mirror of
https://github.com/d0zingcat/gocryptotrader.git
synced 2026-05-14 07:26:47 +00:00
* implements futures functions and GRPC functions on new branch * lint and test fixes * Fix uneven split pnl. Adds collateral weight test. docs. New clear func * Test protection if someone has zero collateral * Uses string instead of double for accuracy * Fixes old code panic * context, match, docs * Addresses Shazniterinos, var names, expanded tests * Returns subaccount name, provides USD values when offlinecalc * Fixes oopsie * Fixes cool bug which allowed made up subaccount results * Subaccount override on FTX, subaccount results for collateral * Strenghten collateral account info checks. Improve FTX test * English is my first language * Fixes oopsies * Fixes for unrealised PNL & collateral rendering * Fixes lint and tests * Shaznit fixes * Secret Shaznit * Updates account information across wrappers to include more fields * Updates online collateral calculations. Updates RPC data * Accurately calculates collateral offline and online minus testing * Tests and lint chocolate * Simplifies accountinfo results * Fixes shaznits * Adds new func * Increases collateral accuracy again again again x 200 * Increases accuracy of collateral rendering * Fixes minor merge/test issues * Linterino * Fixes ws test. Improves collateral calculations and rendering * Make it prettier * Removes the lock I put on 👀 * Adds `additional_collateral_used` field, renders orig currency * Fixes unrelated test * Fix test * Correctly calculate spot margin borrow collateral * Address fun lint surprise See https://github.com/golangci/golangci-lint/issues/741#issuecomment-1017014331 * Strange lint fixing x2 * Continued lint journey * Nolint the nolint to not lint the lint * Adds two new fields to response * More linting issues arising * fIX3s_c4s|NG * Fixes command flags' incorrect numbering * FairMarket = Won
1140 lines
32 KiB
Go
1140 lines
32 KiB
Go
package engine
|
|
|
|
import (
|
|
"context"
|
|
"errors"
|
|
"fmt"
|
|
"strings"
|
|
"sync"
|
|
"sync/atomic"
|
|
"time"
|
|
|
|
"github.com/gofrs/uuid"
|
|
"github.com/shopspring/decimal"
|
|
"github.com/thrasher-corp/gocryptotrader/common"
|
|
"github.com/thrasher-corp/gocryptotrader/communications/base"
|
|
"github.com/thrasher-corp/gocryptotrader/currency"
|
|
exchange "github.com/thrasher-corp/gocryptotrader/exchanges"
|
|
"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
|
|
"github.com/thrasher-corp/gocryptotrader/exchanges/order"
|
|
"github.com/thrasher-corp/gocryptotrader/log"
|
|
)
|
|
|
|
// SetupOrderManager will boot up the OrderManager
|
|
func SetupOrderManager(exchangeManager iExchangeManager, communicationsManager iCommsManager, wg *sync.WaitGroup, verbose bool) (*OrderManager, error) {
|
|
if exchangeManager == nil {
|
|
return nil, errNilExchangeManager
|
|
}
|
|
if communicationsManager == nil {
|
|
return nil, errNilCommunicationsManager
|
|
}
|
|
if wg == nil {
|
|
return nil, errNilWaitGroup
|
|
}
|
|
|
|
return &OrderManager{
|
|
shutdown: make(chan struct{}),
|
|
orderStore: store{
|
|
Orders: make(map[string][]*order.Detail),
|
|
exchangeManager: exchangeManager,
|
|
commsManager: communicationsManager,
|
|
wg: wg,
|
|
futuresPositionController: order.SetupPositionController(),
|
|
},
|
|
verbose: verbose,
|
|
}, nil
|
|
}
|
|
|
|
// IsRunning safely checks whether the subsystem is running
|
|
func (m *OrderManager) IsRunning() bool {
|
|
if m == nil {
|
|
return false
|
|
}
|
|
return atomic.LoadInt32(&m.started) == 1
|
|
}
|
|
|
|
// Start runs the subsystem
|
|
func (m *OrderManager) Start() error {
|
|
if m == nil {
|
|
return fmt.Errorf("order manager %w", ErrNilSubsystem)
|
|
}
|
|
if !atomic.CompareAndSwapInt32(&m.started, 0, 1) {
|
|
return fmt.Errorf("order manager %w", ErrSubSystemAlreadyStarted)
|
|
}
|
|
log.Debugln(log.OrderMgr, "Order manager starting...")
|
|
m.shutdown = make(chan struct{})
|
|
go m.run()
|
|
return nil
|
|
}
|
|
|
|
// Stop attempts to shutdown the subsystem
|
|
func (m *OrderManager) Stop() error {
|
|
if m == nil {
|
|
return fmt.Errorf("order manager %w", ErrNilSubsystem)
|
|
}
|
|
if atomic.LoadInt32(&m.started) == 0 {
|
|
return fmt.Errorf("order manager %w", ErrSubSystemNotStarted)
|
|
}
|
|
|
|
defer func() {
|
|
atomic.CompareAndSwapInt32(&m.started, 1, 0)
|
|
}()
|
|
|
|
log.Debugln(log.OrderMgr, "Order manager shutting down...")
|
|
close(m.shutdown)
|
|
return nil
|
|
}
|
|
|
|
// gracefulShutdown cancels all orders (if enabled) before shutting down
|
|
func (m *OrderManager) gracefulShutdown() {
|
|
if m.cfg.CancelOrdersOnShutdown {
|
|
log.Debugln(log.OrderMgr, "Order manager: Cancelling any open orders...")
|
|
exchanges, err := m.orderStore.exchangeManager.GetExchanges()
|
|
if err != nil {
|
|
log.Errorf(log.OrderMgr, "Order manager cannot get exchanges: %v", err)
|
|
return
|
|
}
|
|
m.CancelAllOrders(context.TODO(), exchanges)
|
|
}
|
|
}
|
|
|
|
// run will periodically process orders
|
|
func (m *OrderManager) run() {
|
|
log.Debugln(log.OrderMgr, "Order manager started.")
