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https://github.com/c9s/bbgo.git
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REFACTOR: refactor for future test
This commit is contained in:
chiahung
parent
61892eb2df
commit
f38cfb6ea3
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@ -13,6 +13,14 @@ import (
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"github.com/c9s/bbgo/pkg/types"
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)
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type QueryTradesService interface {
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QueryTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) ([]types.Trade, error)
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}
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type QueryOrderService interface {
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QueryOrder(ctx context.Context, q types.OrderQuery) (*types.Order, error)
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}
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func (s *Strategy) recoverByScanningTrades(ctx context.Context, session *bbgo.ExchangeSession) error {
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defer func() {
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s.updateGridNumOfOrdersMetricsWithLock()
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@ -59,9 +67,20 @@ func (s *Strategy) recoverByScanningTrades(ctx context.Context, session *bbgo.Ex
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}
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s.logger.Infof("start recovering")
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if err := s.recoverWithOpenOrdersByScanningTrades(ctx, historyService, openOrders); err != nil {
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filledOrders, err := s.getFilledOrdersByScanningTrades(ctx, historyService, s.orderQueryService, openOrders)
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if err != nil {
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return errors.Wrap(err, "grid recover error")
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}
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s.debugOrders("emit filled orders", filledOrders)
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// add open orders into avtive maker orders
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s.addOrdersToActiveOrderBook(openOrders)
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// emit the filled orders
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activeOrderBook := s.orderExecutor.ActiveMakerOrders()
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for _, filledOrder := range filledOrders {
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activeOrderBook.EmitFilled(filledOrder)
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}
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// emit ready after recover
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s.EmitGridReady()
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@ -96,11 +115,7 @@ func (s *Strategy) recoverByScanningTrades(ctx context.Context, session *bbgo.Ex
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return nil
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}
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func (s *Strategy) recoverWithOpenOrdersByScanningTrades(ctx context.Context, historyService types.ExchangeTradeHistoryService, openOrdersOnGrid []types.Order) error {
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if s.orderQueryService == nil {
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return fmt.Errorf("orderQueryService is nil, it can't get orders by trade")
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}
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func (s *Strategy) getFilledOrdersByScanningTrades(ctx context.Context, queryTradesService QueryTradesService, queryOrderService QueryOrderService, openOrdersOnGrid []types.Order) ([]types.Order, error) {
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// set grid
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grid := s.newGrid()
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s.setGrid(grid)
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@ -110,22 +125,21 @@ func (s *Strategy) recoverWithOpenOrdersByScanningTrades(ctx context.Context, hi
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s.debugLog("open orders nums: %d, expected nums: %d", numGridOpenOrders, expectedNumOfOrders)
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if expectedNumOfOrders == numGridOpenOrders {
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// no need to recover, only need to add open orders back to active order book
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s.addOrdersToActiveOrderBook(openOrdersOnGrid)
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return nil
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return nil, nil
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} else if expectedNumOfOrders < numGridOpenOrders {
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return fmt.Errorf("amount of grid's open orders should not > amount of expected grid's orders")
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return nil, fmt.Errorf("amount of grid's open orders should not > amount of expected grid's orders")
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}
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// 1. build twin-order map
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twinOrdersOpen, err := s.buildTwinOrderMap(grid.Pins, openOrdersOnGrid)
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if err != nil {
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return errors.Wrapf(err, "failed to build pin order map with open orders")
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return nil, errors.Wrapf(err, "failed to build pin order map with open orders")
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}
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// 2. build the filled twin-order map by querying trades
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twinOrdersFilled, err := s.buildFilledTwinOrderMapFromTrades(ctx, historyService, twinOrdersOpen)
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twinOrdersFilled, err := s.buildFilledTwinOrderMapFromTrades(ctx, queryTradesService, queryOrderService, twinOrdersOpen)
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if err != nil {
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return errors.Wrapf(err, "failed to build filled pin order map")
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return nil, errors.Wrapf(err, "failed to build filled pin order map")
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}
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// 3. get the filled orders from twin-order map
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@ -133,182 +147,10 @@ func (s *Strategy) recoverWithOpenOrdersByScanningTrades(ctx context.Context, hi
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// 4. verify the grid
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if err := s.verifyFilledTwinGrid(s.grid.Pins, twinOrdersOpen, filledOrders); err != nil {
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return errors.Wrapf(err, "verify grid with error")
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return nil, errors.Wrapf(err, "verify grid with error")
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}
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// 5. add open orders to active order book.
