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check by trades + open orders
This commit is contained in:
chiahung
parent
00352b2a0d
commit
d953a6d7b8
305
pkg/strategy/grid2/recover.go
Normal file
305
pkg/strategy/grid2/recover.go
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@ -0,0 +1,305 @@
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package grid2
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import (
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"context"
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"fmt"
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"strconv"
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"time"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/pkg/errors"
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)
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func (s *Strategy) recoverGridByScanningTrades(ctx context.Context, session *bbgo.ExchangeSession) error {
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historyService, implemented := session.Exchange.(types.ExchangeTradeHistoryService)
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// if the exchange doesn't support ExchangeTradeHistoryService, do not run recover
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if !implemented {
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s.logger.Warn("ExchangeTradeHistoryService is not implemented, can not recover grid")
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return nil
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}
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s.logger.Infof("recover grid with group id: %d", s.OrderGroupID)
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openOrders, err := session.Exchange.QueryOpenOrders(ctx, s.Symbol)
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if err != nil {
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return errors.Wrapf(err, "check if strategy exists error when query open orders")
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}
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s.logger.Infof("found %d open orders left on the %s order book", len(openOrders), s.Symbol)
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// filter out the order with the group id belongs to this grid
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var openOrdersOnGrid []types.Order
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for _, order := range openOrders {
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if order.GroupID == s.OrderGroupID {
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openOrdersOnGrid = append(openOrdersOnGrid, order)
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}
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}
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s.logger.Infof("found %d open orders belong to this grid on the %s order book", len(openOrdersOnGrid), s.Symbol)
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if s.GridProfitStats.InitialOrderID != 0 {
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// existiting strategy, need recover
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} else if len(openOrdersOnGrid) != 0 {
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// open orders on grid is not 0. this strategy is existing, need recover
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} else {
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// initial order id may be new strategy or lost data in redis, so we need to check trades + open orders
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// if there are open orders or trades, we need to recover
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trades, err := historyService.QueryTrades(ctx, s.Symbol, &types.TradeQueryOptions{
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// from 1, because some API will ignore 0 last trade id
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LastTradeID: 1,
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// if there is any trades, we need to recover.
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Limit: 1,
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})
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if err != nil {
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return errors.Wrapf(err, "check if strategy exists error when query trades")
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}
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if len(trades) == 0 {
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s.logger.Info("new strategy, no need to recover")
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return nil
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}
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}
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s.logger.Infof("start to recover")
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if err := s.recoverGridWithOpenOrdersByScanningTrades(ctx, historyService, openOrdersOnGrid); err != nil {
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return errors.Wrap(err, "grid recover error")
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}
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return nil
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}
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func (s *Strategy) recoverGridWithOpenOrdersByScanningTrades(ctx context.Context, historyService types.ExchangeTradeHistoryService, openOrdersOnGrid []types.Order) error {
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if s.orderQueryService == nil {
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return fmt.Errorf("orderQueryService is nil, it can't get orders by trade")
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}
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// set grid
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grid := s.newGrid()
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s.setGrid(grid)
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// add open orders to active order book
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s.addOrdersToActiveOrderBook(openOrdersOnGrid)
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expectedOrderNums := s.GridNum - 1
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openOrdersOnGridNums := int64(len(openOrdersOnGrid))
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s.debugLog("open orders nums: %d, expected nums: %d", openOrdersOnGridNums, expectedOrderNums)
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if expectedOrderNums == openOrdersOnGridNums {
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// no need to recover
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return nil
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} else if expectedOrderNums < openOrdersOnGridNums {
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return fmt.Errorf("amount of grid's open orders should not > amount of expected grid's orders")
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}
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// 1. build pin-order map
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pinOrdersOpen, err := s.buildPinOrderMap(grid.Pins, openOrdersOnGrid)
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if err != nil {
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return errors.Wrapf(err, "failed to build pin order map with open orders")
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}
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// 2. build the filled pin-order map by querying trades
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pinOrdersFilled, err := s.buildFilledPinOrderMapFromTrades(ctx, historyService, pinOrdersOpen)
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if err != nil {
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return errors.Wrapf(err, "failed to build filled pin order map")
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}
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// 3. get the filled orders from pin-order map
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filledOrders := pinOrdersFilled.AscendingOrders()
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numFilledOrders := len(filledOrders)
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if numFilledOrders == int(expectedOrderNums-openOrdersOnGridNums) {
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// nums of filled order is the same as Size - 1 - num(open orders)
