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bbgo: rewrite BatchRetryPlaceOrder to make it retry with err index

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c9s 2023-02-23 23:17:04 +08:00
parent 2a47d390f0
commit ed61f70d74
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GPG Key ID: 7385E7E464CB0A54
1 changed files with 62 additions and 65 deletions
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127
pkg/bbgo/order_execution.go
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@ -47,67 +47,6 @@ func (e *ExchangeOrderExecutionRouter) SubmitOrdersTo(ctx context.Context, sessi
return createdOrders, err return createdOrders, err
} }
func BatchRetryPlaceOrder(ctx context.Context, exchange types.Exchange, errIdx []int, submitOrders ...types.SubmitOrder) (types.OrderSlice, error) {
var createdOrders types.OrderSlice
var err error
for _, idx := range errIdx {
createdOrder, err2 := exchange.SubmitOrder(ctx, submitOrders[idx])
if err2 != nil {
err = multierr.Append(err, err2)
} else if createdOrder != nil {
createdOrders = append(createdOrders, *createdOrder)
}
}
return createdOrders, err
}
// BatchPlaceOrderChan post orders with a channel, the created order will be sent to this channel immediately, so that
// the caller can add the created order to the active order book or the order store to collect trades.
// this method is used when you have large amount of orders to be sent and most of the orders might be filled as taker order.
// channel orderC will be closed when all the submit orders are submitted.
func BatchPlaceOrderChan(ctx context.Context, exchange types.Exchange, orderC chan types.Order, submitOrders ...types.SubmitOrder) (types.OrderSlice, []int, error) {
defer close(orderC)
var createdOrders types.OrderSlice
var err error
var errIndexes []int
for i, submitOrder := range submitOrders {
createdOrder, err2 := exchange.SubmitOrder(ctx, submitOrder)
if err2 != nil {
err = multierr.Append(err, err2)
errIndexes = append(errIndexes, i)
} else if createdOrder != nil {
createdOrder.Tag = submitOrder.Tag
orderC <- *createdOrder
createdOrders = append(createdOrders, *createdOrder)
}
}
return createdOrders, errIndexes, err
}
// BatchPlaceOrder
func BatchPlaceOrder(ctx context.Context, exchange types.Exchange, submitOrders ...types.SubmitOrder) (types.OrderSlice, []int, error) {
var createdOrders types.OrderSlice
var err error
var errIndexes []int
for i, submitOrder := range submitOrders {
createdOrder, err2 := exchange.SubmitOrder(ctx, submitOrder)
if err2 != nil {
err = multierr.Append(err, err2)
errIndexes = append(errIndexes, i)
} else if createdOrder != nil {
createdOrder.Tag = submitOrder.Tag
createdOrders = append(createdOrders, *createdOrder)
}
}
return createdOrders, errIndexes, err
}
func (e *ExchangeOrderExecutionRouter) CancelOrdersTo(ctx context.Context, session string, orders ...types.Order) error { func (e *ExchangeOrderExecutionRouter) CancelOrdersTo(ctx context.Context, session string, orders ...types.Order) error {
if executor, ok := e.executors[session]; ok { if executor, ok := e.executors[session]; ok {
return executor.CancelOrders(ctx, orders...) return executor.CancelOrders(ctx, orders...)
@ -347,9 +286,67 @@ func (c *BasicRiskController) ProcessOrders(session *ExchangeSession, orders ...
return outOrders, nil return outOrders, nil
} }
func max(a, b int64) int64 { // BatchPlaceOrder
if a > b { func BatchPlaceOrder(ctx context.Context, exchange types.Exchange, submitOrders ...types.SubmitOrder) (types.OrderSlice, []int, error) {
return a var createdOrders types.OrderSlice
var err error
var errIndexes []int
for i, submitOrder := range submitOrders {
createdOrder, err2 := exchange.SubmitOrder(ctx, submitOrder)
if err2 != nil {
err = multierr.Append(err, err2)
errIndexes = append(errIndexes, i)
} else if createdOrder != nil {
createdOrder.Tag = submitOrder.Tag
createdOrders = append(createdOrders, *createdOrder)
} }
return b }
return createdOrders, errIndexes, err
}
// BatchRetryPlaceOrder places the orders and retries the failed orders
func BatchRetryPlaceOrder(ctx context.Context, exchange types.Exchange, errIdx []int, submitOrders ...types.SubmitOrder) (types.OrderSlice, error) {
var createdOrders types.OrderSlice
var err error
// if the errIdx is nil, then we should iterate all the submit orders
if len(errIdx) == 0 {
for i, submitOrder := range submitOrders {
createdOrder, err2 := exchange.SubmitOrder(ctx, submitOrder)
if err2 != nil {
err = multierr.Append(err, err2)
errIdx = append(errIdx, i)
} else if createdOrder != nil {
// if the order is successfully created, than we should copy the order tag
createdOrder.Tag = submitOrder.Tag
createdOrders = append(createdOrders, *createdOrder)
}
}
}
// if we got any error, we should re-iterate the errored orders
for len(errIdx) > 0 {
// allocate a variable for new error index
var errIdxNext []int
// iterate the error index and re-submit the order
for _, idx := range errIdx {
submitOrder := submitOrders[idx]
createdOrder, err2 := exchange.SubmitOrder(ctx, submitOrder)
if err2 != nil {
err = multierr.Append(err, err2)
errIdxNext = append(errIdxNext, idx)
} else if createdOrder != nil {
// if the order is successfully created, than we should copy the order tag
createdOrder.Tag = submitOrder.Tag
createdOrders = append(createdOrders, *createdOrder)
}
}
// update the error index
errIdx = errIdxNext
}
return createdOrders, err
} }