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319 lines
10 KiB
Go
319 lines
10 KiB
Go
package grid2
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import (
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"context"
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"fmt"
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"strconv"
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"time"
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"github.com/pkg/errors"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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func (s *Strategy) recoverByScanningTrades(ctx context.Context, session *bbgo.ExchangeSession) error {
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defer func() {
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s.updateGridNumOfOrdersMetricsWithLock()
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s.updateOpenOrderPricesMetrics(s.orderExecutor.ActiveMakerOrders().Orders())
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}()
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historyService, implemented := session.Exchange.(types.ExchangeTradeHistoryService)
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// if the exchange doesn't support ExchangeTradeHistoryService, do not run recover
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if !implemented {
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s.logger.Warn("ExchangeTradeHistoryService is not implemented, can not recover grid")
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return nil
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}
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openOrders, err := session.Exchange.QueryOpenOrders(ctx, s.Symbol)
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if err != nil {
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return errors.Wrapf(err, "unable to query open orders when recovering")
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}
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s.logger.Infof("found %d open orders left on the %s order book", len(openOrders), s.Symbol)
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if s.GridProfitStats.InitialOrderID != 0 {
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s.logger.Info("InitialOrderID is already there, need to recover")
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} else if len(openOrders) != 0 {
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s.logger.Info("even though InitialOrderID is 0, there are open orders so need to recover")
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} else {
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s.logger.Info("InitialOrderID is 0 and there is no open orders, query trades to check it")
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// initial order id may be new strategy or lost data in redis, so we need to check trades + open orders
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// if there are open orders or trades, we need to recover
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trades, err := historyService.QueryTrades(ctx, s.Symbol, &types.TradeQueryOptions{
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// from 1, because some API will ignore 0 last trade id
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LastTradeID: 1,
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// if there is any trades, we need to recover.
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Limit: 1,
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})
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if err != nil {
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return errors.Wrapf(err, "unable to query trades when recovering")
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}
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if len(trades) == 0 {
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s.logger.Info("0 trades found, it's a new strategy so no need to recover")
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return nil
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}
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}
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s.logger.Infof("start recovering")
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if err := s.recoverWithOpenOrdersByScanningTrades(ctx, historyService, openOrders); err != nil {
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return errors.Wrap(err, "grid recover error")
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}
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// emit ready after recover
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s.EmitGridReady()
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// debug and send metrics
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// wait for the reverse order to be placed
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time.Sleep(2 * time.Second)
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debugGrid(s.logger, s.grid, s.orderExecutor.ActiveMakerOrders())
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defer bbgo.Sync(ctx, s)
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if s.EnableProfitFixer {
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until := time.Now()
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since := until.Add(-7 * 24 * time.Hour)
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if s.FixProfitSince != nil {
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since = s.FixProfitSince.Time()
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}
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fixer := newProfitFixer(s.grid, s.Symbol, historyService)
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// set initial order ID = 0 instead of s.GridProfitStats.InitialOrderID because the order ID could be incorrect
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err := fixer.Fix(ctx, since, until, 0, s.GridProfitStats)
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if err != nil {
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return err
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}
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s.logger.Infof("fixed profitStats: %#v", s.GridProfitStats)
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}
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return nil
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}
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func (s *Strategy) recoverWithOpenOrdersByScanningTrades(ctx context.Context, historyService types.ExchangeTradeHistoryService, openOrdersOnGrid []types.Order) error {
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if s.orderQueryService == nil {
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return fmt.Errorf("orderQueryService is nil, it can't get orders by trade")
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}
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// set grid
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grid := s.newGrid()
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s.setGrid(grid)
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expectedNumOfOrders := s.GridNum - 1
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numGridOpenOrders := int64(len(openOrdersOnGrid))
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s.debugLog("open orders nums: %d, expected nums: %d", numGridOpenOrders, expectedNumOfOrders)
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if expectedNumOfOrders == numGridOpenOrders {
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// no need to recover, only need to add open orders back to active order book
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s.addOrdersToActiveOrderBook(openOrdersOnGrid)
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return nil
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} else if expectedNumOfOrders < numGridOpenOrders {
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return fmt.Errorf("amount of grid's open orders should not > amount of expected grid's orders")
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}
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// 1. build pin-order map
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pinOrdersOpen, err := s.buildPinOrderMap(grid.Pins, openOrdersOnGrid)
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if err != nil {
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return errors.Wrapf(err, "failed to build pin order map with open orders")
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}
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// 2. build the filled pin-order map by querying trades
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pinOrdersFilled, err := s.buildFilledPinOrderMapFromTrades(ctx, historyService, pinOrdersOpen)
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if err != nil {
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return errors.Wrapf(err, "failed to build filled pin order map")
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}
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// 3. get the filled orders from pin-order map
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filledOrders := pinOrdersFilled.AscendingOrders()
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numFilledOrders := len(filledOrders)
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if numFilledOrders == int(expectedNumOfOrders-numGridOpenOrders) {
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// nums of filled order is the same as Size - 1 - num(open orders)
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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)
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} else if numFilledOrders == int(expectedNumOfOrders-numGridOpenOrders+1) {
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filledOrders = filledOrders[1:]
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} else {
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return fmt.Errorf("not reasonable num of filled orders")
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}
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// 4. verify the grid
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if err := s.verifyFilledGrid(s.grid.Pins, pinOrdersOpen, filledOrders); err != nil {
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return errors.Wrapf(err, "verify grid with error")
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}
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// 5. add open orders to active order book.
