPositionOrdersCancelling(ctx, nextState)
+			case OpenPositionOrdersCancelled:
+				s.runOpenPositionOrdersCancelled(ctx, nextState)
+			case TakeProfitReady:
+				s.runTakeProfitReady(ctx, nextState)
+			}
+		}
+	}
+}
+
+func (s *Strategy) triggerNextState() {
+	switch s.state {
+	case OpenPositionReady:
+		// only trigger from order filled event
+	case OpenPositionOrderFilled:
+		// only trigger from kline event
+	case TakeProfitReady:
+		// only trigger from order filled event
+	default:
+		if nextState, ok := stateTransition[s.state]; ok {
+			s.nextStateC <- nextState
+		}
+	}
+}
+
+func (s *Strategy) runWaitToOpenPositionState(_ context.Context, next State) {
+	s.logger.Info("[State] WaitToOpenPosition - check startTimeOfNextRound")
+	if time.Now().Before(s.startTimeOfNextRound) {
+		return
+	}
+
+	s.state = PositionOpening
+	s.logger.Info("[State] WaitToOpenPosition -> PositionOpening")
+}
+
+func (s *Strategy) runPositionOpening(ctx context.Context, next State) {
+	s.logger.Info("[State] PositionOpening - start placing open-position orders")
+	if err := s.placeOpenPositionOrders(ctx); err != nil {
+		s.logger.WithError(err).Error("failed to place dca orders, please check it.")
+		return
+	}
+	s.state = OpenPositionReady
+	s.logger.Info("[State] PositionOpening -> OpenPositionReady")
+}
+
+func (s *Strategy) runOpenPositionReady(_ context.Context, next State) {
+	s.state = OpenPositionOrderFilled
+	s.logger.Info("[State] OpenPositionReady -> OpenPositionOrderFilled")
+}
+
+func (s *Strategy) runOpenPositionOrderFilled(_ context.Context, next State) {
+	s.state = OpenPositionOrdersCancelling
+	s.logger.Info("[State] OpenPositionOrderFilled -> OpenPositionOrdersCancelling")
+
+	// after open position cancelling, immediately trigger open position cancelled to cancel the other orders
+	s.nextStateC <- OpenPositionOrdersCancelled
+}
+
+func (s *Strategy) runOpenPositionOrdersCancelling(ctx context.Context, next State) {
+	s.logger.Info("[State] OpenPositionOrdersCancelling - start cancelling open-position orders")
+	if err := s.cancelOpenPositionOrders(ctx); err != nil {
+		s.logger.WithError(err).Error("failed to cancel maker orders")
+		return
+	}
+	s.state = OpenPositionOrdersCancelled
+	s.logger.Info("[State] OpenPositionOrdersCancelling -> OpenPositionOrdersCancelled")
+
+	// after open position cancelled, immediately trigger take profit ready to open take-profit order
+	s.nextStateC <- TakeProfitReady
+}
+
+func (s *Strategy) runOpenPositionOrdersCancelled(ctx context.Context, next State) {
+	s.logger.Info("[State] OpenPositionOrdersCancelled - start placing take-profit orders")
+	if err := s.placeTakeProfitOrders(ctx); err != nil {
+		s.logger.WithError(err).Error("failed to open take profit orders")
+		return
+	}
+	s.state = TakeProfitReady
+	s.logger.Info("[State] OpenPositionOrdersCancelled -> TakeProfitReady")
+}
+
+func (s *Strategy) runTakeProfitReady(_ context.Context, next State) {
+	s.logger.Info("[State] TakeProfitReady - start reseting position and calculate budget for next round")
+	if s.Short {
+		s.Budget = s.Budget.Add(s.Position.Base)
+	} else {
+		s.Budget = s.Budget.Add(s.Position.Quote)
+	}
+
+	// reset position
+	s.Position.Reset()
+
+	// set the start time of the next round
+	s.startTimeOfNextRound = time.Now().Add(s.CoolDownInterval.Duration())
+	s.state = WaitToOpenPosition
+	s.logger.Info("[State] TakeProfitReady -> WaitToOpenPosition")
+}

pkg/strategy/dca2/strategy.go

@@ -50,10 +50,10 @@ type Strategy struct {
 
 	// private field
 	mu                   sync.Mutex
-	openPositionSide     types.SideType
-	takeProfitSide       types.SideType
 	takeProfitPrice      fixedpoint.Value
 	startTimeOfNextRound time.Time
+	nextStateC           chan State
+	state                State
 }
 
 func (s *Strategy) ID() string {
@@ -105,33 +105,77 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
 	s.Strategy.Initialize(ctx, s.Environment, session, s.Market, ID, s.InstanceID())
 	instanceID := s.InstanceID()
 
