package bbgo import ( "context" "encoding/json" "time" log "github.com/sirupsen/logrus" "github.com/c9s/bbgo/pkg/types" ) const SentOrderWaitTime = 50 * time.Millisecond const CancelOrderWaitTime = 20 * time.Millisecond // LocalActiveOrderBook manages the local active order books. //go:generate callbackgen -type LocalActiveOrderBook type LocalActiveOrderBook struct { Symbol string Asks, Bids *types.SyncOrderMap filledCallbacks []func(o types.Order) } func NewLocalActiveOrderBook(symbol string) *LocalActiveOrderBook { return &LocalActiveOrderBook{ Symbol: symbol, Bids: types.NewSyncOrderMap(), Asks: types.NewSyncOrderMap(), } } func (b *LocalActiveOrderBook) MarshalJSON() ([]byte, error) { orders := b.Backup() return json.Marshal(orders) } func (b *LocalActiveOrderBook) Backup() []types.SubmitOrder { return append(b.Bids.Backup(), b.Asks.Backup()...) } func (b *LocalActiveOrderBook) BindStream(stream types.Stream) { stream.OnOrderUpdate(b.orderUpdateHandler) } func (b *LocalActiveOrderBook) 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 } } } } // GracefulCancel cancels the active orders gracefully func (b *LocalActiveOrderBook) GracefulCancel(ctx context.Context, ex types.Exchange) error { log.Debugf("[LocalActiveOrderBook] gracefully cancelling %s orders...", b.Symbol) 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("[LocalActiveOrderBook] can not cancel %s orders", b.Symbol) } log.Debugf("[LocalActiveOrderBook] waiting %s for %s orders to be cancelled...", CancelOrderWaitTime, b.Symbol) clear, err := b.waitAllClear(ctx, CancelOrderWaitTime, 5*time.Second) if clear || err != nil { break } log.Warnf("[LocalActiveOrderBook] %d %s orders are not cancelled yet:", b.NumOfOrders(), b.Symbol) b.Print() // verify the current open orders via the RESTful API log.Warnf("[LocalActiveOrderBook] using REStful API to verify active orders...") openOrders, err := ex.QueryOpenOrders(ctx, b.Symbol) if err != nil { log.WithError(err).Errorf("can not query %s open orders", b.Symbol) continue } openOrderStore := NewOrderStore(b.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("[LocalActiveOrderBook] all %s orders are cancelled successfully in %s", b.Symbol, time.Since(startTime)) return nil } func (b *LocalActiveOrderBook) orderUpdateHandler(order types.Order) { log.Debugf("[LocalActiveOrderBook] received order update: %+v", order) 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("[LocalActiveOrderBook] order status %s, removing order %s", order.Status, order) b.Remove(order) default: log.Warnf("unhandled order status: %s", order.Status) } } func (b *LocalActiveOrderBook) Print() { for _, o := range b.Bids.Orders() { log.Infof("%s bid order: %d @ %f -> %s", o.Symbol, o.OrderID, o.Price, o.Status) } for _, o := range b.Asks.Orders() { log.Infof("%s ask order: %d @ %f -> %s", o.Symbol, o.OrderID, o.Price, o.Status) } } func (b *LocalActiveOrderBook) Update(orders ...types.Order) { for _, order := range orders { switch order.Side { case types.SideTypeBuy: b.Bids.Update(order) case types.SideTypeSell: b.Asks.Update(order) } } } func (b *LocalActiveOrderBook) Add(orders ...types.Order) { for _, order := range orders { switch order.Side { case types.SideTypeBuy: b.Bids.Add(order) case types.SideTypeSell: b.Asks.Add(order) default: log.Errorf("unexpected order side %s, order: %#v", order.Side, order) } } } func (b *LocalActiveOrderBook) NumOfBids() int { return b.Bids.Len() } func (b *LocalActiveOrderBook) NumOfAsks() int { return b.Asks.Len() } func (b *LocalActiveOrderBook) Exists(order types.Order) bool { switch order.Side { case types.SideTypeBuy: return b.Bids.Exists(order.OrderID) case types.SideTypeSell: return b.Asks.Exists(order.OrderID) } return false } func (b *LocalActiveOrderBook) Remove(order types.Order) bool { switch order.Side { case types.SideTypeBuy: return b.Bids.Remove(order.OrderID) case types.SideTypeSell: return b.Asks.Remove(order.OrderID) } return false } // WriteOff writes off the filled order on the opposite side. // This method does not write off order by order amount or order quantity. func (b *LocalActiveOrderBook) WriteOff(order types.Order) bool { if order.Status != types.OrderStatusFilled { return false } switch order.Side { case types.SideTypeSell: // find the filled bid to remove if filledOrder, ok := b.Bids.AnyFilled(); ok { b.Bids.Remove(filledOrder.OrderID) b.Asks.Remove(order.OrderID) return true } case types.SideTypeBuy: // find the filled ask order to remove if filledOrder, ok := b.Asks.AnyFilled(); ok { b.Asks.Remove(filledOrder.OrderID) b.Bids.Remove(order.OrderID) return true } } return false } func (b *LocalActiveOrderBook) NumOfOrders() int { return b.Asks.Len() + b.Bids.Len() } func (b *LocalActiveOrderBook) Orders() types.OrderSlice { return append(b.Asks.Orders(), b.Bids.Orders()...) }