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} else if numFilledOrders == int(expectedOrderNums-openOrdersOnGridNums+1) {
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filledOrders = filledOrders[1:]
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} else {
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return fmt.Errorf("not reasonable num of filled orders")
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}
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// 4. verify the grid
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if err := s.verifyFilledGrid(s.grid.Pins, pinOrdersOpen, filledOrders); err != nil {
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return errors.Wrapf(err, "verify grid with error")
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}
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s.debugOrders("emit filled orders", filledOrders)
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// 5. emit the filled orders
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activeOrderBook := s.orderExecutor.ActiveMakerOrders()
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for _, filledOrder := range filledOrders {
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activeOrderBook.EmitFilled(filledOrder)
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}
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// 6. emit grid ready
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s.EmitGridReady()
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// 7. debug and send metrics
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// wait for the reverse order to be placed
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time.Sleep(2 * time.Second)
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debugGrid(s.logger, grid, s.orderExecutor.ActiveMakerOrders())
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s.updateGridNumOfOrdersMetricsWithLock()
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s.updateOpenOrderPricesMetrics(s.orderExecutor.ActiveMakerOrders().Orders())
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return nil
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}
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func (s *Strategy) verifyFilledGrid(pins []Pin, pinOrders PinOrderMap, filledOrders []types.Order) error {
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s.debugLog("pins: %+v", pins)
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s.debugLog("open pin orders:\n%s", pinOrders.String())
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s.debugOrders("filled orders", filledOrders)
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for _, filledOrder := range filledOrders {
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price := filledOrder.Price
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if o, exist := pinOrders[price]; !exist {
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return fmt.Errorf("the price (%+v) is not in pins", price)
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} else if o.OrderID != 0 {
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return fmt.Errorf("there is already an order at this price (%+v)", price)
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} else {
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pinOrders[price] = filledOrder
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}
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}
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s.debugLog("filled pin orders:\n%+v", pinOrders.String())
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side := types.SideTypeBuy
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for _, pin := range pins {
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order, exist := pinOrders[fixedpoint.Value(pin)]
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if !exist {
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return fmt.Errorf("there is no order at price (%+v)", pin)
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}
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// if there is order with OrderID = 0, means we hit the empty pin
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// there must be only one empty pin in the grid
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// all orders below this pin need to be bid orders, above this pin need to be ask orders
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if order.OrderID == 0 {
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if side == types.SideTypeBuy {
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side = types.SideTypeSell
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continue
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}
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return fmt.Errorf("not only one empty order in this grid")
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}
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if order.Side != side {
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return fmt.Errorf("the side is wrong")
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}
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}
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if side != types.SideTypeSell {
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return fmt.Errorf("there is no empty pin in the grid")
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}
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return nil
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}
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// buildPinOrderMap build the pin-order map with grid and open orders.
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// The keys of this map contains all required pins of this grid.
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// If the Order of the pin is empty types.Order (OrderID == 0), it means there is no open orders at this pin.
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func (s *Strategy) buildPinOrderMap(pins []Pin, openOrders []types.Order) (PinOrderMap, error) {
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pinOrderMap := make(PinOrderMap)
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for _, pin := range pins {
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pinOrderMap[fixedpoint.Value(pin)] = types.Order{}
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}
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for _, openOrder := range openOrders {
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pin := openOrder.Price
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v, exist := pinOrderMap[pin]
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if !exist {
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return nil, fmt.Errorf("the price of the order (id: %d) is not in pins", openOrder.OrderID)
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}
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if v.OrderID != 0 {
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return nil, fmt.Errorf("there are duplicated open orders at the same pin")
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}
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pinOrderMap[pin] = openOrder
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}
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return pinOrderMap, nil
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}
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// buildFilledPinOrderMapFromTrades will query the trades from last 24 hour and use them to build a pin order map
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// It will skip the orders on pins at which open orders are already
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func (s *Strategy) buildFilledPinOrderMapFromTrades(ctx context.Context, historyService types.ExchangeTradeHistoryService, pinOrdersOpen PinOrderMap) (PinOrderMap, error) {
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pinOrdersFilled := make(PinOrderMap)
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// existedOrders is used to avoid re-query the same orders
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existedOrders := pinOrdersOpen.SyncOrderMap()
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var limit int64 = 1000
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// get the filled orders when bbgo is down in order from trades
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// [NOTE] only retrieve from last 24 hours !!!