-	if s.Short {
-		s.openPositionSide = types.SideTypeSell
-		s.takeProfitSide = types.SideTypeBuy
-	} else {
-		s.openPositionSide = types.SideTypeBuy
-		s.takeProfitSide = types.SideTypeSell
-	}
-
 	if s.OrderGroupID == 0 {
 		s.OrderGroupID = util.FNV32(instanceID) % math.MaxInt32
 	}
 
 	// order executor
 	s.OrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
-		s.logger.Infof("position: %s", s.Position.String())
+		s.logger.Infof("[DCA] POSITION UPDATE: %s", s.Position.String())
 		bbgo.Sync(ctx, s)
 
 		// update take profit price here
+		s.updateTakeProfitPrice()
+	})
+
+	s.OrderExecutor.ActiveMakerOrders().OnFilled(func(o types.Order) {
+		s.logger.Infof("[DCA] FILLED ORDER: %s", o.String())
+		openPositionSide := types.SideTypeBuy
+		takeProfitSide := types.SideTypeSell
+		if s.Short {
+			openPositionSide = types.SideTypeSell
+			takeProfitSide = types.SideTypeBuy
+		}
+
+		switch o.Side {
+		case openPositionSide:
+			s.emitNextState(OpenPositionOrderFilled)
+		case takeProfitSide:
+			s.emitNextState(WaitToOpenPosition)
+		default:
+			s.logger.Infof("[DCA] unsupported side (%s) of order: %s", o.Side, o)
+		}
 	})
 
 	session.MarketDataStream.OnKLine(func(kline types.KLine) {
 		// check price here
+		if s.state != OpenPositionOrderFilled {
+			return
+		}
+
+		compRes := kline.Close.Compare(s.takeProfitPrice)
+		// price doesn't hit the take profit price
+		if (s.Short && compRes > 0) || (!s.Short && compRes < 0) {
+			return
+		}
+
+		s.emitNextState(OpenPositionOrdersCancelling)
 	})
 
 	session.UserDataStream.OnAuth(func() {
-		s.logger.Info("user data stream authenticated, start the process")
+		s.logger.Info("[DCA] user data stream authenticated")
-		// decide state here
+		time.AfterFunc(3*time.Second, func() {
+			if isInitialize := s.initializeNextStateC(); !isInitialize {
+				// recover
+				if err := s.recover(ctx); err != nil {
+					s.logger.WithError(err).Error("[DCA] something wrong when state recovering")
+					return
+				}
+
+				s.logger.Infof("[DCA] recovered state: %d", s.state)
+				s.logger.Infof("[DCA] recovered position %s", s.Position.String())
+				s.logger.Infof("[DCA] recovered budget %s", s.Budget)
+				s.logger.Infof("[DCA] recovered startTimeOfNextRound %s", s.startTimeOfNextRound)
+
+				s.updateTakeProfitPrice()
+
+				// store persistence
+				bbgo.Sync(ctx, s)
+
+				// start running state machine
+				s.runState(ctx)
+			}
+		})
 	})
 
 	balances, err := session.Exchange.QueryAccountBalances(ctx)
@@ -146,3 +190,12 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
 
 	return nil
 }
+
+func (s *Strategy) updateTakeProfitPrice() {
+	takeProfitRatio := s.TakeProfitRatio
+	if s.Short {
+		takeProfitRatio = takeProfitRatio.Neg()
+	}
+	s.takeProfitPrice = s.Market.TruncatePrice(s.Position.AverageCost.Mul(fixedpoint.One.Add(takeProfitRatio)))
+	s.logger.Infof("[DCA] cost: %s, ratio: %s, price: %s", s.Position.AverageCost, takeProfitRatio, s.takeProfitPrice)
+}

pkg/types/sort.go

@@ -20,6 +20,14 @@ func SortOrdersAscending(orders []Order) []Order {
 	return orders
 }
 
+// SortOrdersDescending sorts by creation time descending-ly
+func SortOrdersDescending(orders []Order) []Order {
+	sort.Slice(orders, func(i, j int) bool {
+		return orders[i].CreationTime.Time().After(orders[j].CreationTime.Time())
+	})
+	return orders
+}
+
 // SortOrdersByPrice sorts by creation time ascending-ly
 func SortOrdersByPrice(orders []Order, descending bool) []Order {
 	var f func(i, j int) bool