sync active orders and send metrics of order nums

pkg/exchange/util.go

@@ -1,6 +1,9 @@
 package exchange
 
-import "github.com/c9s/bbgo/pkg/types"
+import (
+	"github.com/c9s/bbgo/pkg/exchange/max"
+	"github.com/c9s/bbgo/pkg/types"
+)
 
 func GetSessionAttributes(exchange types.Exchange) (isMargin, isFutures, isIsolated bool, isolatedSymbol string) {
 	if marginExchange, ok := exchange.(types.MarginExchange); ok {
@@ -27,3 +30,8 @@ func GetSessionAttributes(exchange types.Exchange) (isMargin, isFutures, isIsola
 
 	return isMargin, isFutures, isIsolated, isolatedSymbol
 }
+
+func IsMaxExchange(exchange interface{}) bool {
+	_, res := exchange.(*max.Exchange)
+	return res
+}

pkg/strategy/common/sync.go

@@ -0,0 +1,100 @@
+package common
+
+import (
+	"context"
+	"strconv"
+	"time"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/exchange"
+	maxapi "github.com/c9s/bbgo/pkg/exchange/max/maxapi"
+	"github.com/c9s/bbgo/pkg/exchange/retry"
+	"github.com/c9s/bbgo/pkg/types"
+	"github.com/sirupsen/logrus"
+	"go.uber.org/multierr"
+)
+
+func SyncActiveOrder(ctx context.Context, ex types.Exchange, orderQueryService types.ExchangeOrderQueryService, activeOrderBook *bbgo.ActiveOrderBook, orderID uint64, syncBefore time.Time) (isOrderUpdated bool, err error) {
+	isMax := exchange.IsMaxExchange(ex)
+
+	updatedOrder, err := retry.QueryOrderUntilSuccessful(ctx, orderQueryService, types.OrderQuery{
+		Symbol:  activeOrderBook.Symbol,
+		OrderID: strconv.FormatUint(orderID, 10),
+	})
+
+	if err != nil {
+		return isOrderUpdated, err
+	}
+
+	// maxapi.OrderStateFinalizing does not mean the fee is calculated
+	// we should only consider order state done for MAX
+	if isMax && updatedOrder.OriginalStatus != string(maxapi.OrderStateDone) {
+		return isOrderUpdated, nil
+	}
+
+	// should only trigger order update when the updated time is old enough
+	isOrderUpdated = updatedOrder.UpdateTime.Before(syncBefore)
+	if isOrderUpdated {
+		activeOrderBook.Update(*updatedOrder)
+	}
+
+	return isOrderUpdated, nil
+}
+
+type SyncActiveOrdersOpts struct {
+	Logger            *logrus.Entry
+	Exchange          types.Exchange
+	OrderQueryService types.ExchangeOrderQueryService
+	ActiveOrderBook   *bbgo.ActiveOrderBook
+	OpenOrders        []types.Order
+}
+
+func SyncActiveOrders(ctx context.Context, opts SyncActiveOrdersOpts) error {
+	opts.Logger.Infof("[ActiveOrderRecover] syncActiveOrders")
+
+	// only sync orders which is updated over 3 min, because we may receive from websocket and handle it twice
+	syncBefore := time.Now().Add(-3 * time.Minute)
+
+	activeOrders := opts.ActiveOrderBook.Orders()
+
+	openOrdersMap := make(map[uint64]types.Order)
+	for _, openOrder := range opts.OpenOrders {
+		openOrdersMap[openOrder.OrderID] = openOrder
+	}
+
+	var errs error
+	// update active orders not in open orders
+	for _, activeOrder := range activeOrders {
+		if _, exist := openOrdersMap[activeOrder.OrderID]; exist {
+			// no need to sync active order already in active orderbook, because we only need to know if it filled or not.
+			delete(openOrdersMap, activeOrder.OrderID)
+		} else {
+			opts.Logger.Infof("[ActiveOrderRecover] found active order #%d is not in the open orders, updating...", activeOrder.OrderID)
+
+			isActiveOrderBookUpdated, err := SyncActiveOrder(ctx, opts.Exchange, opts.OrderQueryService, opts.ActiveOrderBook, activeOrder.OrderID, syncBefore)
+			if err != nil {
+				opts.Logger.WithError(err).Errorf("[ActiveOrderRecover] unable to query order #%d", activeOrder.OrderID)
+				errs = multierr.Append(errs, err)
+				continue
+			}
+
+			if !isActiveOrderBookUpdated {
+				opts.Logger.Infof("[ActiveOrderRecover] active order #%d is updated in 3 min, skip updating...", activeOrder.OrderID)
+			}
+		}
+	}
+
+	// update open orders not in active orders
+	for _, openOrder := range openOrdersMap {
+		opts.Logger.Infof("found open order #%d is not in active orderbook, updating...", openOrder.OrderID)
+		// we don't add open orders into active orderbook if updated in 3 min, because we may receive message from websocket and add it twice.
+		if openOrder.UpdateTime.After(syncBefore) {
+			opts.Logger.Infof("open order #%d is updated in 3 min, skip updating...", openOrder.OrderID)
+			continue
+		}
+
+		opts.ActiveOrderBook.Add(openOrder)
+	}
+
+	return errs
+}

