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https://github.com/c9s/bbgo.git
synced 2024-11-22 06:53:52 +00:00
add test and remove recovered atmoic bool
This commit is contained in:
chiahung
parent
de1a884153
commit
c5449374cd
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@ -3,15 +3,26 @@ package grid2
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import (
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"context"
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"strconv"
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"sync/atomic"
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"time"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/exchange/retry"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/util"
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"github.com/pkg/errors"
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"github.com/prometheus/client_golang/prometheus"
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"github.com/sirupsen/logrus"
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"go.uber.org/multierr"
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)
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type SyncActiveOrdersOpts struct {
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logger *logrus.Entry
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metricsLabels prometheus.Labels
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activeOrderBook *bbgo.ActiveOrderBook
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orderQueryService types.ExchangeOrderQueryService
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exchange types.Exchange
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}
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func (s *Strategy) recoverActiveOrdersPeriodically(ctx context.Context) {
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// every time we activeOrdersRecoverCh receive signal, do active orders recover
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s.activeOrdersRecoverCh = make(chan struct{}, 1)
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@ -22,6 +33,14 @@ func (s *Strategy) recoverActiveOrdersPeriodically(ctx context.Context) {
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ticker := time.NewTicker(interval)
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defer ticker.Stop()
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opts := SyncActiveOrdersOpts{
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logger: s.logger,
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metricsLabels: s.newPrometheusLabels(),
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activeOrderBook: s.orderExecutor.ActiveMakerOrders(),
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orderQueryService: s.orderQueryService,
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exchange: s.session.Exchange,
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}
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for {
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select {
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@ -29,12 +48,12 @@ func (s *Strategy) recoverActiveOrdersPeriodically(ctx context.Context) {
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return
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case <-ticker.C:
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if err := s.syncActiveOrders(ctx); err != nil {
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if err := syncActiveOrders(ctx, opts); err != nil {
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log.WithError(err).Errorf("unable to sync active orders")
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}
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case <-s.activeOrdersRecoverCh:
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if err := s.syncActiveOrders(ctx); err != nil {
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if err := syncActiveOrders(ctx, opts); err != nil {
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log.WithError(err).Errorf("unable to sync active orders")
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}
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@ -42,50 +61,38 @@ func (s *Strategy) recoverActiveOrdersPeriodically(ctx context.Context) {
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}
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}
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func (s *Strategy) syncActiveOrders(ctx context.Context) error {
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s.logger.Infof("[ActiveOrderRecover] syncActiveOrders")
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func syncActiveOrders(ctx context.Context, opts SyncActiveOrdersOpts) error {
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opts.logger.Infof("[ActiveOrderRecover] syncActiveOrders")
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notAddNonExistingOpenOrdersAfter := time.Now().Add(-5 * time.Minute)
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recovered := atomic.LoadInt32(&s.recovered)
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if recovered == 0 {
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s.logger.Infof("[ActiveOrderRecover] skip recovering active orders because recover not ready")
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return nil
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}
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if s.getGrid() == nil {
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return nil
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}
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openOrders, err := retry.QueryOpenOrdersUntilSuccessful(ctx, s.session.Exchange, s.Symbol)
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openOrders, err := retry.QueryOpenOrdersUntilSuccessful(ctx, opts.exchange, opts.activeOrderBook.Symbol)
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if err != nil {
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s.logger.WithError(err).Error("[ActiveOrderRecover] failed to query open orders, skip this time")
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return err
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opts.logger.WithError(err).Error("[ActiveOrderRecover] failed to query open orders, skip this time")
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return errors.Wrapf(err, "[ActiveOrderRecover] failed to query open orders, skip this time")
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}
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metricsNumOfOpenOrders.With(s.newPrometheusLabels()).Set(float64(len(openOrders)))
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metricsNumOfOpenOrders.With(opts.metricsLabels).Set(float64(len(openOrders)))
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s.mu.Lock()
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defer s.mu.Unlock()
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activeOrderBook := s.orderExecutor.ActiveMakerOrders()
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activeOrders := activeOrderBook.Orders()
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activeOrders := opts.activeOrderBook.Orders()
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openOrdersMap := make(map[uint64]types.Order)
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for _, openOrder := range openOrders {
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openOrdersMap[openOrder.OrderID] = openOrder
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}
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var errs error
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// update active orders not in open orders
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for _, activeOrder := range activeOrders {
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if _, exist := openOrdersMap[activeOrder.OrderID]; exist {
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// no need to sync active order already in active orderbook, because we only need to know if it filled or not.
