Merge pull request #1599 from c9s/kbearXD/dca2/take-profit-order

FEATURE: [dca2] when all open-position orders are filled, place the t…

pkg/strategy/dca2/active_order_recover.go

@@ -28,13 +28,14 @@ func (s *Strategy) recoverPeriodically(ctx context.Context) {
 }
 
 func (s *Strategy) recoverActiveOrders(ctx context.Context) error {
+	s.logger.Info("recover active orders...")
 	openOrders, err := retry.QueryOpenOrdersUntilSuccessfulLite(ctx, s.ExchangeSession.Exchange, s.Symbol)
 	if err != nil {
 		s.logger.WithError(err).Warn("failed to query open orders")
 		return err
 	}
 
-	activeOrders := s.OrderExecutor.ActiveMakerOrders().Orders()
+	activeOrders := s.OrderExecutor.ActiveMakerOrders()
 
 	// update num of open orders metrics
 	if metricsNumOfOpenOrders != nil {
@@ -43,13 +44,17 @@ func (s *Strategy) recoverActiveOrders(ctx context.Context) error {
 
 	// update num of active orders metrics
 	if metricsNumOfActiveOrders != nil {
-		metricsNumOfActiveOrders.With(baseLabels).Set(float64(len(activeOrders)))
+		metricsNumOfActiveOrders.With(baseLabels).Set(float64(activeOrders.NumOfOrders()))
+	}
+
+	if len(openOrders) != activeOrders.NumOfOrders() {
+		s.logger.Warnf("num of open orders (%d) and active orders (%d) is different before active orders recovery, please check it.", len(openOrders), activeOrders.NumOfOrders())
 	}
 
 	opts := common.SyncActiveOrdersOpts{
 		Logger:          s.logger,
 		Exchange:        s.ExchangeSession.Exchange,
-		ActiveOrderBook: s.OrderExecutor.ActiveMakerOrders(),
+		ActiveOrderBook: activeOrders,
 		OpenOrders:      openOrders,
 	}
 

pkg/strategy/dca2/background_runner.go

@@ -0,0 +1,35 @@
+package dca2
+
+import (
+	"context"
+	"time"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/util"
+)
+
+func (s *Strategy) runBackgroundTask(ctx context.Context) {
+	s.logger.Info("run background task")
+
+	// recover active orders
+	recoverActiveOrdersInterval := util.MillisecondsJitter(10*time.Minute, 5*60*1000)
+	recoverActiveOrdersTicker := time.NewTicker(recoverActiveOrdersInterval)
+	defer recoverActiveOrdersTicker.Stop()
+
+	// sync strategy
+	syncPersistenceTicker := time.NewTicker(1 * time.Hour)
+	defer syncPersistenceTicker.Stop()
+
+	for {
+		select {
+		case <-ctx.Done():
+			return
+		case <-syncPersistenceTicker.C:
+			bbgo.Sync(ctx, s)
+		case <-recoverActiveOrdersTicker.C:
+			if err := s.recoverActiveOrders(ctx); err != nil {
+				s.logger.WithError(err).Warn(err, "failed to recover active orders")
+			}
+		}
+	}
+}

pkg/strategy/dca2/recover.go

@@ -135,16 +135,19 @@ func recoverState(ctx context.Context, maxOrderCount int, currentRound Round, or
 		}
 	}
 
-	// the number of open-position orders is the same as maxOrderCount -> place open-position orders successfully
-	if numOpenPositionOrders == maxOrderCount {
 	// all open-position orders are still not filled -> OpenPositionReady
 	if filledCnt == 0 && cancelledCnt == 0 {
 		return OpenPositionReady, nil
 	}
 
-		// there are at least one open-position orders filled -> OpenPositionOrderFilled
+	// there are at least one open-position orders filled
 	if filledCnt > 0 && cancelledCnt == 0 {
+		if openedCnt > 0 {
 			return OpenPositionOrderFilled, nil
+		} else {
+			// all open-position orders filled, change to cancelling and place the take-profit order
+			return OpenPositionOrdersCancelling, nil
+		}
 	}
 
 	// there are at last one open-position orders cancelled ->
@@ -152,23 +155,7 @@ func recoverState(ctx context.Context, maxOrderCount int, currentRound Round, or
 		return OpenPositionOrdersCancelling, nil
 	}
 
