add grid restore behavior

pkg/bbgo/notifier.go

@@ -13,9 +13,9 @@ func (n *NullNotifier) Notify(format string, args ...interface{}) {}
 
 type Notifiability struct {
 	notifiers            []Notifier
-	SessionChannelRouter *PatternChannelRouter
-	SymbolChannelRouter  *PatternChannelRouter
-	ObjectChannelRouter  *ObjectChannelRouter
+	SessionChannelRouter *PatternChannelRouter `json:"-"`
+	SymbolChannelRouter  *PatternChannelRouter `json:"-"`
+	ObjectChannelRouter  *ObjectChannelRouter  `json:"-"`
 }
 
 // RouteSession routes symbol name to channel

pkg/cmd/run.go

@@ -262,4 +262,3 @@ func buildAndRun(ctx context.Context, userConfig *bbgo.Config, args ...string) (
 	runCmd.Stderr = os.Stderr
 	return runCmd, runCmd.Start()
 }
-

pkg/exchange/max/exchange.go

@@ -180,7 +180,7 @@ func (e *Exchange) QueryClosedOrders(ctx context.Context, symbol string, since,
 		return nil, err
 	}
 
-	numBatches := 5
+	numBatches := 3
 	limit := 1000 // max limit = 1000
 	offset := limit * numBatches
 	orderIDs := make(map[uint64]struct{}, limit*2)

pkg/exchange/max/stream.go

@@ -212,7 +212,7 @@ func convertWebSocketTrade(t max.TradeUpdate) (*types.Trade, error) {
 		ID:            int64(t.ID),
 		OrderID:       t.OrderID,
 		Symbol:        toGlobalSymbol(t.Market),
-		Exchange:      "max",
+		Exchange:      types.ExchangeMax.String(),
 		Price:         price,
 		Quantity:      quantity,
 		Side:          side,
@@ -246,8 +246,9 @@ func toGlobalOrderUpdate(u max.OrderUpdate) (*types.Order, error) {
 			Price:         util.MustParseFloat(u.Price),
 			StopPrice:     util.MustParseFloat(u.StopPrice),
 			TimeInForce:   "GTC", // MAX only supports GTC
+			GroupID:       u.GroupID,
 		},
-		Exchange:         "max",
+		Exchange:         types.ExchangeMax.String(),
 		OrderID:          u.ID,
 		Status:           toGlobalOrderStatus(u.State, executedVolume, remainingVolume),
 		ExecutedQuantity: executedVolume.Float64(),

pkg/strategy/grid/strategy.go

@@ -6,6 +6,7 @@ import (
 	"hash/fnv"
 	"sync"
 
+	"github.com/pkg/errors"
 	"github.com/sirupsen/logrus"
 
 	"github.com/c9s/bbgo/pkg/bbgo"
@@ -25,6 +26,13 @@ func init() {
 	bbgo.RegisterStrategy(ID, &Strategy{})
 }
 
+// Snapshot is the grid snapshot
+type Snapshot struct {
+	Orders          []types.SubmitOrder           `json:"orders,omitempty"`
+	FilledBuyGrids  map[fixedpoint.Value]struct{} `json:"filledBuyGrids"`
+	FilledSellGrids map[fixedpoint.Value]struct{} `json:"filledSellGrids"`
+}
+
 type Strategy struct {
 	// The notification system will be injected into the strategy automatically.
 	// This field will be injected automatically since it's a single exchange strategy.
@@ -32,6 +40,8 @@ type Strategy struct {
 
 	*bbgo.Graceful `json:"-" yaml:"-"`
 
+	*bbgo.Persistence
+
 	// OrderExecutor is an interface for submitting order.
 	// This field will be injected automatically since it's a single exchange strategy.
 	bbgo.OrderExecutor `json:"-" yaml:"-"`
@@ -410,6 +420,19 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		return fmt.Errorf("upper price (%f) should not be less than lower price (%f)", s.UpperPrice.Float64(), s.LowerPrice.Float64())
 	}
 
