package dca2 import ( "context" "fmt" "strconv" "time" "github.com/c9s/bbgo/pkg/bbgo" "github.com/c9s/bbgo/pkg/core" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/types" ) type descendingClosedOrderQueryService interface { QueryClosedOrdersDesc(ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64) ([]types.Order, error) } type RecoverApiQueryService interface { types.ExchangeOrderQueryService types.ExchangeTradeService descendingClosedOrderQueryService } func (s *Strategy) recover(ctx context.Context) error { s.logger.Info("[DCA] recover") queryService, ok := s.Session.Exchange.(RecoverApiQueryService) if !ok { return fmt.Errorf("[DCA] exchange %s doesn't support queryAPI interface", s.Session.ExchangeName) } openOrders, err := queryService.QueryOpenOrders(ctx, s.Symbol) if err != nil { return err } closedOrders, err := queryService.QueryClosedOrdersDesc(ctx, s.Symbol, time.Time{}, time.Now(), 0) if err != nil { return err } currentRound, err := getCurrentRoundOrders(openOrders, closedOrders, s.OrderGroupID) if err != nil { return err } debugRoundOrders(s.logger, "current", currentRound) // recover state state, err := recoverState(ctx, s.Symbol, int(s.MaxOrderNum), openOrders, currentRound, s.OrderExecutor.ActiveMakerOrders(), s.OrderExecutor.OrderStore(), s.OrderGroupID) if err != nil { return err } // recover position if err := recoverPosition(ctx, s.Position, queryService, currentRound); err != nil { return err } // recover budget budget := recoverBudget(currentRound) // recover startTimeOfNextRound startTimeOfNextRound := recoverStartTimeOfNextRound(ctx, currentRound, s.CoolDownInterval) s.state = state if !budget.IsZero() { s.Budget = budget } s.startTimeOfNextRound = startTimeOfNextRound return nil } // recover state func recoverState(ctx context.Context, symbol string, maxOrderNum int, openOrders []types.Order, currentRound Round, activeOrderBook *bbgo.ActiveOrderBook, orderStore *core.OrderStore, groupID uint32) (State, error) { if len(currentRound.OpenPositionOrders) == 0 { // new strategy return WaitToOpenPosition, nil } numOpenOrders := len(openOrders) // dca stop at take profit order stage if currentRound.TakeProfitOrder.OrderID != 0 { if numOpenOrders == 0 { // current round's take-profit order filled, wait to open next round return WaitToOpenPosition, nil } // check the open orders is take profit order or not if numOpenOrders == 1 { if openOrders[0].OrderID == currentRound.TakeProfitOrder.OrderID { activeOrderBook.Add(openOrders[0]) // current round's take-profit order still opened, wait to fill return TakeProfitReady, nil } else { return None, fmt.Errorf("stop at taking profit stage, but the open order's OrderID is not the take-profit order's OrderID") } } return None, fmt.Errorf("stop at taking profit stage, but the number of open orders is > 1") } numOpenPositionOrders := len(currentRound.OpenPositionOrders) if numOpenPositionOrders > maxOrderNum { return None, fmt.Errorf("the number of open-position orders is > max order number") } else if numOpenPositionOrders < maxOrderNum { // The number of open-position orders should be the same as maxOrderNum // If not, it may be the following possible cause // 1. This strategy at position opening, so it may not place all orders we want successfully // 2. There are some errors when placing open-position orders. e.g. cannot lock fund..... return None, fmt.Errorf("the number of open-position orders is < max order number") } if numOpenOrders > numOpenPositionOrders { return None, fmt.Errorf("the number of open orders is > the number of open-position orders") } if numOpenOrders == numOpenPositionOrders { activeOrderBook.Add(openOrders...) orderStore.Add(openOrders...) return OpenPositionReady, nil } var