Merge pull request #1787 from c9s/c9s/fix-order-compare

FIX: fix order update comparison method

pkg/bbgo/activeorderbook.go

@@ -16,7 +16,7 @@ import (
 	"github.com/c9s/bbgo/pkg/types"
 )
 
-const DefaultCancelOrderWaitTime = 20 * time.Millisecond
+const DefaultCancelOrderWaitTime = 50 * time.Millisecond
 const DefaultOrderCancelTimeout = 5 * time.Second
 
 // ActiveOrderBook manages the local active order books.
@@ -336,7 +336,7 @@ func (b *ActiveOrderBook) Update(order types.Order) {
 		// if we can't detect which is newer, isNewerOrderUpdate returns false
 		// if you pass two same objects to isNewerOrderUpdate, it returns false
 		if !isNewerOrderUpdate(order, previousOrder) {
-			log.Infof("[ActiveOrderBook] order #%d updateTime %s is out of date, skip it", order.OrderID, order.UpdateTime)
+			log.Infof("[ActiveOrderBook] order #%d (update time %s) is out of date, skip it", order.OrderID, order.UpdateTime)
 			b.mu.Unlock()
 			return
 		}
@@ -393,26 +393,33 @@ func (b *ActiveOrderBook) Add(orders ...types.Order) {
 	}
 }
 
+// isNewerOrderUpdate checks if the order a is newer than the order b.
 func isNewerOrderUpdate(a, b types.Order) bool {
 	// compare state first
 	switch a.Status {
 
 	case types.OrderStatusCanceled, types.OrderStatusRejected: // canceled is a final state
 		switch b.Status {
-		case types.OrderStatusNew, types.OrderStatusPartiallyFilled:
+
+		case types.OrderStatusCanceled, types.OrderStatusRejected, types.OrderStatusNew, types.OrderStatusPartiallyFilled:
 			return true
 		}
 
 	case types.OrderStatusPartiallyFilled:
 		switch b.Status {
+
 		case types.OrderStatusNew:
 			return true
+
 		case types.OrderStatusPartiallyFilled:
 			// unknown for equal
 			if a.ExecutedQuantity.Compare(b.ExecutedQuantity) > 0 {
 				return true
 			}
 
+			if a.UpdateTime.After(b.UpdateTime.Time()) {
+				return true
+			}
 		}
 
 	case types.OrderStatusFilled:

pkg/core/orderstore.go

@@ -147,6 +147,7 @@ func (s *OrderStore) Prune(expiryDuration time.Duration) {
 	defer s.mu.Unlock()
 
 	for idx, o := range s.orders {
+		// if the order is canceled or filled, we should remove the order if the update time is before the cut off time
 		if o.Status == types.OrderStatusCanceled || o.Status == types.OrderStatusFilled {
 			if o.UpdateTime.Time().Before(cutOffTime) {
 				continue

pkg/strategy/xmaker/strategy.go

@@ -1213,16 +1213,13 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
 	}
 
 	lastPrice := s.lastPrice.Get()
-	sourceBook := s.sourceBook.CopyDepth(1)
-	switch side {
 
-	case types.SideTypeBuy:
-		if bestAsk, ok := sourceBook.BestAsk(); ok {
+	bestBid, bestAsk, ok := s.sourceBook.BestBidAndAsk()
+	if ok {
+		switch side {
+		case types.SideTypeBuy:
 			lastPrice = bestAsk.Price
-		}
-
-	case types.SideTypeSell:
-		if bestBid, ok := sourceBook.BestBid(); ok {
+		case types.SideTypeSell:
 			lastPrice = bestBid.Price
 		}
 	}