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delete(openOrdersMap, activeOrder.OrderID)
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} else {
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s.logger.Infof("found active order #%d is not in the open orders, updating...", activeOrder.OrderID)
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opts.logger.Infof("found active order #%d is not in the open orders, updating...", activeOrder.OrderID)
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if err := s.syncActiveOrder(ctx, activeOrderBook, activeOrder.OrderID); err != nil {
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s.logger.WithError(err).Errorf("[ActiveOrderRecover] unable to query order #%d", activeOrder.OrderID)
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if err := syncActiveOrder(ctx, opts.activeOrderBook, opts.orderQueryService, activeOrder.OrderID); err != nil {
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opts.logger.WithError(err).Errorf("[ActiveOrderRecover] unable to query order #%d", activeOrder.OrderID)
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errs = multierr.Append(errs, err)
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continue
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}
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}
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@ -98,15 +105,16 @@ func (s *Strategy) syncActiveOrders(ctx context.Context) error {
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continue
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}
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activeOrderBook.Update(openOrder)
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opts.activeOrderBook.Add(openOrder)
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// opts.activeOrderBook.Update(openOrder)
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}
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return nil
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return errs
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}
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func (s *Strategy) syncActiveOrder(ctx context.Context, activeOrderBook *bbgo.ActiveOrderBook, orderID uint64) error {
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updatedOrder, err := retry.QueryOrderUntilSuccessful(ctx, s.orderQueryService, types.OrderQuery{
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Symbol: s.Symbol,
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func syncActiveOrder(ctx context.Context, activeOrderBook *bbgo.ActiveOrderBook, orderQueryService types.ExchangeOrderQueryService, orderID uint64) error {
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updatedOrder, err := retry.QueryOrderUntilSuccessful(ctx, orderQueryService, types.OrderQuery{
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Symbol: activeOrderBook.Symbol,
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OrderID: strconv.FormatUint(orderID, 10),
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})
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176
pkg/strategy/grid2/active_order_recover_test.go
Normal file
176
pkg/strategy/grid2/active_order_recover_test.go
Normal file
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@ -0,0 +1,176 @@
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package grid2
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import (
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"context"
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"strconv"
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"testing"
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"time"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/types/mocks"
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"github.com/golang/mock/gomock"
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"github.com/prometheus/client_golang/prometheus"
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"github.com/stretchr/testify/assert"
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)
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func TestSyncActiveOrders(t *testing.T) {
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assert := assert.New(t)
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mockCtrl := gomock.NewController(t)
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defer mockCtrl.Finish()
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ctx, cancel := context.WithCancel(context.Background())
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defer cancel()
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symbol := "ETHUSDT"
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labels := prometheus.Labels{
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"exchange": "default",
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"symbol": symbol,
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}
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t.Run("all open orders are match with active orderbook", func(t *testing.T) {
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mockOrderQueryService := mocks.NewMockExchangeOrderQueryService(mockCtrl)
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mockExchange := mocks.NewMockExchange(mockCtrl)
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activeOrderbook := bbgo.NewActiveOrderBook(symbol)
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opts := SyncActiveOrdersOpts{
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logger: log,
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metricsLabels: labels,
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activeOrderBook: activeOrderbook,
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orderQueryService: mockOrderQueryService,
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exchange: mockExchange,
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}
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order := types.Order{
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OrderID: 1,
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Status: types.OrderStatusNew,
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}
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order.Symbol = symbol
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activeOrderbook.Add(order)
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mockExchange.EXPECT().QueryOpenOrders(ctx, symbol).Return([]types.Order{order}, nil)
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assert.NoError(syncActiveOrders(ctx, opts))
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// verify active orderbook
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activeOrders := activeOrderbook.Orders()
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assert.Equal(1, len(activeOrders))
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assert.Equal(uint64(1), activeOrders[0].OrderID)
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assert.Equal(types.OrderStatusNew, activeOrders[0].Status)
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})
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t.Run("there is order in active orderbook but not in open orders", func(t *testing.T) {
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mockOrderQueryService := mocks.NewMockExchangeOrderQueryService(mockCtrl)
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mockExchange := mocks.NewMockExchange(mockCtrl)
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activeOrderbook := bbgo.NewActiveOrderBook(symbol)
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opts := SyncActiveOrdersOpts{
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logger: log,
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metricsLabels: labels,
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activeOrderBook: activeOrderbook,
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orderQueryService: mockOrderQueryService,
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exchange: mockExchange,
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}
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order := types.Order{
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OrderID: 1,
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Status: types.OrderStatusNew,
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SubmitOrder: types.SubmitOrder{
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Symbol: symbol,
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},
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}
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updatedOrder := order