openedCnt, filledCnt, cancelledCnt int64 for _, order := range currentRound.OpenPositionOrders { switch order.Status { case types.OrderStatusNew, types.OrderStatusPartiallyFilled: openedCnt++ case types.OrderStatusFilled: filledCnt++ case types.OrderStatusCanceled: cancelledCnt++ default: return None, fmt.Errorf("there is unexpected status %s of order %s", order.Status, order) } } if filledCnt > 0 && cancelledCnt == 0 { activeOrderBook.Add(openOrders...) orderStore.Add(openOrders...) return OpenPositionOrderFilled, nil } if openedCnt > 0 && filledCnt > 0 && cancelledCnt > 0 { return OpenPositionOrdersCancelling, nil } if openedCnt == 0 && filledCnt > 0 && cancelledCnt > 0 { return OpenPositionOrdersCancelled, nil } return None, fmt.Errorf("unexpected order status combination") } func recoverPosition(ctx context.Context, position *types.Position, queryService RecoverApiQueryService, currentRound Round) error { if position == nil { return nil } var positionOrders []types.Order position.Reset() if currentRound.TakeProfitOrder.OrderID != 0 { if !types.IsActiveOrder(currentRound.TakeProfitOrder) { return nil } positionOrders = append(positionOrders, currentRound.TakeProfitOrder) } for _, order := range currentRound.OpenPositionOrders { // no executed quantity order, no need to get trades if order.ExecutedQuantity.IsZero() { continue } positionOrders = append(positionOrders, order) } for _, positionOrder := range positionOrders { trades, err := queryService.QueryOrderTrades(ctx, types.OrderQuery{ Symbol: position.Symbol, OrderID: strconv.FormatUint(positionOrder.OrderID, 10), }) if err != nil { return fmt.Errorf("failed to get trades of order (%d)", positionOrder.OrderID) } position.AddTrades(trades) } return nil } func recoverBudget(currentRound Round) fixedpoint.Value { if len(currentRound.OpenPositionOrders) == 0 { return fixedpoint.Zero } total := fixedpoint.Zero for _, order := range currentRound.OpenPositionOrders { total = total.Add(order.Quantity.Mul(order.Price)) } if currentRound.TakeProfitOrder.OrderID != 0 && currentRound.TakeProfitOrder.Status == types.OrderStatusFilled { total = total.Add(currentRound.TakeProfitOrder.Quantity.Mul(currentRound.TakeProfitOrder.Price)) for _, order := range currentRound.OpenPositionOrders { total = total.Sub(order.ExecutedQuantity.Mul(order.Price)) } } return total } func recoverStartTimeOfNextRound(ctx context.Context, currentRound Round, coolDownInterval types.Duration) time.Time { if currentRound.TakeProfitOrder.OrderID != 0 && currentRound.TakeProfitOrder.Status == types.OrderStatusFilled { return currentRound.TakeProfitOrder.UpdateTime.Time().Add(coolDownInterval.Duration()) } return time.Time{} } type Round struct { OpenPositionOrders []types.Order TakeProfitOrder types.Order } func getCurrentRoundOrders(openOrders, closedOrders []types.Order, groupID uint32) (Round, error) { openPositionSide := types.SideTypeBuy takeProfitSide := types.SideTypeSell var allOrders []types.Order allOrders = append(allOrders, openOrders...) allOrders = append(allOrders, closedOrders...) types.SortOrdersDescending(allOrders) var currentRound Round lastSide := takeProfitSide for _, order := range allOrders { // group id filter is used for debug when local running if order.GroupID != groupID { continue } if order.Side == takeProfitSide && lastSide == openPositionSide { break } switch order.Side { case openPositionSide: currentRound.OpenPositionOrders = append(currentRound.OpenPositionOrders, order) case takeProfitSide: if currentRound.TakeProfitOrder.OrderID != 0 { return currentRound, fmt.Errorf("there are two take-profit orders in one round, please check it") } currentRound.TakeProfitOrder = order default: } lastSide = order.Side } return currentRound, nil }