pkg/strategy/common/sync_test.go

@@ -1,4 +1,4 @@
-package grid2
+package common
 
 import (
 	"context"
@@ -10,7 +10,7 @@ import (
 	"github.com/c9s/bbgo/pkg/types"
 	"github.com/c9s/bbgo/pkg/types/mocks"
 	"github.com/golang/mock/gomock"
-	"github.com/prometheus/client_golang/prometheus"
+	"github.com/sirupsen/logrus"
 	"github.com/stretchr/testify/assert"
 )
 
@@ -23,34 +23,30 @@ func TestSyncActiveOrders(t *testing.T) {
 	ctx, cancel := context.WithCancel(context.Background())
 	defer cancel()
 
+	log := logrus.WithField("strategy", "test")
 	symbol := "ETHUSDT"
-	labels := prometheus.Labels{
-		"exchange": "default",
-		"symbol":   symbol,
-	}
 	t.Run("all open orders are match with active orderbook", func(t *testing.T) {
 		mockOrderQueryService := mocks.NewMockExchangeOrderQueryService(mockCtrl)
 		mockExchange := mocks.NewMockExchange(mockCtrl)
 		activeOrderbook := bbgo.NewActiveOrderBook(symbol)
 
-		opts := SyncActiveOrdersOpts{
-			logger:            log,
-			metricsLabels:     labels,
-			activeOrderBook:   activeOrderbook,
-			orderQueryService: mockOrderQueryService,
-			exchange:          mockExchange,
-		}
-
 		order := types.Order{
 			OrderID: 1,
 			Status:  types.OrderStatusNew,
 		}
 		order.Symbol = symbol
 
-		activeOrderbook.Add(order)
+		opts := SyncActiveOrdersOpts{
-		mockExchange.EXPECT().QueryOpenOrders(ctx, symbol).Return([]types.Order{order}, nil)
+			Logger:            log,
+			Exchange:          mockExchange,
+			OrderQueryService: mockOrderQueryService,
+			ActiveOrderBook:   activeOrderbook,
+			OpenOrders:        []types.Order{order},
+		}
 
-		assert.NoError(syncActiveOrders(ctx, opts))
+		activeOrderbook.Add(order)
+
+		assert.NoError(SyncActiveOrders(ctx, opts))
 
 		// verify active orderbook
 		activeOrders := activeOrderbook.Orders()
@@ -64,14 +60,6 @@ func TestSyncActiveOrders(t *testing.T) {
 		mockExchange := mocks.NewMockExchange(mockCtrl)
 		activeOrderbook := bbgo.NewActiveOrderBook(symbol)
 
-		opts := SyncActiveOrdersOpts{
-			logger:            log,
-			metricsLabels:     labels,
-			activeOrderBook:   activeOrderbook,
-			orderQueryService: mockOrderQueryService,
-			exchange:          mockExchange,
-		}
-
 		order := types.Order{
 			OrderID: 1,
 			Status:  types.OrderStatusNew,
@@ -82,14 +70,21 @@ func TestSyncActiveOrders(t *testing.T) {
 		updatedOrder := order
 		updatedOrder.Status = types.OrderStatusFilled
 