|
|
m.processOrders()
|
|
tick := time.NewTicker(orderManagerDelay)
|
|
m.orderStore.wg.Add(1)
|
|
defer func() {
|
|
log.Debugln(log.OrderMgr, "Order manager shutdown.")
|
|
tick.Stop()
|
|
m.orderStore.wg.Done()
|
|
}()
|
|
|
|
for {
|
|
select {
|
|
case <-m.shutdown:
|
|
m.gracefulShutdown()
|
|
return
|
|
case <-tick.C:
|
|
go m.processOrders()
|
|
}
|
|
}
|
|
}
|
|
|
|
// CancelAllOrders iterates and cancels all orders for each exchange provided
|
|
func (m *OrderManager) CancelAllOrders(ctx context.Context, exchangeNames []exchange.IBotExchange) {
|
|
if m == nil || atomic.LoadInt32(&m.started) == 0 {
|
|
return
|
|
}
|
|
|
|
orders := m.orderStore.get()
|
|
if orders == nil {
|
|
return
|
|
}
|
|
|
|
for i := range exchangeNames {
|
|
exchangeOrders, ok := orders[strings.ToLower(exchangeNames[i].GetName())]
|
|
if !ok {
|
|
continue
|
|
}
|
|
for j := range exchangeOrders {
|
|
log.Debugf(log.OrderMgr, "Order manager: Cancelling order(s) for exchange %s.", exchangeNames[i].GetName())
|
|
err := m.Cancel(ctx, &order.Cancel{
|
|
Exchange: exchangeOrders[j].Exchange,
|
|
ID: exchangeOrders[j].ID,
|
|
AccountID: exchangeOrders[j].AccountID,
|
|
ClientID: exchangeOrders[j].ClientID,
|
|
WalletAddress: exchangeOrders[j].WalletAddress,
|
|
Type: exchangeOrders[j].Type,
|
|
Side: exchangeOrders[j].Side,
|
|
Pair: exchangeOrders[j].Pair,
|
|
AssetType: exchangeOrders[j].AssetType,
|
|
})
|
|
if err != nil {
|
|
log.Error(log.OrderMgr, err)
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
// Cancel will find the order in the OrderManager, send a cancel request
|
|
// to the exchange and if successful, update the status of the order
|
|
func (m *OrderManager) Cancel(ctx context.Context, cancel *order.Cancel) error {
|
|
if m == nil {
|
|
return fmt.Errorf("order manager %w", ErrNilSubsystem)
|
|
}
|
|
if atomic.LoadInt32(&m.started) == 0 {
|
|
return fmt.Errorf("order manager %w", ErrSubSystemNotStarted)
|
|
}
|
|
var err error
|
|
defer func() {
|
|
if err != nil {
|
|
m.orderStore.commsManager.PushEvent(base.Event{
|
|
Type: "order",
|
|
Message: err.Error(),
|
|
})
|
|
}
|
|
}()
|
|
|
|
if cancel == nil {
|
|
err = errors.New("order cancel param is nil")
|
|
return err
|
|
}
|
|
if cancel.Exchange == "" {
|
|
err = errors.New("order exchange name is empty")
|
|
return err
|
|
}
|
|
if cancel.ID == "" {
|
|
err = errors.New("order id is empty")
|
|
return err
|
|
}
|
|
|
|
exch, err := m.orderStore.exchangeManager.GetExchangeByName(cancel.Exchange)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
if cancel.AssetType.String() != "" && !exch.GetAssetTypes(false).Contains(cancel.AssetType) {
|
|
err = errors.New("order asset type not supported by exchange")
|
|
return err
|
|
}
|
|
|
|
log.Debugf(log.OrderMgr, "Order manager: Cancelling order ID %v [%+v]",
|
|
cancel.ID, cancel)
|
|
|
|
err = exch.CancelOrder(ctx, cancel)
|
|
if err != nil {
|
|
err = fmt.Errorf("%v - Failed to cancel order: %w", cancel.Exchange, err)
|
|
return err
|
|
}
|
|
var od *order.Detail
|
|
od, err = m.orderStore.getByExchangeAndID(cancel.Exchange, cancel.ID)
|
|
if err != nil {
|
|
err = fmt.Errorf("%v - Failed to retrieve order %v to update cancelled status: %w", cancel.Exchange, cancel.ID, err)
|
|
return err
|
|
}
|
|
|
|
od.Status = order.Cancelled
|
|
msg := fmt.Sprintf("Order manager: Exchange %s order ID=%v cancelled.",
|
|
od.Exchange, od.ID)
|
|
log.Debugln(log.OrderMgr, msg)
|
|
m.orderStore.commsManager.PushEvent(base.Event{
|
|
Type: "order",
|
|
Message: msg,
|
|
})
|
|
|
|
return nil
|
|
}
|
|
|
|
// GetFuturesPositionsForExchange returns futures positions stored within
|
|
// the order manager's futures position tracker that match the provided params
|
|
func (m *OrderManager) GetFuturesPositionsForExchange(exch string, item asset.Item, pair currency.Pair) ([]order.PositionStats, error) {
|
|
if m == nil {
|
|
return nil, fmt.Errorf("order manager %w", ErrNilSubsystem)
|
|
}
|
|
if atomic.LoadInt32(&m.started) == 0 {
|
|
return nil, fmt.Errorf("order manager %w", ErrSubSystemNotStarted)
|
|
}
|
|
if m.orderStore.futuresPositionController == nil {
|
|
return nil, errFuturesTrackerNotSetup
|
|
}
|
|
if !item.IsFutures() {
|
|
return nil, fmt.Errorf("%v %w", item, order.ErrNotFuturesAsset)
|
|
}
|
|
|
|
return m.orderStore.futuresPositionController.GetPositionsForExchange(exch, item, pair)
|
|
}
|
|
|
|
// ClearFuturesTracking will clear existing futures positions for a given exchange,
|
|
// asset, pair for the event that positions have not been tracked accurately
|
|
