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grid2: add retry to orderQuery

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This commit is contained in:
c9s 2022-12-06 11:56:30 +08:00
parent 75521352a9
commit 846695e632
1 changed files with 21 additions and 16 deletions
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37
pkg/strategy/grid2/strategy.go
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@ -19,6 +19,8 @@ const ID = "grid2"
var log = logrus.WithField("strategy", ID)
var maxNumberOfOrderTradesQueryTries = 10
func init() {
// Register the pointer of the strategy struct,
// so that bbgo knows what struct to be used to unmarshal the configs (YAML or JSON)
@ -244,16 +246,26 @@ func (s *Strategy) verifyOrderTrades(o types.Order, trades []types.Trade) bool {
// aggregateOrderBaseFee collects the base fee quantity from the given order
// it falls back to query the trades via the RESTful API when the websocket trades are not all received.
func (s *Strategy) aggregateOrderBaseFee(o types.Order) fixedpoint.Value {
baseSellQuantityReduction := fixedpoint.Zero
// try to get the received trades (websocket trades)
orderTrades := s.historicalTrades.GetOrderTrades(o)
if len(orderTrades) > 0 {
s.logger.Infof("found filled order trades: %+v", orderTrades)
}
if !s.verifyOrderTrades(o, orderTrades) {
for maxTries := maxNumberOfOrderTradesQueryTries; maxTries > 0; maxTries-- {
// if one of the trades is missing, we need to query the trades from the RESTful API
if s.verifyOrderTrades(o, orderTrades) {
// if trades are verified
fees := collectTradeFee(orderTrades)
if fee, ok := fees[s.Market.BaseCurrency]; ok {
return fee
}
return fixedpoint.Zero
}
// if we don't support orderQueryService, then we should just skip
if s.orderQueryService == nil {
return baseSellQuantityReduction
return fixedpoint.Zero
}
s.logger.Warnf("missing order trades or missing trade fee, pulling order trades from API")
@ -266,22 +278,12 @@ func (s *Strategy) aggregateOrderBaseFee(o types.Order) fixedpoint.Value {
if err != nil {
s.logger.WithError(err).Errorf("query order trades error")
} else {
s.logger.Infof("fetch api trades: %+v", apiOrderTrades)
s.logger.Infof("fetched api trades: %+v", apiOrderTrades)
orderTrades = apiOrderTrades
}
}
if s.verifyOrderTrades(o, orderTrades) {
// check if there is a BaseCurrency fee collected
fees := collectTradeFee(orderTrades)
if fee, ok := fees[s.Market.BaseCurrency]; ok {
baseSellQuantityReduction = fee
s.logger.Infof("baseSellQuantityReduction: %f %s", baseSellQuantityReduction.Float64(), s.Market.BaseCurrency)
return baseSellQuantityReduction
}
}
return baseSellQuantityReduction
return fixedpoint.Zero
}
// handleOrderFilled is called when an order status is FILLED
@ -306,6 +308,9 @@ func (s *Strategy) handleOrderFilled(o types.Order) {
// if we don't reduce the sell quantity, than we might fail to place the sell order
if o.Side == types.SideTypeBuy {
baseSellQuantityReduction = s.aggregateOrderBaseFee(o)
s.logger.Infof("base fee: %f %s", baseSellQuantityReduction.Float64(), s.Market.BaseCurrency)
newQuantity = newQuantity.Sub(baseSellQuantityReduction)
}