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ordermanager.rs
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/
ordermanager.rs
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use std::{
collections::{hash_map::Entry, HashMap},
sync::{Arc, Mutex},
};
use chrono::Utc;
use rand::{distributions::Alphanumeric, Rng};
use tracing::{debug, error};
use crate::{
connector::binancefutures::{msg::rest::OrderResponse, BinanceFuturesError},
types::{Order, Status},
};
#[derive(Debug)]
struct OrderWrapper {
asset_no: usize,
order: Order,
removed_by_ws: bool,
removed_by_rest: bool,
}
pub type WrappedOrderManager = Arc<Mutex<OrderManager>>;
/// Binance has separated channels for REST APIs and Websocket. Order responses are delivered
/// through these channels, with no guaranteed order of transmission. To prevent duplicate handling
/// of order responses, such as order deletion due to cancellation or fill, OrderManager manages the
/// order states before transmitting the responses to a live bot.
#[derive(Default, Debug)]
pub struct OrderManager {
prefix: String,
orders: HashMap<String, OrderWrapper>,
order_id_map: HashMap<i64, String>,
}
impl OrderManager {
pub fn new(prefix: &str) -> Self {
Self {
prefix: prefix.to_string(),
orders: Default::default(),
order_id_map: Default::default(),
}
}
pub fn update_from_ws(
&mut self,
asset_no: usize,
client_order_id: String,
order: Order,
) -> Option<Order> {
match self.orders.entry(client_order_id.clone()) {
Entry::Occupied(mut entry) => {
let wrapper = entry.get_mut();
let already_removed = wrapper.removed_by_ws || wrapper.removed_by_rest;
if order.exch_timestamp >= wrapper.order.exch_timestamp {
wrapper.order.update(&order);
}
if order.status != Status::New && order.status != Status::PartiallyFilled {
wrapper.removed_by_ws = true;
if !already_removed {
self.order_id_map.remove(&order.order_id);
}
if wrapper.removed_by_ws && wrapper.removed_by_rest {
entry.remove_entry();
}
}
if already_removed {
None
} else {
Some(order)
}
}
Entry::Vacant(entry) => {
if !order.active() {
return None;
}
debug!(
%client_order_id,
?order,
"BinanceFutures OrderManager received an unmanaged order from WS."
);
let wrapper = entry.insert(OrderWrapper {
asset_no,
order: order.clone(),
removed_by_ws: order.status != Status::New
&& order.status != Status::PartiallyFilled,
removed_by_rest: false,
});
if wrapper.removed_by_ws || wrapper.removed_by_rest {
self.order_id_map.remove(&order.order_id);
}
Some(order)
}
}
}
pub fn update_submit_success(
&mut self,
asset_no: usize,
order: Order,
resp: OrderResponse,
) -> Option<Order> {
let order = Order {
qty: resp.orig_qty,
leaves_qty: resp.orig_qty - resp.cum_qty,
price_tick: (resp.price / order.tick_size).round() as i32,
tick_size: order.tick_size,
side: order.side,
time_in_force: resp.time_in_force,
exch_timestamp: resp.update_time * 1_000_000,
status: Status::New,
local_timestamp: 0,
req: Status::None,
exec_price_tick: 0,
exec_qty: resp.executed_qty,
order_id: order.order_id,
order_type: resp.ty,
// Invalid information
q: Box::new(()),
maker: false,
};
self.update_from_rest(asset_no, resp.client_order_id, order)
}
pub fn update_submit_fail(
&mut self,
asset_no: usize,
mut order: Order,
error: &BinanceFuturesError,
client_order_id: String,
) -> Option<Order> {
match error {
BinanceFuturesError::OrderError(-5022, _) => {
// GTX rejection.
}
BinanceFuturesError::OrderError(-1008, _) => {
// Server is currently overloaded with other requests. Please try again in a few minutes.
error!("Server is currently overloaded with other requests. Please try again in a few minutes.");
}
BinanceFuturesError::OrderError(-2019, _) => {
// Margin is insufficient.
error!("Margin is insufficient.");
}
BinanceFuturesError::OrderError(-1015, _) => {
// Too many new orders; current limit is 300 orders per TEN_SECONDS."
