add order store to exchange session

pkg/bbgo/environment.go

@@ -231,6 +231,10 @@ func (environ *Environment) Init(ctx context.Context) (err error) {
 			session.Trades[symbol] = trades
 			session.lastPrices[symbol] = 0.0
 
+			orderStore := NewOrderStore(symbol)
+			orderStore.BindStream(session.Stream)
+			session.orderStores[symbol] = orderStore
+
 			marketDataStore := NewMarketDataStore(symbol)
 			marketDataStore.BindStream(session.Stream)
 			session.marketDataStores[symbol] = marketDataStore

pkg/bbgo/order_store.go

@@ -11,11 +11,13 @@ type OrderStore struct {
 	mu     sync.Mutex
 	orders map[uint64]types.Order
 
+	Symbol          string
 	RemoveCancelled bool
 }
 
-func NewOrderStore() *OrderStore {
+func NewOrderStore(symbol string) *OrderStore {
 	return &OrderStore{
+		Symbol: symbol,
 		orders: make(map[uint64]types.Order),
 	}
 }
@@ -56,7 +58,17 @@ func (s *OrderStore) Update(o types.Order) bool {
 }
 
 func (s *OrderStore) BindStream(stream types.Stream) {
-	stream.OnOrderUpdate(s.handleOrderUpdate)
+	hasSymbol := s.Symbol != ""
+	stream.OnOrderUpdate(func(order types.Order) {
+		if hasSymbol {
+			if order.Symbol != s.Symbol {
+				return
+			}
+			s.handleOrderUpdate(order)
+		} else {
+			s.handleOrderUpdate(order)
+		}
+	})
 }
 
 func (s *OrderStore) handleOrderUpdate(order types.Order) {

pkg/bbgo/session.go

@@ -126,6 +126,8 @@ type ExchangeSession struct {
 	// standard indicators of each market
 	standardIndicatorSets map[string]*StandardIndicatorSet
 
+	orderStores map[string]*OrderStore
+
 	loadedSymbols map[string]struct{}
 
 	IsMargin bool
@@ -156,6 +158,7 @@ func NewExchangeSession(name string, exchange types.Exchange) *ExchangeSession {
 		positions:             make(map[string]*Position),
 		marketDataStores:      make(map[string]*MarketDataStore),
 		standardIndicatorSets: make(map[string]*StandardIndicatorSet),
+		orderStores:           make(map[string]*OrderStore),
 
 		loadedSymbols: make(map[string]struct{}),
 	}

pkg/strategy/bollgrid/strategy.go

@@ -315,7 +315,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		Window:   21,
 	}, 2.0)
 
-	s.orders = bbgo.NewOrderStore()
+	s.orders = bbgo.NewOrderStore(s.Symbol)
 	s.orders.BindStream(session.Stream)
 
 	// we don't persist orders so that we can not clear the previous orders for now. just need time to support this.

pkg/strategy/grid/strategy.go

@@ -208,7 +208,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		return fmt.Errorf("upper price (%f) should not be less than lower price (%f)", s.UpperPrice.Float64(), s.LowerPrice.Float64())
 	}
 
-	s.orderStore = bbgo.NewOrderStore()
+	s.orderStore = bbgo.NewOrderStore(s.Symbol)
 	s.orderStore.BindStream(session.Stream)
 
 	// we don't persist orders so that we can not clear the previous orders for now. just need time to support this.

pkg/strategy/mirrormaker/main.go

@@ -257,7 +257,7 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
 	s.activeMakerOrders = bbgo.NewLocalActiveOrderBook()
 	s.activeMakerOrders.BindStream(s.makerSession.Stream)
 
-	s.orderStore = bbgo.NewOrderStore()
+	s.orderStore = bbgo.NewOrderStore(s.Symbol)
 	s.orderStore.BindStream(s.makerSession.Stream)
 
 	s.stopC = make(chan struct{})