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grid2: remove buildGridPriceMap since we have HasPrice method

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c9s 2023-02-15 22:17:36 +08:00
parent ec8e50822a
commit 9ab4c45727
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2 changed files with 18 additions and 18 deletions
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11
pkg/strategy/grid2/pricemap.go
View File

@ -3,14 +3,3 @@ package grid2
import "github.com/c9s/bbgo/pkg/fixedpoint"
type PriceMap map[string]fixedpoint.Value
func buildGridPriceMap(grid *Grid) PriceMap {
// Add all open orders to the local order book
gridPriceMap := make(PriceMap)
for _, pin := range grid.Pins {
price := fixedpoint.Value(pin)
gridPriceMap[price.String()] = price
}
return gridPriceMap
}

25
pkg/strategy/grid2/strategy.go
View File

@ -36,6 +36,19 @@ func init() {
bbgo.RegisterStrategy(ID, &Strategy{})
}
type PrettyPins []Pin
func (pp PrettyPins) String() string {
var ss []string
for _, p := range pp {
price := fixedpoint.Value(p)
ss = append(ss, price.String())
}
return fmt.Sprintf("%v", ss)
}
//go:generate mockgen -destination=mocks/order_executor.go -package=mocks . OrderExecutor
type OrderExecutor interface {
SubmitOrders(ctx context.Context, submitOrders ...types.SubmitOrder) (types.OrderSlice, error)
@ -1085,9 +1098,6 @@ func (s *Strategy) checkMinimalQuoteInvestment() error {
func (s *Strategy) recoverGridWithOpenOrders(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)
@ -1115,7 +1125,7 @@ func (s *Strategy) recoverGridWithOpenOrders(ctx context.Context, historyService
// Ensure that orders are grid orders
// The price must be at the grid pin
for _, openOrder := range openOrders {
if _, exists := gridPriceMap[openOrder.Price.String()]; exists {
if grid.HasPrice(openOrder.Price) {
orderBook.Add(openOrder)
// put the order back to the active order book so that we can receive order update
@ -1124,11 +1134,13 @@ func (s *Strategy) recoverGridWithOpenOrders(ctx context.Context, historyService
}
// if all open orders are the grid orders, then we don't have to recover
s.logger.Infof("GRID RECOVER: verifying pins %v", PrettyPins(grid.Pins))
missingPrices := scanMissingPinPrices(orderBook, grid.Pins)
if numMissing := len(missingPrices); numMissing <= 1 {
s.logger.Infof("GRID RECOVER: no missing grid prices, stop re-playing order history")
return nil
} else {
s.logger.Infof("GRID RECOVER: found missing prices: %v", missingPrices)
// Note that for MAX Exchange, the order history API only uses fromID parameter to query history order.
// The time range does not matter.
// TODO: handle context correctly
@ -1200,8 +1212,6 @@ func (s *Strategy) recoverGridWithOpenOrders(ctx context.Context, historyService
// replayOrderHistory queries the closed order history from the API and rebuild the orderbook from the order history.
// startTime, endTime is the time range of the order history.
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.
orderIdChanged := true
@ -1241,7 +1251,8 @@ func (s *Strategy) replayOrderHistory(ctx context.Context, grid *Grid, orderBook
}
// skip non-grid order prices
if _, ok := gridPriceMap[closedOrder.Price.String()]; !ok {
if !grid.HasPrice(closedOrder.Price) {
continue
}