bbgo_origin/pkg/strategy/grid2/recover.go

322 lines
10 KiB
Go

package grid2
import (
"context"
"fmt"
"strconv"
"time"
"github.com/pkg/errors"
"github.com/c9s/bbgo/pkg/bbgo"
"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()
s.updateOpenOrderPricesMetrics(s.orderExecutor.ActiveMakerOrders().Orders())
}()
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")
if err := s.recoverWithOpenOrdersByScanningTrades(ctx, historyService, openOrders); err != nil {
return errors.Wrap(err, "grid recover error")
}
// 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) recoverWithOpenOrdersByScanningTrades(ctx context.Context, historyService types.ExchangeTradeHistoryService, openOrdersOnGrid []types.Order) error {
if s.orderQueryService == nil {
return fmt.Errorf("orderQueryService is nil, it can't get orders by trade")
}
// 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
s.addOrdersToActiveOrderBook(openOrdersOnGrid)
return nil
} else if expectedNumOfOrders < numGridOpenOrders {
return fmt.Errorf("amount of grid's open orders should not > amount of expected grid's orders")
}
// 1. build pin-order map
pinOrdersOpen, err := s.buildPinOrderMap(grid.Pins, openOrdersOnGrid)
if err != nil {
return errors.Wrapf(err, "failed to build pin order map with open orders")
}
// 2. build the filled pin-order map by querying trades
pinOrdersFilled, err := s.buildFilledPinOrderMapFromTrades(ctx, historyService, pinOrdersOpen)
if err != nil {
return errors.Wrapf(err, "failed to build filled pin order map")
}
// 3. get the filled orders from pin-order map
filledOrders := pinOrdersFilled.AscendingOrders()
numFilledOrders := len(filledOrders)
if numFilledOrders == int(expectedNumOfOrders-numGridOpenOrders) {
// nums of filled order is the same as Size - 1 - num(open orders)
s.logger.Infof("nums of filled order is the same as Size - 1 - len(open orders) : %d = %d - 1 - %d", numFilledOrders, s.grid.Size, numGridOpenOrders)
} else if numFilledOrders == int(expectedNumOfOrders-numGridOpenOrders+1) {
filledOrders = filledOrders[1:]
} else {
return fmt.Errorf("not reasonable num of filled orders")
}
// 4. verify the grid
if err := s.verifyFilledGrid(s.grid.Pins, pinOrdersOpen, filledOrders); err != nil {
return errors.Wrapf(err, "verify grid with error")
}
// 5. add open orders to active order book.
s.addOrdersToActiveOrderBook(openOrdersOnGrid)
// 6. emit the filled orders
s.debugOrders("emit filled orders", filledOrders)
activeOrderBook := s.orderExecutor.ActiveMakerOrders()
for _, filledOrder := range filledOrders {
activeOrderBook.EmitFilled(filledOrder)
}
return nil
}
func (s *Strategy) verifyFilledGrid(pins []Pin, pinOrders PinOrderMap, filledOrders []types.Order) error {
s.debugLog("verifying filled grid - pins: %+v", pins)
s.debugLog("verifying filled grid - open pin orders:\n%s", pinOrders.String())
s.debugOrders("verifying filled grid - filled orders", filledOrders)
if err := addOrdersIntoPinOrderMap(pinOrders, filledOrders); err != nil {
return errors.Wrapf(err, "verifying filled grid error when add orders into pin order map")
}
s.debugLog("verifying filled grid - filled pin orders:\n%+v", pinOrders.String())
expectedSide := types.SideTypeBuy
for _, pin := range pins {
order, exist := pinOrders[fixedpoint.Value(pin)]
if !exist {
return fmt.Errorf("there is no order at price (%+v)", pin)
}
// if there is order with OrderID = 0, means we hit the empty pin
// there must be only one empty pin in the grid
// all orders below this pin need to be bid orders, above this pin need to be ask orders
if order.OrderID == 0 {
