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FEATURE: [xalign] retry align order once if failed #2398

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FEATURE: [xalign] retry align order once if failed #2398

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34 changes: 29 additions & 5 deletions pkg/strategy/xalign/strategy.go
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Original file line number Diff line number Diff line change
Expand Up @@ -222,7 +222,7 @@ func (s *Strategy) Validate() error {
}

func (s *Strategy) selectSessionForCurrency(
ctx context.Context, sessions map[string]*bbgo.ExchangeSession, currency string, changeQuantity fixedpoint.Value,
ctx context.Context, sessions map[string]*bbgo.ExchangeSession, excludeSession, currency string, changeQuantity fixedpoint.Value,
) (*bbgo.ExchangeSession, *types.SubmitOrder) {
var taker = s.UseTakerOrder
var side = s.selectAdjustmentOrderSide(changeQuantity)
Expand All @@ -234,6 +234,9 @@ func (s *Strategy) selectSessionForCurrency(
}

for _, sessionName := range s.PreferredSessions {
if sessionName == excludeSession {
continue
}
session, ok := sessions[sessionName]
if !ok {
log.Errorf("session %s not found, please check the preferredSessions settings", sessionName)
Expand Down Expand Up @@ -745,7 +748,8 @@ func (s *Strategy) align(ctx context.Context, sessions bbgo.ExchangeSessionMap)
)
}

selectedSession, submitOrder := s.selectSessionForCurrency(ctx, sessions, currency, q)
selectedSession, submitOrder := s.selectSessionForCurrency(ctx, sessions, "", currency, q)
onSubmittedOrderCallback := s.asyncOrderCallbackWithRetry(ctx, sessions, currency, q)
if selectedSession != nil && submitOrder != nil {
if market, hasMarket := selectedSession.Market(submitOrder.Symbol); hasMarket && submitOrder.Price.Sign() > 0 {
if market.IsDustQuantity(q.Abs(), submitOrder.Price) {
Expand All @@ -770,7 +774,7 @@ func (s *Strategy) align(ctx context.Context, sessions bbgo.ExchangeSessionMap)
// 2. interactive order is not enabled
if isInstantAmount || !s.isInteractiveOrderEnabled {
createdOrder, err := selectedSession.Exchange.SubmitOrder(ctx, *submitOrder)
s.onSubmittedOrderCallback(selectedSession, submitOrder, createdOrder, err)
onSubmittedOrderCallback(selectedSession, submitOrder, createdOrder, err)
// continue to the next currency
continue
}
Expand Down Expand Up @@ -807,10 +811,10 @@ func (s *Strategy) align(ctx context.Context, sessions bbgo.ExchangeSessionMap)
s.slackEvtID,
)
itOrder.SetHelpMessage(s.interactiveOrderHelpMessage(submitOrder))
itOrder.AsyncSubmit(ctx, selectedSession, s.onSubmittedOrderCallback)
itOrder.AsyncSubmit(ctx, selectedSession, onSubmittedOrderCallback)
} else {
createdOrder, err := selectedSession.Exchange.SubmitOrder(ctx, *submitOrder)
s.onSubmittedOrderCallback(selectedSession, submitOrder, createdOrder, err)
onSubmittedOrderCallback(selectedSession, submitOrder, createdOrder, err)
}
}
}
Expand All @@ -831,6 +835,26 @@ func (s *Strategy) onSubmittedOrderCallback(session *bbgo.ExchangeSession, submi
}
}

func (s *Strategy) asyncOrderCallbackWithRetry(ctx context.Context, sessions bbgo.ExchangeSessionMap, currency string, changeQuantity fixedpoint.Value) OnSubmittedOrderCallback {
return func(session *bbgo.ExchangeSession, submitOrder *types.SubmitOrder, createdOrder *types.Order, err error) {
if err != nil {
// select another session and retry once
log.WithError(err).Infof("select new session to retry for %s: %s %s", session.Name, changeQuantity, currency)
// keep the original session and order for later
oriSession := session
oriOrder := submitOrder
session, submitOrder = s.selectSessionForCurrency(ctx, sessions, session.Name, currency, changeQuantity)
if session != nil && submitOrder != nil {
createdOrder, err = session.Exchange.SubmitOrder(ctx, *submitOrder)
} else {
session = oriSession
submitOrder = oriOrder
}
}
s.onSubmittedOrderCallback(session, submitOrder, createdOrder, err)
}
}

func (s *Strategy) interactiveOrderHelpMessage(submitOrder *types.SubmitOrder) string {
quoteCurrency := submitOrder.Market.QuoteCurrency
return fmt.Sprintf(`
Expand Down
6 changes: 3 additions & 3 deletions pkg/strategy/xalign/strategy_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -154,7 +154,7 @@ func TestStrategy(t *testing.T) {
sessions := map[string]*bbgo.ExchangeSession{}
sessions["max"] = session

_, submitOrder := s.selectSessionForCurrency(ctx, sessions, "TWD", Number(70_000))
_, submitOrder := s.selectSessionForCurrency(ctx, sessions, "", "TWD", Number(70_000))
assert.NotNil(t, submitOrder)
assert.Equal(t, types.SideTypeSell, submitOrder.Side)
assert.Equal(t, Number(32).String(), submitOrder.Price.String())
Expand All @@ -181,7 +181,7 @@ func TestStrategy(t *testing.T) {
sessions := map[string]*bbgo.ExchangeSession{}
sessions["max"] = session

_, submitOrder := s.selectSessionForCurrency(ctx, sessions, "TWD", Number(-10_000))
_, submitOrder := s.selectSessionForCurrency(ctx, sessions, "", "TWD", Number(-10_000))
assert.NotNil(t, submitOrder)
assert.Equal(t, types.SideTypeBuy, submitOrder.Side)
assert.Equal(t, Number(33).String(), submitOrder.Price.String())
Expand Down Expand Up @@ -218,7 +218,7 @@ func TestStrategy(t *testing.T) {
sessions := map[string]*bbgo.ExchangeSession{}
sessions["max"] = session

_, submitOrder := s.selectSessionForCurrency(ctx, sessions, "BTC", Number(0.045))
_, submitOrder := s.selectSessionForCurrency(ctx, sessions, "", "BTC", Number(0.045))
assert.NotNil(t, submitOrder)
assert.Equal(t, types.SideTypeBuy, submitOrder.Side)
assert.Equal(t, "36000", submitOrder.Price.String())
Expand Down
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