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bbgo: refactor order executor with max retries

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This commit is contained in:
c9s 2023-03-23 12:51:52 +08:00
parent 2a927dc34d
commit a838b4991a
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GPG Key ID: 7385E7E464CB0A54
2 changed files with 29 additions and 24 deletions
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39
pkg/bbgo/order_execution.go
View File

@ -54,7 +54,7 @@ func (e *ExchangeOrderExecutionRouter) SubmitOrdersTo(ctx context.Context, sessi
return nil, err
}
createdOrders, _, err := BatchPlaceOrder(ctx, es.Exchange, formattedOrders...)
createdOrders, _, err := BatchPlaceOrder(ctx, es.Exchange, nil, formattedOrders...)
return createdOrders, err
}
@ -94,7 +94,7 @@ func (e *ExchangeOrderExecutor) SubmitOrders(ctx context.Context, orders ...type
log.Infof("submitting order: %s", order.String())
}
createdOrders, _, err := BatchPlaceOrder(ctx, e.Session.Exchange, formattedOrders...)
createdOrders, _, err := BatchPlaceOrder(ctx, e.Session.Exchange, nil, formattedOrders...)
return createdOrders, err
}
@ -297,10 +297,13 @@ func (c *BasicRiskController) ProcessOrders(session *ExchangeSession, orders ...
return outOrders, nil
}
type OrderCallback func(order types.Order)
// BatchPlaceOrder
func BatchPlaceOrder(ctx context.Context, exchange types.Exchange, submitOrders ...types.SubmitOrder) (types.OrderSlice, []int, error) {
func BatchPlaceOrder(ctx context.Context, exchange types.Exchange, orderCallback OrderCallback, submitOrders ...types.SubmitOrder) (types.OrderSlice, []int, error) {
var createdOrders types.OrderSlice
var err error
var errIndexes []int
for i, submitOrder := range submitOrders {
createdOrder, err2 := exchange.SubmitOrder(ctx, submitOrder)
@ -309,6 +312,11 @@ func BatchPlaceOrder(ctx context.Context, exchange types.Exchange, submitOrders
errIndexes = append(errIndexes, i)
} else if createdOrder != nil {
createdOrder.Tag = submitOrder.Tag
if orderCallback != nil {
orderCallback(*createdOrder)
}
createdOrders = append(createdOrders, *createdOrder)
}
}
@ -316,8 +324,6 @@ func BatchPlaceOrder(ctx context.Context, exchange types.Exchange, submitOrders
return createdOrders, errIndexes, err
}
type OrderCallback func(order types.Order)
// BatchRetryPlaceOrder places the orders and retries the failed orders
func BatchRetryPlaceOrder(ctx context.Context, exchange types.Exchange, errIdx []int, orderCallback OrderCallback, logger log.FieldLogger, submitOrders ...types.SubmitOrder) (types.OrderSlice, []int, error) {
if logger == nil {
@ -329,26 +335,12 @@ func BatchRetryPlaceOrder(ctx context.Context, exchange types.Exchange, errIdx [
// if the errIdx is nil, then we should iterate all the submit orders
// allocate a variable for new error index
var errIdxNext []int
if len(errIdx) == 0 {
for i, submitOrder := range submitOrders {
createdOrder, err2 := exchange.SubmitOrder(ctx, submitOrder)
if err2 != nil {
werr = multierr.Append(werr, err2)
errIdxNext = append(errIdxNext, i)
} else if createdOrder != nil {
// if the order is successfully created, than we should copy the order tag
createdOrder.Tag = submitOrder.Tag
if orderCallback != nil {
orderCallback(*createdOrder)
}
createdOrders = append(createdOrders, *createdOrder)
}
var err2 error
createdOrders, errIdx, err2 = BatchPlaceOrder(ctx, exchange, orderCallback, submitOrders...)
if err2 != nil {
werr = multierr.Append(werr, err2)
}
errIdx = errIdxNext
}
timeoutCtx, cancelTimeout := context.WithTimeout(ctx, DefaultSubmitOrderRetryTimeout)
@ -359,6 +351,7 @@ func BatchRetryPlaceOrder(ctx context.Context, exchange types.Exchange, errIdx [
// set backoff max retries to 101 because https://ja.wikipedia.org/wiki/101%E5%9B%9E%E7%9B%AE%E3%81%AE%E3%83%97%E3%83%AD%E3%83%9D%E3%83%BC%E3%82%BA
backoffMaxRetries := uint64(101)
var errIdxNext []int
batchRetryOrder:
for retryRound := 0; len(errIdx) > 0 && retryRound < 10; retryRound++ {
// sleep for 200 millisecond between each retry

14
pkg/bbgo/order_executor_general.go
View File

@ -40,6 +40,7 @@ type GeneralOrderExecutor struct {
marginBaseMaxBorrowable, marginQuoteMaxBorrowable fixedpoint.Value
maxRetries uint
disableNotify bool
closing int64
}
@ -73,6 +74,10 @@ func (e *GeneralOrderExecutor) DisableNotify() {
e.disableNotify = true
}
func (e *GeneralOrderExecutor) SetMaxRetries(maxRetries uint) {
e.maxRetries = maxRetries
}
func (e *GeneralOrderExecutor) startMarginAssetUpdater(ctx context.Context) {
marginService, ok := e.session.Exchange.(types.MarginBorrowRepayService)
if !ok {
@ -194,10 +199,12 @@ func (e *GeneralOrderExecutor) FastSubmitOrders(ctx context.Context, submitOrder
if err != nil {
return nil, err
}
createdOrders, errIdx, err := BatchPlaceOrder(ctx, e.session.Exchange, formattedOrders...)
createdOrders, errIdx, err := BatchPlaceOrder(ctx, e.session.Exchange, nil, formattedOrders...)
if len(errIdx) > 0 {
return nil, err
}
if IsBackTesting {
e.orderStore.Add(createdOrders...)
e.activeMakerOrders.Add(createdOrders...)
@ -229,6 +236,11 @@ func (e *GeneralOrderExecutor) SubmitOrders(ctx context.Context, submitOrders ..
e.tradeCollector.Process()
}
if e.maxRetries == 0 {
createdOrders, _, err := BatchPlaceOrder(ctx, e.session.Exchange, orderCreateCallback, formattedOrders...)
return createdOrders, err
}
createdOrders, _, err := BatchRetryPlaceOrder(ctx, e.session.Exchange, nil, orderCreateCallback, e.logger, formattedOrders...)
return createdOrders, err
}