grid2: add ClearDuplicatedPriceOpenOrders option

pkg/strategy/grid2/strategy.go

@@ -6,6 +6,7 @@ import (
 	"math"
 	"sort"
 	"strconv"
+	"strings"
 	"sync"
 	"time"
 
@@ -134,6 +135,8 @@ type Strategy struct {
 
 	ClearOpenOrdersIfMismatch bool `json:"clearOpenOrdersIfMismatch"`
 
+	ClearDuplicatedPriceOpenOrders bool `json:"clearDuplicatedPriceOpenOrders"`
+
 	// UseCancelAllOrdersApiWhenClose uses a different API to cancel all the orders on the market when closing a grid
 	UseCancelAllOrdersApiWhenClose bool `json:"useCancelAllOrdersApiWhenClose"`
 
@@ -1158,15 +1161,35 @@ func sortOrdersByPriceAscending(orders []types.Order) []types.Order {
 }
 
 func (s *Strategy) debugGridOrders(submitOrders []types.SubmitOrder, lastPrice fixedpoint.Value) {
-	s.logger.Infof("GRID ORDERS: [")
+	var sb strings.Builder
+
+	sb.WriteString("GRID ORDERS [")
 	for i, order := range submitOrders {
 		if i > 0 && lastPrice.Compare(order.Price) >= 0 && lastPrice.Compare(submitOrders[i-1].Price) <= 0 {
-			s.logger.Infof("  - LAST PRICE: %f", lastPrice.Float64())
+			sb.WriteString(fmt.Sprintf("  - LAST PRICE: %f", lastPrice.Float64()))
 		}
 
-		s.logger.Info("  - ", order.String())
+		sb.WriteString("  - " + order.String())
 	}
-	s.logger.Infof("] END OF GRID ORDERS")
+	sb.WriteString("] END OF GRID ORDERS")
+
+	s.logger.Infof(sb.String())
+}
+
+func (s *Strategy) debugOrders(desc string, orders []types.Order) {
+	var sb strings.Builder
+
+	if desc == "" {
+		desc = "ORDERS"
+	}
+
+	sb.WriteString(desc + " [")
+	for i, order := range orders {
+		sb.WriteString(fmt.Sprintf("  - %d) %s", i, order.String()))
+	}
+	sb.WriteString("]")
+
+	s.logger.Infof(sb.String())
 }
 
 func (s *Strategy) generateGridOrders(totalQuote, totalBase, lastPrice fixedpoint.Value) ([]types.SubmitOrder, error) {
@@ -1884,6 +1907,13 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
 				}
 			}
 		}
+
+		if s.ClearDuplicatedPriceOpenOrders {
+			s.logger.Infof("clearDuplicatedPriceOpenOrders is set, finding duplicated open orders...")
+			if err := s.cancelDuplicatedPriceOpenOrders(ctx, session); err != nil {
+				s.logger.WithError(err).Errorf("cancelDuplicatedPriceOpenOrders error")
+			}
+		}
 	})
 
 	// if TriggerPrice is zero, that means we need to open the grid when start up
@@ -2020,11 +2050,55 @@ func (s *Strategy) openOrdersMismatches(ctx context.Context, session *bbgo.Excha
 	return false, nil
 }
 
-func roundUpMarketQuantity(market types.Market, v fixedpoint.Value, c string) (fixedpoint.Value, int) {
+func (s *Strategy) cancelDuplicatedPriceOpenOrders(ctx context.Context, session *bbgo.ExchangeSession) error {
-	prec := market.VolumePrecision
+	openOrders, err := session.Exchange.QueryOpenOrders(ctx, s.Symbol)
-	if c == market.QuoteCurrency {
+	if err != nil {
-		prec = market.PricePrecision
+		return err
 	}
 
-	return v.Round(prec, fixedpoint.Up), prec
+	if len(openOrders) == 0 {
+		return nil
+	}
+
+	dupOrders := s.findDuplicatedPriceOpenOrders(openOrders)
+
+	if len(dupOrders) > 0 {
+		s.debugOrders("DUPLICATED ORDERS", dupOrders)
+		return session.Exchange.CancelOrders(ctx, dupOrders...)
+	}
+
+	s.logger.Infof("no duplicated order found")
+	return nil
+}
+
+func (s *Strategy) findDuplicatedPriceOpenOrders(openOrders []types.Order) (dupOrders []types.Order) {
+	orderBook := bbgo.NewActiveOrderBook(s.Symbol)
+	for _, openOrder := range openOrders {
+		existingOrder := orderBook.Lookup(func(o types.Order) bool {
+			return o.Price.Compare(openOrder.Price) == 0
+		})
+
+		if existingOrder != nil {
+			// found duplicated order
+			// compare creation time and remove the latest created order
+			// if the creation time equals, then we can just cancel one of them
+			s.debugOrders(
+				fmt.Sprintf("found duplicated order at price %s, comparing orders", openOrder.Price.String()),
+				[]types.Order{*existingOrder, openOrder})
+
+			dupOrder := *existingOrder
+			if openOrder.CreationTime.After(existingOrder.CreationTime.Time()) {
+				dupOrder = openOrder
+			} else if openOrder.CreationTime.Before(existingOrder.CreationTime.Time()) {
+				// override the existing order and take the existing order as a duplicated one
+				orderBook.Add(openOrder)
+			}
+
+			dupOrders = append(dupOrders, dupOrder)
+		} else {
+			orderBook.Add(openOrder)
+		}
+	}
+
+	return dupOrders
 }

