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xmaker: add error rate limiter

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This commit is contained in:
c9s 2022-01-09 11:33:34 +08:00
parent 471a1b2baa
commit 6ce8edba7d
1 changed files with 14 additions and 4 deletions
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18
pkg/strategy/xmaker/strategy.go
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@ -9,6 +9,7 @@ import (
"github.com/pkg/errors"
"github.com/sirupsen/logrus"
"golang.org/x/time/rate"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/exchange/max"
@ -97,6 +98,8 @@ type Strategy struct {
book *types.StreamOrderBook
activeMakerOrders *bbgo.LocalActiveOrderBook
hedgeErrorLimiter *rate.Limiter
orderStore *bbgo.OrderStore
tradeCollector *bbgo.TradeCollector
@ -498,18 +501,22 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
quantity = s.sourceMarket.TruncateQuantity(quantity)
if notional.Float64() <= s.sourceMarket.MinNotional * 1.02 {
s.Notifiability.Notify("The adjusted amount %f is less than minimal notional %f, skipping hedge", notional.Float64(), s.sourceMarket.MinNotional)
log.Warnf("the adjusted amount %f is less than minimal notional %f, skipping hedge", notional.Float64(), s.sourceMarket.MinNotional)
return
}
if quantity.Float64() <= s.sourceMarket.MinQuantity * 1.02 {
s.Notifiability.Notify("The adjusted quantity %f is less than minimal quantity %f, skipping hedge", quantity.Float64(), s.sourceMarket.MinQuantity)
if quantity.Float64() <= s.sourceMarket.MinQuantity * 1.0 {
log.Warnf("the adjusted quantity %f is less than minimal quantity %f, skipping hedge", quantity.Float64(), s.sourceMarket.MinQuantity)
return
}
if !s.hedgeErrorLimiter.Allow() {
log.Warn("rate limit hit, not allowed to hedge again, skip")
return
}
log.Infof("submitting %s hedge order %s %f", s.Symbol, side.String(), quantity.Float64())
s.Notifiability.Notify("Submitting %s hedge order %s %f", s.Symbol, side.String(), quantity.Float64())
orderExecutor := &bbgo.ExchangeOrderExecutor{Session: s.sourceSession}
returnOrders, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Market: s.sourceMarket,
@ -520,6 +527,7 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
})
if err != nil {
s.hedgeErrorLimiter.Reserve()
log.WithError(err).Errorf("market order submit error: %s", err.Error())
return
}
@ -631,6 +639,8 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
}
}
s.hedgeErrorLimiter = rate.NewLimiter(rate.Every(time.Minute), 1)
// configure sessions
sourceSession, ok := sessions[s.SourceExchange]
if !ok {