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improving logs
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parent
f69cbe9c31
commit
dc040bb82b
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@ -25,9 +25,10 @@ type TwapExecution struct {
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market types.Market
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marketDataStream types.Stream
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userDataStream types.Stream
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orderBook *types.StreamOrderBook
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currentPrice fixedpoint.Value
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activePosition fixedpoint.Value
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orderBook *types.StreamOrderBook
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currentPrice fixedpoint.Value
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activePosition fixedpoint.Value
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activeMakerOrders *LocalActiveOrderBook
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orderStore *OrderStore
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@ -91,6 +92,7 @@ func (e *TwapExecution) newBestPriceMakerOrder() (orderForm types.SubmitOrder, e
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tickSize := fixedpoint.NewFromFloat(e.market.TickSize)
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if spread > tickSize {
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log.Infof("spread %f is greater than the tick size %f, adding 1 tick to the price...", spread.Float64(), tickSize.Float64())
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switch e.Side {
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case types.SideTypeSell:
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newPrice -= fixedpoint.NewFromFloat(e.market.TickSize)
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@ -113,11 +115,6 @@ func (e *TwapExecution) newBestPriceMakerOrder() (orderForm types.SubmitOrder, e
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}
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func (e *TwapExecution) updateOrder(ctx context.Context) error {
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book := e.orderBook.Get()
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bestBid, _ := book.BestBid()
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bestAsk, _ := book.BestAsk()
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log.Infof("best bid %f, best ask %f", bestBid.Price.Float64(), bestAsk.Price.Float64())
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sideBook, err := e.getSideBook()
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if err != nil {
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return err
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@ -154,22 +151,20 @@ func (e *TwapExecution) updateOrder(ctx context.Context) error {
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// if there is no gap between the first price entry and the second price entry
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second, ok := sideBook.Second()
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if !ok {
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return fmt.Errorf("there is no secoond price on the %s order book %s", e.Symbol, e.Side)
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return fmt.Errorf("there is no secoond price on the %s order book %s, can not update", e.Symbol, e.Side)
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}
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log.Infof("checking second price %f - %f")
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// if there is no gap
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if fixedpoint.Abs(first.Price-second.Price) == tickSize {
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log.Infof("there is no gap between the second price %f and the first price %f (tick size = %f), skip updating",
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first.Price.Float64(),
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second.Price.Float64(),
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tickSize.Float64())
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return nil
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}
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}
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log.Infof("canceling orders...")
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if err := e.Session.Exchange.CancelOrders(ctx, orders...); err != nil {
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log.WithError(err).Errorf("can not cancel %s orders", e.Symbol)
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}
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time.Sleep(3 * time.Second)
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e.cancelActiveOrders(ctx)
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}
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orderForm, err := e.newBestPriceMakerOrder()
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@ -187,10 +182,33 @@ func (e *TwapExecution) updateOrder(ctx context.Context) error {
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return nil
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}
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func (e *TwapExecution) cancelActiveOrders(ctx context.Context) {
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didCancel := false
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for e.activeMakerOrders.NumOfOrders() > 0 {
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didCancel = true
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log.Infof("canceling open orders...")
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orders := e.activeMakerOrders.Orders()
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if err := e.Session.Exchange.CancelOrders(ctx, orders...); err != nil {
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log.WithError(err).Errorf("can not cancel %s orders", e.Symbol)
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}
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time.Sleep(3 * time.Second)
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}
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if didCancel {
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log.Infof("orders are canceled successfully")
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}
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}
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func (e *TwapExecution) orderUpdater(ctx context.Context) {
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rateLimiter := rate.NewLimiter(rate.Every(time.Minute), 15)
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ticker := time.NewTimer(5 * time.Second)
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defer ticker.Stop()
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defer func() {
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e.cancelActiveOrders(context.Background())
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}()
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for {
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select {
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case <-ctx.Done():
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@ -218,7 +236,7 @@ func (e *TwapExecution) orderUpdater(ctx context.Context) {
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}
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}
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func (e TwapExecution) tradeUpdateHandler(trade types.Trade) {
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func (e *TwapExecution) handleTradeUpdate(trade types.Trade) {
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// ignore trades that are not in the symbol we interested
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if trade.Symbol != e.Symbol {
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return
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@ -236,6 +254,10 @@ func (e TwapExecution) tradeUpdateHandler(trade types.Trade) {
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log.Infof("position updated: %+v", e.position)
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}
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func (e *TwapExecution) handleFilledOrder(order types.Order) {
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log.Infof("order is filled: %s", order.String())
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}
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func (e *TwapExecution) Run(ctx context.Context) error {
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var ok bool
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e.market, ok = e.Session.Market(e.Symbol)
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@ -252,7 +274,7 @@ func (e *TwapExecution) Run(ctx context.Context) error {
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go e.connectMarketData(ctx)
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e.userDataStream = e.Session.Exchange.NewStream()
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e.userDataStream.OnTradeUpdate(e.tradeUpdateHandler)
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e.userDataStream.OnTradeUpdate(e.handleTradeUpdate)
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e.position = &Position{
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Symbol: e.Symbol,
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BaseCurrency: e.market.BaseCurrency,
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@ -262,6 +284,7 @@ func (e *TwapExecution) Run(ctx context.Context) error {
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e.orderStore = NewOrderStore(e.Symbol)
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e.orderStore.BindStream(e.userDataStream)
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e.activeMakerOrders = NewLocalActiveOrderBook()
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e.activeMakerOrders.OnFilled(e.handleFilledOrder)
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e.activeMakerOrders.BindStream(e.userDataStream)
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go e.connectUserData(ctx)
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@ -140,7 +140,7 @@ func (b *OrderBook) Spread() (fixedpoint.Value, bool) {
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return 0, false
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}
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bestAsk, ok := b.BestBid()
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bestAsk, ok := b.BestAsk()
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if !ok {
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return 0, false
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}
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