package dca2 import ( "context" "strconv" "time" "github.com/c9s/bbgo/pkg/exchange/retry" "github.com/c9s/bbgo/pkg/types" "github.com/sirupsen/logrus" ) // Round contains the open-position orders and the take-profit orders // 1. len(OpenPositionOrders) == 0 -> not open position // 2. len(TakeProfitOrders) == 0 -> not in the take-profit stage // 3. There are take-profit orders only when open-position orders are cancelled // 4. We need to make sure the order: open-position (BUY) -> take-profit (SELL) -> open-position (BUY) -> take-profit (SELL) -> ... // 5. When there is one filled take-profit order, this round must be finished. We need to verify all take-profit orders are not active type Round struct { OpenPositionOrders []types.Order TakeProfitOrders []types.Order } type Collector struct { logger *logrus.Entry symbol string groupID uint32 filterGroupID bool // service ex types.Exchange historyService types.ExchangeTradeHistoryService queryService types.ExchangeOrderQueryService tradeService types.ExchangeTradeService queryClosedOrderDesc descendingClosedOrderQueryService } func NewCollector(logger *logrus.Entry, symbol string, groupID uint32, filterGroupID bool, ex types.Exchange) *Collector { historyService, ok := ex.(types.ExchangeTradeHistoryService) if !ok { logger.Errorf("exchange %s doesn't support ExchangeTradeHistoryService", ex.Name()) return nil } queryService, ok := ex.(types.ExchangeOrderQueryService) if !ok { logger.Errorf("exchange %s doesn't support ExchangeOrderQueryService", ex.Name()) return nil } tradeService, ok := ex.(types.ExchangeTradeService) if !ok { logger.Errorf("exchange %s doesn't support ExchangeTradeService", ex.Name()) return nil } queryClosedOrderDesc, ok := ex.(descendingClosedOrderQueryService) if !ok { logger.Errorf("exchange %s doesn't support query closed orders desc", ex.Name()) return nil } return &Collector{ logger: logger, symbol: symbol, groupID: groupID, filterGroupID: filterGroupID, ex: ex, historyService: historyService, queryService: queryService, tradeService: tradeService, queryClosedOrderDesc: queryClosedOrderDesc, } } func (rc Collector) CollectCurrentRound(ctx context.Context) (Round, error) { openOrders, err := retry.QueryOpenOrdersUntilSuccessful(ctx, rc.ex, rc.symbol) if err != nil { return Round{}, err } var closedOrders []types.Order var op = func() (err2 error) { closedOrders, err2 = rc.queryClosedOrderDesc.QueryClosedOrdersDesc(ctx, rc.symbol, recoverSinceLimit, time.Now(), 0) return err2 } if err := retry.GeneralBackoff(ctx, op); err != nil { return Round{}, err } 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 rc.filterGroupID && order.GroupID != rc.groupID { continue } if order.Side == takeProfitSide && lastSide == openPositionSide { break } switch order.Side { case openPositionSide: currentRound.OpenPositionOrders = append(currentRound.OpenPositionOrders, order) case takeProfitSide: currentRound.TakeProfitOrders = append(currentRound.TakeProfitOrders, order) default: } lastSide = order.Side } return currentRound, nil } func (rc *Collector) CollectFinishRounds(ctx context.Context, fromOrderID uint64) ([]Round, error) { // TODO: pagination for it // query the orders rc.logger.Infof("query %s closed orders from order id #%d", rc.symbol, fromOrderID) orders, err := retry.QueryClosedOrdersUntilSuccessfulLite(ctx, rc.historyService, rc.symbol, time.Time{}, time.Time{}, fromOrderID) if err != nil { return nil, err } rc.logger.Infof("there are %d closed orders from order id #%d", len(orders), fromOrderID) var rounds []Round var round Round for _, order := range orders { // skip not this strategy order if rc.filterGroupID && order.GroupID != rc.groupID { continue } switch order.Side { case types.SideTypeBuy: round.OpenPositionOrders = append(round.OpenPositionOrders, order) case types.SideTypeSell: round.TakeProfitOrders = append(round.TakeProfitOrders, order) if order.Status != types.OrderStatusFilled { rc.logger.Infof("take-profit order is not filled (%s), so this round is not finished. Keep collecting", order.Status) continue } for _, o := range round.TakeProfitOrders { if types.IsActiveOrder(o) { // Should not happen ! but we only log it rc.logger.Errorf("unexpected error, there is at least one take-profit order #%d is still active, please check it. %s", o.OrderID, o.String()) } } rounds = append(rounds, round) round = Round{} default: rc.logger.Errorf("there is order with unsupported side") } } return rounds, nil } // CollectRoundTrades collect the trades of the orders in the given round. The trades' fee are processed (feeProcessing = false) func (rc *Collector) CollectRoundTrades(ctx context.Context, round Round) ([]types.Trade, error) { debugRoundOrders(rc.logger, "collect round trades", round) var roundTrades []types.Trade var roundOrders []types.Order = round.OpenPositionOrders roundOrders = append(roundOrders, round.TakeProfitOrders...) for _, order := range roundOrders { if order.ExecutedQuantity.IsZero() { rc.logger.Info("collect trads from order but no executed quantity ", order.String()) continue } else { rc.logger.Info("collect trades from order ", order.String()) } // QueryOrderTradesUntilSuccessful will query trades and their feeProcessing = false trades, err := retry.QueryOrderTradesUntilSuccessful(ctx, rc.queryService, types.OrderQuery{ Symbol: order.Symbol, OrderID: strconv.FormatUint(order.OrderID, 10), }) if err != nil { return nil, err } roundTrades = append(roundTrades, trades...) } return roundTrades, nil }