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var fromTradeID uint64 = 0
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for {
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trades, err := historyService.QueryTrades(ctx, s.Symbol, &types.TradeQueryOptions{
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LastTradeID: fromTradeID,
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Limit: limit,
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})
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if err != nil {
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return nil, errors.Wrapf(err, "failed to query trades to recover the grid with open orders")
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}
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s.debugLog("QueryTrades return %d trades", len(trades))
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for _, trade := range trades {
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s.debugLog(trade.String())
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if existedOrders.Exists(trade.OrderID) {
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// already queries, skip
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continue
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}
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order, err := s.orderQueryService.QueryOrder(ctx, types.OrderQuery{
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OrderID: strconv.FormatUint(trade.OrderID, 10),
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})
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if err != nil {
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return nil, errors.Wrapf(err, "failed to query order by trade")
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}
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s.debugLog("%s (group_id: %d)", order.String(), order.GroupID)
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// avoid query this order again
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existedOrders.Add(*order)
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// add 1 to avoid duplicate
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fromTradeID = trade.ID + 1
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// this trade doesn't belong to this grid
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if order.GroupID != s.OrderGroupID {
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continue
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}
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// checked the trade's order is filled order
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pin := order.Price
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v, exist := pinOrdersOpen[pin]
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if !exist {
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return nil, fmt.Errorf("the price of the order with the same GroupID is not in pins")
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}
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// skip open orders on grid
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if v.OrderID != 0 {
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continue
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}
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// check the order's creation time
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if pinOrder, exist := pinOrdersFilled[pin]; exist && pinOrder.CreationTime.Time().After(order.CreationTime.Time()) {
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// do not replace the pin order if the order's creation time is not after pin order's creation time
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// this situation should not happen actually, because the trades is already sorted.
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s.logger.Infof("pinOrder's creation time (%s) should not be after order's creation time (%s)", pinOrder.CreationTime, order.CreationTime)
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continue
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}
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pinOrdersFilled[pin] = *order
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// wait 100 ms to avoid rate limit
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time.Sleep(100 * time.Millisecond)
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}
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// stop condition
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if int64(len(trades)) < limit {
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break
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}
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}
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return pinOrdersFilled, nil
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}
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@ -1409,241 +1409,6 @@ func (s *Strategy) checkMinimalQuoteInvestment(grid *Grid) error {
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return nil
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}
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func (s *Strategy) recoverGridWithOpenOrdersByScanningTrades(ctx context.Context, historyService types.ExchangeTradeHistoryService, openOrdersOnGrid []types.Order) error {
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if s.orderQueryService == nil {
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return fmt.Errorf("orderQueryService is nil, it can't get orders by trade")
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}
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// set grid
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grid := s.newGrid()
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s.setGrid(grid)
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// add open orders to active order book
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s.addOrdersToActiveOrderBook(openOrdersOnGrid)
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expectedOrderNums := s.GridNum - 1
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openOrdersOnGridNums := int64(len(openOrdersOnGrid))
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s.debugLog("open orders nums: %d, expected nums: %d", openOrdersOnGridNums, expectedOrderNums)
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if expectedOrderNums == openOrdersOnGridNums {
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// no need to recover
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return nil
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} else if expectedOrderNums < openOrdersOnGridNums {
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return fmt.Errorf("amount of grid's open orders should not > amount of expected grid's orders")
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}
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// 1. build pin-order map
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pinOrdersOpen, err := s.buildPinOrderMap(grid.Pins, openOrdersOnGrid)
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if err != nil {
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return errors.Wrapf(err, "failed to build pin order map with open orders")
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}
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// 2. build the filled pin-order map by querying trades
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pinOrdersFilled, err := s.buildFilledPinOrderMapFromTrades(ctx, historyService, pinOrdersOpen)
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if err != nil {
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return errors.Wrapf(err, "failed to build filled pin order map")
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}
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// 3. get the filled orders from pin-order map
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filledOrders := pinOrdersFilled.AscendingOrders()
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numFilledOrders := len(filledOrders)
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if numFilledOrders == int(expectedOrderNums-openOrdersOnGridNums) {
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// nums of filled order is the same as Size - 1 - num(open orders)
