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grid2,xmaker: prune expired trades

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c9s 2024-10-17 12:53:51 +08:00
parent f9a75036a7
commit bfe8ce9f2c
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GPG Key ID: 7385E7E464CB0A54
4 changed files with 26 additions and 10 deletions
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2
pkg/core/tradecollector.go
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@ -125,7 +125,7 @@ type TradeCollector struct {
func NewTradeCollector(symbol string, position *types.Position, orderStore *OrderStore) *TradeCollector { func NewTradeCollector(symbol string, position *types.Position, orderStore *OrderStore) *TradeCollector {
tradeStore := NewTradeStore() tradeStore := NewTradeStore()
tradeStore.EnablePrune = true tradeStore.pruneEnabled = true
return &TradeCollector{ return &TradeCollector{
Symbol: symbol, Symbol: symbol,

31
pkg/core/tradestore.go
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@ -17,18 +17,33 @@ type TradeStore struct {
// any created trades for tracking trades // any created trades for tracking trades
sync.Mutex sync.Mutex
EnablePrune bool pruneEnabled bool
storeSize int
trades map[uint64]types.Trade trades map[uint64]types.Trade
lastTradeTime time.Time tradeExpiryDuration time.Duration
lastTradeTime time.Time
} }
func NewTradeStore() *TradeStore { func NewTradeStore() *TradeStore {
return &TradeStore{ return &TradeStore{
trades: make(map[uint64]types.Trade), trades: make(map[uint64]types.Trade),
storeSize: MaximumTradeStoreSize,
tradeExpiryDuration: TradeExpiryTime,
} }
} }
func (s *TradeStore) SetPruneEnabled(enabled bool) {
s.pruneEnabled = enabled
}
func (s *TradeStore) SetTradeExpiryDuration(d time.Duration) {
s.tradeExpiryDuration = d
}
func (s *TradeStore) SetStoreSize(size int) {
s.storeSize = size
}
func (s *TradeStore) Num() (num int) { func (s *TradeStore) Num() (num int) {
s.Lock() s.Lock()
num = len(s.trades) num = len(s.trades)
@ -122,7 +137,7 @@ func (s *TradeStore) Prune(curTime time.Time) {
defer s.Unlock() defer s.Unlock()
var trades = make(map[uint64]types.Trade) var trades = make(map[uint64]types.Trade)
var cutOffTime = curTime.Add(-TradeExpiryTime) var cutOffTime = curTime.Add(-s.tradeExpiryDuration)
log.Infof("pruning expired trades, cutoff time = %s", cutOffTime.String()) log.Infof("pruning expired trades, cutoff time = %s", cutOffTime.String())
for _, trade := range s.trades { for _, trade := range s.trades {
@ -144,7 +159,7 @@ func (s *TradeStore) isCoolTrade(trade types.Trade) bool {
} }
func (s *TradeStore) exceededMaximumTradeStoreSize() bool { func (s *TradeStore) exceededMaximumTradeStoreSize() bool {
return len(s.trades) > MaximumTradeStoreSize return len(s.trades) > s.storeSize
} }
func (s *TradeStore) BindStream(stream types.Stream) { func (s *TradeStore) BindStream(stream types.Stream) {
@ -152,7 +167,7 @@ func (s *TradeStore) BindStream(stream types.Stream) {
s.Add(trade) s.Add(trade)
}) })
if s.EnablePrune { if s.pruneEnabled {
stream.OnTradeUpdate(func(trade types.Trade) { stream.OnTradeUpdate(func(trade types.Trade) {
if s.isCoolTrade(trade) || s.exceededMaximumTradeStoreSize() { if s.isCoolTrade(trade) || s.exceededMaximumTradeStoreSize() {
s.Prune(time.Time(trade.Time)) s.Prune(time.Time(trade.Time))

2
pkg/strategy/grid2/strategy.go
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@ -1892,7 +1892,7 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
} }
s.historicalTrades = core.NewTradeStore() s.historicalTrades = core.NewTradeStore()
s.historicalTrades.EnablePrune = true s.historicalTrades.SetPruneEnabled(true)
s.historicalTrades.BindStream(session.UserDataStream) s.historicalTrades.BindStream(session.UserDataStream)
orderExecutor := bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position) orderExecutor := bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)

1
pkg/strategy/xmaker/strategy.go
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@ -1743,6 +1743,7 @@ func (s *Strategy) CrossRun(
s.orderStore.BindStream(s.makerSession.UserDataStream) s.orderStore.BindStream(s.makerSession.UserDataStream)
s.tradeCollector = core.NewTradeCollector(s.Symbol, s.Position, s.orderStore) s.tradeCollector = core.NewTradeCollector(s.Symbol, s.Position, s.orderStore)
s.tradeCollector.TradeStore().SetPruneEnabled(true)
if s.NotifyTrade { if s.NotifyTrade {
s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) { s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {