bbgo_origin/pkg/bbgo/active_book.go

150 lines
3.4 KiB
Go

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