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fix: drift window in factorzoo, order_execution print order, refactor: use defer to mu.Unlock in depth/buffer.go

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zenix 2022-06-08 12:14:53 +09:00
parent cca813e5e5
commit 7a045a48d4
3 changed files with 11 additions and 11 deletions
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8
pkg/bbgo/order_execution.go
View File

@ -85,9 +85,9 @@ func (e *ExchangeOrderExecutor) notifySubmitOrders(orders ...types.SubmitOrder)
// pass submit order as an interface object.
channel, ok := e.RouteObject(&order)
if ok {
e.NotifyTo(channel, ":memo: Submitting %s %s %s order with quantity: %f @ %f", order.Symbol, order.Type, order.Side, order.Quantity.Float64(), order.Price.Float64(), &order)
e.NotifyTo(channel, ":memo: Submitting %s %s %s order with quantity: %f @ %f, order: %v", order.Symbol, order.Type, order.Side, order.Quantity.Float64(), order.Price.Float64(), &order)
} else {
e.Notify(":memo: Submitting %s %s %s order with quantity: %f @ %f", order.Symbol, order.Type, order.Side, order.Quantity.Float64(), order.Price.Float64(), &order)
e.Notify(":memo: Submitting %s %s %s order with quantity: %f @ %f, order: %v", order.Symbol, order.Type, order.Side, order.Quantity.Float64(), order.Price.Float64(), &order)
}
}
}
@ -102,9 +102,9 @@ func (e *ExchangeOrderExecutor) SubmitOrders(ctx context.Context, orders ...type
// pass submit order as an interface object.
channel, ok := e.RouteObject(&order)
if ok {
e.NotifyTo(channel, ":memo: Submitting %s %s %s order with quantity: %f", order.Symbol, order.Type, order.Side, order.Quantity.Float64(), order)
e.NotifyTo(channel, ":memo: Submitting %s %s %s order with quantity: %f, order: %v", order.Symbol, order.Type, order.Side, order.Quantity.Float64(), &order)
} else {
e.Notify(":memo: Submitting %s %s %s order with quantity: %f", order.Symbol, order.Type, order.Side, order.Quantity.Float64(), order)
e.Notify(":memo: Submitting %s %s %s order with quantity: %f: %v", order.Symbol, order.Type, order.Side, order.Quantity.Float64(), &order)
}
log.Infof("submitting order: %s", order.String())

8
pkg/depth/buffer.go
View File

@ -94,6 +94,7 @@ func (b *Buffer) AddUpdate(o types.SliceOrderBook, firstUpdateID int64, finalArg
// we lock here because there might be 2+ calls to the AddUpdate method
// we don't want to reset sync.Once 2 times here
b.mu.Lock()
defer b.mu.Unlock()
select {
case <-b.resetC:
log.Warnf("received depth reset signal, resetting...")
@ -109,7 +110,6 @@ func (b *Buffer) AddUpdate(o types.SliceOrderBook, firstUpdateID int64, finalArg
b.once.Do(func() {
go b.tryFetch()
})
b.mu.Unlock()
return nil
}
@ -120,7 +120,6 @@ func (b *Buffer) AddUpdate(o types.SliceOrderBook, firstUpdateID int64, finalArg
finalUpdateID = b.finalUpdateID
b.resetSnapshot()
b.emitReset()
b.mu.Unlock()
return fmt.Errorf("found missing update between finalUpdateID %d and firstUpdateID %d, diff: %d",
finalUpdateID+1,
u.FirstUpdateID,
@ -130,7 +129,6 @@ func (b *Buffer) AddUpdate(o types.SliceOrderBook, firstUpdateID int64, finalArg
log.Debugf("depth update id %d -> %d", b.finalUpdateID, u.FinalUpdateID)
b.finalUpdateID = u.FinalUpdateID
b.EmitPush(u)
b.mu.Unlock()
return nil
}
@ -143,13 +141,13 @@ func (b *Buffer) fetchAndPush() error {
log.Debugf("fetched depth snapshot, final update id %d", finalUpdateID)
b.mu.Lock()
defer b.mu.Unlock()
if len(b.buffer) > 0 {
// the snapshot is too early
if finalUpdateID < b.buffer[0].FirstUpdateID {
b.resetSnapshot()
b.emitReset()
b.mu.Unlock()
return fmt.Errorf("depth snapshot is too early, final update %d is < the first update id %d", finalUpdateID, b.buffer[0].FirstUpdateID)
}
}
@ -164,7 +162,6 @@ func (b *Buffer) fetchAndPush() error {
if u.FirstUpdateID > finalUpdateID+1 {
b.resetSnapshot()
b.emitReset()
b.mu.Unlock()
return fmt.Errorf("there is a missing depth update, the update id %d > final update id %d + 1", u.FirstUpdateID, finalUpdateID)
}
@ -183,7 +180,6 @@ func (b *Buffer) fetchAndPush() error {
// set the snapshot
b.snapshot = &book
b.mu.Unlock()
b.EmitReady(book, pushUpdates)
return nil
}

6
pkg/strategy/factorzoo/strategy.go
View File

@ -154,7 +154,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
// s.pvDivergence.OnUpdate(func(corr float64) {
// //fmt.Printf("now we've got corr: %f\n", corr)
// })
drift := &indicator.Drift{IntervalWindow: types.IntervalWindow{Window: 14, Interval: s.Interval}}
windowSize := 360/s.Interval.Minutes()
if windowSize == 0 {
windowSize = 3
}
drift := &indicator.Drift{IntervalWindow: types.IntervalWindow{Window: windowSize, Interval: s.Interval}}
drift.Bind(st)
s.Alpha = [][]float64{{}, {}, {}, {}, {}, {}}