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} else if numFilledOrders == int(expectedOrderNums-openOrdersOnGridNums+1) {
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filledOrders = filledOrders[1:]
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} else {
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return fmt.Errorf("not reasonable num of filled orders")
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}
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// 4. verify the grid
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if err := s.verifyFilledGrid(s.grid.Pins, pinOrdersOpen, filledOrders); err != nil {
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return errors.Wrapf(err, "verify grid with error")
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}
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s.debugOrders("emit filled orders", filledOrders)
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// 5. emit the filled orders
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/*
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activeOrderBook := s.orderExecutor.ActiveMakerOrders()
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for _, filledOrder := range filledOrders {
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activeOrderBook.EmitFilled(filledOrder)
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}
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*/
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// 6. emit grid ready
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s.EmitGridReady()
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// 7. debug and send metrics
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// wait for the reverse order to be placed
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time.Sleep(2 * time.Second)
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debugGrid(s.logger, grid, s.orderExecutor.ActiveMakerOrders())
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s.updateGridNumOfOrdersMetricsWithLock()
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s.updateOpenOrderPricesMetrics(s.orderExecutor.ActiveMakerOrders().Orders())
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return nil
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}
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func (s *Strategy) verifyFilledGrid(pins []Pin, pinOrders PinOrderMap, filledOrders []types.Order) error {
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s.debugLog("pins: %+v", pins)
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s.debugLog("open pin orders:\n%s", pinOrders.String())
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s.debugOrders("filled orders", filledOrders)
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for _, filledOrder := range filledOrders {
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price := filledOrder.Price
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if o, exist := pinOrders[price]; !exist {
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return fmt.Errorf("the price (%+v) is not in pins", price)
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} else if o.OrderID != 0 {
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return fmt.Errorf("there is already an order at this price (%+v)", price)
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} else {
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pinOrders[price] = filledOrder
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}
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}
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s.debugLog("filled pin orders:\n%+v", pinOrders.String())
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side := types.SideTypeBuy
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for _, pin := range pins {
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order, exist := pinOrders[fixedpoint.Value(pin)]
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if !exist {
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return fmt.Errorf("there is no order at price (%+v)", pin)
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}
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// if there is order with OrderID = 0, means we hit the empty pin
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// there must be only one empty pin in the grid
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// all orders below this pin need to be bid orders, above this pin need to be ask orders
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if order.OrderID == 0 {
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if side == types.SideTypeBuy {
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side = types.SideTypeSell
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continue
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}
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return fmt.Errorf("not only one empty order in this grid")
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}
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if order.Side != side {
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return fmt.Errorf("the side is wrong")
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}
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}
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if side != types.SideTypeSell {
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return fmt.Errorf("there is no empty pin in the grid")
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}
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return nil
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}
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// buildPinOrderMap build the pin-order map with grid and open orders.
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// The keys of this map contains all required pins of this grid.
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// If the Order of the pin is empty types.Order (OrderID == 0), it means there is no open orders at this pin.
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func (s *Strategy) buildPinOrderMap(pins []Pin, openOrders []types.Order) (PinOrderMap, error) {
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pinOrderMap := make(PinOrderMap)
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for _, pin := range pins {
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pinOrderMap[fixedpoint.Value(pin)] = types.Order{}
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}
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for _, openOrder := range openOrders {
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pin := openOrder.Price
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v, exist := pinOrderMap[pin]
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if !exist {
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return nil, fmt.Errorf("the price of the order (id: %d) is not in pins", openOrder.OrderID)
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}
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if v.OrderID != 0 {
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return nil, fmt.Errorf("there are duplicated open orders at the same pin")
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}
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pinOrderMap[pin] = openOrder
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}
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return pinOrderMap, nil
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}
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// buildFilledPinOrderMapFromTrades will query the trades from last 24 hour and use them to build a pin order map
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// It will skip the orders on pins at which open orders are already
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func (s *Strategy) buildFilledPinOrderMapFromTrades(ctx context.Context, historyService types.ExchangeTradeHistoryService, pinOrdersOpen PinOrderMap) (PinOrderMap, error) {
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||||
pinOrdersFilled := make(PinOrderMap)
|
||||
|
||||
// existedOrders is used to avoid re-query the same orders
|
||||
existedOrders := pinOrdersOpen.SyncOrderMap()
|
||||
|
||||
var limit int64 = 1000
|
||||
// get the filled orders when bbgo is down in order from trades
|
||||
// [NOTE] only retrieve from last 24 hours !!!
