improving logs

pkg/bbgo/twap_order_executor.go

@@ -25,9 +25,10 @@ type TwapExecution struct {
 	market           types.Market
 	marketDataStream types.Stream
 	userDataStream   types.Stream
-	orderBook        *types.StreamOrderBook
+
-	currentPrice     fixedpoint.Value
+	orderBook      *types.StreamOrderBook
-	activePosition   fixedpoint.Value
+	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...")
+		e.cancelActiveOrders(ctx)
-		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)
 	}
 
 	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)

pkg/types/orderbook.go

@@ -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
 	}