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grid2: add ClearDuplicatedPriceOpenOrders option
This commit is contained in:
c9s
parent
b672889602
commit
ccf567fdab
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@ -6,6 +6,7 @@ import (
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"math"
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"sort"
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"strconv"
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"strings"
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"sync"
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"time"
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@ -134,6 +135,8 @@ type Strategy struct {
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ClearOpenOrdersIfMismatch bool `json:"clearOpenOrdersIfMismatch"`
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ClearDuplicatedPriceOpenOrders bool `json:"clearDuplicatedPriceOpenOrders"`
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// UseCancelAllOrdersApiWhenClose uses a different API to cancel all the orders on the market when closing a grid
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UseCancelAllOrdersApiWhenClose bool `json:"useCancelAllOrdersApiWhenClose"`
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@ -1158,15 +1161,35 @@ func sortOrdersByPriceAscending(orders []types.Order) []types.Order {
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}
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func (s *Strategy) debugGridOrders(submitOrders []types.SubmitOrder, lastPrice fixedpoint.Value) {
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s.logger.Infof("GRID ORDERS: [")
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var sb strings.Builder
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sb.WriteString("GRID ORDERS [")
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for i, order := range submitOrders {
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if i > 0 && lastPrice.Compare(order.Price) >= 0 && lastPrice.Compare(submitOrders[i-1].Price) <= 0 {
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s.logger.Infof(" - LAST PRICE: %f", lastPrice.Float64())
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sb.WriteString(fmt.Sprintf(" - LAST PRICE: %f", lastPrice.Float64()))
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}
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s.logger.Info(" - ", order.String())
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sb.WriteString(" - " + order.String())
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}
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s.logger.Infof("] END OF GRID ORDERS")
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sb.WriteString("] END OF GRID ORDERS")
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s.logger.Infof(sb.String())
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}
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func (s *Strategy) debugOrders(desc string, orders []types.Order) {
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var sb strings.Builder
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if desc == "" {
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desc = "ORDERS"
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}
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sb.WriteString(desc + " [")
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for i, order := range orders {
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sb.WriteString(fmt.Sprintf(" - %d) %s", i, order.String()))
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}
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sb.WriteString("]")
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s.logger.Infof(sb.String())
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}
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func (s *Strategy) generateGridOrders(totalQuote, totalBase, lastPrice fixedpoint.Value) ([]types.SubmitOrder, error) {
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@ -1884,6 +1907,13 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
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}
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}
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}
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if s.ClearDuplicatedPriceOpenOrders {
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s.logger.Infof("clearDuplicatedPriceOpenOrders is set, finding duplicated open orders...")
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if err := s.cancelDuplicatedPriceOpenOrders(ctx, session); err != nil {
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s.logger.WithError(err).Errorf("cancelDuplicatedPriceOpenOrders error")
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}
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}
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})
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// if TriggerPrice is zero, that means we need to open the grid when start up
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@ -2020,11 +2050,55 @@ func (s *Strategy) openOrdersMismatches(ctx context.Context, session *bbgo.Excha
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return false, nil
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}
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func roundUpMarketQuantity(market types.Market, v fixedpoint.Value, c string) (fixedpoint.Value, int) {
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prec := market.VolumePrecision
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if c == market.QuoteCurrency {
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prec = market.PricePrecision
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func (s *Strategy) cancelDuplicatedPriceOpenOrders(ctx context.Context, session *bbgo.ExchangeSession) error {
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openOrders, err := session.Exchange.QueryOpenOrders(ctx, s.Symbol)
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if err != nil {
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return err
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}
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return v.Round(prec, fixedpoint.Up), prec
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if len(openOrders) == 0 {
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return nil
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}
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dupOrders := s.findDuplicatedPriceOpenOrders(openOrders)
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if len(dupOrders) > 0 {
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s.debugOrders("DUPLICATED ORDERS", dupOrders)
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return session.Exchange.CancelOrders(ctx, dupOrders...)
