package grid2 import ( "context" "fmt" "strconv" "time" "github.com/pkg/errors" "github.com/c9s/bbgo/pkg/bbgo" "github.com/c9s/bbgo/pkg/exchange" maxapi "github.com/c9s/bbgo/pkg/exchange/max/maxapi" "github.com/c9s/bbgo/pkg/exchange/retry" "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() }() isMax := exchange.IsMaxExchange(session.Exchange) s.logger.Infof("isMax: %t", isMax) 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") filledOrders, err := s.getFilledOrdersByScanningTrades(ctx, historyService, s.orderQueryService, openOrders) if err != nil { return errors.Wrap(err, "grid recover error") } s.debugOrders("emit filled orders", filledOrders) // add open orders into avtive maker orders s.addOrdersToActiveOrderBook(openOrders) // emit the filled orders activeOrderBook := s.orderExecutor.ActiveMakerOrders() for _, filledOrder := range filledOrders { if isMax && filledOrder.OriginalStatus != string(maxapi.OrderStateDone) { activeOrderBook.Add(filledOrder) continue } activeOrderBook.EmitFilled(filledOrder) } // 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) getFilledOrdersByScanningTrades(ctx context.Context, queryTradesService types.ExchangeTradeHistoryService, queryOrderService types.ExchangeOrderQueryService, openOrdersOnGrid []types.Order) ([]types.Order, error) { // 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 return nil, nil } else if expectedNumOfOrders < numGridOpenOrders { return nil, fmt.Errorf("amount of grid's open orders should not > amount of expected grid's orders") } // 1. build twin-order map twinOrdersOpen, err := s.buildTwinOrderMap(grid.Pins, openOrdersOnGrid) if err != nil { return nil, errors.Wrapf(err, "failed to build pin order map with open orders") } // 2. build the filled twin-order map by querying trades expectedFilledNum := int(expectedNumOfOrders - numGridOpenOrders) twinOrdersFilled, err := s.buildFilledTwinOrderMapFromTrades(ctx, queryTradesService, queryOrderService, twinOrdersOpen, expectedFilledNum) if err != nil { return nil, errors.Wrapf(err, "failed to build filled pin order map") } // 3. get the filled orders from twin-order map filledOrders := twinOrdersFilled.AscendingOrders() // 4. verify the grid if err := s.verifyFilledTwinGrid(s.grid.Pins, twinOrdersOpen, filledOrders); err != nil { return nil, errors.Wrapf(err, "verify grid with error") } return filledOrders, nil } func (s *Strategy) verifyFilledTwinGrid(pins []Pin, twinOrders TwinOrderMap, filledOrders []types.Order) error { s.debugLog("verifying filled grid - pins: %+v", pins) s.debugOrders("verifying filled grid - filled orders", filledOrders) s.debugLog("verifying filled grid - open twin orders:\n%s", twinOrders.String()) if err := s.addOrdersIntoTwinOrderMap(twinOrders, filledOrders); err != nil { return errors.Wrapf(err, "verifying filled grid error when add orders into twin order map") } s.debugLog("verifying filled grid - filled twin orders:\n%+v", twinOrders.String()) for i, pin := range pins { // we use twinOrderMap to make sure there are no duplicated order at one grid, and we use the sell price as key so we skip the pins[0] which is only for buy price if i == 0 { continue } twin, exist := twinOrders[fixedpoint.Value(pin)] if !exist { return fmt.Errorf("there is no order at price (%+v)", pin) } if !twin.Exist() { return fmt.Errorf("all the price need a twin") } if !twin.IsValid() { return fmt.Errorf("all the twins need to be valid") } } return nil } // buildTwinOrderMap 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) buildTwinOrderMap(pins []Pin, openOrders []types.Order) (TwinOrderMap, error) { twinOrderMap := make(TwinOrderMap) for i, pin := range pins { // twin order map only use sell price as key, so skip 0 if i == 0 { continue } twinOrderMap[fixedpoint.Value(pin)] = TwinOrder{} } for _, openOrder := range openOrders { twinKey, err := findTwinOrderMapKey(s.grid, openOrder) if err != nil { return nil, errors.Wrapf(err, "failed to build twin order map") } twinOrder, exist := twinOrderMap[twinKey] if !exist { return nil, fmt.Errorf("the price of the openOrder (id: %d) is not in pins", openOrder.OrderID) } if twinOrder.Exist() { return nil, fmt.Errorf("there are multiple order in a twin") } twinOrder.SetOrder(openOrder) twinOrderMap[twinKey] = twinOrder } return twinOrderMap, nil } // buildFilledTwinOrderMapFromTrades 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) buildFilledTwinOrderMapFromTrades(ctx