package bbgo import ( "context" "encoding/json" "fmt" "time" log "github.com/sirupsen/logrus" "github.com/c9s/bbgo/pkg/types" ) const CancelOrderWaitTime = 20 * time.Millisecond // ActiveOrderBook manages the local active order books. //go:generate callbackgen -type ActiveOrderBook type ActiveOrderBook struct { Symbol string orders *types.SyncOrderMap filledCallbacks []func(o types.Order) } func NewActiveOrderBook(symbol string) *ActiveOrderBook { return &ActiveOrderBook{ Symbol: symbol, orders: types.NewSyncOrderMap(), } } func (b *ActiveOrderBook) MarshalJSON() ([]byte, error) { orders := b.Backup() return json.Marshal(orders) } func (b *ActiveOrderBook) Backup() []types.SubmitOrder { return b.orders.Backup() } func (b *ActiveOrderBook) BindStream(stream types.Stream) { stream.OnOrderUpdate(b.orderUpdateHandler) } func (b *ActiveOrderBook) waitClear(ctx context.Context, order types.Order, waitTime, timeout time.Duration) (bool, error) { if !b.Exists(order) { return true, nil } timeoutC := time.After(timeout) for { time.Sleep(waitTime) clear := !b.Exists(order) select { case <-timeoutC: return clear, nil case <-ctx.Done(): return clear, ctx.Err() default: if clear { return clear, nil } } } } func (b *ActiveOrderBook) waitAllClear(ctx context.Context, waitTime, timeout time.Duration) (bool, error) { numOfOrders := b.NumOfOrders() clear := numOfOrders == 0 if clear { return clear, nil } timeoutC := time.After(timeout) for { time.Sleep(waitTime) numOfOrders = b.NumOfOrders() clear = numOfOrders == 0 select { case <-timeoutC: return clear, nil case <-ctx.Done(): return clear, ctx.Err() default: if clear { return clear, nil } } } } // Cancel cancels the given order from activeOrderBook gracefully func (b *ActiveOrderBook) Cancel(ctx context.Context, ex types.Exchange, order types.Order) error { if !b.Exists(order) { return fmt.Errorf("cannot find %v in orderbook", order) } // optimize order cancel for back-testing if IsBackTesting { return ex.CancelOrders(context.Background(), order) } log.Debugf("[ActiveOrderBook] gracefully cancelling %s order...", order.OrderID) waitTime := CancelOrderWaitTime startTime := time.Now() // ensure order is cancelled for { // Some orders in the variable are not created on the server side yet, // If we cancel these orders directly, we will get an unsent order error // We wait here for a while for server to create these orders. // time.Sleep(SentOrderWaitTime) // since ctx might be canceled, we should use background context here if err := ex.CancelOrders(context.Background(), order); err != nil { log.WithError(err).Errorf("[ActiveORderBook] can not cancel %s order", order.OrderID) } log.Debugf("[ActiveOrderBook] waiting %s for %s order to be cancelled...", waitTime, order.OrderID) clear, err := b.waitClear(ctx, order, waitTime, 5*time.Second) if clear || err != nil { break } b.Print() openOrders, err := ex.QueryOpenOrders(ctx, order.Symbol) if err != nil { log.WithError(err).Errorf("can not query %s open orders", order.Symbol) continue } openOrderStore := NewOrderStore(order.Symbol) openOrderStore.Add(openOrders...) // if it's not on the order book (open orders), we should remove it from our local side if !openOrderStore.Exists(order.OrderID) { b.Remove(order) } } log.Debugf("[ActiveOrderBook] %s order is cancelled successfully in %s", order.OrderID, b.Symbol, time.Since(startTime)) return nil } // GracefulCancel cancels the active orders gracefully func (b *ActiveOrderBook) GracefulCancel(ctx context.Context, ex types.Exchange) error { // optimize order cancel for back-testing if IsBackTesting { orders := b.Orders() return ex.CancelOrders(context.Background(), orders...) } log.Debugf("[ActiveOrderBook] gracefully cancelling %s orders...", b.Symbol) waitTime := CancelOrderWaitTime startTime := time.Now() // ensure every order is cancelled for { orders := b.Orders() // Some orders in the variable are not created on the server side yet, // If we cancel these orders directly, we will get an unsent order error // We wait here for a while for server to create these orders. // time.Sleep(SentOrderWaitTime) // since ctx might be canceled, we should use background context here if err := ex.CancelOrders(context.Background(), orders...); err != nil { log.WithError(err).Errorf("[ActiveOrderBook] can not cancel %s orders", b.Symbol) } log.Debugf("[ActiveOrderBook] waiting %s for %s orders to be cancelled...", waitTime, b.Symbol) clear, err := b.waitAllClear(ctx, waitTime, 5*time.Second) if clear || err != nil { break } log.Warnf("[ActiveOrderBook] %d %s orders are not cancelled yet:", b.NumOfOrders(), b.Symbol) b.Print() // verify the current open orders via the RESTful API log.Warnf("[ActiveOrderBook] using REStful API to verify active orders...") orders = b.Orders() var symbols = map[string]struct{}{} for _, order := range orders { symbols[order.Symbol] = struct{}{} } for symbol := range symbols { openOrders, err := ex.QueryOpenOrders(ctx, symbol) if err != nil { log.WithError(err).Errorf("can not query %s open orders", symbol) continue } openOrderStore := NewOrderStore(symbol) openOrderStore.Add(openOrders...) for _, o := range orders { // if it's not on the order book (open orders), we should remove it from our local side if !openOrderStore.Exists(o.OrderID) { b.Remove(o) } } } } log.Debugf("[ActiveOrderBook] all %s orders are cancelled successfully in %s", b.Symbol, time.Since(startTime)) return nil } func (b *ActiveOrderBook) orderUpdateHandler(order types.Order) { hasSymbol := len(b.Symbol) > 0 if hasSymbol && order.Symbol != b.Symbol { return } switch order.Status { case types.OrderStatusFilled: // make sure we have the order and we remove it if b.Remove(order) { b.EmitFilled(order) } case types.OrderStatusPartiallyFilled, types.OrderStatusNew: b.Update(order) case types.OrderStatusCanceled, types.OrderStatusRejected: log.Debugf("[ActiveOrderBook] order status %s, removing order %s", order.Status, order) b.Remove(order) default: log.Warnf("unhandled order status: %s", order.Status) } } func (b *ActiveOrderBook) Print() { for _, o := range b.orders.Orders() { log.Infof("%s", o) } } func (b *ActiveOrderBook) Update(orders ...types.Order) { hasSymbol := len(b.Symbol) > 0 for _, order := range orders { if hasSymbol && b.Symbol == order.Symbol { b.orders.Update(order) } } } func (b *ActiveOrderBook) Add(orders ...types.Order) { hasSymbol := len(b.Symbol) > 0 for _, order := range orders { if hasSymbol && b.Symbol == order.Symbol { b.orders.Add(order) } } } func (b *ActiveOrderBook) Exists(order types.Order) bool { return b.orders.Exists(order.OrderID) } func (b *ActiveOrderBook) Remove(order types.Order) bool { return b.orders.Remove(order.OrderID) } func (b *ActiveOrderBook) NumOfOrders() int { return b.orders.Len() } func (b *ActiveOrderBook) Orders() types.OrderSlice { return b.orders.Orders() }