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s.addOrdersToActiveOrderBook(openOrdersOnGrid)
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// 6. emit the filled orders
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s.debugOrders("emit filled orders", filledOrders)
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activeOrderBook := s.orderExecutor.ActiveMakerOrders()
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for _, filledOrder := range filledOrders {
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activeOrderBook.EmitFilled(filledOrder)
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}
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return nil
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}
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func (s *Strategy) verifyFilledGrid(pins []Pin, pinOrders PinOrderMap, filledOrders []types.Order) error {
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s.debugLog("verifying filled grid - pins: %+v", pins)
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s.debugLog("verifying filled grid - open pin orders:\n%s", pinOrders.String())
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s.debugOrders("verifying filled grid - filled orders", filledOrders)
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if err := addOrdersIntoPinOrderMap(pinOrders, filledOrders); err != nil {
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return errors.Wrapf(err, "verifying filled grid error when add orders into pin order map")
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}
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s.debugLog("verifying filled grid - filled pin orders:\n%+v", pinOrders.String())
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expectedSide := types.SideTypeBuy
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for _, pin := range pins {
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order, exist := pinOrders[fixedpoint.Value(pin)]
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if !exist {
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return fmt.Errorf("there is no order at price (%+v)", pin)
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}
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// if there is order with OrderID = 0, means we hit the empty pin
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// there must be only one empty pin in the grid
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// all orders below this pin need to be bid orders, above this pin need to be ask orders
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if order.OrderID == 0 {
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if expectedSide == types.SideTypeBuy {
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expectedSide = types.SideTypeSell
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continue
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}
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return fmt.Errorf("found more than one empty pins")
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}
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if order.Side != expectedSide {
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return fmt.Errorf("the side of order (%s) is wrong, expected: %s", order.Side, expectedSide)
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}
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}
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if expectedSide != types.SideTypeSell {
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return fmt.Errorf("there is no empty pin in the grid")
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}
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return nil
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}
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// buildPinOrderMap build the pin-order map with grid and open orders.
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// The keys of this map contains all required pins of this grid.
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// If the Order of the pin is empty types.Order (OrderID == 0), it means there is no open orders at this pin.
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func (s *Strategy) buildPinOrderMap(pins []Pin, openOrders []types.Order) (PinOrderMap, error) {
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pinOrderMap := make(PinOrderMap)
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for _, pin := range pins {
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pinOrderMap[fixedpoint.Value(pin)] = types.Order{}
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}
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for _, openOrder := range openOrders {
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pin := openOrder.Price
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v, exist := pinOrderMap[pin]
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if !exist {
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return nil, fmt.Errorf("the price of the order (id: %d) is not in pins", openOrder.OrderID)
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}
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if v.OrderID != 0 {
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return nil, fmt.Errorf("there are duplicated open orders at the same pin")
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}
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pinOrderMap[pin] = openOrder
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}
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return pinOrderMap, nil
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}
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// buildFilledPinOrderMapFromTrades will query the trades from last 24 hour and use them to build a pin order map
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// It will skip the orders on pins at which open orders are already
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func (s *Strategy) buildFilledPinOrderMapFromTrades(ctx context.Context, historyService types.ExchangeTradeHistoryService, pinOrdersOpen PinOrderMap) (PinOrderMap, error) {
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pinOrdersFilled := make(PinOrderMap)
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// existedOrders is used to avoid re-query the same orders
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existedOrders := pinOrdersOpen.SyncOrderMap()
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var limit int64 = 1000
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// get the filled orders when bbgo is down in order from trades
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// [NOTE] only retrieve from last 24 hours !!!
