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max: improve max closed orders syncing

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This commit is contained in:
c9s 2022-04-21 14:11:49 +08:00
parent 93b10f20ac
commit 8e2a993370
1 changed files with 41 additions and 6 deletions
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47
pkg/exchange/max/exchange.go
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@ -194,18 +194,53 @@ func (e *Exchange) QueryOpenOrders(ctx context.Context, symbol string) (orders [
func (e *Exchange) QueryClosedOrders(ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64) ([]types.Order, error) {
log.Warn("!!!MAX EXCHANGE API NOTICE!!!")
log.Warn("the since/until conditions will not be effected on closed orders query, max exchange does not support time-range-based query")
if lastOrderID > 0 {
log.Warn("last order id condition will not be effected on max exchange, max exchange does not support last order id query")
}
if v, ok := util.GetEnvVarBool("MAX_QUERY_CLOSED_ORDERS_ALL"); v && ok {
log.Warn("MAX_QUERY_CLOSED_ORDERS_ALL is set, we will fetch all closed orders from the first page")
return e.queryAllClosedOrders(ctx, symbol, since, until)
log.Warn("MAX_QUERY_CLOSED_ORDERS_ALL is set, we will fetch all closed orders from the first order")
return e.queryClosedOrdersByLastOrderID(ctx, symbol, 1)
}
return e.queryRecentlyClosedOrders(ctx, symbol, since, until)
return e.queryClosedOrdersByLastOrderID(ctx, symbol, lastOrderID)
// return e.queryRecentlyClosedOrders(ctx, symbol, since, until)
}
func (e *Exchange) queryClosedOrdersByLastOrderID(ctx context.Context, symbol string, lastOrderID uint64) (orders []types.Order, err error) {
if err := closedOrderQueryLimiter.Wait(ctx); err != nil {
return orders, err
}
req := e.client.OrderService.NewGetOrderHistoryRequest()
req.Market(toLocalSymbol(symbol))
if lastOrderID == 0 {
lastOrderID = 1
}
req.FromID(lastOrderID)
maxOrders, err := req.Do(ctx)
if err != nil {
return orders, err
}
for _, maxOrder := range maxOrders {
order, err2 := toGlobalOrder(maxOrder)
if err2 != nil {
err = multierr.Append(err, err2)
continue
}
log.Debugf("max order %d %s %v %s %s", order.OrderID, order.Symbol, order.Price, order.Status, order.CreationTime.Time().Format(time.StampMilli))
orders = append(orders, *order)
}
// always sort the orders by creation time
sort.Slice(orders, func(i, j int) bool {
return orders[i].CreationTime.Before(orders[j].CreationTime.Time())
})
return orders, nil
}
// queryRecentlyClosedOrders is deprecated
func (e *Exchange) queryRecentlyClosedOrders(ctx context.Context, symbol string, since time.Time, until time.Time) (orders []types.Order, err error) {
limit := 1000 // max limit = 1000, default 100
orderIDs := make(map[uint64]struct{}, limit*2)