func (m *OrderManager) ClearFuturesTracking(exch string, item asset.Item, pair currency.Pair) error {
|
|
if m == nil {
|
|
return fmt.Errorf("order manager %w", ErrNilSubsystem)
|
|
}
|
|
if atomic.LoadInt32(&m.started) == 0 {
|
|
return fmt.Errorf("order manager %w", ErrSubSystemNotStarted)
|
|
}
|
|
if m.orderStore.futuresPositionController == nil {
|
|
return errFuturesTrackerNotSetup
|
|
}
|
|
if !item.IsFutures() {
|
|
return fmt.Errorf("%v %w", item, order.ErrNotFuturesAsset)
|
|
}
|
|
|
|
return m.orderStore.futuresPositionController.ClearPositionsForExchange(exch, item, pair)
|
|
}
|
|
|
|
// UpdateOpenPositionUnrealisedPNL finds an open position from
|
|
// an exchange asset pair, then calculates the unrealisedPNL
|
|
// using the latest ticker data
|
|
func (m *OrderManager) UpdateOpenPositionUnrealisedPNL(e string, item asset.Item, pair currency.Pair, last float64, updated time.Time) (decimal.Decimal, error) {
|
|
if m == nil {
|
|
return decimal.Zero, fmt.Errorf("order manager %w", ErrNilSubsystem)
|
|
}
|
|
if atomic.LoadInt32(&m.started) == 0 {
|
|
return decimal.Zero, fmt.Errorf("order manager %w", ErrSubSystemNotStarted)
|
|
}
|
|
if m.orderStore.futuresPositionController == nil {
|
|
return decimal.Zero, errFuturesTrackerNotSetup
|
|
}
|
|
if !item.IsFutures() {
|
|
return decimal.Zero, fmt.Errorf("%v %w", item, order.ErrNotFuturesAsset)
|
|
}
|
|
|
|
return m.orderStore.futuresPositionController.UpdateOpenPositionUnrealisedPNL(e, item, pair, last, updated)
|
|
}
|
|
|
|
// GetOrderInfo calls the exchange's wrapper GetOrderInfo function
|
|
// and stores the result in the order manager
|
|
func (m *OrderManager) GetOrderInfo(ctx context.Context, exchangeName, orderID string, cp currency.Pair, a asset.Item) (order.Detail, error) {
|
|
if m == nil {
|
|
return order.Detail{}, fmt.Errorf("order manager %w", ErrNilSubsystem)
|
|
}
|
|
if atomic.LoadInt32(&m.started) == 0 {
|
|
return order.Detail{}, fmt.Errorf("order manager %w", ErrSubSystemNotStarted)
|
|
}
|
|
|
|
if orderID == "" {
|
|
return order.Detail{}, ErrOrderIDCannotBeEmpty
|
|
}
|
|
|
|
exch, err := m.orderStore.exchangeManager.GetExchangeByName(exchangeName)
|
|
if err != nil {
|
|
return order.Detail{}, err
|
|
}
|
|
result, err := exch.GetOrderInfo(ctx, orderID, cp, a)
|
|
if err != nil {
|
|
return order.Detail{}, err
|
|
}
|
|
|
|
upsertResponse, err := m.orderStore.upsert(&result)
|
|
if err != nil {
|
|
return order.Detail{}, err
|
|
}
|
|
|
|
return upsertResponse.OrderDetails, nil
|
|
}
|
|
|
|
// validate ensures a submitted order is valid before adding to the manager
|
|
func (m *OrderManager) validate(newOrder *order.Submit) error {
|
|
if newOrder == nil {
|
|
return errNilOrder
|
|
}
|
|
|
|
if newOrder.Exchange == "" {
|
|
return ErrExchangeNameIsEmpty
|
|
}
|
|
|
|
if err := newOrder.Validate(); err != nil {
|
|
return fmt.Errorf("order manager: %w", err)
|
|
}
|
|
|
|
if m.cfg.EnforceLimitConfig {
|
|
if !m.cfg.AllowMarketOrders && newOrder.Type == order.Market {
|
|
return errors.New("order market type is not allowed")
|
|
}
|
|
|
|
if m.cfg.LimitAmount > 0 && newOrder.Amount > m.cfg.LimitAmount {
|
|
return errors.New("order limit exceeds allowed limit")
|
|
}
|
|
|
|
if len(m.cfg.AllowedExchanges) > 0 &&
|
|
!common.StringDataCompareInsensitive(m.cfg.AllowedExchanges, newOrder.Exchange) {
|
|
return errors.New("order exchange not found in allowed list")
|
|
}
|
|
|
|
if len(m.cfg.AllowedPairs) > 0 && !m.cfg.AllowedPairs.Contains(newOrder.Pair, true) {
|
|
return errors.New("order pair not found in allowed list")
|
|
}
|
|
}
|
|
return nil
|
|
}
|
|
|
|
// Modify depends on the order.Modify.ID and order.Modify.Exchange fields to uniquely
|
|
// identify an order to modify.
|
|
func (m *OrderManager) Modify(ctx context.Context, mod *order.Modify) (*order.ModifyResponse, error) {
|
|
if m == nil {
|
|
return nil, fmt.Errorf("order manager %w", ErrNilSubsystem)
|
|
}
|
|
if atomic.LoadInt32(&m.started) == 0 {
|
|
return nil, fmt.Errorf("order manager %w", ErrSubSystemNotStarted)
|
|
}
|
|
|
|
// Fetch details from locally managed order store.
|
|
det, err := m.orderStore.getByExchangeAndID(mod.Exchange, mod.ID)
|
|
if det == nil || err != nil {
|
|
return nil, fmt.Errorf("order does not exist: %w", err)
|
|
}
|
|
|
|
// Populate additional Modify fields as some of them are required by various
|
|
// exchange implementations.
|
|
mod.Pair = det.Pair // Used by Bithumb.
|
|
mod.Side = det.Side // Used by Bithumb.
|
|
mod.PostOnly = det.PostOnly // Used by Poloniex.
|
|
mod.ImmediateOrCancel = det.ImmediateOrCancel // Used by Poloniex.
