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grid2: refactor recover functions to replayOrderHistory and reuse scanMissingPinPrices

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c9s 2022-12-24 14:48:30 +08:00
parent 1be5c11577
commit 8e20a55060
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GPG Key ID: 7385E7E464CB0A54
1 changed files with 57 additions and 54 deletions
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111
pkg/strategy/grid2/strategy.go
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@ -993,9 +993,7 @@ func (s *Strategy) checkMinimalQuoteInvestment() error {
return nil
}
func (s *Strategy) recoverGrid(ctx context.Context, historyService types.ExchangeTradeHistoryService, openOrders []types.Order) error {
grid := s.newGrid()
func buildGridPriceMap(grid *Grid) PriceMap {
// Add all open orders to the local order book
gridPriceMap := make(PriceMap)
for _, pin := range grid.Pins {
@ -1003,6 +1001,15 @@ func (s *Strategy) recoverGrid(ctx context.Context, historyService types.Exchang
gridPriceMap[price.String()] = price
}
return gridPriceMap
}
func (s *Strategy) recoverGrid(ctx context.Context, historyService types.ExchangeTradeHistoryService, openOrders []types.Order) error {
grid := s.newGrid()
// Add all open orders to the local order book
gridPriceMap := buildGridPriceMap(grid)
lastOrderID := uint64(1)
now := time.Now()
firstOrderTime := now.AddDate(0, 0, -7)
@ -1037,8 +1044,47 @@ 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.
// The time range does not matter.
startTime := firstOrderTime
endTime := now
// TODO: handle context correctly
if err := s.replayOrderHistory(ctx, grid, orderBook, historyService, firstOrderTime, now, lastOrderID); err != nil {
return err
}
debugOrderBook(orderBook, grid.Pins)
tmpOrders := orderBook.Orders()
// if all orders on the order book are active orders, we don't need to recover.
if isCompleteGridOrderBook(orderBook, s.GridNum) {
s.logger.Infof("GRID RECOVER: all orders are active orders, do not need recover")
return nil
}
// for reverse order recovering, we need the orders to be sort by update time ascending-ly
types.SortOrdersUpdateTimeAscending(tmpOrders)
if len(tmpOrders) > 1 && len(tmpOrders) == int(s.GridNum)+1 {
// remove the latest updated order because it's near the empty slot
tmpOrders = tmpOrders[:len(tmpOrders)-1]
}
// we will only submit reverse orders for filled orders
filledOrders := ordersFilled(tmpOrders)
s.logger.Infof("GRID RECOVER: found %d filled grid orders", len(filledOrders))
s.grid = grid
for _, o := range filledOrders {
s.processFilledOrder(o)
}
s.logger.Infof("GRID RECOVER COMPLETE")
debugOrderBook(s.orderExecutor.ActiveMakerOrders(), grid.Pins)
return nil
}
func (s *Strategy) replayOrderHistory(ctx context.Context, grid *Grid, orderBook *bbgo.ActiveOrderBook, historyService types.ExchangeTradeHistoryService, startTime, endTime time.Time, lastOrderID uint64) error {
gridPriceMap := buildGridPriceMap(grid)
// a simple guard, in reality, this startTime is not possible to exceed the endTime
// because the queries closed orders might still in the range.
@ -1090,45 +1136,13 @@ func (s *Strategy) recoverGrid(ctx context.Context, historyService types.Exchang
}
}
missingPrices := scanMissingGridOrders(orderBook, grid)
missingPrices := scanMissingPinPrices(orderBook, grid.Pins)
if len(missingPrices) == 0 {
s.logger.Infof("GRID RECOVER: no missing grid prices, stop re-playing order history")
break
}
}
debugOrderBook(orderBook, grid.Pins)
tmpOrders := orderBook.Orders()
// if all orders on the order book are active orders, we don't need to recover.
if isCompleteGridOrderBook(orderBook, s.GridNum) {
s.logger.Infof("GRID RECOVER: all orders are active orders, do not need recover")
return nil
}
// for reverse order recovering, we need the orders to be sort by update time ascending-ly
types.SortOrdersUpdateTimeAscending(tmpOrders)
if len(tmpOrders) > 1 && len(tmpOrders) == int(s.GridNum)+1 {
// remove the latest updated order because it's near the empty slot
tmpOrders = tmpOrders[:len(tmpOrders)-1]
}
// we will only submit reverse orders for filled orders
filledOrders := ordersFilled(tmpOrders)
s.logger.Infof("GRID RECOVER: found %d filled grid orders", len(filledOrders))
s.grid = grid
for _, o := range filledOrders {
s.processFilledOrder(o)
}
s.logger.Infof("GRID RECOVER COMPLETE")
debugOrderBook(s.orderExecutor.ActiveMakerOrders(), grid.Pins)
return nil
}
@ -1178,18 +1192,8 @@ func ordersAny(orders []types.Order, f func(o types.Order) bool) bool {
func debugOrderBook(b *bbgo.ActiveOrderBook, pins []Pin) {
fmt.Println("================== GRID ORDERS ==================")
// scan missing orders
missing := 0
for i := len(pins) - 1; i >= 0; i-- {
pin := pins[i]
price := fixedpoint.Value(pin)
existingOrder := b.Lookup(func(o types.Order) bool {
return o.Price.Eq(price)
})
if existingOrder == nil {
missing++
}
}
missingPins := scanMissingPinPrices(b, pins)
missing := len(missingPins)
for i := len(pins) - 1; i >= 0; i-- {
pin := pins[i]
@ -1258,15 +1262,14 @@ func scanOrderCreationTimeRange(orders []types.Order) (time.Time, time.Time, boo
return firstOrderTime, lastOrderTime, true
}
// scanMissingGridOrders finds the missing grid order prices
func scanMissingGridOrders(orderBook *bbgo.ActiveOrderBook, grid *Grid) PriceMap {
// scanMissingPinPrices finds the missing grid order prices
func scanMissingPinPrices(orderBook *bbgo.ActiveOrderBook, pins []Pin) PriceMap {
// Add all open orders to the local order book
gridPrices := make(PriceMap)
missingPrices := make(PriceMap)
for _, pin := range grid.Pins {
for _, pin := range pins {
price := fixedpoint.Value(pin)
gridPrices[price.String()] = price
existingOrder := orderBook.Lookup(func(o types.Order) bool {
return o.Price.Compare(price) == 0
})