|
||||
var fromTradeID uint64 = 0
|
||||
for {
|
||||
trades, err := historyService.QueryTrades(ctx, s.Symbol, &types.TradeQueryOptions{
|
||||
LastTradeID: fromTradeID,
|
||||
Limit: limit,
|
||||
})
|
||||
|
||||
if err != nil {
|
||||
return nil, errors.Wrapf(err, "failed to query trades to recover the grid with open orders")
|
||||
}
|
||||
|
||||
s.debugLog("QueryTrades return %d trades", len(trades))
|
||||
|
||||
for _, trade := range trades {
|
||||
s.debugLog(trade.String())
|
||||
if existedOrders.Exists(trade.OrderID) {
|
||||
// already queries, skip
|
||||
continue
|
||||
}
|
||||
|
||||
order, err := s.orderQueryService.QueryOrder(ctx, types.OrderQuery{
|
||||
OrderID: strconv.FormatUint(trade.OrderID, 10),
|
||||
})
|
||||
|
||||
if err != nil {
|
||||
return nil, errors.Wrapf(err, "failed to query order by trade")
|
||||
}
|
||||
|
||||
s.debugLog("%s (group_id: %d)", order.String(), order.GroupID)
|
||||
|
||||
// avoid query this order again
|
||||
existedOrders.Add(*order)
|
||||
|
||||
// add 1 to avoid duplicate
|
||||
fromTradeID = trade.ID + 1
|
||||
|
||||
// this trade doesn't belong to this grid
|
||||
if order.GroupID != s.OrderGroupID {
|
||||
continue
|
||||
}
|
||||
|
||||
// checked the trade's order is filled order
|
||||
pin := order.Price
|
||||
v, exist := pinOrdersOpen[pin]
|
||||
if !exist {
|
||||
return nil, fmt.Errorf("the price of the order with the same GroupID is not in pins")
|
||||
}
|
||||
|
||||
// skip open orders on grid
|
||||
if v.OrderID != 0 {
|
||||
continue
|
||||
}
|
||||
|
||||
// check the order's creation time
|
||||
if pinOrder, exist := pinOrdersFilled[pin]; exist && pinOrder.CreationTime.Time().After(order.CreationTime.Time()) {
|
||||
// do not replace the pin order if the order's creation time is not after pin order's creation time
|
||||
// this situation should not happen actually, because the trades is already sorted.
|
||||
s.logger.Infof("pinOrder's creation time (%s) should not be after order's creation time (%s)", pinOrder.CreationTime, order.CreationTime)
|
||||
continue
|
||||
}
|
||||
pinOrdersFilled[pin] = *order
|
||||
|
||||
// wait 100 ms to avoid rate limit
|
||||
time.Sleep(100 * time.Millisecond)
|
||||
}
|
||||
|
||||
// stop condition
|
||||
if int64(len(trades)) < limit {
|
||||
break
|
||||
}
|
||||
}
|
||||
|
||||
return pinOrdersFilled, nil
|
||||
}
|
||||
|
||||
func (s *Strategy) recoverGridWithOpenOrders(ctx context.Context, historyService types.ExchangeTradeHistoryService, openOrders []types.Order) error {
|
||||
grid := s.newGrid()
|
||||
|
||||
|
|
@ -2211,44 +1976,6 @@ func (s *Strategy) recoverGridByScanningOrders(ctx context.Context, session *bbg
|
|||
return nil
|
||||
}
|
||||
|
||||
func (s *Strategy) recoverGridByScanningTrades(ctx context.Context, session *bbgo.ExchangeSession) error {
|
||||
openOrders, err := session.Exchange.QueryOpenOrders(ctx, s.Symbol)
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
s.logger.Infof("found %d open orders left on the %s order book", len(openOrders), s.Symbol)
|
||||
s.debugLog("recover grid with group id: %d", s.OrderGroupID)
|
||||
// filter out the order with the group id belongs to this grid
|
||||
var openOrdersOnGrid []types.Order
|
||||
for _, order := range openOrders {
|
||||
if order.GroupID == s.OrderGroupID {
|
||||
openOrdersOnGrid = append(openOrdersOnGrid, order)
|
||||
}
|
||||
}
|
||||
|
||||
s.logger.Infof("found %d open orders belong to this grid on the %s order book", len(openOrdersOnGrid), s.Symbol)
|
||||
|
||||
// no initial order id means we don't need to recover
|
||||
// 3/31 updated : Find there may be 0 initial order id when the strategy is not strategy, so we need to add more checking on it.
|
||||
if s.GridProfitStats.InitialOrderID == 0 && len(openOrdersOnGrid) == 0 {
|
||||
s.debugLog("new strategy, no need to recover")
|
||||
return nil
|
||||
}
|
||||
|
||||
historyService, implemented := session.Exchange.(types.ExchangeTradeHistoryService)
|
||||
if !implemented {
|
||||
s.logger.Warn("ExchangeTradeHistoryService is not implemented, can not recover grid")
|
||||
return nil
|
||||
}
|
||||
|
||||
if err := s.recoverGridWithOpenOrdersByScanningTrades(ctx, historyService, openOrdersOnGrid); err != nil {
|
||||
return errors.Wrap(err, "grid recover error")
|
||||
}
|
||||
|
||||
return nil
|
||||
}
|
||||
|
||||
// openOrdersMismatches verifies if the open orders are on the grid pins
|
||||
// return true if mismatches
|
||||
func (s *Strategy) openOrdersMismatches(ctx context.Context, session *bbgo.ExchangeSession) (bool, error) {
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user