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twap: refactor and call activeMakerOrders.GracefulCancel

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This commit is contained in:
c9s 2022-01-07 01:34:23 +08:00
parent d013713c00
commit a5fb408a16
2 changed files with 7 additions and 48 deletions
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2
pkg/bbgo/active_book.go
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@ -63,7 +63,7 @@ func (b *LocalActiveOrderBook) GracefulCancel(ctx context.Context, ex types.Exch
case <-time.After(3 * time.Second): case <-time.After(3 * time.Second):
case <-ctx.Done(): case <-ctx.Done():
break return ctx.Err()
} }

53
pkg/bbgo/twap_order_executor.go
View File

@ -266,7 +266,7 @@ func (e *TwapExecution) updateOrder(ctx context.Context) error {
} }
} }
e.cancelActiveOrders(ctx) e.cancelActiveOrders()
} }
orderForm, err := e.newBestPriceOrder() orderForm, err := e.newBestPriceOrder()
@ -284,51 +284,10 @@ func (e *TwapExecution) updateOrder(ctx context.Context) error {
return nil return nil
} }
func (e *TwapExecution) cancelActiveOrders(ctx context.Context) { func (e *TwapExecution) cancelActiveOrders() {
didCancel := false gracefulCtx, gracefulCancel := context.WithTimeout(context.TODO(), 30 * time.Second)
for e.activeMakerOrders.NumOfOrders() > 0 { defer gracefulCancel()
didCancel = true e.activeMakerOrders.GracefulCancel(gracefulCtx, e.Session.Exchange)
orders := e.activeMakerOrders.Orders()
log.Infof("canceling %d open orders:", len(orders))
e.activeMakerOrders.Print()
if err := e.Session.Exchange.CancelOrders(ctx, orders...); err != nil {
log.WithError(err).Errorf("can not cancel %s orders", e.Symbol)
}
select {
case <-ctx.Done():
return
case <-time.After(3 * time.Second):
}
// verify the current open orders via the RESTful API
if e.activeMakerOrders.NumOfOrders() > 0 {
log.Warnf("there are orders not cancelled, using REStful API to verify...")
openOrders, err := e.Session.Exchange.QueryOpenOrders(ctx, e.Symbol)
if err != nil {
log.WithError(err).Errorf("can not query %s open orders", e.Symbol)
continue
}
openOrderStore := NewOrderStore(e.Symbol)
openOrderStore.Add(openOrders...)
for _, o := range e.activeMakerOrders.Orders() {
// if it does not exist, we should remove it
if !openOrderStore.Exists(o.OrderID) {
e.activeMakerOrders.Remove(o)
}
}
}
}
if didCancel {
log.Infof("orders are canceled successfully")
}
} }
func (e *TwapExecution) orderUpdater(ctx context.Context) { func (e *TwapExecution) orderUpdater(ctx context.Context) {
@ -340,7 +299,7 @@ func (e *TwapExecution) orderUpdater(ctx context.Context) {
// 1. the given context is canceled. // 1. the given context is canceled.
// 2. the base quantity equals to or greater than the target quantity // 2. the base quantity equals to or greater than the target quantity
defer func() { defer func() {
e.cancelActiveOrders(context.Background()) e.cancelActiveOrders()
e.cancelUserDataStream() e.cancelUserDataStream()
e.emitDone() e.emitDone()
}() }()