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grid2: add RecoverWhenStart option

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c9s 2022-12-23 17:54:30 +08:00
parent 8a45fe522e
commit 882c56a820
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1 changed files with 25 additions and 15 deletions
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40
pkg/strategy/grid2/strategy.go
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@ -96,6 +96,9 @@ type Strategy struct {
// KeepOrdersWhenShutdown option is used for keeping the grid orders when shutting down bbgo // KeepOrdersWhenShutdown option is used for keeping the grid orders when shutting down bbgo
KeepOrdersWhenShutdown bool `json:"keepOrdersWhenShutdown"` KeepOrdersWhenShutdown bool `json:"keepOrdersWhenShutdown"`
// RecoverWhenStart option is used for recovering grid orders
RecoverWhenStart bool `json:"recoverWhenStart"`
// ClearOpenOrdersWhenStart // ClearOpenOrdersWhenStart
// If this is set, when bbgo started, it will clear the open orders in the same market (by symbol) // If this is set, when bbgo started, it will clear the open orders in the same market (by symbol)
ClearOpenOrdersWhenStart bool `json:"clearOpenOrdersWhenStart"` ClearOpenOrdersWhenStart bool `json:"clearOpenOrdersWhenStart"`
@ -990,10 +993,20 @@ func (s *Strategy) checkMinimalQuoteInvestment() error {
} }
func (s *Strategy) recoverGrid(ctx context.Context, historyService types.ExchangeTradeHistoryService, openOrders []types.Order) error { func (s *Strategy) recoverGrid(ctx context.Context, historyService types.ExchangeTradeHistoryService, openOrders []types.Order) error {
// Add all open orders to the local order book
gridPriceMap := make(PriceMap)
for _, pin := range s.grid.Pins {
price := fixedpoint.Value(pin)
gridPriceMap[price.String()] = price
}
lastOrderID := uint64(0) lastOrderID := uint64(0)
now := time.Now()
firstOrderTime := now.AddDate(0, -1, 0)
lastOrderTime := firstOrderTime
if len(openOrders) > 0 { if len(openOrders) > 0 {
firstOrderTime := openOrders[0].CreationTime.Time() firstOrderTime = openOrders[0].CreationTime.Time()
lastOrderTime := firstOrderTime lastOrderTime = firstOrderTime
for _, o := range openOrders { for _, o := range openOrders {
if o.OrderID > lastOrderID { if o.OrderID > lastOrderID {
lastOrderID = o.OrderID lastOrderID = o.OrderID
@ -1011,13 +1024,6 @@ func (s *Strategy) recoverGrid(ctx context.Context, historyService types.Exchang
// Allocate a local order book // Allocate a local order book
orderBook := bbgo.NewActiveOrderBook(s.Symbol) orderBook := bbgo.NewActiveOrderBook(s.Symbol)
// Add all open orders to the local order book
gridPriceMap := make(PriceMap)
for _, pin := range s.grid.Pins {
price := fixedpoint.Value(pin)
gridPriceMap[price.String()] = price
}
// Ensure that orders are grid orders // Ensure that orders are grid orders
// The price must be at the grid pin // The price must be at the grid pin
for _, openOrder := range openOrders { for _, openOrder := range openOrders {
@ -1029,7 +1035,7 @@ func (s *Strategy) recoverGrid(ctx context.Context, historyService types.Exchang
// Note that for MAX Exchange, the order history API only uses fromID parameter to query history order. // Note that for MAX Exchange, the order history API only uses fromID parameter to query history order.
// The time range does not matter. // The time range does not matter.
startTime := firstOrderTime startTime := firstOrderTime
endTime := time.Now() endTime := now
// a simple guard, in reality, this startTime is not possible to exceed the endTime // a simple guard, in reality, this startTime is not possible to exceed the endTime
// because the queries closed orders might still in the range. // because the queries closed orders might still in the range.
@ -1060,7 +1066,7 @@ func (s *Strategy) recoverGrid(ctx context.Context, historyService types.Exchang
}) })
if existingOrder != nil { if existingOrder != nil {
// update order // To update order, we need to remove the old order, because it's using order ID as the key of the map.
if existingOrder.CreationTime.Time().Before(closedOrder.CreationTime.Time()) { if existingOrder.CreationTime.Time().Before(closedOrder.CreationTime.Time()) {
orderBook.Remove(*existingOrder) orderBook.Remove(*existingOrder)
orderBook.Add(closedOrder) orderBook.Add(closedOrder)
@ -1172,11 +1178,15 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
return err return err
} }
if len(openOrders) > 0 { if s.RecoverWhenStart && len(openOrders) > 0 {
s.logger.Infof("recoverWhenStart is set, found %d open orders, trying to recover grid orders...", len(openOrders))
historyService, implemented := session.Exchange.(types.ExchangeTradeHistoryService) historyService, implemented := session.Exchange.(types.ExchangeTradeHistoryService)
if implemented { if !implemented {
s.logger.Warn("ExchangeTradeHistoryService is not implemented, can not recover grid")
} else {
if err := s.recoverGrid(ctx, historyService, openOrders); err != nil { if err := s.recoverGrid(ctx, historyService, openOrders); err != nil {
return err return errors.Wrap(err, "recover grid error")
} }
} }
} }
@ -1185,7 +1195,7 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
defer wg.Done() defer wg.Done()
if s.KeepOrdersWhenShutdown { if s.KeepOrdersWhenShutdown {
s.logger.Infof("KeepOrdersWhenShutdown is set, will keep the orders on the exchange") s.logger.Infof("keepOrdersWhenShutdown is set, will keep the orders on the exchange")
return return
} }