|
|
|
|
// Following is just a precaution to not modify orders by mistake if exchange
|
|
// implementations do not check fields of the Modify struct for zero values.
|
|
if mod.Amount == 0 {
|
|
mod.Amount = det.Amount
|
|
}
|
|
if mod.Price == 0 {
|
|
mod.Price = det.Price
|
|
}
|
|
|
|
// Get exchange instance and submit order modification request.
|
|
exch, err := m.orderStore.exchangeManager.GetExchangeByName(mod.Exchange)
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
res, err := exch.ModifyOrder(ctx, mod)
|
|
if err != nil {
|
|
message := fmt.Sprintf(
|
|
"Order manager: Exchange %s order ID=%v: failed to modify",
|
|
mod.Exchange,
|
|
mod.ID,
|
|
)
|
|
m.orderStore.commsManager.PushEvent(base.Event{
|
|
Type: "order",
|
|
Message: message,
|
|
})
|
|
return nil, err
|
|
}
|
|
|
|
// If modification is successful, apply changes to local order store.
|
|
//
|
|
// XXX: This comes with a race condition, because [request -> changes] are not
|
|
// atomic.
|
|
err = m.orderStore.modifyExisting(mod.ID, &res)
|
|
|
|
// Notify observers.
|
|
var message string
|
|
if err != nil {
|
|
message = "Order manager: Exchange %s order ID=%v: modified on exchange, but failed to modify locally"
|
|
} else {
|
|
message = "Order manager: Exchange %s order ID=%v: modified successfully"
|
|
}
|
|
m.orderStore.commsManager.PushEvent(base.Event{
|
|
Type: "order",
|
|
Message: fmt.Sprintf(message, mod.Exchange, res.ID),
|
|
})
|
|
return &order.ModifyResponse{OrderID: res.ID}, err
|
|
}
|
|
|
|
// Submit will take in an order struct, send it to the exchange and
|
|
// populate it in the OrderManager if successful
|
|
func (m *OrderManager) Submit(ctx context.Context, newOrder *order.Submit) (*OrderSubmitResponse, error) {
|
|
if m == nil {
|
|
return nil, fmt.Errorf("order manager %w", ErrNilSubsystem)
|
|
}
|
|
if atomic.LoadInt32(&m.started) == 0 {
|
|
return nil, fmt.Errorf("order manager %w", ErrSubSystemNotStarted)
|
|
}
|
|
|
|
err := m.validate(newOrder)
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
exch, err := m.orderStore.exchangeManager.GetExchangeByName(newOrder.Exchange)
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
// Checks for exchange min max limits for order amounts before order
|
|
// execution can occur
|
|
err = exch.CheckOrderExecutionLimits(newOrder.AssetType,
|
|
newOrder.Pair,
|
|
newOrder.Price,
|
|
newOrder.Amount,
|
|
newOrder.Type)
|
|
if err != nil {
|
|
return nil, fmt.Errorf("order manager: exchange %s unable to place order: %w",
|
|
newOrder.Exchange,
|
|
err)
|
|
}
|
|
|
|
// Determines if current trading activity is turned off by the exchange for
|
|
// the currency pair
|
|
err = exch.CanTradePair(newOrder.Pair, newOrder.AssetType)
|
|
if err != nil {
|
|
return nil, fmt.Errorf("order manager: exchange %s cannot trade pair %s %s: %w",
|
|
newOrder.Exchange,
|
|
newOrder.Pair,
|
|
newOrder.AssetType,
|
|
err)
|
|
}
|
|
|
|
result, err := exch.SubmitOrder(ctx, newOrder)
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
return m.processSubmittedOrder(newOrder, result)
|
|
}
|
|
|
|
// SubmitFakeOrder runs through the same process as order submission
|
|
// but does not touch live endpoints
|
|
func (m *OrderManager) SubmitFakeOrder(newOrder *order.Submit, resultingOrder order.SubmitResponse, checkExchangeLimits bool) (*OrderSubmitResponse, error) {
|
|
if m == nil {
|
|
return nil, fmt.Errorf("order manager %w", ErrNilSubsystem)
|
|
}
|
|
if atomic.LoadInt32(&m.started) == 0 {
|
|
return nil, fmt.Errorf("order manager %w", ErrSubSystemNotStarted)
|
|
}
|
|
|
|
err := m.validate(newOrder)
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
exch, err := m.orderStore.exchangeManager.GetExchangeByName(newOrder.Exchange)
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
if checkExchangeLimits {
|
|
// Checks for exchange min max limits for order amounts before order
|
|
// execution can occur
|
|
err = exch.CheckOrderExecutionLimits(newOrder.AssetType,
|
|
newOrder.Pair,
|
|
newOrder.Price,
|
|
newOrder.Amount,
|
|
newOrder.Type)
|
|
if err != nil {
|
|
return nil, fmt.Errorf("order manager: exchange %s unable to place order: %w",
|
|
newOrder.Exchange,
|
|
err)
|
|
}
|
|
}
|
|
return m.processSubmittedOrder(newOrder, resultingOrder)
|
|
}
|
|
|
|
// GetOrdersSnapshot returns a snapshot of all orders in the orderstore. It optionally filters any orders that do not match the status
|
|
// but a status of "" or ANY will include all
|
|
// the time adds contexts for when the snapshot is relevant for
|
|
func (m *OrderManager) GetOrdersSnapshot(s order.Status) []order.Detail {
|
|
if m == nil || atomic.LoadInt32(&m.started) == 0 {
|
|
return nil
|
|
}
|
|
var os []order.Detail
|
|
for _, v := range m.orderStore.Orders {
|
|
for i := range v {
|
|
if s != v[i].Status &&
|
|
s != order.AnyStatus &&
|
|
s != "" {
|
|
continue
|
|
}
|
|
os = append(os, *v[i])
|
|
}
|
|
}
|
|
|
|
return os
|
|
}
|
|
|
|
// GetOrdersFiltered returns a snapshot of all orders in the order store.