+		opts := SyncActiveOrdersOpts{
+			Logger:            log,
+			ActiveOrderBook:   activeOrderbook,
+			OrderQueryService: mockOrderQueryService,
+			Exchange:          mockExchange,
+			OpenOrders:        nil,
+		}
+
 		activeOrderbook.Add(order)
-		mockExchange.EXPECT().QueryOpenOrders(ctx, symbol).Return(nil, nil)
 		mockOrderQueryService.EXPECT().QueryOrder(ctx, types.OrderQuery{
 			Symbol:  symbol,
 			OrderID: strconv.FormatUint(order.OrderID, 10),
 		}).Return(&updatedOrder, nil)
 
-		assert.NoError(syncActiveOrders(ctx, opts))
+		assert.NoError(SyncActiveOrders(ctx, opts))
 
 		// verify active orderbook
 		activeOrders := activeOrderbook.Orders()
@@ -101,14 +96,6 @@ func TestSyncActiveOrders(t *testing.T) {
 		mockExchange := mocks.NewMockExchange(mockCtrl)
 		activeOrderbook := bbgo.NewActiveOrderBook(symbol)
 
-		opts := SyncActiveOrdersOpts{
-			logger:            log,
-			metricsLabels:     labels,
-			activeOrderBook:   activeOrderbook,
-			orderQueryService: mockOrderQueryService,
-			exchange:          mockExchange,
-		}
-
 		order := types.Order{
 			OrderID: 1,
 			Status:  types.OrderStatusNew,
@@ -118,8 +105,14 @@ func TestSyncActiveOrders(t *testing.T) {
 			CreationTime: types.Time(time.Now()),
 		}
 
-		mockExchange.EXPECT().QueryOpenOrders(ctx, symbol).Return([]types.Order{order}, nil)
+		opts := SyncActiveOrdersOpts{
-		assert.NoError(syncActiveOrders(ctx, opts))
+			Logger:            log,
+			ActiveOrderBook:   activeOrderbook,
+			OrderQueryService: mockOrderQueryService,
+			Exchange:          mockExchange,
+			OpenOrders:        []types.Order{order},
+		}
+		assert.NoError(SyncActiveOrders(ctx, opts))
 
 		// verify active orderbook
 		activeOrders := activeOrderbook.Orders()
@@ -133,14 +126,6 @@ func TestSyncActiveOrders(t *testing.T) {
 		mockExchange := mocks.NewMockExchange(mockCtrl)
 		activeOrderbook := bbgo.NewActiveOrderBook(symbol)
 
-		opts := SyncActiveOrdersOpts{
-			logger:            log,
-			metricsLabels:     labels,
-			activeOrderBook:   activeOrderbook,
-			orderQueryService: mockOrderQueryService,
-			exchange:          mockExchange,
-		}
-
 		order1 := types.Order{
 			OrderID: 1,
 			Status:  types.OrderStatusNew,
@@ -158,14 +143,21 @@ func TestSyncActiveOrders(t *testing.T) {
 			},
 		}
 
+		opts := SyncActiveOrdersOpts{
+			Logger:            log,
+			ActiveOrderBook:   activeOrderbook,
+			OrderQueryService: mockOrderQueryService,
+			Exchange:          mockExchange,
+			OpenOrders:        []types.Order{order2},
+		}
+
 		activeOrderbook.Add(order1)
-		mockExchange.EXPECT().QueryOpenOrders(ctx, symbol).Return([]types.Order{order2}, nil)
 		mockOrderQueryService.EXPECT().QueryOrder(ctx, types.OrderQuery{
 			Symbol:  symbol,
 			OrderID: strconv.FormatUint(order1.OrderID, 10),
 		}).Return(&updatedOrder1, nil)
 
-		assert.NoError(syncActiveOrders(ctx, opts))
+		assert.NoError(SyncActiveOrders(ctx, opts))
 
