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136 lines
3.0 KiB
Go
136 lines
3.0 KiB
Go
package bbgo
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import (
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log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/types"
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)
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// LocalActiveOrderBook manages the local active order books.
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//go:generate callbackgen -type LocalActiveOrderBook
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type LocalActiveOrderBook struct {
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Bids *types.SyncOrderMap
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Asks *types.SyncOrderMap
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filledCallbacks []func(o types.Order)
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}
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func NewLocalActiveOrderBook() *LocalActiveOrderBook {
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return &LocalActiveOrderBook{
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Bids: types.NewSyncOrderMap(),
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Asks: types.NewSyncOrderMap(),
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}
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}
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func (b *LocalActiveOrderBook) BindStream(stream types.Stream) {
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stream.OnOrderUpdate(b.orderUpdateHandler)
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}
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func (b *LocalActiveOrderBook) orderUpdateHandler(order types.Order) {
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log.Debugf("[LocalActiveOrderBook] received order update: %+v", order)
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switch order.Status {
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case types.OrderStatusFilled:
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// make sure we have the order and we remove it
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if b.Remove(order) {
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b.EmitFilled(order)
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}
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case types.OrderStatusPartiallyFilled, types.OrderStatusNew:
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b.Update(order)
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case types.OrderStatusCanceled, types.OrderStatusRejected:
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log.Debugf("[LocalActiveOrderBook] order status %s, removing %d...", order.Status, order.OrderID)
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b.Remove(order)
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}
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}
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func (b *LocalActiveOrderBook) Print() {
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for _, o := range b.Bids.Orders() {
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log.Infof("bid order: %d -> %s", o.OrderID, o.Status)
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}
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for _, o := range b.Asks.Orders() {
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log.Infof("ask order: %d -> %s", o.OrderID, o.Status)
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}
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}
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func (b *LocalActiveOrderBook) Update(orders ...types.Order) {
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for _, order := range orders {
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switch order.Side {
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case types.SideTypeBuy:
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b.Bids.Update(order)
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case types.SideTypeSell:
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b.Asks.Update(order)
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}
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}
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}
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func (b *LocalActiveOrderBook) Add(orders ...types.Order) {
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for _, order := range orders {
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switch order.Side {
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case types.SideTypeBuy:
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b.Bids.Add(order)
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case types.SideTypeSell:
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b.Asks.Add(order)
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}
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}
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}
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func (b *LocalActiveOrderBook) NumOfBids() int {
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return b.Bids.Len()
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}
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func (b *LocalActiveOrderBook) NumOfAsks() int {
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return b.Asks.Len()
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}
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func (b *LocalActiveOrderBook) Remove(order types.Order) bool {
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switch order.Side {
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case types.SideTypeBuy:
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return b.Bids.Remove(order.OrderID)
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case types.SideTypeSell:
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return b.Asks.Remove(order.OrderID)
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}
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return false
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}
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// WriteOff writes off the filled order on the opposite side.
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// This method does not write off order by order amount or order quantity.
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func (b *LocalActiveOrderBook) WriteOff(order types.Order) bool {
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if order.Status != types.OrderStatusFilled {
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return false
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}
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switch order.Side {
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case types.SideTypeSell:
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// find the filled bid to remove
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if filledOrder, ok := b.Bids.AnyFilled(); ok {
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b.Bids.Remove(filledOrder.OrderID)
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b.Asks.Remove(order.OrderID)
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return true
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}
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case types.SideTypeBuy:
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// find the filled ask order to remove
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if filledOrder, ok := b.Asks.AnyFilled(); ok {
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b.Asks.Remove(filledOrder.OrderID)
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b.Bids.Remove(order.OrderID)
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return true
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}
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}
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return false
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}
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func (b *LocalActiveOrderBook) Orders() types.OrderSlice {
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return append(b.Asks.Orders(), b.Bids.Orders()...)
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}
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