|
|
// Filtering is applied based on the order.Filter unless entries are empty
|
|
func (m *OrderManager) GetOrdersFiltered(f *order.Filter) ([]order.Detail, error) {
|
|
if m == nil {
|
|
return nil, fmt.Errorf("order manager %w", ErrNilSubsystem)
|
|
}
|
|
if f == nil {
|
|
return nil, fmt.Errorf("order manager, GetOrdersFiltered: Filter is nil")
|
|
}
|
|
if atomic.LoadInt32(&m.started) == 0 {
|
|
return nil, fmt.Errorf("order manager %w", ErrSubSystemNotStarted)
|
|
}
|
|
return m.orderStore.getFilteredOrders(f)
|
|
}
|
|
|
|
// GetOrdersActive returns a snapshot of all orders in the order store
|
|
// that have a status that indicates it's currently tradable
|
|
func (m *OrderManager) GetOrdersActive(f *order.Filter) ([]order.Detail, error) {
|
|
if m == nil {
|
|
return nil, fmt.Errorf("order manager %w", ErrNilSubsystem)
|
|
}
|
|
if atomic.LoadInt32(&m.started) == 0 {
|
|
return nil, fmt.Errorf("order manager %w", ErrSubSystemNotStarted)
|
|
}
|
|
return m.orderStore.getActiveOrders(f), nil
|
|
}
|
|
|
|
// processSubmittedOrder adds a new order to the manager
|
|
func (m *OrderManager) processSubmittedOrder(newOrder *order.Submit, result order.SubmitResponse) (*OrderSubmitResponse, error) {
|
|
if !result.IsOrderPlaced {
|
|
return nil, errUnableToPlaceOrder
|
|
}
|
|
|
|
id, err := uuid.NewV4()
|
|
if err != nil {
|
|
log.Warnf(log.OrderMgr,
|
|
"Order manager: Unable to generate UUID. Err: %s",
|
|
err)
|
|
}
|
|
if newOrder.Date.IsZero() {
|
|
newOrder.Date = time.Now()
|
|
}
|
|
msg := fmt.Sprintf("Order manager: Exchange %s submitted order ID=%v [Ours: %v] pair=%v price=%v amount=%v side=%v type=%v for time %v.",
|
|
newOrder.Exchange,
|
|
result.OrderID,
|
|
id.String(),
|
|
newOrder.Pair,
|
|
newOrder.Price,
|
|
newOrder.Amount,
|
|
newOrder.Side,
|
|
newOrder.Type,
|
|
newOrder.Date)
|
|
|
|
log.Debugln(log.OrderMgr, msg)
|
|
m.orderStore.commsManager.PushEvent(base.Event{
|
|
Type: "order",
|
|
Message: msg,
|
|
})
|
|
status := order.New
|
|
if result.FullyMatched {
|
|
status = order.Filled
|
|
}
|
|
err = m.orderStore.add(&order.Detail{
|
|
ImmediateOrCancel: newOrder.ImmediateOrCancel,
|
|
HiddenOrder: newOrder.HiddenOrder,
|
|
FillOrKill: newOrder.FillOrKill,
|
|
PostOnly: newOrder.PostOnly,
|
|
Price: newOrder.Price,
|
|
Amount: newOrder.Amount,
|
|
LimitPriceUpper: newOrder.LimitPriceUpper,
|
|
LimitPriceLower: newOrder.LimitPriceLower,
|
|
TriggerPrice: newOrder.TriggerPrice,
|
|
TargetAmount: newOrder.TargetAmount,
|
|
ExecutedAmount: newOrder.ExecutedAmount,
|
|
RemainingAmount: newOrder.RemainingAmount,
|
|
Fee: newOrder.Fee,
|
|
Exchange: newOrder.Exchange,
|
|
InternalOrderID: id.String(),
|
|
ID: result.OrderID,
|
|
AccountID: newOrder.AccountID,
|
|
ClientID: newOrder.ClientID,
|
|
ClientOrderID: newOrder.ClientOrderID,
|
|
WalletAddress: newOrder.WalletAddress,
|
|
Type: newOrder.Type,
|
|
Side: newOrder.Side,
|
|
Status: status,
|
|
AssetType: newOrder.AssetType,
|
|
Date: time.Now(),
|
|
LastUpdated: time.Now(),
|
|
Pair: newOrder.Pair,
|
|
Leverage: newOrder.Leverage,
|
|
})
|
|
if err != nil {
|
|
return nil, fmt.Errorf("unable to add %v order %v to orderStore: %s", newOrder.Exchange, result.OrderID, err)
|
|
}
|
|
|
|
return &OrderSubmitResponse{
|
|
SubmitResponse: order.SubmitResponse{
|
|
IsOrderPlaced: result.IsOrderPlaced,
|
|
OrderID: result.OrderID,
|
|
},
|
|
InternalOrderID: id.String(),
|
|
}, nil
|
|
}
|
|
|
|
// processOrders iterates over all exchange orders via API
|
|
// and adds them to the internal order store
|
|
func (m *OrderManager) processOrders() {
|
|
if !atomic.CompareAndSwapInt32(&m.processingOrders, 0, 1) {
|
|
return
|
|
}
|
|
defer func() {
|
|
atomic.StoreInt32(&m.processingOrders, 0)
|
|
}()
|
|
exchanges, err := m.orderStore.exchangeManager.GetExchanges()
|
|
if err != nil {
|
|
log.Errorf(log.OrderMgr, "Order manager cannot get exchanges: %v", err)
|
|
return
|
|
}
|
|
var wg sync.WaitGroup
|
|
for i := range exchanges {
|
|
if !exchanges[i].GetAuthenticatedAPISupport(exchange.RestAuthentication) {
|
|
continue
|
|
}
|
|
log.Debugf(log.OrderMgr,
|
|
"Order manager: Processing orders for exchange %v.",
|
|
exchanges[i].GetName())
|
|
|
|
supportedAssets := exchanges[i].GetAssetTypes(true)
|
|
for y := range supportedAssets {
|
|
