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sync active orders and send metrics of order nums
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,100 @@ | ||
| package common | ||
|
|
||
| import ( | ||
| "context" | ||
| "strconv" | ||
| "time" | ||
|
|
||
| "github.com/c9s/bbgo/pkg/bbgo" | ||
| "github.com/c9s/bbgo/pkg/exchange" | ||
| maxapi "github.com/c9s/bbgo/pkg/exchange/max/maxapi" | ||
| "github.com/c9s/bbgo/pkg/exchange/retry" | ||
| "github.com/c9s/bbgo/pkg/types" | ||
| "github.com/sirupsen/logrus" | ||
| "go.uber.org/multierr" | ||
| ) | ||
|
|
||
| func SyncActiveOrder(ctx context.Context, ex types.Exchange, orderQueryService types.ExchangeOrderQueryService, activeOrderBook *bbgo.ActiveOrderBook, orderID uint64, syncBefore time.Time) (isOrderUpdated bool, err error) { | ||
| isMax := exchange.IsMaxExchange(ex) | ||
|
|
||
| updatedOrder, err := retry.QueryOrderUntilSuccessful(ctx, orderQueryService, types.OrderQuery{ | ||
| Symbol: activeOrderBook.Symbol, | ||
| OrderID: strconv.FormatUint(orderID, 10), | ||
| }) | ||
|
|
||
| if err != nil { | ||
| return isOrderUpdated, err | ||
| } | ||
|
|
||
| // maxapi.OrderStateFinalizing does not mean the fee is calculated | ||
| // we should only consider order state done for MAX | ||
| if isMax && updatedOrder.OriginalStatus != string(maxapi.OrderStateDone) { | ||
| return isOrderUpdated, nil | ||
| } | ||
|
|
||
| // should only trigger order update when the updated time is old enough | ||
| isOrderUpdated = updatedOrder.UpdateTime.Before(syncBefore) | ||
| if isOrderUpdated { | ||
| activeOrderBook.Update(*updatedOrder) | ||
| } | ||
|
|
||
| return isOrderUpdated, nil | ||
| } | ||
|
|
||
| type SyncActiveOrdersOpts struct { | ||
| Logger *logrus.Entry | ||
| Exchange types.Exchange | ||
| OrderQueryService types.ExchangeOrderQueryService | ||
| ActiveOrderBook *bbgo.ActiveOrderBook | ||
| OpenOrders []types.Order | ||
| } | ||
|
|
||
| func SyncActiveOrders(ctx context.Context, opts SyncActiveOrdersOpts) error { | ||
| opts.Logger.Infof("[ActiveOrderRecover] syncActiveOrders") | ||
|
|
||
| // only sync orders which is updated over 3 min, because we may receive from websocket and handle it twice | ||
| syncBefore := time.Now().Add(-3 * time.Minute) | ||
|
|
||
| activeOrders := opts.ActiveOrderBook.Orders() | ||
|
|
||
| openOrdersMap := make(map[uint64]types.Order) | ||
| for _, openOrder := range opts.OpenOrders { | ||
| openOrdersMap[openOrder.OrderID] = openOrder | ||
| } | ||
|
|
||
| var errs error | ||
| // update active orders not in open orders | ||
| for _, activeOrder := range activeOrders { | ||
| if _, exist := openOrdersMap[activeOrder.OrderID]; exist { | ||
| // no need to sync active order already in active orderbook, because we only need to know if it filled or not. | ||
| delete(openOrdersMap, activeOrder.OrderID) | ||
| } else { | ||
| opts.Logger.Infof("[ActiveOrderRecover] found active order #%d is not in the open orders, updating...", activeOrder.OrderID) | ||
|
|
||
| isActiveOrderBookUpdated, err := SyncActiveOrder(ctx, opts.Exchange, opts.OrderQueryService, opts.ActiveOrderBook, activeOrder.OrderID, syncBefore) | ||
| if err != nil { | ||
| opts.Logger.WithError(err).Errorf("[ActiveOrderRecover] unable to query order #%d", activeOrder.OrderID) | ||
| errs = multierr.Append(errs, err) | ||
| continue | ||
| } | ||
|
|
||
| if !isActiveOrderBookUpdated { | ||
| opts.Logger.Infof("[ActiveOrderRecover] active order #%d is updated in 3 min, skip updating...", activeOrder.OrderID) | ||
| } | ||
| } | ||
| } | ||
|
|
||
| // update open orders not in active orders | ||
| for _, openOrder := range openOrdersMap { | ||
| opts.Logger.Infof("found open order #%d is not in active orderbook, updating...", openOrder.OrderID) | ||
| // we don't add open orders into active orderbook if updated in 3 min, because we may receive message from websocket and add it twice. | ||
| if openOrder.UpdateTime.After(syncBefore) { | ||
| opts.Logger.Infof("open order #%d is updated in 3 min, skip updating...", openOrder.OrderID) | ||
| continue | ||
| } | ||
|
|
||
| opts.ActiveOrderBook.Add(openOrder) | ||
| } | ||
|
|
||
| return errs | ||
| } |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,57 @@ | ||
| package dca2 | ||
|
|
||
| import ( | ||
| "context" | ||
| "time" | ||
|
|
||
| "github.com/c9s/bbgo/pkg/exchange/retry" | ||
| "github.com/c9s/bbgo/pkg/strategy/common" | ||
| "github.com/c9s/bbgo/pkg/util" | ||
| ) | ||
|
|
||
| func (s *Strategy) recoverPeriodically(ctx context.Context) { | ||
| s.logger.Info("[DCA] monitor and recover periodically") | ||
| interval := util.MillisecondsJitter(10*time.Minute, 5*60*1000) | ||
| ticker := time.NewTicker(interval) | ||
| defer ticker.Stop() | ||
|
|
||
| for { | ||
| select { | ||
| case <-ctx.Done(): | ||
| return | ||
| case <-ticker.C: | ||
| if err := s.recoverActiveOrders(ctx); err != nil { | ||
| s.logger.WithError(err).Warn(err, "failed to recover active orders") | ||
| } | ||
| } | ||
| } | ||
| } | ||
|
|
||
| func (s *Strategy) recoverActiveOrders(ctx context.Context) error { | ||
| openOrders, err := retry.QueryOpenOrdersUntilSuccessfulLite(ctx, s.ExchangeSession.Exchange, s.Symbol) | ||
| if err != nil { | ||
| s.logger.WithError(err).Warn("failed to query open orders") | ||
| return err | ||
| } | ||
|
|
||
| activeOrders := s.OrderExecutor.ActiveMakerOrders().Orders() | ||
|
|
||
| // update num of open orders metrics | ||
| if metricsNumOfOpenOrders != nil { | ||
| metricsNumOfOpenOrders.With(baseLabels).Set(float64(len(openOrders))) | ||
| } | ||
|
|
||
| // update num of active orders metrics | ||
| if metricsNumOfActiveOrders != nil { | ||
| metricsNumOfActiveOrders.With(baseLabels).Set(float64(len(activeOrders))) | ||
| } | ||
|
|
||
| opts := common.SyncActiveOrdersOpts{ | ||
| Logger: s.logger, | ||
| Exchange: s.ExchangeSession.Exchange, | ||
| ActiveOrderBook: s.OrderExecutor.ActiveMakerOrders(), | ||
| OpenOrders: openOrders, | ||
| } | ||
|
|
||
| return common.SyncActiveOrders(ctx, opts) | ||
| } |
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