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Merge pull request #1078 from c9s/fix/grid2/improve-cancel-all-check

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fix: grid2: improve the onStart callback and the cancel loop
This commit is contained in:
Yo-An Lin 2023-03-03 19:15:40 +08:00 committed by GitHub
commit d21ded2d46
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1 changed files with 55 additions and 49 deletions
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104
pkg/strategy/grid2/strategy.go
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@ -857,6 +857,7 @@ func (s *Strategy) OpenGrid(ctx context.Context) error {
return s.openGrid(ctx, s.session)
}
// TODO: make sure the context here is the trading context or the shutdown context?
func (s *Strategy) cancelAll(ctx context.Context) error {
var werr error
@ -866,7 +867,6 @@ func (s *Strategy) cancelAll(ctx context.Context) error {
}
service, support := session.Exchange.(advancedOrderCancelApi)
if s.UseCancelAllOrdersApiWhenClose && !support {
s.logger.Warnf("advancedOrderCancelApi interface is not implemented, fallback to default graceful cancel, exchange %T", session)
s.UseCancelAllOrdersApiWhenClose = false
@ -875,48 +875,53 @@ func (s *Strategy) cancelAll(ctx context.Context) error {
if s.UseCancelAllOrdersApiWhenClose {
s.logger.Infof("useCancelAllOrdersApiWhenClose is set, using advanced order cancel api for canceling...")
if s.OrderGroupID > 0 {
s.logger.Infof("found OrderGroupID (%d), using group ID for canceling orders...", s.OrderGroupID)
for {
s.logger.Infof("checking %s open orders...", s.Symbol)
op := func() error {
_, cancelErr := service.CancelOrdersByGroupID(ctx, s.OrderGroupID)
return cancelErr
}
err := backoff.Retry(op, backoff.WithMaxRetries(backoff.NewExponentialBackOff(), 101))
if err != nil {
var openOrders []types.Order
if err := backoff.Retry(func() error {
var err error
openOrders, err = session.Exchange.QueryOpenOrders(ctx, s.Symbol)
return err
}, backoff.WithMaxRetries(backoff.NewExponentialBackOff(), 101)); err != nil {
s.logger.WithError(err).Errorf("CancelOrdersByGroupID api call error")
werr = multierr.Append(werr, err)
}
} else {
s.logger.Infof("canceling all orders...")
op := func() error {
_, cancelErr := service.CancelAllOrders(ctx)
return cancelErr
if len(openOrders) == 0 {
break
}
err := backoff.Retry(op, backoff.WithMaxRetries(backoff.NewExponentialBackOff(), 101))
if err != nil {
werr = multierr.Append(werr, err)
}
}
time.Sleep(5 * time.Second)
s.logger.Infof("checking %s open orders...", s.Symbol)
openOrders, err := session.Exchange.QueryOpenOrders(ctx, s.Symbol)
if err != nil {
return err
}
if len(openOrders) > 0 {
s.logger.Infof("found %d open orders left, using cancel all orders api", len(openOrders))
op := func() error {
_, cancelErr := service.CancelOrdersBySymbol(ctx, s.Symbol)
return cancelErr
}
if err2 := backoff.Retry(op, backoff.WithMaxRetries(backoff.NewExponentialBackOff(), 101)); err2 != nil {
werr = multierr.Append(werr, err2)
if s.OrderGroupID > 0 {
s.logger.Infof("found OrderGroupID (%d), using group ID for canceling grid orders...", s.OrderGroupID)
op := func() error {
_, cancelErr := service.CancelOrdersByGroupID(ctx, s.OrderGroupID)
return cancelErr
}
err := backoff.Retry(op, backoff.WithMaxRetries(backoff.NewExponentialBackOff(), 101))
if err != nil {
s.logger.WithError(err).Errorf("CancelOrdersByGroupID api call error")
werr = multierr.Append(werr, err)
}
} else {
s.logger.Infof("using cancal all orders api for canceling grid orders...")
op := func() error {
_, cancelErr := service.CancelAllOrders(ctx)
return cancelErr
}
err := backoff.Retry(op, backoff.WithMaxRetries(backoff.NewExponentialBackOff(), 101))
if err != nil {
s.logger.WithError(err).Errorf("CancelAllOrders api call error")
werr = multierr.Append(werr, err)
}
}
time.Sleep(1 * time.Second)
}
} else {
if err := s.orderExecutor.GracefulCancel(ctx); err != nil {
@ -1740,25 +1745,26 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
// if TriggerPrice is zero, that means we need to open the grid when start up
if s.TriggerPrice.IsZero() {
// must call the openGrid method inside the OnStart callback because
// it needs to receive the trades from the user data stream
//
// should try to avoid blocking the user data stream
// callbacks are blocking operation
session.UserDataStream.OnStart(func() {
s.logger.Infof("user data stream started, initializing grid...")
// avoid blocking the user data stream
// callbacks are blocking operation
go func() {
// do recover only when triggerPrice is not set.
if s.RecoverOrdersWhenStart {
s.logger.Infof("recoverWhenStart is set, trying to recover grid orders...")
if err := s.recoverGrid(ctx, session); err != nil {
log.WithError(err).Errorf("recover error")
}
if s.RecoverOrdersWhenStart && !bbgo.IsBackTesting {
// do recover only when triggerPrice is not set and not in the back-test mode
s.logger.Infof("recoverWhenStart is set, trying to recover grid orders...")
if err := s.recoverGrid(ctx, session); err != nil {
log.WithError(err).Errorf("recover error")
}
}
if err := s.openGrid(ctx, session); err != nil {
s.logger.WithError(err).Errorf("failed to setup grid orders")
}
}()
// avoid using goroutine here for back-test
if err := s.openGrid(ctx, session); err != nil {
s.logger.WithError(err).Errorf("failed to setup grid orders")
}
})
}