pairs, err := exchanges[i].GetEnabledPairs(supportedAssets[y])
|
|
if err != nil {
|
|
log.Errorf(log.OrderMgr,
|
|
"Order manager: Unable to get enabled pairs for %s and asset type %s: %s",
|
|
exchanges[i].GetName(),
|
|
supportedAssets[y],
|
|
err)
|
|
continue
|
|
}
|
|
|
|
if len(pairs) == 0 {
|
|
if m.verbose {
|
|
log.Debugf(log.OrderMgr,
|
|
"Order manager: No pairs enabled for %s and asset type %s, skipping...",
|
|
exchanges[i].GetName(),
|
|
supportedAssets[y])
|
|
}
|
|
continue
|
|
}
|
|
|
|
filter := &order.Filter{
|
|
Exchange: exchanges[i].GetName(),
|
|
}
|
|
orders := m.orderStore.getActiveOrders(filter)
|
|
order.FilterOrdersByCurrencies(&orders, pairs)
|
|
requiresProcessing := make(map[string]bool, len(orders))
|
|
for x := range orders {
|
|
requiresProcessing[orders[x].InternalOrderID] = true
|
|
}
|
|
|
|
req := order.GetOrdersRequest{
|
|
Side: order.AnySide,
|
|
Type: order.AnyType,
|
|
Pairs: pairs,
|
|
AssetType: supportedAssets[y],
|
|
}
|
|
result, err := exchanges[i].GetActiveOrders(context.TODO(), &req)
|
|
if err != nil {
|
|
log.Errorf(log.OrderMgr,
|
|
"Order manager: Unable to get active orders for %s and asset type %s: %s",
|
|
exchanges[i].GetName(),
|
|
supportedAssets[y],
|
|
err)
|
|
continue
|
|
}
|
|
if len(orders) == 0 && len(result) == 0 {
|
|
continue
|
|
}
|
|
|
|
for z := range result {
|
|
upsertResponse, err := m.UpsertOrder(&result[z])
|
|
if err != nil {
|
|
log.Error(log.OrderMgr, err)
|
|
} else {
|
|
requiresProcessing[upsertResponse.OrderDetails.InternalOrderID] = false
|
|
}
|
|
}
|
|
if !exchanges[i].GetBase().GetSupportedFeatures().RESTCapabilities.GetOrder {
|
|
continue
|
|
}
|
|
wg.Add(1)
|
|
go m.processMatchingOrders(exchanges[i], orders, requiresProcessing, &wg)
|
|
}
|
|
}
|
|
wg.Wait()
|
|
}
|
|
|
|
func (m *OrderManager) processMatchingOrders(exch exchange.IBotExchange, orders []order.Detail, requiresProcessing map[string]bool, wg *sync.WaitGroup) {
|
|
defer func() {
|
|
if wg != nil {
|
|
wg.Done()
|
|
}
|
|
}()
|
|
for x := range orders {
|
|
if time.Since(orders[x].LastUpdated) < time.Minute {
|
|
continue
|
|
}
|
|
if requiresProcessing[orders[x].InternalOrderID] {
|
|
err := m.FetchAndUpdateExchangeOrder(exch, &orders[x], orders[x].AssetType)
|
|
if err != nil {
|
|
log.Error(log.OrderMgr, err)
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
// FetchAndUpdateExchangeOrder calls the exchange to upsert an order to the order store
|
|
func (m *OrderManager) FetchAndUpdateExchangeOrder(exch exchange.IBotExchange, ord *order.Detail, assetType asset.Item) error {
|
|
if ord == nil {
|
|
return errors.New("order manager: Order is nil")
|
|
}
|
|
fetchedOrder, err := exch.GetOrderInfo(context.TODO(), ord.ID, ord.Pair, assetType)
|
|
if err != nil {
|
|
ord.Status = order.UnknownStatus
|
|
return err
|
|
}
|
|
fetchedOrder.LastUpdated = time.Now()
|
|
_, err = m.UpsertOrder(&fetchedOrder)
|
|
return err
|
|
}
|
|
|
|
// Exists checks whether an order exists in the order store
|
|
func (m *OrderManager) Exists(o *order.Detail) bool {
|
|
if m == nil || atomic.LoadInt32(&m.started) == 0 {
|
|
return false
|
|
}
|
|
|
|
return m.orderStore.exists(o)
|
|
}
|
|
|
|
// Add adds an order to the orderstore
|
|
func (m *OrderManager) Add(o *order.Detail) error {
|
|
if m == nil {
|
|
return fmt.Errorf("order manager %w", ErrNilSubsystem)
|
|
}
|
|
if atomic.LoadInt32(&m.started) == 0 {
|
|
return fmt.Errorf("order manager %w", ErrSubSystemNotStarted)
|
|
}
|
|
|
|
return m.orderStore.add(o)
|
|
}
|
|
|
|
// GetByExchangeAndID returns a copy of an order from an exchange if it matches the ID
|
|
func (m *OrderManager) GetByExchangeAndID(exchangeName, id string) (*order.Detail, error) {
|
|
if m == nil {
|
|
return nil, fmt.Errorf("order manager %w", ErrNilSubsystem)
|
|
}
|
|
if atomic.LoadInt32(&m.started) == 0 {
|
|
return nil, fmt.Errorf("order manager %w", ErrSubSystemNotStarted)
|
|
}
|
|
|
|
o, err := m.orderStore.getByExchangeAndID(exchangeName, id)
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
var cpy order.Detail
|
|
cpy.UpdateOrderFromDetail(o)
|
|
return &cpy, nil
|
|
}
|
|
|
|
// UpdateExistingOrder will update an existing order in the orderstore
|
|
func (m *OrderManager) UpdateExistingOrder(od *order.Detail) error {
|
|
