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This commit is contained in:
chiahung 2023-03-15 21:12:59 +08:00
parent e686a26dda
commit f987c85f17
1 changed files with 23 additions and 15 deletions
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38
pkg/strategy/grid2/strategy.go
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@ -1393,7 +1393,7 @@ func (s *Strategy) recoverGridWithOpenOrdersByScanningTrades(ctx context.Context
expectedOrderNums := s.GridNum - 1
openOrdersOnGridNums := int64(len(openOrdersOnGrid))
s.logger.Infof("[DEBUG] open orders nums: %d, expected nums: %d", openOrdersOnGridNums, expectedOrderNums)
s.logger.Debugf("open orders nums: %d, expected nums: %d", openOrdersOnGridNums, expectedOrderNums)
if expectedOrderNums == openOrdersOnGridNums {
// no need to recover
return nil
@ -1415,10 +1415,10 @@ func (s *Strategy) recoverGridWithOpenOrdersByScanningTrades(ctx context.Context
// 3. get the filled orders from pin-order map
filledOrders := pinOrdersFilled.AscendingOrders()
numsFilledOrders := len(filledOrders)
if numsFilledOrders == int(expectedOrderNums-openOrdersOnGridNums) {
numFilledOrders := len(filledOrders)
if numFilledOrders == int(expectedOrderNums-openOrdersOnGridNums) {
// nums of filled order is the same as Size - 1 - num(open orders)
} else if numsFilledOrders == int(expectedOrderNums-openOrdersOnGridNums+1) {
} else if numFilledOrders == int(expectedOrderNums-openOrdersOnGridNums+1) {
filledOrders = filledOrders[1:]
} else {
return fmt.Errorf("not reasonable num of filled orders")
@ -1429,10 +1429,11 @@ func (s *Strategy) recoverGridWithOpenOrdersByScanningTrades(ctx context.Context
return errors.Wrapf(err, "verify grid with error")
}
s.logger.Debugf("emit filled orders %+v", filledOrders)
// 5. emit the filled orders
activeOrderBook := s.orderExecutor.ActiveMakerOrders()
for _, filledOrder := range filledOrders {
s.logger.Infof("[DEBUG] emit filled order: %s (%s)", filledOrder.String(), filledOrder.UpdateTime)
activeOrderBook.EmitFilled(filledOrder)
}
@ -1440,6 +1441,8 @@ func (s *Strategy) recoverGridWithOpenOrdersByScanningTrades(ctx context.Context
s.EmitGridReady()
// 7. debug and send metrics
// wait for the reverse order to be placed
time.Sleep(2 * time.Second)
debugGrid(s.logger, grid, s.orderExecutor.ActiveMakerOrders())
s.updateGridNumOfOrdersMetricsWithLock()
s.updateOpenOrderPricesMetrics(s.orderExecutor.ActiveMakerOrders().Orders())
@ -1448,6 +1451,10 @@ func (s *Strategy) recoverGridWithOpenOrdersByScanningTrades(ctx context.Context
}
func (s *Strategy) verifyFilledGrid(pins []Pin, pinOrders PinOrderMap, filledOrders []types.Order) error {
s.logger.Debugf("pins: %+v", pins)
s.logger.Debugf("open pin orders: %+v", pinOrders)
s.logger.Debugf("filled orders: %+v", filledOrders)
for _, filledOrder := range filledOrders {
price := s.Market.FormatPrice(filledOrder.Price)
if o, exist := pinOrders[price]; !exist {
@ -1459,6 +1466,8 @@ func (s *Strategy) verifyFilledGrid(pins []Pin, pinOrders PinOrderMap, filledOrd
}
}
s.logger.Debugf("filled pin orders: %+v", pinOrders)
side := types.SideTypeBuy
for _, pin := range pins {
price := s.Market.FormatPrice(fixedpoint.Value(pin))
@ -1480,12 +1489,12 @@ func (s *Strategy) verifyFilledGrid(pins []Pin, pinOrders PinOrderMap, filledOrd
}
if order.Side != side {
return fmt.Errorf("the side is wrong !!!")
return fmt.Errorf("the side is wrong")
}
}
if side != types.SideTypeSell {
return fmt.Errorf("there is no empty pin in the grid !")
return fmt.Errorf("there is no empty pin in the grid")
}
return nil
@ -1541,10 +1550,10 @@ func (s *Strategy) buildFilledPinOrderMapFromTrades(ctx context.Context, history
return nil, errors.Wrapf(err, "failed to query trades to recover the grid with open orders")
}
s.logger.Infof("[DEBUG] len of trades: %d", len(trades))
s.logger.Debugf("QueryTrades return %d trades", len(trades))
for _, trade := range trades {
s.logger.Infof("[DEBUG] %s", trade.String())
s.logger.Debugf(trade.String())
if existedOrders.Exists(trade.OrderID) {
// already queries, skip
continue
@ -1558,7 +1567,7 @@ func (s *Strategy) buildFilledPinOrderMapFromTrades(ctx context.Context, history
return nil, errors.Wrapf(err, "failed to query order by trade")
}
s.logger.Infof("[DEBUG] order: %s (group_id: %d)", order.String(), order.GroupID)
s.logger.Debugf("%s (group_id: %d)", order.String(), order.GroupID)
// avoid query this order again
existedOrders.Add(*order)
@ -2132,11 +2141,11 @@ func (s *Strategy) startProcess(ctx context.Context, session *bbgo.ExchangeSessi
func (s *Strategy) recoverGrid(ctx context.Context, session *bbgo.ExchangeSession) error {
if s.RecoverGridByScanningTrades {
s.logger.Infof("[DEBUG] recover grid by scanning trades")
s.logger.Debugf("recover grid by scanning trades")
return s.recoverGridByScanningTrades(ctx, session)
}
s.logger.Infof("[DEBUG] recover grid by scanning orders")
s.logger.Debugf("recover grid by scanning orders")
return s.recoverGridByScanningOrders(ctx, session)
}
@ -2170,7 +2179,7 @@ func (s *Strategy) recoverGridByScanningOrders(ctx context.Context, session *bbg
func (s *Strategy) recoverGridByScanningTrades(ctx context.Context, session *bbgo.ExchangeSession) error {
// no initial order id means we don't need to recover
if s.GridProfitStats.InitialOrderID == 0 {
s.logger.Info("[DEBUG] new strategy, no need to recover")
s.logger.Debug("new strategy, no need to recover")
return nil
}
@ -2181,11 +2190,10 @@ func (s *Strategy) recoverGridByScanningTrades(ctx context.Context, session *bbg
s.logger.Infof("found %d open orders left on the %s order book", len(openOrders), s.Symbol)
s.logger.Infof("[DEBUG] recover grid with group id: %d", s.OrderGroupID)
s.logger.Debugf("recover grid with group id: %d", s.OrderGroupID)
// filter out the order with the group id belongs to this grid
var openOrdersOnGrid []types.Order
for _, order := range openOrders {
s.logger.Infof("[DEBUG] order (%d) group id: %d", order.OrderID, order.GroupID)
if order.GroupID == s.OrderGroupID {
openOrdersOnGrid = append(openOrdersOnGrid, order)
}