+	var snapshot Snapshot
+	var snapshotLoaded = false
+	if s.Persistence != nil {
+		if err := s.Persistence.Load(&snapshot, ID, s.Symbol, "snapshot"); err != nil {
+			if err != service.ErrPersistenceNotExists {
+				return errors.Wrapf(err, "snapshot load error")
+			}
+		} else {
+			log.Infof("active order snapshot loaded")
+			snapshotLoaded = true
+		}
+	}
+
 	s.filledBuyGrids = make(map[fixedpoint.Value]struct{})
 	s.filledSellGrids = make(map[fixedpoint.Value]struct{})
 
@@ -437,6 +460,20 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 	s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
 		defer wg.Done()
 
+		if s.Persistence != nil {
+			log.Infof("backing up active orders...")
+			submitOrders := s.activeOrders.Backup()
+			snapshot := Snapshot{
+				Orders: submitOrders,
+			}
+
+			if err := s.Persistence.Save(&snapshot, ID, s.Symbol, "snapshot"); err != nil {
+				log.WithError(err).Error("can not save active order backups")
+			} else {
+				log.Infof("active order snapshot saved")
+			}
+		}
+
 		log.Infof("canceling active orders...")
 		if err := session.Exchange.CancelOrders(ctx, s.activeOrders.Orders()...); err != nil {
 			log.WithError(err).Errorf("cancel order error")
@@ -453,7 +490,18 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 
 	session.Stream.OnTradeUpdate(s.tradeUpdateHandler)
 	session.Stream.OnStart(func() {
+		if snapshotLoaded && len(snapshot.Orders) > 0 {
+			createdOrders, err := orderExecutor.SubmitOrders(ctx, snapshot.Orders...)
+			if err != nil {
+				log.WithError(err).Error("active orders restore error")
+			}
+			s.activeOrders.Add(createdOrders...)
+			s.orderStore.Add(createdOrders...)
+			s.filledSellGrids = snapshot.FilledSellGrids
+			s.filledBuyGrids = snapshot.FilledBuyGrids
+		} else {
 			s.placeGridOrders(orderExecutor, session)
+		}
 	})
 
 	return nil

pkg/types/order.go

@@ -96,7 +96,7 @@ type SubmitOrder struct {
 
 	Quantity  float64 `json:"quantity" db:"quantity"`
 	Price     float64 `json:"price" db:"price"`
-	StopPrice float64 `json:"stopPrice" db:"stop_price"`
+	StopPrice float64 `json:"stopPrice,omitempty" db:"stop_price"`
 
 	Market Market `json:"-" db:"-"`
 
@@ -105,11 +105,11 @@ type SubmitOrder struct {
 	PriceString     string `json:"-"`
 	QuantityString  string `json:"-"`
 
-	TimeInForce string `json:"timeInForce" db:"time_in_force"` // GTC, IOC, FOK
+	TimeInForce string `json:"timeInForce,omitempty" db:"time_in_force"` // GTC, IOC, FOK
 
-	GroupID int64 `json:"groupID"`
+	GroupID int64 `json:"groupID,omitempty"`
 
-	MarginSideEffect MarginOrderSideEffectType `json:"marginSideEffect"` // AUTO_REPAY = repay, MARGIN_BUY = borrow, defaults to  NO_SIDE_EFFECT
+	MarginSideEffect MarginOrderSideEffectType `json:"marginSideEffect,omitempty"` // AUTO_REPAY = repay, MARGIN_BUY = borrow, defaults to  NO_SIDE_EFFECT
 }
 
 func (o *SubmitOrder) String() string {
@@ -160,6 +160,9 @@ type Order struct {
 func (o Order) Backup() SubmitOrder {
 	so := o.SubmitOrder
 	so.Quantity = o.Quantity - o.ExecutedQuantity
+
+	// ClientOrderID can not be reused
+	so.ClientOrderID = ""
 	return so
 }