if m == nil {
|
|
return fmt.Errorf("order manager %w", ErrNilSubsystem)
|
|
}
|
|
if atomic.LoadInt32(&m.started) == 0 {
|
|
return fmt.Errorf("order manager %w", ErrSubSystemNotStarted)
|
|
}
|
|
return m.orderStore.updateExisting(od)
|
|
}
|
|
|
|
// UpsertOrder updates an existing order or adds a new one to the orderstore
|
|
func (m *OrderManager) UpsertOrder(od *order.Detail) (resp *OrderUpsertResponse, err error) {
|
|
if m == nil {
|
|
return nil, fmt.Errorf("order manager %w", ErrNilSubsystem)
|
|
}
|
|
if atomic.LoadInt32(&m.started) == 0 {
|
|
return nil, fmt.Errorf("order manager %w", ErrSubSystemNotStarted)
|
|
}
|
|
if od == nil {
|
|
return nil, errNilOrder
|
|
}
|
|
var msg string
|
|
defer func(message *string) {
|
|
if message == nil {
|
|
log.Errorf(log.OrderMgr, "UpsertOrder: produced nil order event message\n")
|
|
return
|
|
}
|
|
m.orderStore.commsManager.PushEvent(base.Event{
|
|
Type: "order",
|
|
Message: *message,
|
|
})
|
|
}(&msg)
|
|
|
|
upsertResponse, err := m.orderStore.upsert(od)
|
|
if err != nil {
|
|
msg = fmt.Sprintf(
|
|
"Order manager: Exchange %s unable to upsert order ID=%v internal ID=%v pair=%v price=%.8f amount=%.8f side=%v type=%v status=%v: %s",
|
|
od.Exchange, od.ID, od.InternalOrderID, od.Pair, od.Price, od.Amount, od.Side, od.Type, od.Status, err)
|
|
return nil, err
|
|
}
|
|
|
|
status := "updated"
|
|
if upsertResponse.IsNewOrder {
|
|
status = "added"
|
|
}
|
|
msg = fmt.Sprintf("Order manager: Exchange %s %s order ID=%v internal ID=%v pair=%v price=%.8f amount=%.8f side=%v type=%v status=%v.",
|
|
upsertResponse.OrderDetails.Exchange, status, upsertResponse.OrderDetails.ID, upsertResponse.OrderDetails.InternalOrderID,
|
|
upsertResponse.OrderDetails.Pair, upsertResponse.OrderDetails.Price, upsertResponse.OrderDetails.Amount,
|
|
upsertResponse.OrderDetails.Side, upsertResponse.OrderDetails.Type, upsertResponse.OrderDetails.Status)
|
|
if upsertResponse.IsNewOrder {
|
|
log.Info(log.OrderMgr, msg)
|
|
return upsertResponse, nil
|
|
}
|
|
log.Debug(log.OrderMgr, msg)
|
|
return upsertResponse, nil
|
|
}
|
|
|
|
// get returns all orders for all exchanges
|
|
// should not be exported as it can have large impact if used improperly
|
|
func (s *store) get() map[string][]*order.Detail {
|
|
s.m.Lock()
|
|
orders := s.Orders
|
|
s.m.Unlock()
|
|
return orders
|
|
}
|
|
|
|
// getByExchangeAndID returns a specific order by exchange and id
|
|
func (s *store) getByExchangeAndID(exchange, id string) (*order.Detail, error) {
|
|
s.m.Lock()
|
|
defer s.m.Unlock()
|
|
r, ok := s.Orders[strings.ToLower(exchange)]
|
|
if !ok {
|
|
return nil, ErrExchangeNotFound
|
|
}
|
|
|
|
for x := range r {
|
|
if r[x].ID == id {
|
|
return r[x], nil
|
|
}
|
|
}
|
|
return nil, ErrOrderNotFound
|
|
}
|
|
|
|
// updateExisting checks if an order exists in the orderstore
|
|
// and then updates it
|
|
func (s *store) updateExisting(od *order.Detail) error {
|
|
if od == nil {
|
|
return errNilOrder
|
|
}
|
|
s.m.Lock()
|
|
defer s.m.Unlock()
|
|
r, ok := s.Orders[strings.ToLower(od.Exchange)]
|
|
if !ok {
|
|
return ErrExchangeNotFound
|
|
}
|
|
for x := range r {
|
|
if r[x].ID == od.ID {
|
|
r[x].UpdateOrderFromDetail(od)
|
|
if r[x].AssetType.IsFutures() {
|
|
err := s.futuresPositionController.TrackNewOrder(r[x])
|
|
if err != nil {
|
|
if !errors.Is(err, order.ErrPositionClosed) {
|
|
return err
|
|
}
|
|
}
|
|
}
|
|
return nil
|
|
}
|
|
}
|
|
|
|
return ErrOrderNotFound
|
|
}
|
|
|
|
// modifyExisting depends on mod.Exchange and given ID to uniquely identify an order and
|
|
// modify it.
|
|
func (s *store) modifyExisting(id string, mod *order.Modify) error {
|
|
s.m.Lock()
|
|
defer s.m.Unlock()
|
|
r, ok := s.Orders[strings.ToLower(mod.Exchange)]
|
|
if !ok {
|
|
return ErrExchangeNotFound
|
|
}
|
|
for x := range r {
|
|
if r[x].ID == id {
|
|
r[x].UpdateOrderFromModify(mod)
|
|
if r[x].AssetType.IsFutures() {
|
|
err := s.futuresPositionController.TrackNewOrder(r[x])
|
|
if err != nil {
|
|
if !errors.Is(err, order.ErrPositionClosed) {
|
|
return err
|
|
}
|
|
}
|
|
}
|
|
return nil
|
|
}
|
|
}
|
|
return ErrOrderNotFound
|
|
}
|
|
|
|
// upsert (1) checks if such an exchange exists in the exchangeManager, (2) checks if
|
|
// order exists and updates/creates it.
