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twap: improve rate limiter syntax parser and support order update rate limiter in twap

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This commit is contained in:
c9s 2024-08-20 17:07:29 +08:00
parent 48029f95cc
commit c92c395f67
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GPG Key ID: 7385E7E464CB0A54
4 changed files with 109 additions and 15 deletions
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30
pkg/cmd/execute_order.go
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@ -16,6 +16,7 @@ import (
"github.com/c9s/bbgo/pkg/fixedpoint"
_ "github.com/c9s/bbgo/pkg/twap"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
"github.com/c9s/bbgo/pkg/twap/v2"
)
@ -27,6 +28,7 @@ func init() {
executeOrderCmd.Flags().String("target-quantity", "", "target quantity")
executeOrderCmd.Flags().String("slice-quantity", "", "slice quantity")
executeOrderCmd.Flags().String("stop-price", "0", "stop price")
executeOrderCmd.Flags().String("order-update-rate-limit", "1s", "order update rate limit, syntax: 1+1/1m")
executeOrderCmd.Flags().Duration("update-interval", time.Second*10, "order update time")
executeOrderCmd.Flags().Duration("delay-interval", time.Second*3, "order delay time after filled")
executeOrderCmd.Flags().Duration("deadline", 0, "deadline duration of the order execution, e.g. 1h")
@ -112,11 +114,21 @@ var executeOrderCmd = &cobra.Command{
return err
}
orderUpdateRateLimitStr, err := cmd.Flags().GetString("order-update-rate-limit")
if err != nil {
return err
}
updateInterval, err := cmd.Flags().GetDuration("update-interval")
if err != nil {
return err
}
delayInterval, err := cmd.Flags().GetDuration("delay-interval")
if err != nil {
return err
}
deadlineDuration, err := cmd.Flags().GetDuration("deadline")
if err != nil {
return err
@ -150,7 +162,23 @@ var executeOrderCmd = &cobra.Command{
}
executor := twap.NewStreamExecutor(session.Exchange, symbol, market, side, targetQuantity, sliceQuantity)
executor.SetUpdateInterval(updateInterval)
if updateInterval > 0 {
executor.SetUpdateInterval(updateInterval)
}
if len(orderUpdateRateLimitStr) > 0 {
rateLimit, err := util.ParseRateLimitSyntax(orderUpdateRateLimitStr)
if err != nil {
return err
}
executor.SetOrderUpdateRateLimit(rateLimit)
}
if delayInterval > 0 {
executor.SetDelayInterval(delayInterval)
}
if stopPrice.Sign() > 0 {
executor.SetStopPrice(stopPrice)

26
pkg/twap/v2/stream_executor.go
View File

@ -8,6 +8,7 @@ import (
"time"
"github.com/sirupsen/logrus"
"golang.org/x/time/rate"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/core"
@ -84,6 +85,8 @@ type FixedQuantityExecutor struct {
executionCtx context.Context
cancelExecution context.CancelFunc
orderUpdateRateLimit *rate.Limiter
userDataStreamCtx context.Context
cancelUserDataStream context.CancelFunc
@ -242,6 +245,10 @@ func (e *FixedQuantityExecutor) cancelContextIfTargetQuantityFilled() bool {
return false
}
func (e *FixedQuantityExecutor) SetOrderUpdateRateLimit(rateLimit *rate.Limiter) {
e.orderUpdateRateLimit = rateLimit
}
func (e *FixedQuantityExecutor) cancelActiveOrders(ctx context.Context) error {
gracefulCtx, gracefulCancel := context.WithTimeout(ctx, 30*time.Second)
defer gracefulCancel()
@ -249,8 +256,6 @@ func (e *FixedQuantityExecutor) cancelActiveOrders(ctx context.Context) error {
}
func (e *FixedQuantityExecutor) orderUpdater(ctx context.Context) {
// updateLimiter := rate.NewLimiter(rate.Every(3*time.Second), 2)
defer func() {
if err := e.cancelActiveOrders(ctx); err != nil {
e.logger.WithError(err).Error("cancel active orders error")
@ -277,12 +282,6 @@ func (e *FixedQuantityExecutor) orderUpdater(ctx context.Context) {
}
// orderBook.C sends a signal when any price or quantity changes in the order book
/*
if !updateLimiter.Allow() {
break
}
*/
if e.cancelContextIfTargetQuantityFilled() {
return
}
@ -299,12 +298,6 @@ func (e *FixedQuantityExecutor) orderUpdater(ctx context.Context) {
continue
}
/*
if !updateLimiter.Allow() {
break
}
*/
if e.cancelContextIfTargetQuantityFilled() {
return
}
@ -317,6 +310,11 @@ func (e *FixedQuantityExecutor) orderUpdater(ctx context.Context) {
}
func (e *FixedQuantityExecutor) updateOrder(ctx context.Context) error {
if e.orderUpdateRateLimit != nil && !e.orderUpdateRateLimit.Allow() {
e.logger.Infof("rate limit exceeded, skip updating order")
return nil
}
book := e.orderBook.Copy()
sideBook := book.SideBook(e.side)

39
pkg/util/rate_limit.go
View File

@ -4,6 +4,7 @@ import (
"fmt"
"time"
log "github.com/sirupsen/logrus"
"golang.org/x/time/rate"
)
@ -17,3 +18,41 @@ func NewValidLimiter(r rate.Limit, b int) (*rate.Limiter, error) {
}
return rate.NewLimiter(r, b), nil
}
// ParseRateLimitSyntax parses the rate limit syntax into the rate.Limiter parameters
// sample inputs:
//
// 2+1/5s (2 initial tokens, 1 token per 5 seconds)
// 5+3/1m (5 initial tokens, 3 tokens per minute)
// 3m (3 tokens per minute)
// 1/3m (1 token per 3 minutes)
func ParseRateLimitSyntax(desc string) (*rate.Limiter, error) {
var b = 0
var r = 1.0
var durStr string
var duration time.Duration
_, err := fmt.Sscanf(desc, "%d+%f/%s", &b, &r, &durStr)
if err != nil {
b = 0
r = 1.0
_, err = fmt.Sscanf(desc, "%f/%s", &r, &durStr)
if err != nil {
durStr = desc
// need to reset
b = 1
r = 1.0
}
}
duration, err = time.ParseDuration(durStr)
if err != nil {
return nil, fmt.Errorf("invalid rate limit syntax: b+n/duration, err: %v", err)
}
if r == 1.0 {
return NewValidLimiter(rate.Every(duration), b)
}
log.Infof("%v %v", duration, r)
return NewValidLimiter(rate.Every(time.Duration(float64(duration)/r)), b)
}

29
pkg/util/rate_limit_test.go
View File

@ -41,3 +41,32 @@ func TestShouldDelay(t *testing.T) {
assert.True(t, ShouldDelay(limiter, minInterval) > 0)
}
}
func TestParseRateLimitSyntax(t *testing.T) {
var tests = []struct {
desc string
expectedBurst int
expectedRate float64
wantErr bool
}{
{"2+1/5s", 2, 1.0 / 5.0, false},
{"5+1/3m", 5, 1 / 3 * 60.0, false},
{"1m", 1, 1.0 / 60.0, false},
}
for _, test := range tests {
t.Run(test.desc, func(t *testing.T) {
limiter, err := ParseRateLimitSyntax(test.desc)
if test.wantErr {
assert.Error(t, err)
} else if assert.NoError(t, err) {
assert.NotNil(t, limiter)
burst := limiter.Burst()
assert.Equal(t, test.expectedBurst, burst)
limit := limiter.Limit()
assert.InDeltaf(t, test.expectedRate, float64(limit), 0.01, "expected rate %f, got %f", test.expectedRate, limit)
}
})
}
}