 		// verify active orderbook
 		activeOrders := activeOrderbook.Orders()

pkg/strategy/dca2/active_order_recover.go

@@ -0,0 +1,57 @@
+package dca2
+
+import (
+	"context"
+	"time"
+
+	"github.com/c9s/bbgo/pkg/exchange/retry"
+	"github.com/c9s/bbgo/pkg/strategy/common"
+	"github.com/c9s/bbgo/pkg/util"
+)
+
+func (s *Strategy) recoverPeriodically(ctx context.Context) {
+	s.logger.Info("[DCA] monitor and recover periodically")
+	interval := util.MillisecondsJitter(10*time.Minute, 5*60*1000)
+	ticker := time.NewTicker(interval)
+	defer ticker.Stop()
+
+	for {
+		select {
+		case <-ctx.Done():
+			return
+		case <-ticker.C:
+			if err := s.recoverActiveOrders(ctx); err != nil {
+				s.logger.WithError(err).Warn(err, "failed to recover active orders")
+			}
+		}
+	}
+}
+
+func (s *Strategy) recoverActiveOrders(ctx context.Context) error {
+	openOrders, err := retry.QueryOpenOrdersUntilSuccessfulLite(ctx, s.ExchangeSession.Exchange, s.Symbol)
+	if err != nil {
+		s.logger.WithError(err).Warn("failed to query open orders")
+		return err
+	}
+
+	activeOrders := s.OrderExecutor.ActiveMakerOrders().Orders()
+
+	// update num of open orders metrics
+	if metricsNumOfOpenOrders != nil {
+		metricsNumOfOpenOrders.With(baseLabels).Set(float64(len(openOrders)))
+	}
+
+	// update num of active orders metrics
+	if metricsNumOfActiveOrders != nil {
+		metricsNumOfActiveOrders.With(baseLabels).Set(float64(len(activeOrders)))
+	}
+
+	opts := common.SyncActiveOrdersOpts{
+		Logger:          s.logger,
+		Exchange:        s.ExchangeSession.Exchange,
+		ActiveOrderBook: s.OrderExecutor.ActiveMakerOrders(),
+		OpenOrders:      openOrders,
+	}
+
+	return common.SyncActiveOrders(ctx, opts)
+}

pkg/strategy/dca2/open_position.go

@@ -16,7 +16,7 @@ type cancelOrdersByGroupIDApi interface {
 
 func (s *Strategy) placeOpenPositionOrders(ctx context.Context) error {
 	s.logger.Infof("[DCA] start placing open position orders")
-	price, err := getBestPriceUntilSuccess(ctx, s.Session.Exchange, s.Symbol)
+	price, err := getBestPriceUntilSuccess(ctx, s.ExchangeSession.Exchange, s.Symbol)
 	if err != nil {
 		return err
 	}

pkg/strategy/dca2/recover.go

@@ -7,7 +7,6 @@ import (
 	"time"
 
 	"github.com/c9s/bbgo/pkg/bbgo"
-	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -25,9 +24,9 @@ type RecoverApiQueryService interface {
 
 func (s *Strategy) recover(ctx context.Context) error {
 	s.logger.Info("[DCA] recover")
-	queryService, ok := s.Session.Exchange.(RecoverApiQueryService)
+	queryService, ok := s.ExchangeSession.Exchange.(RecoverApiQueryService)
 	if !ok {
-		return fmt.Errorf("[DCA] exchange %s doesn't support queryAPI interface", s.Session.ExchangeName)
+		return fmt.Errorf("[DCA] exchange %s doesn't support queryAPI interface", s.ExchangeSession.ExchangeName)
 	}
 
 	openOrders, err := queryService.QueryOpenOrders(ctx, s.Symbol)
@@ -63,7 +62,7 @@ func (s *Strategy) recover(ctx context.Context) error {
 	s.startTimeOfNextRound = startTimeOfNextRound
 
 	// recover state
-	state, err := recoverState(ctx, s.ProfitStats.QuoteInvestment, int(s.MaxOrderCount), currentRound, s.OrderExecutor)
+	state, err := recoverState(ctx, int(s.MaxOrderCount), currentRound, s.OrderExecutor)
 	if err != nil {
 		return err
 	}
@@ -74,7 +73,7 @@ func (s *Strategy) recover(ctx context.Context) error {
 }
 
 // recover state
-func recoverState(ctx context.Context, quoteInvestment fixedpoint.Value, maxOrderCount int, currentRound Round, orderExecutor *bbgo.GeneralOrderExecutor) (State, error) {
+func recoverState(ctx context.Context, maxOrderCount int, currentRound Round, orderExecutor *bbgo.GeneralOrderExecutor) (State, error) {
 	activeOrderBook := orderExecutor.ActiveMakerOrders()
 	orderStore := orderExecutor.OrderStore()
 

pkg/strategy/dca2/recover_test.go

@@ -7,7 +7,6 @@ import (
 	"time"
 