|
|
func (s *store) upsert(od *order.Detail) (resp *OrderUpsertResponse, err error) {
|
|
if od == nil {
|
|
return nil, errNilOrder
|
|
}
|
|
lName := strings.ToLower(od.Exchange)
|
|
_, err = s.exchangeManager.GetExchangeByName(lName)
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
s.m.Lock()
|
|
defer s.m.Unlock()
|
|
if od.AssetType.IsFutures() {
|
|
err = s.futuresPositionController.TrackNewOrder(od)
|
|
if err != nil {
|
|
if !errors.Is(err, order.ErrPositionClosed) {
|
|
return nil, err
|
|
}
|
|
}
|
|
}
|
|
r, ok := s.Orders[lName]
|
|
if !ok {
|
|
od.GenerateInternalOrderID()
|
|
s.Orders[lName] = []*order.Detail{od}
|
|
resp = &OrderUpsertResponse{
|
|
OrderDetails: od.Copy(),
|
|
IsNewOrder: true,
|
|
}
|
|
return resp, nil
|
|
}
|
|
for x := range r {
|
|
if r[x].ID == od.ID {
|
|
r[x].UpdateOrderFromDetail(od)
|
|
resp = &OrderUpsertResponse{
|
|
OrderDetails: r[x].Copy(),
|
|
IsNewOrder: false,
|
|
}
|
|
return resp, nil
|
|
}
|
|
}
|
|
// Untracked websocket orders will not have internalIDs yet
|
|
od.GenerateInternalOrderID()
|
|
s.Orders[lName] = append(s.Orders[lName], od)
|
|
resp = &OrderUpsertResponse{
|
|
OrderDetails: od.Copy(),
|
|
IsNewOrder: true,
|
|
}
|
|
return resp, nil
|
|
}
|
|
|
|
// getByExchange returns orders by exchange
|
|
func (s *store) getByExchange(exchange string) ([]*order.Detail, error) {
|
|
s.m.RLock()
|
|
defer s.m.RUnlock()
|
|
r, ok := s.Orders[strings.ToLower(exchange)]
|
|
if !ok {
|
|
return nil, ErrExchangeNotFound
|
|
}
|
|
return r, nil
|
|
}
|
|
|
|
// getByInternalOrderID will search all orders for our internal orderID
|
|
// and return the order
|
|
func (s *store) getByInternalOrderID(internalOrderID string) (*order.Detail, error) {
|
|
s.m.RLock()
|
|
defer s.m.RUnlock()
|
|
for _, v := range s.Orders {
|
|
for x := range v {
|
|
if v[x].InternalOrderID == internalOrderID {
|
|
return v[x], nil
|
|
}
|
|
}
|
|
}
|
|
return nil, ErrOrderNotFound
|
|
}
|
|
|
|
// exists verifies if the orderstore contains the provided order
|
|
func (s *store) exists(det *order.Detail) bool {
|
|
if det == nil {
|
|
return false
|
|
}
|
|
s.m.RLock()
|
|
defer s.m.RUnlock()
|
|
r, ok := s.Orders[strings.ToLower(det.Exchange)]
|
|
if !ok {
|
|
return false
|
|
}
|
|
|
|
for x := range r {
|
|
if r[x].ID == det.ID {
|
|
return true
|
|
}
|
|
}
|
|
return false
|
|
}
|
|
|
|
// Add Adds an order to the orderStore for tracking the lifecycle
|
|
func (s *store) add(det *order.Detail) error {
|
|
if det == nil {
|
|
return errNilOrder
|
|
}
|
|
_, err := s.exchangeManager.GetExchangeByName(det.Exchange)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
if s.exists(det) {
|
|
return ErrOrdersAlreadyExists
|
|
}
|
|
// Untracked websocket orders will not have internalIDs yet
|
|
det.GenerateInternalOrderID()
|
|
s.m.Lock()
|
|
defer s.m.Unlock()
|
|
orders := s.Orders[strings.ToLower(det.Exchange)]
|
|
orders = append(orders, det)
|
|
s.Orders[strings.ToLower(det.Exchange)] = orders
|
|
|
|
if det.AssetType.IsFutures() {
|
|
err = s.futuresPositionController.TrackNewOrder(det)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
}
|
|
return nil
|
|
}
|
|
|
|
// getFilteredOrders returns a filtered copy of the orders
|
|
func (s *store) getFilteredOrders(f *order.Filter) ([]order.Detail, error) {
|
|
if f == nil {
|
|
return nil, errors.New("filter is nil")
|
|
}
|
|
s.m.RLock()
|
|
defer s.m.RUnlock()
|
|
|
|
var os []order.Detail
|
|
// optimization if Exchange is filtered
|
|
if f.Exchange != "" {
|
|
if e, ok := s.Orders[strings.ToLower(f.Exchange)]; ok {
|
|
for i := range e {
|
|
if !e[i].MatchFilter(f) {
|
|
continue
|
|
}
|
|
os = append(os, e[i].Copy())
|
|
}
|
|
}
|
|
} else {
|
|
for _, e := range s.Orders {
|
|
for i := range e {
|
|
if !e[i].MatchFilter(f) {
|
|
continue
|
|
}
|
|
os = append(os, e[i].Copy())
|
|
}
|
|
}
|
|
}
|
|
return os, nil
|
|
}
|
|
|
|
// getActiveOrders returns copy of the orders that are active
|
|
func (s *store) getActiveOrders(f *order.Filter) []order.Detail {
|
|
s.m.RLock()
|
|
defer s.m.RUnlock()
|
|
|
|
var orders []order.Detail
|
|
switch {
|
|
case f == nil:
|
|
for _, e := range s.Orders {
|
|
for i := range e {
|
|
if !e[i].IsActive() {
|
|
continue
|
|
}
|
|
orders = append(orders, e[i].Copy())
|
|
}
|
|
}
|
|
case f.Exchange != "":
|
|
// optimization if Exchange is filtered
|
|
if e, ok := s.Orders[strings.ToLower(f.Exchange)]; ok {
|
|
for i := range e {
|
|
if !e[i].IsActive() || !e[i].MatchFilter(f) {
|
|
continue
|
|
}
|
|
orders = append(orders, e[i].Copy())
|
|
}
|
|
}
|
|
default:
|
|
for _, e := range s.Orders {
|
|
for i := range e {
|
|
if !e[i].IsActive() || !e[i].MatchFilter(f) {
|
|
continue
|
|
}
|
|
orders = append(orders, e[i].Copy())
|
|
}
|
|
}
|
|
}
|
|
|
|
return orders
|
|
}
|