improving logs

This commit is contained in:
c9s 2021-05-14 12:23:07 +08:00
parent f69cbe9c31
commit dc040bb82b
2 changed files with 42 additions and 19 deletions

View File

@ -25,9 +25,10 @@ type TwapExecution struct {
market types.Market
marketDataStream types.Stream
userDataStream types.Stream
orderBook *types.StreamOrderBook
currentPrice fixedpoint.Value
activePosition fixedpoint.Value
orderBook *types.StreamOrderBook
currentPrice fixedpoint.Value
activePosition fixedpoint.Value
activeMakerOrders *LocalActiveOrderBook
orderStore *OrderStore
@ -91,6 +92,7 @@ func (e *TwapExecution) newBestPriceMakerOrder() (orderForm types.SubmitOrder, e
tickSize := fixedpoint.NewFromFloat(e.market.TickSize)
if spread > tickSize {
log.Infof("spread %f is greater than the tick size %f, adding 1 tick to the price...", spread.Float64(), tickSize.Float64())
switch e.Side {
case types.SideTypeSell:
newPrice -= fixedpoint.NewFromFloat(e.market.TickSize)
@ -113,11 +115,6 @@ func (e *TwapExecution) newBestPriceMakerOrder() (orderForm types.SubmitOrder, e
}
func (e *TwapExecution) updateOrder(ctx context.Context) error {
book := e.orderBook.Get()
bestBid, _ := book.BestBid()
bestAsk, _ := book.BestAsk()
log.Infof("best bid %f, best ask %f", bestBid.Price.Float64(), bestAsk.Price.Float64())
sideBook, err := e.getSideBook()
if err != nil {
return err
@ -154,22 +151,20 @@ func (e *TwapExecution) updateOrder(ctx context.Context) error {
// if there is no gap between the first price entry and the second price entry
second, ok := sideBook.Second()
if !ok {
return fmt.Errorf("there is no secoond price on the %s order book %s", e.Symbol, e.Side)
return fmt.Errorf("there is no secoond price on the %s order book %s, can not update", e.Symbol, e.Side)
}
log.Infof("checking second price %f - %f")
// if there is no gap
if fixedpoint.Abs(first.Price-second.Price) == tickSize {
log.Infof("there is no gap between the second price %f and the first price %f (tick size = %f), skip updating",
first.Price.Float64(),
second.Price.Float64(),
tickSize.Float64())
return nil
}
}
log.Infof("canceling orders...")
if err := e.Session.Exchange.CancelOrders(ctx, orders...); err != nil {
log.WithError(err).Errorf("can not cancel %s orders", e.Symbol)
}
time.Sleep(3 * time.Second)
e.cancelActiveOrders(ctx)
}
orderForm, err := e.newBestPriceMakerOrder()
@ -187,10 +182,33 @@ func (e *TwapExecution) updateOrder(ctx context.Context) error {
return nil
}
func (e *TwapExecution) cancelActiveOrders(ctx context.Context) {
didCancel := false
for e.activeMakerOrders.NumOfOrders() > 0 {
didCancel = true
log.Infof("canceling open orders...")
orders := e.activeMakerOrders.Orders()
if err := e.Session.Exchange.CancelOrders(ctx, orders...); err != nil {
log.WithError(err).Errorf("can not cancel %s orders", e.Symbol)
}
time.Sleep(3 * time.Second)
}
if didCancel {
log.Infof("orders are canceled successfully")
}
}
func (e *TwapExecution) orderUpdater(ctx context.Context) {
rateLimiter := rate.NewLimiter(rate.Every(time.Minute), 15)
ticker := time.NewTimer(5 * time.Second)
defer ticker.Stop()
defer func() {
e.cancelActiveOrders(context.Background())
}()
for {
select {
case <-ctx.Done():
@ -218,7 +236,7 @@ func (e *TwapExecution) orderUpdater(ctx context.Context) {
}
}
func (e TwapExecution) tradeUpdateHandler(trade types.Trade) {
func (e *TwapExecution) handleTradeUpdate(trade types.Trade) {
// ignore trades that are not in the symbol we interested
if trade.Symbol != e.Symbol {
return
@ -236,6 +254,10 @@ func (e TwapExecution) tradeUpdateHandler(trade types.Trade) {
log.Infof("position updated: %+v", e.position)
}
func (e *TwapExecution) handleFilledOrder(order types.Order) {
log.Infof("order is filled: %s", order.String())
}
func (e *TwapExecution) Run(ctx context.Context) error {
var ok bool
e.market, ok = e.Session.Market(e.Symbol)
@ -252,7 +274,7 @@ func (e *TwapExecution) Run(ctx context.Context) error {
go e.connectMarketData(ctx)
e.userDataStream = e.Session.Exchange.NewStream()
e.userDataStream.OnTradeUpdate(e.tradeUpdateHandler)
e.userDataStream.OnTradeUpdate(e.handleTradeUpdate)
e.position = &Position{
Symbol: e.Symbol,
BaseCurrency: e.market.BaseCurrency,
@ -262,6 +284,7 @@ func (e *TwapExecution) Run(ctx context.Context) error {
e.orderStore = NewOrderStore(e.Symbol)
e.orderStore.BindStream(e.userDataStream)
e.activeMakerOrders = NewLocalActiveOrderBook()
e.activeMakerOrders.OnFilled(e.handleFilledOrder)
e.activeMakerOrders.BindStream(e.userDataStream)
go e.connectUserData(ctx)

View File

@ -140,7 +140,7 @@ func (b *OrderBook) Spread() (fixedpoint.Value, bool) {
return 0, false
}
bestAsk, ok := b.BestBid()
bestAsk, ok := b.BestAsk()
if !ok {
return 0, false
}