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s.addOrdersToActiveOrderBook(openOrdersOnGrid)
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// 6. emit the filled orders
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s.debugOrders("emit filled orders", filledOrders)
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activeOrderBook := s.orderExecutor.ActiveMakerOrders()
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for _, filledOrder := range filledOrders {
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activeOrderBook.EmitFilled(filledOrder)
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}
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return nil
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}
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func (s *Strategy) verifyFilledGrid(pins []Pin, pinOrders PinOrderMap, filledOrders []types.Order) error {
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s.debugLog("verifying filled grid - pins: %+v", pins)
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s.debugLog("verifying filled grid - open pin orders:\n%s", pinOrders.String())
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s.debugOrders("verifying filled grid - filled orders", filledOrders)
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if err := addOrdersIntoPinOrderMap(pinOrders, filledOrders); err != nil {
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return errors.Wrapf(err, "verifying filled grid error when add orders into pin order map")
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}
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s.debugLog("verifying filled grid - filled pin orders:\n%+v", pinOrders.String())
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expectedSide := types.SideTypeBuy
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for _, pin := range pins {
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order, exist := pinOrders[fixedpoint.Value(pin)]
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if !exist {
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return fmt.Errorf("there is no order at price (%+v)", pin)
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}
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// if there is order with OrderID = 0, means we hit the empty pin
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// there must be only one empty pin in the grid
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// all orders below this pin need to be bid orders, above this pin need to be ask orders
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if order.OrderID == 0 {
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if expectedSide == types.SideTypeBuy {
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expectedSide = types.SideTypeSell
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continue
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}
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return fmt.Errorf("found more than one empty pins")
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}
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if order.Side != expectedSide {
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return fmt.Errorf("the side of order (%s) is wrong, expected: %s", order.Side, expectedSide)
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}
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}
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if expectedSide != types.SideTypeSell {
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return fmt.Errorf("there is no empty pin in the grid")
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}
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return nil
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}
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// buildPinOrderMap build the pin-order map with grid and open orders.
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// The keys of this map contains all required pins of this grid.
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// If the Order of the pin is empty types.Order (OrderID == 0), it means there is no open orders at this pin.
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func (s *Strategy) buildPinOrderMap(pins []Pin, openOrders []types.Order) (PinOrderMap, error) {
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pinOrderMap := make(PinOrderMap)
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for _, pin := range pins {
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pinOrderMap[fixedpoint.Value(pin)] = types.Order{}
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}
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for _, openOrder := range openOrders {
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pin := openOrder.Price
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v, exist := pinOrderMap[pin]
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if !exist {
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return nil, fmt.Errorf("the price of the order (id: %d) is not in pins", openOrder.OrderID)
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}
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if v.OrderID != 0 {
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return nil, fmt.Errorf("there are duplicated open orders at the same pin")
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}
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pinOrderMap[pin] = openOrder
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}
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return pinOrderMap, nil
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}
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// buildFilledPinOrderMapFromTrades will query the trades from last 24 hour and use them to build a pin order map
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// It will skip the orders on pins at which open orders are already
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func (s *Strategy) buildFilledPinOrderMapFromTrades(ctx context.Context, historyService types.ExchangeTradeHistoryService, pinOrdersOpen PinOrderMap) (PinOrderMap, error) {
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pinOrdersFilled := make(PinOrderMap)
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// existedOrders is used to avoid re-query the same orders
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existedOrders := pinOrdersOpen.SyncOrderMap()
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var limit int64 = 1000
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// get the filled orders when bbgo is down in order from trades
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// [NOTE] only retrieve from last 24 hours !!!
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var fromTradeID uint64 = 0
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for {
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trades, err := historyService.QueryTrades(ctx, s.Symbol, &types.TradeQueryOptions{
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LastTradeID: fromTradeID,
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Limit: limit,
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})
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if err != nil {
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return nil, errors.Wrapf(err, "failed to query trades to recover the grid with open orders")
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}
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s.debugLog("QueryTrades return %d trades", len(trades))
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for _, trade := range trades {
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s.debugLog(trade.String())
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if existedOrders.Exists(trade.OrderID) {
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// already queries, skip
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continue
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}
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order, err := s.orderQueryService.QueryOrder(ctx, types.OrderQuery{
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OrderID: strconv.FormatUint(trade.OrderID, 10),
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})
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if err != nil {
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return nil, errors.Wrapf(err, "failed to query order by trade")
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}
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s.debugLog("%s (group_id: %d)", order.String(), order.GroupID)
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// avoid query this order again
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existedOrders.Add(*order)
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// add 1 to avoid duplicate
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fromTradeID = trade.ID + 1
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// checked the trade's order is filled order
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pin := order.Price
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v, exist := pinOrdersOpen[pin]
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if !exist {
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return nil, fmt.Errorf("the price of the order with the same GroupID is not in pins")
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}
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// skip open orders on grid
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if v.OrderID != 0 {
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continue
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}
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// check the order's creation time
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if pinOrder, exist := pinOrdersFilled[pin]; exist && pinOrder.CreationTime.Time().After(order.CreationTime.Time()) {
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// do not replace the pin order if the order's creation time is not after pin order's creation time
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// this situation should not happen actually, because the trades is already sorted.
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s.logger.Infof("pinOrder's creation time (%s) should not be after order's creation time (%s)", pinOrder.CreationTime, order.CreationTime)
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continue
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}
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pinOrdersFilled[pin] = *order
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}
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// stop condition
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if int64(len(trades)) < limit {
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break
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}
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}
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return pinOrdersFilled, nil
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}
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func addOrdersIntoPinOrderMap(pinOrders PinOrderMap, orders []types.Order) error {
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for _, order := range orders {
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price := order.Price
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if o, exist := pinOrders[price]; !exist {
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return fmt.Errorf("the price (%+v) is not in pins", price)
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} else if o.OrderID != 0 {
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return fmt.Errorf("there is already an order at this price (%+v)", price)
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} else {
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pinOrders[price] = order
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}
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}
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return nil
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}
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