-		return None, fmt.Errorf("unexpected order status combination when numOpenPositionOrders(%d) == maxOrderCount(%d) (opened, filled, cancelled) = (%d, %d, %d)", numOpenPositionOrders, maxOrderCount, openedCnt, filledCnt, cancelledCnt)
+	return None, fmt.Errorf("unexpected order status combination (opened, filled, cancelled) = (%d, %d, %d)", openedCnt, filledCnt, cancelledCnt)
-	}
-
-	// the number of open-position orders is less than maxOrderCount -> failed to place open-position orders
-	// 1. This strategy is at position opening, so it may not place all orders we want successfully
-	// 2. There are some errors when placing open-position orders. e.g. cannot lock fund.....
-	if filledCnt == 0 && cancelledCnt == 0 {
-		// TODO: place the remaining open-position orders
-		return OpenPositionReady, nil
-	}
-
-	if filledCnt > 0 && cancelledCnt == 0 {
-		// TODO: place the remaing open-position orders and change state to OpenPositionOrderFilled
-		return OpenPositionOrderFilled, nil
-	}
-
-	return None, fmt.Errorf("unexpected order status combination when numOpenPositionOrders(%d) < maxOrderCount(%d) (opened, filled, cancelled) = (%d, %d, %d)", numOpenPositionOrders, maxOrderCount, openedCnt, filledCnt, cancelledCnt)
 }
 
 func recoverPosition(ctx context.Context, position *types.Position, queryService RecoverApiQueryService, currentRound Round) error {

pkg/strategy/dca2/state.go

@@ -73,9 +73,6 @@ func (s *Strategy) runState(ctx context.Context) {
 	stateTriggerTicker := time.NewTicker(5 * time.Second)
 	defer stateTriggerTicker.Stop()
 
-	monitorTicker := time.NewTicker(10 * time.Minute)
-	defer monitorTicker.Stop()
-
 	for {
 		select {
 		case <-ctx.Done():
@@ -84,8 +81,6 @@ func (s *Strategy) runState(ctx context.Context) {
 		case <-stateTriggerTicker.C:
 			// s.logger.Infof("[DCA] triggerNextState current state: %d", s.state)
 			s.triggerNextState()
-		case <-monitorTicker.C:
-			s.updateNumOfOrdersMetrics(ctx)
 		case nextState := <-s.nextStateC:
 			// s.logger.Infof("[DCA] currenct state: %d, next state: %d", s.state, nextState)
 			// check the next state is valid

pkg/strategy/dca2/strategy.go

@@ -242,8 +242,25 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
 			s.logger.Infof("unsupported side (%s) of order: %s", o.Side, o)
 		}
 
-		// update metrics when filled
+		openOrders, err := retry.QueryOpenOrdersUntilSuccessful(ctx, s.ExchangeSession.Exchange, s.Symbol)
-		s.updateNumOfOrdersMetrics(ctx)
+		if err != nil {
+			s.logger.WithError(err).Warn("failed to query open orders when order filled")
+		} else {
+			// update open orders metrics
+			metricsNumOfOpenOrders.With(baseLabels).Set(float64(len(openOrders)))
+		}
+
+		// update active orders metrics
+		numActiveMakerOrders := s.OrderExecutor.ActiveMakerOrders().NumOfOrders()
+		metricsNumOfActiveOrders.With(baseLabels).Set(float64(numActiveMakerOrders))
+
+		if len(openOrders) != numActiveMakerOrders {
+			s.logger.Warnf("num of open orders (%d) and active orders (%d) is different when order filled, please check it.", len(openOrders), numActiveMakerOrders)
+		}
+
+		if err == nil && o.Side == openPositionSide && numActiveMakerOrders == 0 && len(openOrders) == 0 {
+			s.emitNextState(OpenPositionOrdersCancelling)
+		}
 	})
 
 	session.MarketDataStream.OnKLine(func(kline types.KLine) {
@@ -311,6 +328,8 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
 		})
 	})
 
+	go s.runBackgroundTask(ctx)
+
 	bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
 		defer wg.Done()
 
@@ -461,19 +480,3 @@ func (s *Strategy) UpdateProfitStats(ctx context.Context) (bool, error) {
 
 	return updated, nil
 }
-
-func (s *Strategy) updateNumOfOrdersMetrics(ctx context.Context) {
-	// update open orders metrics
-	openOrders, err := s.ExchangeSession.Exchange.QueryOpenOrders(ctx, s.Symbol)
-	if err != nil {
-		s.logger.WithError(err).Warn("failed to query open orders to update num of the orders metrics")
-	} else {
-		metricsNumOfOpenOrders.With(baseLabels).Set(float64(len(openOrders)))
-	}
-
-	// update active orders metrics
-	metricsNumOfActiveOrders.With(baseLabels).Set(float64(s.OrderExecutor.ActiveMakerOrders().NumOfOrders()))
-
-	// set persistence
-	bbgo.Sync(ctx, s)
-}