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var fromTradeID uint64 = 0
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for {
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trades, err := historyService.QueryTrades(ctx, s.Symbol, &types.TradeQueryOptions{
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LastTradeID: fromTradeID,
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Limit: limit,
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})
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if err != nil {
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return nil, errors.Wrapf(err, "failed to query trades to recover the grid with open orders")
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}
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s.debugLog("QueryTrades return %d trades", len(trades))
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for _, trade := range trades {
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s.debugLog(trade.String())
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if existedOrders.Exists(trade.OrderID) {
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// already queries, skip
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continue
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}
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order, err := s.orderQueryService.QueryOrder(ctx, types.OrderQuery{
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OrderID: strconv.FormatUint(trade.OrderID, 10),
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})
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if err != nil {
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return nil, errors.Wrapf(err, "failed to query order by trade")
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}
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s.debugLog("%s (group_id: %d)", order.String(), order.GroupID)
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// avoid query this order again
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existedOrders.Add(*order)
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// add 1 to avoid duplicate
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fromTradeID = trade.ID + 1
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// checked the trade's order is filled order
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pin := order.Price
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v, exist := pinOrdersOpen[pin]
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if !exist {
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return nil, fmt.Errorf("the price of the order with the same GroupID is not in pins")
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}
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// skip open orders on grid
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if v.OrderID != 0 {
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continue
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}
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// check the order's creation time
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if pinOrder, exist := pinOrdersFilled[pin]; exist && pinOrder.CreationTime.Time().After(order.CreationTime.Time()) {
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// do not replace the pin order if the order's creation time is not after pin order's creation time
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// this situation should not happen actually, because the trades is already sorted.
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s.logger.Infof("pinOrder's creation time (%s) should not be after order's creation time (%s)", pinOrder.CreationTime, order.CreationTime)
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continue
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}
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pinOrdersFilled[pin] = *order
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}
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// stop condition
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if int64(len(trades)) < limit {
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break
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}
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}
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return pinOrdersFilled, nil
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}
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func addOrdersIntoPinOrderMap(pinOrders PinOrderMap, orders []types.Order) error {
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for _, order := range orders {
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price := order.Price
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if o, exist := pinOrders[price]; !exist {
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return fmt.Errorf("the price (%+v) is not in pins", price)
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} else if o.OrderID != 0 {
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return fmt.Errorf("there is already an order at this price (%+v)", price)
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} else {
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pinOrders[price] = order
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}
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}
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return nil
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return filledOrders, nil
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}
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func (s *Strategy) verifyFilledTwinGrid(pins []Pin, twinOrders TwinOrderMap, filledOrders []types.Order) error {
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@ -384,7 +226,7 @@ func (s *Strategy) buildTwinOrderMap(pins []Pin, openOrders []types.Order) (Twin
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// buildFilledTwinOrderMapFromTrades will query the trades from last 24 hour and use them to build a pin order map
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// It will skip the orders on pins at which open orders are already
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func (s *Strategy) buildFilledTwinOrderMapFromTrades(ctx context.Context, historyService types.ExchangeTradeHistoryService, twinOrdersOpen TwinOrderMap) (TwinOrderMap, error) {
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func (s *Strategy) buildFilledTwinOrderMapFromTrades(ctx context.Context, queryTradesService QueryTradesService, queryOrderService QueryOrderService, twinOrdersOpen TwinOrderMap) (TwinOrderMap, error) {
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twinOrdersFilled := make(TwinOrderMap)
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// existedOrders is used to avoid re-query the same orders
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@ -395,7 +237,7 @@ func (s *Strategy) buildFilledTwinOrderMapFromTrades(ctx context.Context, histor
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// [NOTE] only retrieve from last 24 hours !!!
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var fromTradeID uint64 = 0
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for {
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trades, err := historyService.QueryTrades(ctx, s.Symbol, &types.TradeQueryOptions{
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trades, err := queryTradesService.QueryTrades(ctx, s.Symbol, &types.TradeQueryOptions{
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LastTradeID: fromTradeID,
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Limit: limit,
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})
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@ -413,7 +255,7 @@ func (s *Strategy) buildFilledTwinOrderMapFromTrades(ctx context.Context, histor
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continue
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}
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order, err := s.orderQueryService.QueryOrder(ctx, types.OrderQuery{
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order, err := queryOrderService.QueryOrder(ctx, types.OrderQuery{
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OrderID: strconv.FormatUint(trade.OrderID, 10),
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})
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@ -6,7 +6,6 @@ import (
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"context"
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"errors"
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"testing"
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"time"
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"github.com/golang/mock/gomock"
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"github.com/sirupsen/logrus"
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@ -1230,6 +1229,7 @@ func TestStrategy_checkMinimalQuoteInvestment(t *testing.T) {
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})
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}
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/*
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func Test_buildPinOrderMap(t *testing.T) {
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assert := assert.New(t)
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s := newTestStrategy()
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@ -1585,3 +1585,4 @@ func Test_verifyFilledGrid(t *testing.T) {
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})
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}
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*/
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