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grid2: add recover time range rollback

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c9s 2022-12-24 17:08:50 +08:00
parent cb2d9d7eb2
commit e0daf9904e
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1 changed files with 33 additions and 9 deletions
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42
pkg/strategy/grid2/strategy.go
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@ -26,6 +26,9 @@ var log = logrus.WithField("strategy", ID)
var maxNumberOfOrderTradesQueryTries = 10
const historyRollbackDuration = 3 * 24 * time.Hour
const historyRollbackOrderIdRange = 1000
func init() {
// Register the pointer of the strategy struct,
// so that bbgo knows what struct to be used to unmarshal the configs (YAML or JSON)
@ -1018,14 +1021,13 @@ func (s *Strategy) recoverGrid(ctx context.Context, historyService types.Exchang
firstOrderTime = since
lastOrderTime = until
}
_ = lastOrderTime
// for MAX exchange we need the order ID to query the closed order history
if oid, ok := findEarliestOrderID(openOrders); ok {
lastOrderID = oid
}
_ = lastOrderTime
activeOrderBook := s.orderExecutor.ActiveMakerOrders()
// Allocate a local order book
@ -1042,17 +1044,39 @@ func (s *Strategy) recoverGrid(ctx context.Context, historyService types.Exchang
}
}
// if all open orders are the grid orders, then we don't have to recover
missingPrices := scanMissingPinPrices(orderBook, grid.Pins)
if len(missingPrices) == 0 {
if numMissing := len(missingPrices); numMissing <= 1 {
s.logger.Infof("GRID RECOVER: no missing grid prices, stop re-playing order history")
return nil
}
} else {
// Note that for MAX Exchange, the order history API only uses fromID parameter to query history order.
// The time range does not matter.
// TODO: handle context correctly
startTime := firstOrderTime
endTime := now
maxTries := 3
for maxTries > 0 {
maxTries--
if err := s.replayOrderHistory(ctx, grid, orderBook, historyService, startTime, endTime, lastOrderID); err != nil {
return err
}
// Note that for MAX Exchange, the order history API only uses fromID parameter to query history order.
// The time range does not matter.
// TODO: handle context correctly
if err := s.replayOrderHistory(ctx, grid, orderBook, historyService, firstOrderTime, now, lastOrderID); err != nil {
return err
// Verify if there are still missing prices
missingPrices = scanMissingPinPrices(orderBook, grid.Pins)
if len(missingPrices) <= 1 {
// skip this order history loop and start recovering
break
}
// history rollback range
startTime = startTime.Add(-historyRollbackDuration)
if newFromOrderID := lastOrderID - historyRollbackOrderIdRange; newFromOrderID > 1 {
lastOrderID = newFromOrderID
}
s.logger.Infof("GRID RECOVER: there are still more than two missing orders, rolling back query start time to earlier time point %s, fromID %d", startTime.String(), lastOrderID)
}
}
debugGrid(grid, orderBook)