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add order store to exchange session
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parent
568250f4bb
commit
84b6982033
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@ -231,6 +231,10 @@ func (environ *Environment) Init(ctx context.Context) (err error) {
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session.Trades[symbol] = trades
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session.lastPrices[symbol] = 0.0
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orderStore := NewOrderStore(symbol)
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orderStore.BindStream(session.Stream)
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session.orderStores[symbol] = orderStore
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marketDataStore := NewMarketDataStore(symbol)
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marketDataStore.BindStream(session.Stream)
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session.marketDataStores[symbol] = marketDataStore
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@ -11,11 +11,13 @@ type OrderStore struct {
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mu sync.Mutex
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orders map[uint64]types.Order
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Symbol string
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RemoveCancelled bool
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}
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func NewOrderStore() *OrderStore {
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func NewOrderStore(symbol string) *OrderStore {
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return &OrderStore{
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Symbol: symbol,
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orders: make(map[uint64]types.Order),
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}
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}
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@ -56,7 +58,17 @@ func (s *OrderStore) Update(o types.Order) bool {
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}
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func (s *OrderStore) BindStream(stream types.Stream) {
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stream.OnOrderUpdate(s.handleOrderUpdate)
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hasSymbol := s.Symbol != ""
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stream.OnOrderUpdate(func(order types.Order) {
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if hasSymbol {
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if order.Symbol != s.Symbol {
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return
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}
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s.handleOrderUpdate(order)
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} else {
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s.handleOrderUpdate(order)
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}
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})
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}
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func (s *OrderStore) handleOrderUpdate(order types.Order) {
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@ -126,6 +126,8 @@ type ExchangeSession struct {
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// standard indicators of each market
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standardIndicatorSets map[string]*StandardIndicatorSet
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orderStores map[string]*OrderStore
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loadedSymbols map[string]struct{}
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IsMargin bool
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@ -156,6 +158,7 @@ func NewExchangeSession(name string, exchange types.Exchange) *ExchangeSession {
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positions: make(map[string]*Position),
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marketDataStores: make(map[string]*MarketDataStore),
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standardIndicatorSets: make(map[string]*StandardIndicatorSet),
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orderStores: make(map[string]*OrderStore),
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loadedSymbols: make(map[string]struct{}),
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}
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@ -315,7 +315,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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Window: 21,
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}, 2.0)
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s.orders = bbgo.NewOrderStore()
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s.orders = bbgo.NewOrderStore(s.Symbol)
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s.orders.BindStream(session.Stream)
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// we don't persist orders so that we can not clear the previous orders for now. just need time to support this.
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@ -208,7 +208,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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return fmt.Errorf("upper price (%f) should not be less than lower price (%f)", s.UpperPrice.Float64(), s.LowerPrice.Float64())
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}
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s.orderStore = bbgo.NewOrderStore()
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s.orderStore = bbgo.NewOrderStore(s.Symbol)
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s.orderStore.BindStream(session.Stream)
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// we don't persist orders so that we can not clear the previous orders for now. just need time to support this.
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@ -257,7 +257,7 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
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s.activeMakerOrders = bbgo.NewLocalActiveOrderBook()
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s.activeMakerOrders.BindStream(s.makerSession.Stream)
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s.orderStore = bbgo.NewOrderStore()
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s.orderStore = bbgo.NewOrderStore(s.Symbol)
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s.orderStore.BindStream(s.makerSession.Stream)
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s.stopC = make(chan struct{})
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