lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-11-10 09:11:55 +00:00
Code Issues Actions Packages Projects Releases Wiki Activity

grid2: fix replayOrderHistory logic

Browse Source
This commit is contained in:
c9s 2022-12-24 16:14:39 +08:00
parent 6b75150983
commit cb2d9d7eb2
No known key found for this signature in database
GPG Key ID: 7385E7E464CB0A54
1 changed files with 19 additions and 9 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

28
pkg/strategy/grid2/strategy.go
View File

@ -1042,6 +1042,12 @@ func (s *Strategy) recoverGrid(ctx context.Context, historyService types.Exchang
}
}
missingPrices := scanMissingPinPrices(orderBook, grid.Pins)
if len(missingPrices) == 0 {
s.logger.Infof("GRID RECOVER: no missing grid prices, stop re-playing order history")
return nil
}
// Note that for MAX Exchange, the order history API only uses fromID parameter to query history order.
// The time range does not matter.
// TODO: handle context correctly
@ -1083,24 +1089,34 @@ func (s *Strategy) recoverGrid(ctx context.Context, historyService types.Exchang
return nil
}
// replayOrderHistory queries the closed order history from the API and rebuild the orderbook from the order history.
// startTime, endTime is the time range of the order history.
func (s *Strategy) replayOrderHistory(ctx context.Context, grid *Grid, orderBook *bbgo.ActiveOrderBook, historyService types.ExchangeTradeHistoryService, startTime, endTime time.Time, lastOrderID uint64) error {
gridPriceMap := buildGridPriceMap(grid)
// a simple guard, in reality, this startTime is not possible to exceed the endTime
// because the queries closed orders might still in the range.
for startTime.Before(endTime) {
orderIdChanged := true
for startTime.Before(endTime) && orderIdChanged {
closedOrders, err := historyService.QueryClosedOrders(ctx, s.Symbol, startTime, endTime, lastOrderID)
if err != nil {
return err
}
// need to prevent infinite loop for: len(closedOrders) == 1 and it's creationTime = startTime
if len(closedOrders) == 0 || len(closedOrders) == 1 && closedOrders[0].CreationTime.Time().Equal(startTime) {
// need to prevent infinite loop for:
// if there is only one order and the order creation time matches our startTime
if len(closedOrders) == 0 || len(closedOrders) == 1 && closedOrders[0].OrderID == lastOrderID {
break
}
// for each closed order, if it's newer than the open order's update time, we will update it.
orderIdChanged = false
for _, closedOrder := range closedOrders {
if closedOrder.OrderID > lastOrderID {
lastOrderID = closedOrder.OrderID
orderIdChanged = true
}
// skip orders that are not limit order
if closedOrder.Type != types.OrderTypeLimit {
continue
@ -1135,12 +1151,6 @@ func (s *Strategy) replayOrderHistory(ctx context.Context, grid *Grid, orderBook
}
}
}
missingPrices := scanMissingPinPrices(orderBook, grid.Pins)
if len(missingPrices) == 0 {
s.logger.Infof("GRID RECOVER: no missing grid prices, stop re-playing order history")
break
}
}
return nil