package grid2 import ( "context" "fmt" "strconv" "time" "github.com/pkg/errors" "github.com/c9s/bbgo/pkg/bbgo" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/types" ) func (s *Strategy) recoverByScanningTrades(ctx context.Context, session *bbgo.ExchangeSession) error { defer func() { s.updateGridNumOfOrdersMetricsWithLock() s.updateOpenOrderPricesMetrics(s.orderExecutor.ActiveMakerOrders().Orders()) }() historyService, implemented := session.Exchange.(types.ExchangeTradeHistoryService) // if the exchange doesn't support ExchangeTradeHistoryService, do not run recover if !implemented { s.logger.Warn("ExchangeTradeHistoryService is not implemented, can not recover grid") return nil } openOrders, err := session.Exchange.QueryOpenOrders(ctx, s.Symbol) if err != nil { return errors.Wrapf(err, "unable to query open orders when recovering") } s.logger.Infof("found %d open orders left on the %s order book", len(openOrders), s.Symbol) if s.GridProfitStats.InitialOrderID != 0 { s.logger.Info("InitialOrderID is already there, need to recover") } else if len(openOrders) != 0 { s.logger.Info("even though InitialOrderID is 0, there are open orders so need to recover") } else { s.logger.Info("InitialOrderID is 0 and there is no open orders, query trades to check it") // initial order id may be new strategy or lost data in redis, so we need to check trades + open orders // if there are open orders or trades, we need to recover trades, err := historyService.QueryTrades(ctx, s.Symbol, &types.TradeQueryOptions{ // from 1, because some API will ignore 0 last trade id LastTradeID: 1, // if there is any trades, we need to recover. Limit: 1, }) if err != nil { return errors.Wrapf(err, "unable to query trades when recovering") } if len(trades) == 0 { s.logger.Info("0 trades found, it's a new strategy so no need to recover") return nil } } s.logger.Infof("start recovering") if err := s.recoverWithOpenOrdersByScanningTrades(ctx, historyService, openOrders); err != nil { return errors.Wrap(err, "grid recover error") } // emit ready after recover s.EmitGridReady() // debug and send metrics // wait for the reverse order to be placed time.Sleep(2 * time.Second) debugGrid(s.logger, s.grid, s.orderExecutor.ActiveMakerOrders()) defer bbgo.Sync(ctx, s) if s.EnableProfitFixer { until := time.Now() since := until.Add(-7 * 24 * time.Hour) if s.FixProfitSince != nil { since = s.FixProfitSince.Time() } fixer := newProfitFixer(s.grid, s.Symbol, historyService) fixer.SetLogger(s.logger) // set initial order ID = 0 instead of s.GridProfitStats.InitialOrderID because the order ID could be incorrect if err := fixer.Fix(ctx, since, until, 0, s.GridProfitStats); err != nil { return err } s.logger.Infof("fixed profitStats: %#v", s.GridProfitStats) s.EmitGridProfit(s.GridProfitStats, nil) } return nil } func (s *Strategy) recoverWithOpenOrdersByScanningTrades(ctx context.Context, historyService types.ExchangeTradeHistoryService, openOrdersOnGrid []types.Order) error { if s.orderQueryService == nil { return fmt.Errorf("orderQueryService is nil, it can't get orders by trade") } // set grid grid := s.newGrid() s.setGrid(grid) expectedNumOfOrders := s.GridNum - 1 numGridOpenOrders := int64(len(openOrdersOnGrid)) s.debugLog("open orders nums: %d, expected nums: %d", numGridOpenOrders, expectedNumOfOrders) if expectedNumOfOrders == numGridOpenOrders { // no need to recover, only need to add open orders back to active order book s.addOrdersToActiveOrderBook(openOrdersOnGrid) return nil } else if expectedNumOfOrders < numGridOpenOrders { return fmt.Errorf("amount of grid's open orders should not > amount of expected grid's orders") } // 1. build pin-order map pinOrdersOpen, err := s.buildPinOrderMap(grid.Pins, openOrdersOnGrid) if err != nil { return errors.Wrapf(err, "failed to build pin order map with open orders") } // 2. build the filled pin-order map by querying trades pinOrdersFilled, err := s.buildFilledPinOrderMapFromTrades(ctx, historyService, pinOrdersOpen) if err != nil { return errors.Wrapf(err, "failed to build filled pin order map") } // 3. get the filled orders from pin-order map filledOrders := pinOrdersFilled.AscendingOrders() numFilledOrders := len(filledOrders) if numFilledOrders == int(expectedNumOfOrders-numGridOpenOrders) { // nums of filled order is the same as Size - 1 - num(open orders) s.logger.Infof("nums of filled order is the same as Size - 1 - len(open orders) : %d = %d - 1 - %d", numFilledOrders, s.grid.Size, numGridOpenOrders) } else if numFilledOrders == int(expectedNumOfOrders-numGridOpenOrders+1) { filledOrders = filledOrders[1:] } else { return fmt.Errorf("not reasonable num of filled orders") } // 4. verify the grid if err := s.verifyFilledGrid(s.grid.Pins, pinOrdersOpen, filledOrders); err != nil { return errors.Wrapf(err, "verify grid with error") } // 5. add open orders to active order book. s.addOrdersToActiveOrderBook(openOrdersOnGrid) // 6. emit the filled orders s.debugOrders("emit filled orders", filledOrders) activeOrderBook := s.orderExecutor.ActiveMakerOrders() for _, filledOrder := range filledOrders { activeOrderBook.EmitFilled(filledOrder) } return nil } func (s *Strategy) verifyFilledGrid(pins []Pin, pinOrders PinOrderMap, filledOrders []types.Order) error { s.debugLog("verifying filled grid - pins: %+v", pins) s.debugLog("verifying filled grid - open pin orders:\n%s", pinOrders.String()) s.debugOrders("verifying filled grid - filled orders", filledOrders) if err := addOrdersIntoPinOrderMap(pinOrders, filledOrders); err != nil { return errors.Wrapf(err, "verifying filled grid error when add orders into pin order map") } s.debugLog("verifying filled grid - filled pin orders:\n%+v", pinOrders.String()) expectedSide := types.SideTypeBuy for _, pin := range pins { order, exist := pinOrders[fixedpoint.Value(pin)] if !exist { return fmt.Errorf("there is no order at price (%+v)", pin) } // if there is order with OrderID = 0, means we hit the empty pin // there must be only one empty pin in the grid // all orders below this pin need to be bid orders, above this pin need to be ask orders if order.OrderID == 0 { if expectedSide == types.SideTypeBuy { expectedSide = types.SideTypeSell continue } return fmt.Errorf("found more than one empty pins") } if order.Side != expectedSide { return fmt.Errorf("the side of order (%s) is wrong, expected: %s", order.Side, expectedSide) } } if expectedSide != types.SideTypeSell { return fmt.Errorf("there is no empty pin in the grid") } return nil } // buildPinOrderMap build the pin-order map with grid and open orders. // The keys of this map contains all required pins of this grid. // If the Order of the pin is empty types.Order (OrderID == 0), it means there is no open orders at this pin. func (s *Strategy) buildPinOrderMap(pins []Pin, openOrders []types.Order) (PinOrderMap, error) { pinOrderMap := make(PinOrderMap) for _, pin := range pins { pinOrderMap[fixedpoint.Value(pin)] = types.Order{} } for _, openOrder := range openOrders { pin := openOrder.Price v, exist := pinOrderMap[pin] if !exist { return nil, fmt.Errorf("the price of the order (id: %d) is not in pins", openOrder.OrderID) } if v.OrderID != 0 { return nil, fmt.Errorf("there are duplicated open orders at the same pin") } pinOrderMap[pin] = openOrder } return pinOrderMap, nil } // buildFilledPinOrderMapFromTrades will query the trades from last 24 hour and use them to build a pin order map // It will skip the orders on pins at which open orders are already func (s *Strategy) buildFilledPinOrderMapFromTrades(ctx context.Context, historyService types.ExchangeTradeHistoryService, pinOrdersOpen PinOrderMap) (PinOrderMap, error) { pinOrdersFilled := make(PinOrderMap) // existedOrders is used to avoid re-query the same orders existedOrders := pinOrdersOpen.SyncOrderMap() var limit int64 = 1000 // get the filled orders when bbgo is down in order from trades // [NOTE] only retrieve from last 24 hours !!! var fromTradeID uint64 = 0 for { trades, err := historyService.QueryTrades(ctx, s.Symbol, &types.TradeQueryOptions{ LastTradeID: fromTradeID, Limit: limit, }) if err != nil { return nil, errors.Wrapf(err, "failed to query trades to recover the grid with open orders") } s.debugLog("QueryTrades return %d trades", len(trades)) for _, trade := range trades { s.debugLog(trade.String()) if existedOrders.Exists(trade.OrderID) { // already queries, skip continue } order, err := s.orderQueryService.QueryOrder(ctx, types.OrderQuery{ OrderID: strconv.FormatUint(trade.OrderID, 10), }) if err != nil { return nil, errors.Wrapf(err, "failed to query order by trade") } s.debugLog("%s (group_id: %d)", order.String(), order.GroupID) // avoid query this order again existedOrders.Add(*order) // add 1 to avoid duplicate fromTradeID = trade.ID + 1 // checked the trade's order is filled order pin := order.Price v, exist := pinOrdersOpen[pin] if !exist { return nil, fmt.Errorf("the price of the order with the same GroupID is not in pins") } // skip open orders on grid if v.OrderID != 0 { continue } // check the order's creation time if pinOrder, exist := pinOrdersFilled[pin]; exist && pinOrder.CreationTime.Time().After(order.CreationTime.Time()) { // do not replace the pin order if the order's creation time is not after pin order's creation time // this situation should not happen actually, because the trades is already sorted. s.logger.Infof("pinOrder's creation time (%s) should not be after order's creation time (%s)", pinOrder.CreationTime, order.CreationTime) continue } pinOrdersFilled[pin] = *order } // stop condition if int64(len(trades)) < limit { break } } return pinOrdersFilled, nil } func addOrdersIntoPinOrderMap(pinOrders PinOrderMap, orders []types.Order) error { for _, order := range orders { price := order.Price if o, exist := pinOrders[price]; !exist { return fmt.Errorf("the price (%+v) is not in pins", price) } else if o.OrderID != 0 { return fmt.Errorf("there is already an order at this price (%+v)", price) } else { pinOrders[price] = order } } return nil }