 	"github.com/c9s/bbgo/pkg/bbgo"
-	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
 	"github.com/stretchr/testify/assert"
 )
@@ -95,13 +94,12 @@ func (m *MockQueryOrders) QueryClosedOrdersDesc(ctx context.Context, symbol stri
 
 func Test_RecoverState(t *testing.T) {
 	strategy := newTestStrategy()
-	quoteInvestment := fixedpoint.MustNewFromString("1000")
 
 	t.Run("new strategy", func(t *testing.T) {
 		currentRound := Round{}
 		position := types.NewPositionFromMarket(strategy.Market)
 		orderExecutor := bbgo.NewGeneralOrderExecutor(nil, strategy.Symbol, ID, "", position)
-		state, err := recoverState(context.Background(), quoteInvestment, 5, currentRound, orderExecutor)
+		state, err := recoverState(context.Background(), 5, currentRound, orderExecutor)
 		assert.NoError(t, err)
 		assert.Equal(t, WaitToOpenPosition, state)
 	})
@@ -119,7 +117,7 @@ func Test_RecoverState(t *testing.T) {
 		}
 		position := types.NewPositionFromMarket(strategy.Market)
 		orderExecutor := bbgo.NewGeneralOrderExecutor(nil, strategy.Symbol, ID, "", position)
-		state, err := recoverState(context.Background(), quoteInvestment, 5, currentRound, orderExecutor)
+		state, err := recoverState(context.Background(), 5, currentRound, orderExecutor)
 		assert.NoError(t, err)
 		assert.Equal(t, OpenPositionReady, state)
 	})
@@ -137,7 +135,7 @@ func Test_RecoverState(t *testing.T) {
 		}
 		position := types.NewPositionFromMarket(strategy.Market)
 		orderExecutor := bbgo.NewGeneralOrderExecutor(nil, strategy.Symbol, ID, "", position)
-		state, err := recoverState(context.Background(), quoteInvestment, 5, currentRound, orderExecutor)
+		state, err := recoverState(context.Background(), 5, currentRound, orderExecutor)
 		assert.NoError(t, err)
 		assert.Equal(t, OpenPositionOrderFilled, state)
 	})
@@ -155,7 +153,7 @@ func Test_RecoverState(t *testing.T) {
 		}
 		position := types.NewPositionFromMarket(strategy.Market)
 		orderExecutor := bbgo.NewGeneralOrderExecutor(nil, strategy.Symbol, ID, "", position)
-		state, err := recoverState(context.Background(), quoteInvestment, 5, currentRound, orderExecutor)
+		state, err := recoverState(context.Background(), 5, currentRound, orderExecutor)
 		assert.NoError(t, err)
 		assert.Equal(t, OpenPositionOrdersCancelling, state)
 	})
@@ -173,7 +171,7 @@ func Test_RecoverState(t *testing.T) {
 		}
 		position := types.NewPositionFromMarket(strategy.Market)
 		orderExecutor := bbgo.NewGeneralOrderExecutor(nil, strategy.Symbol, ID, "", position)
-		state, err := recoverState(context.Background(), quoteInvestment, 5, currentRound, orderExecutor)
+		state, err := recoverState(context.Background(), 5, currentRound, orderExecutor)
 		assert.NoError(t, err)
 		assert.Equal(t, OpenPositionOrdersCancelling, state)
 	})
@@ -192,7 +190,7 @@ func Test_RecoverState(t *testing.T) {
 		}
 		position := types.NewPositionFromMarket(strategy.Market)
 		orderExecutor := bbgo.NewGeneralOrderExecutor(nil, strategy.Symbol, ID, "", position)
-		state, err := recoverState(context.Background(), quoteInvestment, 5, currentRound, orderExecutor)
+		state, err := recoverState(context.Background(), 5, currentRound, orderExecutor)
 		assert.NoError(t, err)
 		assert.Equal(t, TakeProfitReady, state)
 	})
@@ -211,7 +209,7 @@ func Test_RecoverState(t *testing.T) {
 		}
 		position := types.NewPositionFromMarket(strategy.Market)
 		orderExecutor := bbgo.NewGeneralOrderExecutor(nil, strategy.Symbol, ID, "", position)
-		state, err := recoverState(context.Background(), quoteInvestment, 5, currentRound, orderExecutor)
+		state, err := recoverState(context.Background(), 5, currentRound, orderExecutor)
 		assert.NoError(t, err)
 		assert.Equal(t, WaitToOpenPosition, state)
 	})