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updatedOrder.Status = types.OrderStatusFilled
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activeOrderbook.Add(order)
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mockExchange.EXPECT().QueryOpenOrders(ctx, symbol).Return(nil, nil)
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mockOrderQueryService.EXPECT().QueryOrder(ctx, types.OrderQuery{
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Symbol: symbol,
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OrderID: strconv.FormatUint(order.OrderID, 10),
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}).Return(&updatedOrder, nil)
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assert.NoError(syncActiveOrders(ctx, opts))
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// verify active orderbook
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activeOrders := activeOrderbook.Orders()
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assert.Equal(0, len(activeOrders))
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})
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t.Run("there is order on open orders but not in active orderbook", func(t *testing.T) {
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mockOrderQueryService := mocks.NewMockExchangeOrderQueryService(mockCtrl)
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mockExchange := mocks.NewMockExchange(mockCtrl)
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activeOrderbook := bbgo.NewActiveOrderBook(symbol)
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opts := SyncActiveOrdersOpts{
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logger: log,
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metricsLabels: labels,
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activeOrderBook: activeOrderbook,
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orderQueryService: mockOrderQueryService,
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exchange: mockExchange,
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}
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order := types.Order{
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OrderID: 1,
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Status: types.OrderStatusNew,
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SubmitOrder: types.SubmitOrder{
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Symbol: symbol,
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},
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CreationTime: types.Time(time.Now()),
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}
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mockExchange.EXPECT().QueryOpenOrders(ctx, symbol).Return([]types.Order{order}, nil)
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assert.NoError(syncActiveOrders(ctx, opts))
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// verify active orderbook
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activeOrders := activeOrderbook.Orders()
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assert.Equal(1, len(activeOrders))
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assert.Equal(uint64(1), activeOrders[0].OrderID)
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assert.Equal(types.OrderStatusNew, activeOrders[0].Status)
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})
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t.Run("there is order on open order but not in active orderbook also order in active orderbook but not on open orders", func(t *testing.T) {
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mockOrderQueryService := mocks.NewMockExchangeOrderQueryService(mockCtrl)
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mockExchange := mocks.NewMockExchange(mockCtrl)
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activeOrderbook := bbgo.NewActiveOrderBook(symbol)
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opts := SyncActiveOrdersOpts{
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logger: log,
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metricsLabels: labels,
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activeOrderBook: activeOrderbook,
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orderQueryService: mockOrderQueryService,
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exchange: mockExchange,
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}
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order1 := types.Order{
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OrderID: 1,
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Status: types.OrderStatusNew,
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SubmitOrder: types.SubmitOrder{
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Symbol: symbol,
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},
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}
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updatedOrder1 := order1
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updatedOrder1.Status = types.OrderStatusFilled
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order2 := types.Order{
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OrderID: 2,
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Status: types.OrderStatusNew,
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SubmitOrder: types.SubmitOrder{
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Symbol: symbol,
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},
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}
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activeOrderbook.Add(order1)
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mockExchange.EXPECT().QueryOpenOrders(ctx, symbol).Return([]types.Order{order2}, nil)
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mockOrderQueryService.EXPECT().QueryOrder(ctx, types.OrderQuery{
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Symbol: symbol,
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OrderID: strconv.FormatUint(order1.OrderID, 10),
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}).Return(&updatedOrder1, nil)
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assert.NoError(syncActiveOrders(ctx, opts))
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// verify active orderbook
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activeOrders := activeOrderbook.Orders()
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assert.Equal(1, len(activeOrders))
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assert.Equal(uint64(2), activeOrders[0].OrderID)
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assert.Equal(types.OrderStatusNew, activeOrders[0].Status)
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})
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}
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@ -9,7 +9,6 @@ import (
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"strconv"
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"strings"
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"sync"
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"sync/atomic"
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"time"
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"github.com/google/uuid"
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@ -206,7 +205,6 @@ type Strategy struct {
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tradingCtx, writeCtx context.Context
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cancelWrite context.CancelFunc
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recovered int32
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activeOrdersRecoverCh chan struct{}
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// this ensures that bbgo.Sync to lock the object
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@ -2028,10 +2026,6 @@ func (s *Strategy) startProcess(ctx context.Context, session *bbgo.ExchangeSessi
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}
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func (s *Strategy) recoverGrid(ctx context.Context, session *bbgo.ExchangeSession) error {
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defer func() {
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atomic.AddInt32(&s.recovered, 1)
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}()
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if s.RecoverGridByScanningTrades {
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s.debugLog("recovering grid by scanning trades")
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return s.recoverByScanningTrades(ctx, session)
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