if expectedSide == types.SideTypeBuy {
expectedSide = types.SideTypeSell
continue
}
return fmt.Errorf("found more than one empty pins")
}
if order.Side != expectedSide {
return fmt.Errorf("the side of order (%s) is wrong, expected: %s", order.Side, expectedSide)
}
}
if expectedSide != types.SideTypeSell {
return fmt.Errorf("there is no empty pin in the grid")
}
return nil
}
// buildPinOrderMap 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) buildPinOrderMap(pins []Pin, openOrders []types.Order) (PinOrderMap, error) {
pinOrderMap := make(PinOrderMap)
for _, pin := range pins {
pinOrderMap[fixedpoint.Value(pin)] = types.Order{}
}
for _, openOrder := range openOrders {
pin := openOrder.Price
v, exist := pinOrderMap[pin]
if !exist {
return nil, fmt.Errorf("the price of the order (id: %d) is not in pins", openOrder.OrderID)
}
if v.OrderID != 0 {
return nil, fmt.Errorf("there are duplicated open orders at the same pin")
}
pinOrderMap[pin] = openOrder
}
return pinOrderMap, nil
}
// buildFilledPinOrderMapFromTrades 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) buildFilledPinOrderMapFromTrades(ctx context.Context, historyService types.ExchangeTradeHistoryService, pinOrdersOpen PinOrderMap) (PinOrderMap, error) {
pinOrdersFilled := make(PinOrderMap)
// existedOrders is used to avoid re-query the same orders
existedOrders := pinOrdersOpen.SyncOrderMap()
var limit int64 = 1000
// get the filled orders when bbgo is down in order from trades
// [NOTE] only retrieve from last 24 hours !!!
var fromTradeID uint64 = 0
for {
trades, err := historyService.QueryTrades(ctx, s.Symbol, &types.TradeQueryOptions{
LastTradeID: fromTradeID,
Limit: limit,
})
if err != nil {
return nil, errors.Wrapf(err, "failed to query trades to recover the grid with open orders")
}
s.debugLog("QueryTrades return %d trades", len(trades))
for _, trade := range trades {
s.debugLog(trade.String())
if existedOrders.Exists(trade.OrderID) {
// already queries, skip
continue
}
order, err := s.orderQueryService.QueryOrder(ctx, types.OrderQuery{
OrderID: strconv.FormatUint(trade.OrderID, 10),
})
if err != nil {
return nil, errors.Wrapf(err, "failed to query order by trade")
}
s.debugLog("%s (group_id: %d)", order.String(), order.GroupID)
// avoid query this order again
existedOrders.Add(*order)
// add 1 to avoid duplicate
fromTradeID = trade.ID + 1
// checked the trade's order is filled order
pin := order.Price
v, exist := pinOrdersOpen[pin]
if !exist {
return nil, fmt.Errorf("the price of the order with the same GroupID is not in pins")
}
// skip open orders on grid
if v.OrderID != 0 {
continue
}
// check the order's creation time
if pinOrder, exist := pinOrdersFilled[pin]; exist && pinOrder.CreationTime.Time().After(order.CreationTime.Time()) {
// do not replace the pin order if the order's creation time is not after pin order's creation time
// this situation should not happen actually, because the trades is already sorted.
s.logger.Infof("pinOrder's creation time (%s) should not be after order's creation time (%s)", pinOrder.CreationTime, order.CreationTime)
continue
}
pinOrdersFilled[pin] = *order
}
// stop condition
if int64(len(trades)) < limit {
break
}
}
return pinOrdersFilled, nil
}
func addOrdersIntoPinOrderMap(pinOrders PinOrderMap, orders []types.Order) error {
for _, order := range orders {
price := order.Price
if o, exist := pinOrders[price]; !exist {
return fmt.Errorf("the price (%+v) is not in pins", price)
} else if o.OrderID != 0 {
return fmt.Errorf("there is already an order at this price (%+v)", price)
} else {
pinOrders[price] = order
}
}
return nil
}