pkg/strategy/dca2/strategy.go

@@ -46,10 +46,10 @@ type Strategy struct {
 	Position    *types.Position `json:"position,omitempty" persistence:"position"`
 	ProfitStats *ProfitStats    `json:"profitStats,omitempty" persistence:"profit_stats"`
 
-	Environment   *bbgo.Environment
+	Environment     *bbgo.Environment
-	Session       *bbgo.ExchangeSession
+	ExchangeSession *bbgo.ExchangeSession
-	OrderExecutor *bbgo.GeneralOrderExecutor
+	OrderExecutor   *bbgo.GeneralOrderExecutor
-	Market        types.Market
+	Market          types.Market
 
 	Symbol string `json:"symbol"`
 
@@ -146,8 +146,8 @@ func (s *Strategy) newPrometheusLabels() prometheus.Labels {
 		"symbol":   s.Symbol,
 	}
 
-	if s.Session != nil {
+	if s.ExchangeSession != nil {
-		labels["exchange"] = s.Session.Name
+		labels["exchange"] = s.ExchangeSession.Name
 	}
 
 	if s.PrometheusLabels == nil {
@@ -159,7 +159,7 @@ func (s *Strategy) newPrometheusLabels() prometheus.Labels {
 
 func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
 	instanceID := s.InstanceID()
-	s.Session = session
+	s.ExchangeSession = session
 	if s.ProfitStats == nil {
 		s.ProfitStats = newProfitStats(s.Market, s.QuoteInvestment)
 	}
@@ -320,7 +320,7 @@ func (s *Strategy) CleanUp(ctx context.Context) error {
 	_ = s.Initialize()
 	defer s.EmitClosed()
 
-	session := s.Session
+	session := s.ExchangeSession
 	if session == nil {
 		return fmt.Errorf("Session is nil, please check it")
 	}
@@ -358,14 +358,14 @@ func (s *Strategy) CleanUp(ctx context.Context) error {
 }
 
 func (s *Strategy) CalculateAndEmitProfit(ctx context.Context) error {
-	historyService, ok := s.Session.Exchange.(types.ExchangeTradeHistoryService)
+	historyService, ok := s.ExchangeSession.Exchange.(types.ExchangeTradeHistoryService)
 	if !ok {
-		return fmt.Errorf("exchange %s doesn't support ExchangeTradeHistoryService", s.Session.Exchange.Name())
+		return fmt.Errorf("exchange %s doesn't support ExchangeTradeHistoryService", s.ExchangeSession.Exchange.Name())
 	}
 
-	queryService, ok := s.Session.Exchange.(types.ExchangeOrderQueryService)
+	queryService, ok := s.ExchangeSession.Exchange.(types.ExchangeOrderQueryService)
 	if !ok {
-		return fmt.Errorf("exchange %s doesn't support ExchangeOrderQueryService", s.Session.Exchange.Name())
+		return fmt.Errorf("exchange %s doesn't support ExchangeOrderQueryService", s.ExchangeSession.Exchange.Name())
 	}
 
 	// TODO: pagination for it
@@ -444,7 +444,7 @@ func (s *Strategy) CalculateAndEmitProfit(ctx context.Context) error {
 
 func (s *Strategy) updateNumOfOrdersMetrics(ctx context.Context) {
 	// update open orders metrics
-	openOrders, err := s.Session.Exchange.QueryOpenOrders(ctx, s.Symbol)
+	openOrders, err := s.ExchangeSession.Exchange.QueryOpenOrders(ctx, s.Symbol)
 	if err != nil {
 		s.logger.WithError(err).Warn("failed to query open orders to update num of the orders metrics")
 	} else {

pkg/strategy/grid2/active_order_recover.go

@@ -4,26 +4,12 @@ import (
 	"context"
 	"time"
 
-	"github.com/pkg/errors"
-	"github.com/prometheus/client_golang/prometheus"
-	"github.com/sirupsen/logrus"
-	"go.uber.org/multierr"
-
-	"github.com/c9s/bbgo/pkg/bbgo"
-	"github.com/c9s/bbgo/pkg/exchange/max"
 	"github.com/c9s/bbgo/pkg/exchange/retry"
+	"github.com/c9s/bbgo/pkg/strategy/common"
 	"github.com/c9s/bbgo/pkg/types"
 	"github.com/c9s/bbgo/pkg/util"
 )
 
-type SyncActiveOrdersOpts struct {
-	logger            *logrus.Entry
-	metricsLabels     prometheus.Labels
-	activeOrderBook   *bbgo.ActiveOrderBook
-	orderQueryService types.ExchangeOrderQueryService
-	exchange          types.Exchange
-}
-
 func (s *Strategy) initializeRecoverC() bool {
 	s.mu.Lock()
 	defer s.mu.Unlock()
@@ -57,17 +43,25 @@ func (s *Strategy) recoverActiveOrdersPeriodically(ctx context.Context) {
 	// make ticker's interval random in 25 min ~ 35 min
 	interval := util.MillisecondsJitter(25*time.Minute, 10*60*1000)
 	s.logger.Infof("[ActiveOrderRecover] interval: %s", interval)
+
+	metricsLabel := s.newPrometheusLabels()
+
+	orderQueryService, ok := s.session.Exchange.(types.ExchangeOrderQueryService)
+	if !ok {
+		s.logger.Errorf("exchange %s doesn't support ExchangeOrderQueryService, please check it", s.session.ExchangeName)
+		return
+	}
+
+	opts := common.SyncActiveOrdersOpts{
+		Logger:            s.logger,
+		Exchange:          s.session.Exchange,
+		OrderQueryService: orderQueryService,
+		ActiveOrderBook:   s.orderExecutor.ActiveMakerOrders(),
+	}
+
 	ticker := time.NewTicker(interval)
 	defer ticker.Stop()
 
-	opts := SyncActiveOrdersOpts{
-		logger:            s.logger,
-		metricsLabels:     s.newPrometheusLabels(),
-		activeOrderBook:   s.orderExecutor.ActiveMakerOrders(),
-		orderQueryService: s.orderQueryService,
-		exchange:          s.session.Exchange,
-	}
-
 	var lastRecoverTime time.Time
 
 	for {
@@ -82,7 +76,19 @@ func (s *Strategy) recoverActiveOrdersPeriodically(ctx context.Context) {
 				continue
 			}
 
