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bbgo: fix order update compare method

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c9s 2024-10-22 11:56:38 +08:00
parent a118eab15e
commit 86360a7595
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GPG Key ID: 7385E7E464CB0A54
1 changed files with 9 additions and 2 deletions
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11
pkg/bbgo/activeorderbook.go
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@ -336,7 +336,7 @@ func (b *ActiveOrderBook) Update(order types.Order) {
// if we can't detect which is newer, isNewerOrderUpdate returns false // if we can't detect which is newer, isNewerOrderUpdate returns false
// if you pass two same objects to isNewerOrderUpdate, it returns false // if you pass two same objects to isNewerOrderUpdate, it returns false
if !isNewerOrderUpdate(order, previousOrder) { if !isNewerOrderUpdate(order, previousOrder) {
log.Infof("[ActiveOrderBook] order #%d updateTime %s is out of date, skip it", order.OrderID, order.UpdateTime) log.Infof("[ActiveOrderBook] order #%d (update time %s) is out of date, skip it", order.OrderID, order.UpdateTime)
b.mu.Unlock() b.mu.Unlock()
return return
} }
@ -393,26 +393,33 @@ func (b *ActiveOrderBook) Add(orders ...types.Order) {
} }
} }
// isNewerOrderUpdate checks if the order a is newer than the order b.
func isNewerOrderUpdate(a, b types.Order) bool { func isNewerOrderUpdate(a, b types.Order) bool {
// compare state first // compare state first
switch a.Status { switch a.Status {
case types.OrderStatusCanceled, types.OrderStatusRejected: // canceled is a final state case types.OrderStatusCanceled, types.OrderStatusRejected: // canceled is a final state
switch b.Status { switch b.Status {
case types.OrderStatusNew, types.OrderStatusPartiallyFilled:
case types.OrderStatusCanceled, types.OrderStatusRejected, types.OrderStatusNew, types.OrderStatusPartiallyFilled:
return true return true
} }
case types.OrderStatusPartiallyFilled: case types.OrderStatusPartiallyFilled:
switch b.Status { switch b.Status {
case types.OrderStatusNew: case types.OrderStatusNew:
return true return true
case types.OrderStatusPartiallyFilled: case types.OrderStatusPartiallyFilled:
// unknown for equal // unknown for equal
if a.ExecutedQuantity.Compare(b.ExecutedQuantity) > 0 { if a.ExecutedQuantity.Compare(b.ExecutedQuantity) > 0 {
return true return true
} }
if a.UpdateTime.After(b.UpdateTime.Time()) {
return true
}
} }
case types.OrderStatusFilled: case types.OrderStatusFilled: