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bbgo: add mutli symbol support to active order book

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c9s 2022-08-04 21:12:58 +08:00
parent f9fe5d7790
commit cae8bc2882
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GPG Key ID: 7385E7E464CB0A54
1 changed files with 20 additions and 10 deletions
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30
pkg/bbgo/activeorderbook.go
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@ -105,18 +105,28 @@ func (b *ActiveOrderBook) GracefulCancel(ctx context.Context, ex types.Exchange)
// verify the current open orders via the RESTful API
log.Warnf("[ActiveOrderBook] using REStful API to verify active orders...")
openOrders, err := ex.QueryOpenOrders(ctx, b.Symbol)
if err != nil {
log.WithError(err).Errorf("can not query %s open orders", b.Symbol)
continue
orders = b.Orders()
var symbols = map[string]struct{}{}
for _, order := range orders {
symbols[order.Symbol] = struct{}{}
}
openOrderStore := NewOrderStore(b.Symbol)
openOrderStore.Add(openOrders...)
for _, o := range orders {
// if it's not on the order book (open orders), we should remove it from our local side
if !openOrderStore.Exists(o.OrderID) {
b.Remove(o)
for symbol := range symbols {
openOrders, err := ex.QueryOpenOrders(ctx, symbol)
if err != nil {
log.WithError(err).Errorf("can not query %s open orders", symbol)
continue
}
openOrderStore := NewOrderStore(symbol)
openOrderStore.Add(openOrders...)
for _, o := range orders {
// if it's not on the order book (open orders), we should remove it from our local side
if !openOrderStore.Exists(o.OrderID) {
b.Remove(o)
}
}
}
}