package bbgo import ( "context" "encoding/json" "sync" "time" "github.com/pkg/errors" log "github.com/sirupsen/logrus" "github.com/c9s/bbgo/pkg/sigchan" "github.com/c9s/bbgo/pkg/types" ) const DefaultCancelOrderWaitTime = 20 * time.Millisecond // ActiveOrderBook manages the local active order books. // //go:generate callbackgen -type ActiveOrderBook type ActiveOrderBook struct { Symbol string orders *types.SyncOrderMap newCallbacks []func(o types.Order) filledCallbacks []func(o types.Order) canceledCallbacks []func(o types.Order) pendingOrderUpdates *types.SyncOrderMap // sig is the order update signal // this signal will be emitted when a new order is added or removed. C sigchan.Chan mu sync.Mutex cancelOrderWaitTime time.Duration } func NewActiveOrderBook(symbol string) *ActiveOrderBook { return &ActiveOrderBook{ Symbol: symbol, orders: types.NewSyncOrderMap(), pendingOrderUpdates: types.NewSyncOrderMap(), C: sigchan.New(1), cancelOrderWaitTime: DefaultCancelOrderWaitTime, } } func (b *ActiveOrderBook) SetCancelOrderWaitTime(duration time.Duration) { b.cancelOrderWaitTime = duration } 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.orders.Exists(order.OrderID) { return true, nil } timeoutC := time.After(timeout) for { select { case <-time.After(waitTime): case <-b.C: } clear := !b.orders.Exists(order.OrderID) select { case <-timeoutC: return clear, nil case <-ctx.Done(): return clear, ctx.Err() default: if clear { return clear, nil } } } } // waitAllClear waits for the order book be clear (meaning every order is removed) // if err != nil, it's the context error. func (b *ActiveOrderBook) waitAllClear(ctx context.Context, waitTime, timeout time.Duration) (bool, error) { clear := b.NumOfOrders() == 0 if clear { return clear, nil } timeoutC := time.After(timeout) for { select { case <-time.After(waitTime): case <-b.C: } // update clear flag clear = b.NumOfOrders() == 0 select { case <-timeoutC: return clear, nil case <-ctx.Done(): return clear, ctx.Err() default: if clear { return clear, nil } } } } // FastCancel cancels the orders without verification // It calls the exchange cancel order api and then remove the orders from the active orderbook directly. func (b *ActiveOrderBook) FastCancel(ctx context.Context, ex types.Exchange, orders ...types.Order) error { // if no orders are given, set to cancelAll hasSymbol := b.Symbol != "" if len(orders) == 0 { orders = b.Orders() } else { // simple check on given input for _, o := range orders { if hasSymbol && o.Symbol != b.Symbol { return errors.New("[ActiveOrderBook] cancel " + b.Symbol + " orderbook with different order symbol: " + o.Symbol) } } } // optimize order cancel for back-testing if IsBackTesting { return ex.CancelOrders(context.Background(), orders...) } log.Debugf("[ActiveOrderBook] no wait cancelling %s orders...", b.Symbol) // 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] no wait can not cancel %s orders", b.Symbol) } for _, o := range orders { b.orders.Remove(o.OrderID) } return nil } // GracefulCancel cancels the active orders gracefully func (b *ActiveOrderBook) GracefulCancel(ctx context.Context, ex types.Exchange, specifiedOrders ...types.Order) error { cancelAll := false orders := specifiedOrders // if no orders are given, set to cancelAll if len(specifiedOrders) == 0 { orders = b.Orders() cancelAll = true } else { // simple check on given input hasSymbol := b.Symbol != "" for _, o := range orders { if hasSymbol && o.Symbol != b.Symbol { return errors.New("[ActiveOrderBook] cancel " + b.Symbol + " orderbook with different symbol: " + o.Symbol) } } } // optimize order cancel for back-testing if IsBackTesting { return ex.CancelOrders(context.Background(), orders...) } log.Debugf("[ActiveOrderBook] gracefully cancelling %s orders...", b.Symbol) waitTime := b.cancelOrderWaitTime orderCancelTimeout := 5 * time.Second startTime := time.Now() // ensure every order is canceled 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(), 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) if cancelAll { clear, err := b.waitAllClear(ctx, waitTime, orderCancelTimeout) if clear || err != nil { break } log.Warnf("[ActiveOrderBook] %d %s orders are not cancelled yet:", b.NumOfOrders(), b.Symbol) b.Print() } else { existingOrders := b.filterExistingOrders(orders) if len(existingOrders) == 0 { break } } // verify the current open orders via the RESTful API log.Warnf("[ActiveOrderBook] using open orders API to verify the active orders...") var symbolOrdersMap = categorizeOrderBySymbol(orders) var leftOrders types.OrderSlice for symbol := range symbolOrdersMap { symbolOrders, ok := symbolOrdersMap[symbol] if !ok { continue } openOrders, err := ex.QueryOpenOrders(ctx, symbol) if err != nil { log.WithError(err).Errorf("can not query %s open orders", symbol) continue } openOrderMap := types.NewOrderMap(openOrders...) for _, o := range symbolOrders { // if it's not on the order book (open orders), // we should remove it from our local side if !openOrderMap.Exists(o.OrderID) { b.Remove(o) } else { leftOrders.Add(o) } } } // update order slice for the next try orders = leftOrders } 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) { b.Update(order) } func (b *ActiveOrderBook) Print() { orders := b.orders.Orders() orders = types.SortOrdersByPrice(orders, true) orders.Print() } // Update updates the order by the order status and emit the related events. // When order is filled, the order will be removed from the internal order storage. // When order is New or PartiallyFilled, the internal order will be updated according to the latest order update. // When the order is cancelled, it will be removed from the internal order storage. func (b *ActiveOrderBook) Update(order types.Order) { hasSymbol := len(b.Symbol) > 0 if hasSymbol && order.Symbol != b.Symbol { return } b.mu.Lock() if !b.orders.Exists(order.OrderID) { log.Debugf("[ActiveOrderBook] order #%d %s does not exist, adding it to pending order update", order.OrderID, order.Status) b.pendingOrderUpdates.Add(order) b.mu.Unlock() return } // if order update time is too old, skip it if previousOrder, ok := b.orders.Get(order.OrderID); ok { // the arguments ordering is important here // if we can't detect which is newer, isNewerOrderUpdate returns false // if you pass two same objects to isNewerOrderUpdate, it returns false if !isNewerOrderUpdate(order, previousOrder) { log.Infof("[ActiveOrderBook] order #%d updateTime %s is out of date, skip it", order.OrderID, order.UpdateTime) b.mu.Unlock() return } } switch order.Status { case types.OrderStatusFilled: // make sure we have the order and we remove it removed := b.orders.Remove(order.OrderID) b.mu.Unlock() if removed { log.Infof("[ActiveOrderBook] order #%d is filled: %s", order.OrderID, order.String()) b.EmitFilled(order) } b.C.Emit() case types.OrderStatusPartiallyFilled: b.orders.Update(order) b.mu.Unlock() case types.OrderStatusNew: b.orders.Update(order) b.mu.Unlock() b.C.Emit() case types.OrderStatusCanceled, types.OrderStatusRejected: // TODO: note that orders transit to "canceled" may have partially filled log.Debugf("[ActiveOrderBook] order is %s, removing order %s", order.Status, order) b.orders.Remove(order.OrderID) b.mu.Unlock() if order.Status == types.OrderStatusCanceled { b.EmitCanceled(order) } b.C.Emit() default: b.mu.Unlock() log.Warnf("[ActiveOrderBook] unhandled order status: %s", order.Status) } } func (b *ActiveOrderBook) Add(orders ...types.Order) { hasSymbol := len(b.Symbol) > 0 for _, order := range orders { if hasSymbol && b.Symbol != order.Symbol { continue } b.add(order) } } func isNewerOrderUpdate(a, b types.Order) bool { // compare state first switch a.Status { case types.OrderStatusCanceled, types.OrderStatusRejected: // canceled is a final state switch b.Status { case types.OrderStatusNew, types.OrderStatusPartiallyFilled: return true } case types.OrderStatusPartiallyFilled: switch b.Status { case types.OrderStatusNew: return true case types.OrderStatusPartiallyFilled: // unknown for equal if a.ExecutedQuantity.Compare(b.ExecutedQuantity) > 0 { return true } } case types.OrderStatusFilled: switch b.Status { case types.OrderStatusFilled, types.OrderStatusPartiallyFilled, types.OrderStatusNew: return true } } return isNewerOrderUpdateTime(a, b) } func isNewerOrderUpdateTime(a, b types.Order) bool { au := time.Time(a.UpdateTime) bu := time.Time(b.UpdateTime) if !au.IsZero() && !bu.IsZero() && au.After(bu) { return true } if !au.IsZero() && bu.IsZero() { return true } return false } // add the order to the active order book and check the pending order func (b *ActiveOrderBook) add(order types.Order) { if pendingOrder, ok := b.pendingOrderUpdates.Get(order.OrderID); ok { // if the pending order update time is newer than the adding order // we should use the pending order rather than the adding order. // if the pending order is older, then we should add the new one, and drop the pending order log.Debugf("found pending order update: %+v", pendingOrder) if isNewerOrderUpdate(pendingOrder, order) { log.Debugf("pending order update is newer: %+v", pendingOrder) order = pendingOrder } b.orders.Add(order) b.pendingOrderUpdates.Remove(pendingOrder.OrderID) // when using add(order), it's usually a new maker order on the order book. // so, when it's not status=new, we should trigger order update handler if order.Status != types.OrderStatusNew { // emit the order update handle function to trigger callback b.Update(order) } } else { b.orders.Add(order) } } func (b *ActiveOrderBook) Exists(order types.Order) bool { b.mu.Lock() defer b.mu.Unlock() return b.orders.Exists(order.OrderID) } func (b *ActiveOrderBook) Get(orderID uint64) (types.Order, bool) { return b.orders.Get(orderID) } func (b *ActiveOrderBook) Remove(order types.Order) bool { b.mu.Lock() defer b.mu.Unlock() 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() } func (b *ActiveOrderBook) Lookup(f func(o types.Order) bool) *types.Order { return b.orders.Lookup(f) } func (b *ActiveOrderBook) filterExistingOrders(orders []types.Order) (existingOrders types.OrderSlice) { for _, o := range orders { if b.Exists(o) { existingOrders.Add(o) } } return existingOrders } func categorizeOrderBySymbol(orders types.OrderSlice) map[string]types.OrderSlice { orderMap := map[string]types.OrderSlice{} for _, order := range orders { orderMap[order.Symbol] = append(orderMap[order.Symbol], order) } return orderMap }