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feature: use LocalActiveOrderBook for cancelling open orders for strategy controller in support strategy

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This commit is contained in:
Andy Cheng 2022-04-21 18:31:02 +08:00
parent 26a5114182
commit 7b3e369766
1 changed files with 19 additions and 11 deletions
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30
pkg/strategy/support/strategy.go
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@ -170,8 +170,9 @@ type Strategy struct {
tradeCollector *bbgo.TradeCollector tradeCollector *bbgo.TradeCollector
orderStore *bbgo.OrderStore orderStore *bbgo.OrderStore
state *State activeOrders *bbgo.LocalActiveOrderBook
state *State
triggerEMA *indicator.EWMA triggerEMA *indicator.EWMA
longTermEMA *indicator.EWMA longTermEMA *indicator.EWMA
@ -249,6 +250,7 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu
} }
s.orderStore.Add(createdOrders...) s.orderStore.Add(createdOrders...)
s.activeOrders.Add(createdOrders...)
return err return err
} }
@ -303,6 +305,7 @@ func (s *Strategy) submitOrders(ctx context.Context, orderExecutor bbgo.OrderExe
} }
s.orderStore.Add(createdOrders...) s.orderStore.Add(createdOrders...)
s.activeOrders.Add(createdOrders...)
s.tradeCollector.Emit() s.tradeCollector.Emit()
return createdOrders, nil return createdOrders, nil
} }
@ -393,13 +396,9 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.Status = types.StrategyStatusRunning s.Status = types.StrategyStatusRunning
s.OnSuspend(func() { s.OnSuspend(func() {
var err error = nil
// Cancel all order // Cancel all order
for _, order := range s.orderStore.Orders() { if err := s.activeOrders.GracefulCancel(ctx, session.Exchange); err != nil {
err = s.cancelOrder(order.OrderID, ctx, s.orderExecutor) errMsg := "Not all {s.Symbol} orders are cancelled! Please check again."
}
if err != nil {
errMsg := "Not all orders are cancelled! Please check again."
log.WithError(err).Errorf(errMsg) log.WithError(err).Errorf(errMsg)
s.Notify(errMsg) s.Notify(errMsg)
} else { } else {
@ -407,7 +406,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
} }
// Save state // Save state
if err = s.SaveState(); err != nil { if err := s.SaveState(); err != nil {
log.WithError(err).Errorf("can not save state: %+v", s.state) log.WithError(err).Errorf("can not save state: %+v", s.state)
} else { } else {
log.Infof("%s state is saved.", s.Symbol) log.Infof("%s state is saved.", s.Symbol)
@ -476,6 +475,9 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.orderStore = bbgo.NewOrderStore(s.Symbol) s.orderStore = bbgo.NewOrderStore(s.Symbol)
s.orderStore.BindStream(session.UserDataStream) s.orderStore.BindStream(session.UserDataStream)
s.activeOrders = bbgo.NewLocalActiveOrderBook(s.Symbol)
s.activeOrders.BindStream(session.UserDataStream)
if !s.TrailingStopTarget.TrailingStopCallbackRatio.IsZero() { if !s.TrailingStopTarget.TrailingStopCallbackRatio.IsZero() {
s.trailingStopControl = &TrailingStopControl{ s.trailingStopControl = &TrailingStopControl{
symbol: s.Symbol, symbol: s.Symbol,
@ -746,9 +748,15 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
// Cancel trailing stop order // Cancel trailing stop order
if s.TrailingStopTarget.TrailingStopCallbackRatio.Sign() > 0 { if s.TrailingStopTarget.TrailingStopCallbackRatio.Sign() > 0 {
if err := s.cancelOrder(s.trailingStopControl.OrderID, ctx, orderExecutor); err != nil { // Cancel all orders
log.WithError(err).Errorf("Can not cancel the trailing stop order!") if err := s.activeOrders.GracefulCancel(ctx, session.Exchange); err != nil {
errMsg := "Not all {s.Symbol} orders are cancelled! Please check again."
log.WithError(err).Errorf(errMsg)
s.Notify(errMsg)
} else {
s.Notify("All {s.Symbol} orders are cancelled.")
} }
s.trailingStopControl.OrderID = 0 s.trailingStopControl.OrderID = 0
} }