-			if err := syncActiveOrders(ctx, opts); err != nil {
+			openOrders, err := retry.QueryOpenOrdersUntilSuccessfulLite(ctx, s.session.Exchange, s.Symbol)
+			if err != nil {
+				s.logger.WithError(err).Error("[ActiveOrderRecover] failed to query open orders, skip this time")
+				continue
+			}
+
+			if metricsNumOfOpenOrders != nil {
+				metricsNumOfOpenOrders.With(metricsLabel).Set(float64(len(openOrders)))
+			}
+
+			opts.OpenOrders = openOrders
+
+			if err := common.SyncActiveOrders(ctx, opts); err != nil {
 				log.WithError(err).Errorf("unable to sync active orders")
 			} else {
 				lastRecoverTime = time.Now()
@@ -90,70 +96,3 @@ func (s *Strategy) recoverActiveOrdersPeriodically(ctx context.Context) {
 		}
 	}
 }
-
-func isMaxExchange(ex interface{}) bool {
-	_, yes := ex.(*max.Exchange)
-	return yes
-}
-
-func syncActiveOrders(ctx context.Context, opts SyncActiveOrdersOpts) error {
-	opts.logger.Infof("[ActiveOrderRecover] syncActiveOrders")
-
-	// only sync orders which is updated over 3 min, because we may receive from websocket and handle it twice
-	syncBefore := time.Now().Add(-3 * time.Minute)
-
-	openOrders, err := retry.QueryOpenOrdersUntilSuccessfulLite(ctx, opts.exchange, opts.activeOrderBook.Symbol)
-	if err != nil {
-		opts.logger.WithError(err).Error("[ActiveOrderRecover] failed to query open orders, skip this time")
-		return errors.Wrapf(err, "[ActiveOrderRecover] failed to query open orders, skip this time")
-	}
-
-	if metricsNumOfOpenOrders != nil {
-		metricsNumOfOpenOrders.With(opts.metricsLabels).Set(float64(len(openOrders)))
-	}
-
-	activeOrders := opts.activeOrderBook.Orders()
-
-	openOrdersMap := make(map[uint64]types.Order)
-	for _, openOrder := range openOrders {
-		openOrdersMap[openOrder.OrderID] = openOrder
-	}
-
-	var errs error
-	// update active orders not in open orders
-	for _, activeOrder := range activeOrders {
-
-		if _, exist := openOrdersMap[activeOrder.OrderID]; exist {
-			// no need to sync active order already in active orderbook, because we only need to know if it filled or not.
-			delete(openOrdersMap, activeOrder.OrderID)
-		} else {
-			opts.logger.Infof("[ActiveOrderRecover] found active order #%d is not in the open orders, updating...", activeOrder.OrderID)
-
-			isActiveOrderBookUpdated, err := syncActiveOrder(ctx, opts.activeOrderBook, opts.orderQueryService, activeOrder.OrderID, syncBefore)
-			if err != nil {
-				opts.logger.WithError(err).Errorf("[ActiveOrderRecover] unable to query order #%d", activeOrder.OrderID)
-				errs = multierr.Append(errs, err)
-				continue
-			}
-
-			if !isActiveOrderBookUpdated {
-				opts.logger.Infof("[ActiveOrderRecover] active order #%d is updated in 3 min, skip updating...", activeOrder.OrderID)
-			}
-		}
-	}
-
-	// update open orders not in active orders
-	for _, openOrder := range openOrdersMap {
-		opts.logger.Infof("found open order #%d is not in active orderbook, updating...", openOrder.OrderID)
-		// we don't add open orders into active orderbook if updated in 3 min, because we may receive message from websocket and add it twice.
-		if openOrder.UpdateTime.After(syncBefore) {
-			opts.logger.Infof("open order #%d is updated in 3 min, skip updating...", openOrder.OrderID)
-			continue
-		}
-
-		opts.activeOrderBook.Add(openOrder)
-		// opts.activeOrderBook.Update(openOrder)
-	}
-
-	return errs
-}

pkg/strategy/grid2/grid_recover.go

@@ -9,6 +9,7 @@ import (
 	"github.com/pkg/errors"
 
 	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/exchange"
 	maxapi "github.com/c9s/bbgo/pkg/exchange/max/maxapi"
 	"github.com/c9s/bbgo/pkg/exchange/retry"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
@@ -19,7 +20,7 @@ func (s *Strategy) recoverByScanningTrades(ctx context.Context, session *bbgo.Ex
 	defer func() {
 		s.updateGridNumOfOrdersMetricsWithLock()
 	}()
-	isMax := isMaxExchange(session.Exchange)
+	isMax := exchange.IsMaxExchange(session.Exchange)
 	s.logger.Infof("isMax: %t", isMax)
 
 	historyService, implemented := session.Exchange.(types.ExchangeTradeHistoryService)

pkg/strategy/grid2/recover.go

@@ -9,6 +9,7 @@ import (
 	"github.com/pkg/errors"
 
 	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/exchange"
 	maxapi "github.com/c9s/bbgo/pkg/exchange/max/maxapi"
 	"github.com/c9s/bbgo/pkg/exchange/retry"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
@@ -273,7 +274,7 @@ func syncActiveOrder(
 	ctx context.Context, activeOrderBook *bbgo.ActiveOrderBook, orderQueryService types.ExchangeOrderQueryService,
 	orderID uint64, syncBefore time.Time,
 ) (isOrderUpdated bool, err error) {
-	isMax := isMaxExchange(orderQueryService)
+	isMax := exchange.IsMaxExchange(orderQueryService)
 
 	updatedOrder, err := retry.QueryOrderUntilSuccessful(ctx, orderQueryService, types.OrderQuery{
 		Symbol:  activeOrderBook.Symbol,