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bbgo: truncate trade buffer if it gets too large

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This commit is contained in:
c9s 2023-11-17 17:11:22 +08:00
parent c248b2a323
commit eac0195815
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GPG Key ID: 7385E7E464CB0A54
3 changed files with 32 additions and 8 deletions
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2
pkg/bbgo/config.go
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@ -329,6 +329,8 @@ type ServiceConfig struct {
type EnvironmentConfig struct {
DisableDefaultKLineSubscription bool `json:"disableDefaultKLineSubscription"`
DisableHistoryKLinePreload bool `json:"disableHistoryKLinePreload"`
DisableSessionTradeBuffer bool `json:"disableSessionTradeBuffer"`
MaxSessionTradeBufferSize int `json:"maxSessionTradeBufferSize"`
}
type Config struct {

28
pkg/bbgo/session.go
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@ -396,14 +396,27 @@ func (session *ExchangeSession) initSymbol(ctx context.Context, environ *Environ
return fmt.Errorf("market %s is not defined", symbol)
}
session.Trades[symbol] = &types.TradeSlice{Trades: nil}
session.UserDataStream.OnTradeUpdate(func(trade types.Trade) {
if trade.Symbol != symbol {
return
}
disableSessionTradeBuffer := environ.environmentConfig != nil && environ.environmentConfig.DisableSessionTradeBuffer
maxSessionTradeBufferSize := 0
if environ.environmentConfig != nil && environ.environmentConfig.MaxSessionTradeBufferSize > 0 {
maxSessionTradeBufferSize = environ.environmentConfig.MaxSessionTradeBufferSize
}
session.Trades[symbol].Append(trade)
})
session.Trades[symbol] = &types.TradeSlice{Trades: nil}
if !disableSessionTradeBuffer {
session.UserDataStream.OnTradeUpdate(func(trade types.Trade) {
if trade.Symbol != symbol {
return
}
session.Trades[symbol].Append(trade)
if maxSessionTradeBufferSize > 0 {
session.Trades[symbol].Truncate(maxSessionTradeBufferSize)
}
})
}
// session wide position
position := &types.Position{
@ -416,7 +429,6 @@ func (session *ExchangeSession) initSymbol(ctx context.Context, environ *Environ
orderStore := core.NewOrderStore(symbol)
orderStore.AddOrderUpdate = true
orderStore.BindStream(session.UserDataStream)
session.orderStores[symbol] = orderStore

10
pkg/types/trade.go
View File

@ -47,6 +47,16 @@ func (s *TradeSlice) Append(t Trade) {
s.mu.Unlock()
}
func (s *TradeSlice) Truncate(size int) {
s.mu.Lock()
if len(s.Trades) > size {
s.Trades = s.Trades[len(s.Trades)-1-size:]
}
s.mu.Unlock()
}
type Trade struct {
// GID is the global ID
GID int64 `json:"gid" db:"gid"`