error!("Too many new orders; current limit is 300 orders per TEN_SECONDS.");
}
error => {
error!(?error, "submit error");
}
}
order.req = Status::None;
order.status = Status::Expired;
self.update_from_rest(asset_no, client_order_id, order)
}
pub fn update_cancel_success(
&mut self,
asset_no: usize,
mut order: Order,
resp: OrderResponse,
) -> Option<Order> {
let order = Order {
qty: resp.orig_qty,
leaves_qty: resp.orig_qty - resp.cum_qty,
price_tick: (resp.price / order.tick_size).round() as i32,
tick_size: order.tick_size,
side: resp.side,
time_in_force: resp.time_in_force,
exch_timestamp: resp.update_time * 1_000_000,
status: Status::Canceled,
local_timestamp: 0,
req: Status::None,
exec_price_tick: 0,
exec_qty: resp.executed_qty,
order_id: order.order_id,
order_type: resp.ty,
// Invalid information
q: Box::new(()),
maker: false,
};
self.update_from_rest(asset_no, resp.client_order_id, order)
}
pub fn update_cancel_fail(
&mut self,
asset_no: usize,
mut order: Order,
error: &BinanceFuturesError,
client_order_id: String,
) -> Option<Order> {
match error {
BinanceFuturesError::OrderError(-2011, _) => {
// The given order may no longer exist; it could have already been filled or
// canceled. But, it cannot determine the order status because it lacks the
// necessary information.
order.leaves_qty = 0.0;
order.status = Status::None;
}
error => {
error!(?error, "cancel error");
}
}
order.req = Status::None;
self.update_from_rest(asset_no, client_order_id, order)
}
fn update_from_rest(
&mut self,
asset_no: usize,
client_order_id: String,
order: Order,
) -> Option<Order> {
match self.orders.entry(client_order_id.clone()) {
Entry::Occupied(mut entry) => {
let wrapper = entry.get_mut();
let already_removed = wrapper.removed_by_ws || wrapper.removed_by_rest;
if order.exch_timestamp >= wrapper.order.exch_timestamp {
wrapper.order.update(&order);
}
if order.status != Status::New && order.status != Status::PartiallyFilled {
wrapper.removed_by_rest = true;
if !already_removed {
self.order_id_map.remove(&order.order_id);
}
if wrapper.removed_by_ws && wrapper.removed_by_rest {
entry.remove_entry();
}
}
if already_removed {
None
} else {
Some(order)
}
}
Entry::Vacant(entry) => {
if !order.active() {
return None;
}
debug!(
%client_order_id,
?order,
"BinanceFutures OrderManager received an unmanaged order from REST."
);
let wrapper = entry.insert(OrderWrapper {
asset_no,
order: order.clone(),
removed_by_ws: false,
removed_by_rest: order.status != Status::New
&& order.status != Status::PartiallyFilled,
});
if wrapper.removed_by_ws || wrapper.removed_by_rest {
self.order_id_map.remove(&order.order_id);
}
Some(order)
}
}
}
pub fn prepare_client_order_id(&mut self, asset_no: usize, order: Order) -> Option<String> {
if self.order_id_map.contains_key(&order.order_id) {
return None;
}
let rand_id: String = rand::thread_rng()
.sample_iter(&Alphanumeric)
.take(16)
.map(char::from)
.collect();
let client_order_id = format!("{}{}{}", self.prefix, &rand_id, order.order_id);
if self.orders.contains_key(&client_order_id) {
return None;
}
self.order_id_map
.insert(order.order_id, client_order_id.clone());
self.orders.insert(
client_order_id.clone(),
OrderWrapper {
asset_no,
order,
removed_by_ws: false,
removed_by_rest: false,
},
);
Some(client_order_id)
}
pub fn get_client_order_id(&self, order_id: i64) -> Option<String> {
self.order_id_map.get(&order_id).cloned()
}
pub fn gc(&mut self) {
let now = Utc::now().timestamp_nanos_opt().unwrap();
let stale_ts = now - 300_000_000_000;
let stale_ids: Vec<(_, _)> = self
.orders
.iter()
.filter(|&(_, wrapper)| {
wrapper.order.status != Status::New
&& wrapper.order.status != Status::PartiallyFilled
&& wrapper.order.status != Status::Unsupported
&& wrapper.order.exch_timestamp < stale_ts
})
.map(|(client_order_id, wrapper)| (client_order_id.clone(), wrapper.order.order_id))
.collect();
for (client_order_id, order_id) in stale_ids.iter() {
if self.order_id_map.contains_key(order_id) {
// Something went wrong?
}
self.orders.remove(client_order_id);
}
}
pub fn parse_client_order_id(client_order_id: &str, prefix: &str) -> Option<i64> {
if !client_order_id.starts_with(prefix) {
None
} else {
let s = &client_order_id[(prefix.len() + 16)..];
if let Ok(order_id) = s.parse() {
Some(order_id)
} else {
None
}
}
}
pub fn clear_orders(&mut self) -> Vec<(usize, Order)> {
let mut values: Vec<(usize, Order)> = Vec::new();
values.extend(self.orders.drain().map(|(_, mut order)| {
order.order.status = Status::Canceled;
(order.asset_no, order.order)
}));
values
}
}