pkg/strategy/grid2/strategy_test.go

@@ -355,11 +355,10 @@ func TestStrategy_calculateQuoteInvestmentQuantity(t *testing.T) {
 		assert.NoError(t, err)
 		assert.InDelta(t, 0.099992, quantity.Float64(), 0.0001)
 	})
-
 }
 
-func newTestStrategy() *Strategy {
+func newTestMarket() types.Market {
-	market := types.Market{
+	return types.Market{
 		BaseCurrency:    "BTC",
 		QuoteCurrency:   "USDT",
 		TickSize:        number(0.01),
@@ -368,6 +367,36 @@ func newTestStrategy() *Strategy {
 		MinNotional:     number(10.0),
 		MinQuantity:     number(0.001),
 	}
+}
+
+var testOrderID = uint64(0)
+
+func newTestOrder(price, quantity fixedpoint.Value, side types.SideType) types.Order {
+	market := newTestMarket()
+	testOrderID++
+	return types.Order{
+		SubmitOrder: types.SubmitOrder{
+			Symbol:       "BTCUSDT",
+			Side:         side,
+			Type:         types.OrderTypeLimit,
+			Quantity:     quantity,
+			Price:        price,
+			AveragePrice: fixedpoint.Zero,
+			StopPrice:    fixedpoint.Zero,
+			Market:       market,
+			TimeInForce:  types.TimeInForceGTC,
+		},
+		Exchange:         "binance",
+		GID:              testOrderID,
+		OrderID:          testOrderID,
+		Status:           types.OrderStatusNew,
+		ExecutedQuantity: fixedpoint.Zero,
+		IsWorking:        true,
+	}
+}
+
+func newTestStrategy() *Strategy {
+	market := newTestMarket()
 
 	s := &Strategy{
 		logger:           logrus.NewEntry(logrus.New()),
@@ -500,6 +529,33 @@ func TestStrategy_aggregateOrderBaseFee(t *testing.T) {
 	assert.Equal(t, "0.01", baseFee.String())
 }
 
+func TestStrategy_findDuplicatedPriceOpenOrders(t *testing.T) {
+	t.Run("no duplicated open orders", func(t *testing.T) {
+		s := newTestStrategy()
+		s.grid = s.newGrid()
+
+		dupOrders := s.findDuplicatedPriceOpenOrders([]types.Order{
+			newTestOrder(number(1900.0), number(0.1), types.SideTypeSell),
+			newTestOrder(number(1800.0), number(0.1), types.SideTypeSell),
+			newTestOrder(number(1700.0), number(0.1), types.SideTypeSell),
+		})
+		assert.Empty(t, dupOrders)
+		assert.Len(t, dupOrders, 0)
+	})
+
+	t.Run("1 duplicated open order SELL", func(t *testing.T) {
+		s := newTestStrategy()
+		s.grid = s.newGrid()
+
+		dupOrders := s.findDuplicatedPriceOpenOrders([]types.Order{
+			newTestOrder(number(1900.0), number(0.1), types.SideTypeSell),
+			newTestOrder(number(1900.0), number(0.1), types.SideTypeSell),
+			newTestOrder(number(1800.0), number(0.1), types.SideTypeSell),
+		})
+		assert.Len(t, dupOrders, 1)
+	})
+}
+
 func TestStrategy_handleOrderFilled(t *testing.T) {
 	ctx := context.Background()
 
@@ -971,17 +1027,6 @@ func TestStrategy_checkMinimalQuoteInvestment(t *testing.T) {
 	})
 }
 
-func Test_roundUpMarketQuantity(t *testing.T) {
-	q := number("0.00000003")
-	assert.Equal(t, "0.00000003", q.String())
-
-	q3, prec := roundUpMarketQuantity(types.Market{
-		VolumePrecision: 8,
-	}, q, "BTC")
-	assert.Equal(t, "0.00000003", q3.String(), "rounding prec 8")
-	assert.Equal(t, 8, prec)
-}
-
 func Test_buildPinOrderMap(t *testing.T) {
 	assert := assert.New(t)
 	s := newTestStrategy()