context.Context, queryTradesService types.ExchangeTradeHistoryService, queryOrderService types.ExchangeOrderQueryService, twinOrdersOpen TwinOrderMap, expectedFillNum int) (TwinOrderMap, error) { twinOrdersFilled := make(TwinOrderMap) // existedOrders is used to avoid re-query the same orders existedOrders := twinOrdersOpen.SyncOrderMap() // get the filled orders when bbgo is down in order from trades until := time.Now() // the first query only query the last 1 hour, because mostly shutdown and recovery happens within 1 hour since := until.Add(-1 * time.Hour) // hard limit for recover recoverSinceLimit := time.Date(2023, time.March, 10, 0, 0, 0, 0, time.UTC) if s.RecoverGridWithin != 0 && until.Add(-1*s.RecoverGridWithin).After(recoverSinceLimit) { recoverSinceLimit = until.Add(-1 * s.RecoverGridWithin) } for { if err := s.queryTradesToUpdateTwinOrdersMap(ctx, queryTradesService, queryOrderService, twinOrdersOpen, twinOrdersFilled, existedOrders, since, until); err != nil { return nil, errors.Wrapf(err, "failed to query trades to update twin orders map") } until = since since = until.Add(-6 * time.Hour) if len(twinOrdersFilled) >= expectedFillNum { s.logger.Infof("stop querying trades because twin orders filled (%d) >= expected filled nums (%d)", len(twinOrdersFilled), expectedFillNum) break } if s.GridProfitStats != nil && s.GridProfitStats.Since != nil && until.Before(*s.GridProfitStats.Since) { s.logger.Infof("stop querying trades because the time range is out of the strategy's since (%s)", *s.GridProfitStats.Since) break } if until.Before(recoverSinceLimit) { s.logger.Infof("stop querying trades because the time range is out of the limit (%s)", recoverSinceLimit) break } } return twinOrdersFilled, nil } func (s *Strategy) queryTradesToUpdateTwinOrdersMap(ctx context.Context, queryTradesService types.ExchangeTradeHistoryService, queryOrderService types.ExchangeOrderQueryService, twinOrdersOpen, twinOrdersFilled TwinOrderMap, existedOrders *types.SyncOrderMap, since, until time.Time) error { var fromTradeID uint64 = 0 var limit int64 = 1000 for { trades, err := queryTradesService.QueryTrades(ctx, s.Symbol, &types.TradeQueryOptions{ StartTime: &since, EndTime: &until, LastTradeID: fromTradeID, Limit: limit, }) if err != nil { return errors.Wrapf(err, "failed to query trades to recover the grid with open orders") } s.debugLog("QueryTrades from %s <-> %s (from: %d) return %d trades", since, until, fromTradeID, len(trades)) for _, trade := range trades { if trade.Time.After(until) { return nil } s.debugLog(trade.String()) if existedOrders.Exists(trade.OrderID) { // already queries, skip continue } order, err := retry.QueryOrderUntilSuccessful(ctx, queryOrderService, types.OrderQuery{ Symbol: trade.Symbol, OrderID: strconv.FormatUint(trade.OrderID, 10), }) if err != nil { return errors.Wrapf(err, "failed to query order by trade (trade id: %d, order id: %d)", trade.ID, trade.OrderID) } s.debugLog(order.String()) // avoid query this order again existedOrders.Add(*order) // add 1 to avoid duplicate fromTradeID = trade.ID + 1 twinOrderKey, err := findTwinOrderMapKey(s.grid, *order) if err != nil { return errors.Wrapf(err, "failed to find grid order map's key when recover") } twinOrderOpen, exist := twinOrdersOpen[twinOrderKey] if !exist { return fmt.Errorf("the price of the order with the same GroupID is not in pins") } if twinOrderOpen.Exist() { continue } if twinOrder, exist := twinOrdersFilled[twinOrderKey]; exist { to := twinOrder.GetOrder() if to.UpdateTime.Time().After(order.UpdateTime.Time()) { s.logger.Infof("twinOrder's update time (%s) should not be after order's update time (%s)", to.UpdateTime, order.UpdateTime) continue } } twinOrder := TwinOrder{} twinOrder.SetOrder(*order) twinOrdersFilled[twinOrderKey] = twinOrder } // stop condition if int64(len(trades)) < limit { return nil } } } func (s *Strategy) addOrdersIntoTwinOrderMap(twinOrders TwinOrderMap, orders []types.Order) error { for _, order := range orders { k, err := findTwinOrderMapKey(s.grid, order) if err != nil { return errors.Wrap(err, "failed to add orders into twin order map") } if v, exist := twinOrders[k]; !exist { return fmt.Errorf("the price (%+v) is not in pins", k) } else if v.Exist() { return fmt.Errorf("there is already a twin order at this price (%+v)", k) } else { twin := TwinOrder{} twin.SetOrder(order) twinOrders[k] = twin } } return nil }