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}
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s.logger.Infof("no duplicated order found")
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return nil
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}
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func (s *Strategy) findDuplicatedPriceOpenOrders(openOrders []types.Order) (dupOrders []types.Order) {
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orderBook := bbgo.NewActiveOrderBook(s.Symbol)
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for _, openOrder := range openOrders {
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existingOrder := orderBook.Lookup(func(o types.Order) bool {
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return o.Price.Compare(openOrder.Price) == 0
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})
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if existingOrder != nil {
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// found duplicated order
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// compare creation time and remove the latest created order
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// if the creation time equals, then we can just cancel one of them
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s.debugOrders(
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fmt.Sprintf("found duplicated order at price %s, comparing orders", openOrder.Price.String()),
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[]types.Order{*existingOrder, openOrder})
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dupOrder := *existingOrder
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if openOrder.CreationTime.After(existingOrder.CreationTime.Time()) {
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dupOrder = openOrder
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} else if openOrder.CreationTime.Before(existingOrder.CreationTime.Time()) {
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// override the existing order and take the existing order as a duplicated one
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orderBook.Add(openOrder)
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}
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dupOrders = append(dupOrders, dupOrder)
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} else {
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orderBook.Add(openOrder)
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}
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}
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return dupOrders
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}
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@ -355,11 +355,10 @@ func TestStrategy_calculateQuoteInvestmentQuantity(t *testing.T) {
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assert.NoError(t, err)
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assert.InDelta(t, 0.099992, quantity.Float64(), 0.0001)
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})
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}
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func newTestStrategy() *Strategy {
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market := types.Market{
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func newTestMarket() types.Market {
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return types.Market{
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BaseCurrency: "BTC",
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QuoteCurrency: "USDT",
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TickSize: number(0.01),
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@ -368,6 +367,36 @@ func newTestStrategy() *Strategy {
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MinNotional: number(10.0),
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MinQuantity: number(0.001),
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}
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}
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var testOrderID = uint64(0)
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func newTestOrder(price, quantity fixedpoint.Value, side types.SideType) types.Order {
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market := newTestMarket()
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testOrderID++
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return types.Order{
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SubmitOrder: types.SubmitOrder{
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Symbol: "BTCUSDT",
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Side: side,
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Type: types.OrderTypeLimit,
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Quantity: quantity,
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Price: price,
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AveragePrice: fixedpoint.Zero,
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StopPrice: fixedpoint.Zero,
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Market: market,
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TimeInForce: types.TimeInForceGTC,
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},
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Exchange: "binance",
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GID: testOrderID,
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OrderID: testOrderID,
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Status: types.OrderStatusNew,
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ExecutedQuantity: fixedpoint.Zero,
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IsWorking: true,
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}
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}
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func newTestStrategy() *Strategy {
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market := newTestMarket()
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s := &Strategy{
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logger: logrus.NewEntry(logrus.New()),
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@ -500,6 +529,33 @@ func TestStrategy_aggregateOrderBaseFee(t *testing.T) {
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assert.Equal(t, "0.01", baseFee.String())
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}
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func TestStrategy_findDuplicatedPriceOpenOrders(t *testing.T) {
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t.Run("no duplicated open orders", func(t *testing.T) {
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s := newTestStrategy()
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s.grid = s.newGrid()
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dupOrders := s.findDuplicatedPriceOpenOrders([]types.Order{
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newTestOrder(number(1900.0), number(0.1), types.SideTypeSell),
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newTestOrder(number(1800.0), number(0.1), types.SideTypeSell),
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newTestOrder(number(1700.0), number(0.1), types.SideTypeSell),
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})
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assert.Empty(t, dupOrders)
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assert.Len(t, dupOrders, 0)
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})
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t.Run("1 duplicated open order SELL", func(t *testing.T) {
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s := newTestStrategy()
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s.grid = s.newGrid()
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dupOrders := s.findDuplicatedPriceOpenOrders([]types.Order{
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newTestOrder(number(1900.0), number(0.1), types.SideTypeSell),
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newTestOrder(number(1900.0), number(0.1), types.SideTypeSell),
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newTestOrder(number(1800.0), number(0.1), types.SideTypeSell),
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})
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assert.Len(t, dupOrders, 1)
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})
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}
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func TestStrategy_handleOrderFilled(t *testing.T) {
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ctx := context.Background()
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@ -971,17 +1027,6 @@ func TestStrategy_checkMinimalQuoteInvestment(t *testing.T) {
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})
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}
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func Test_roundUpMarketQuantity(t *testing.T) {
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q := number("0.00000003")
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assert.Equal(t, "0.00000003", q.String())
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q3, prec := roundUpMarketQuantity(types.Market{
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VolumePrecision: 8,
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}, q, "BTC")
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assert.Equal(t, "0.00000003", q3.String(), "rounding prec 8")
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assert.Equal(t, 8, prec)
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}
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func Test_buildPinOrderMap(t *testing.T) {
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assert := assert.New(t)
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s := newTestStrategy()
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