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bbgo: optimize LocalActiveOrderBook for back-testing speed

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This commit is contained in:
c9s 2022-01-16 01:34:28 +08:00
parent 1e370ff244
commit 71e660571d
1 changed files with 10 additions and 4 deletions
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14
pkg/bbgo/active_book.go
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@ -10,7 +10,7 @@ import (
"github.com/c9s/bbgo/pkg/types"
)
const CancelOrderWaitTime = 100 * time.Millisecond
const CancelOrderWaitTime = 10 * time.Millisecond
const SentOrderWaitTime = 10 * time.Millisecond
// LocalActiveOrderBook manages the local active order books.
@ -43,11 +43,17 @@ func (b *LocalActiveOrderBook) BindStream(stream types.Stream) {
}
func (b *LocalActiveOrderBook) waitAllClear(ctx context.Context, waitTime, timeout time.Duration) (bool, error) {
numOfOrders := b.NumOfOrders()
clear := numOfOrders == 0
if clear {
return clear, nil
}
timeoutC := time.After(timeout)
for {
time.Sleep(waitTime)
numOfOrders := b.NumOfOrders()
clear := numOfOrders == 0
numOfOrders = b.NumOfOrders()
clear = numOfOrders == 0
select {
case <-timeoutC:
return clear, nil
@ -65,7 +71,7 @@ func (b *LocalActiveOrderBook) waitAllClear(ctx context.Context, waitTime, timeo
// GracefulCancel cancels the active orders gracefully
func (b *LocalActiveOrderBook) GracefulCancel(ctx context.Context, ex types.Exchange) error {
log.Infof("[LocalActiveOrderBook] gracefully cancelling %s orders...", b.Symbol)
log.Debugf("[LocalActiveOrderBook] gracefully cancelling %s orders...", b.Symbol)
startTime := time.Now()
// ensure every order is cancelled