@icgio/icg-exchanges-wrapper 1.21.4 → 1.21.6

package/middleware/orders.js

@@ -247,7 +247,7 @@ module.exports = class Orders {
       positions_check: false,
       open_orders_check: true,
       trades_check: true,
-      query_order_check_maker_1: true,
+      query_order_check_maker_1_self: false,
       query_order_check_exchange: {},
       rates_check: true,
       market_history_check: true,
@@ -267,10 +267,10 @@ module.exports = class Orders {
       this.trades_amount_past_hour = {}
       this.check_trades()
     }
-    if (this.function_enabled.query_order_check_maker_1) {
+    if (this.function_enabled.query_order_check_maker_1_self) {
       for (let exchange in this.Exchanges) {
         if (this.function_enabled.query_order_check_exchange[exchange]) {
-          this.check_query_order(exchange)
+          this.check_query_order(exchange, ['maker_1', 'self'])
         }
       }
     }
@@ -292,7 +292,7 @@ module.exports = class Orders {
         this.process_open_orders(this.open_orders)
       }, PROCESS_OPEN_ORDERS_TRADERS_INTERVAL_MS)
     }
-    if (this.function_enabled.query_order_check_maker_1) {
+    if (this.function_enabled.query_order_check_maker_1_self) {
       setInterval(() => {
         this.process_query_order(this.query_order)
       }, PROCESS_OPEN_ORDERS_TRADERS_INTERVAL_MS)
@@ -653,6 +653,7 @@ module.exports = class Orders {
           const order_info_f_amount = round_amount(exchange, pair, order_info.f_amount)
           if (_.includes(['CANCELED', 'CANCELING'], order_info.status) && trade_amount > order_info_f_amount) {
             // console.log('TRADES: %s ORDER FILLED', order_info.status, trade, order_info)
+            this.log_terminal_divergence('trades', exchange, pair, order_id, order_info.status, 'P-FILLED')
             this.update_order_info(
               exchange,
               pair,
@@ -743,26 +744,68 @@ module.exports = class Orders {
       }
     }
   }
+  log_terminal_divergence(source, exchange, pair, order_id, local_status, source_status) {
+    if ((local_status === 'F-FILLED' || local_status === 'CANCELED') && local_status !== source_status) {
+      console.warn('terminal divergence (%s): %s %s %s %s -> %s', source, exchange, pair, order_id, local_status, source_status)
+    }
+  }
   process_query_order(query_order) {
-    let trades = {}
     for (let exchange in query_order) {
       for (let pair in query_order[exchange]) {
-        let temp = query_order[exchange][pair].query_order
-          .filter((o) => _.includes(['F-FILLED', 'P-FILLED'], o.status))
-          .map((o) => {
-            return {
-              order_id: o.order_id,
-              pair: o.pair,
-              type: o.type,
-              price: o.price,
-              amount: o.f_amount,
-              total: o.price * o.f_amount,
+        const polled_orders = query_order[exchange][pair].query_order || []
+        for (const polled_order of polled_orders) {
+          if (!polled_order || !polled_order.order_id || !polled_order.type) continue
+          const local_order = _.get(this.order_info, [exchange, pair, polled_order.type, polled_order.order_id])
+          if (!local_order) continue
+          let exchange_status
+          if (polled_order.status === 'F-FILLED' || polled_order.status === 'P-FILLED' || polled_order.status === 'N-FILLED' || polled_order.status === 'CANCELED') {
+            exchange_status = polled_order.status
+          } else if (typeof polled_order.status === 'string' && polled_order.status.startsWith('OTHER-')) {
+            exchange_status = 'CANCELED'
+          } else {
+            continue
+          }
+          if (exchange_status === 'N-FILLED') continue
+          const local_filled_amount = round_amount(exchange, pair, local_order.f_amount || 0)
+          const polled_filled_amount = round_amount(exchange, pair, polled_order.f_amount || 0)
+          if (local_order.status === exchange_status && local_filled_amount === polled_filled_amount) continue
+          this.log_terminal_divergence('query_order', exchange, pair, polled_order.order_id, local_order.status, exchange_status)
+          const merged_filled_amount = Math.max(polled_filled_amount, local_filled_amount)
+          const total_amount = round_amount(exchange, pair, local_order.t_amount || polled_order.t_amount || 0)
+          const tag = polled_order.status !== exchange_status ? ' (' + polled_order.status + ')' : ''
+          const note = (local_order.order_type || 'unknown') + ' query_order ' + exchange_status + tag
+          if (exchange_status === 'F-FILLED' || exchange_status === 'P-FILLED') {
+            const update_dict = {
+              status: exchange_status,
+              price: polled_order.price != null ? polled_order.price : local_order.price,
+              amount: round_amount(exchange, pair, Math.max(total_amount - merged_filled_amount, 0)),
+              f_amount: merged_filled_amount,
+              f_percentage: total_amount > 0 ? merged_filled_amount / total_amount : 0,
+              event_hrtime: process.hrtime(),
             }
-          })
-        _.set(trades, [exchange, pair, 'trades'], temp)
+            if (exchange_status === 'F-FILLED') update_dict.close_time = Date.now()
+            this.update_order_info(exchange, pair, polled_order.type, polled_order.order_id, update_dict, note)
+            if (exchange_status === 'F-FILLED') {
+              setTimeout(() => {
+                this.delete_order_info(exchange, pair, polled_order.type, polled_order.order_id, note)
+              }, this.delete_finished_orders_timeout)
+            }
+          } else {
+            const update_dict = {
+              status: 'CANCELED',
+              f_amount: merged_filled_amount,
+              f_percentage: total_amount > 0 ? merged_filled_amount / total_amount : 0,
+              close_time: Date.now(),
+              event_hrtime: process.hrtime(),
+            }
+            this.update_order_info(exchange, pair, polled_order.type, polled_order.order_id, update_dict, note)
+            setTimeout(() => {
+              this.delete_order_info(exchange, pair, polled_order.type, polled_order.order_id, note)
+            }, this.delete_finished_orders_timeout)
+          }
+        }
       }
     }
-    this.process_trades(trades)
   }
   process_open_orders(open_orders) {
     for (let exchange of this.no_trades_function_exchanges) {
@@ -808,12 +851,17 @@ module.exports = class Orders {
     }
     for (let exchange in open_orders) {
       for (let pair in open_orders[exchange]) {
+        const snapshot_update_time = open_orders[exchange][pair].update_time ? new Date(open_orders[exchange][pair].update_time).getTime() : 0
         open_orders[exchange][pair].open_orders.map((order) => {
           if (_.get(this.order_info, [exchange, pair, order.type, order.order_id])) {
             let order_info = this.order_info[exchange][pair][order.type][order.order_id]
             if (!order_info) {
               return
             }
+            const cancel_after_snapshot = order_info.close_time && order_info.close_time > snapshot_update_time
+            if (!cancel_after_snapshot) {
+              this.log_terminal_divergence('open_orders', exchange, pair, order.order_id, order_info.status, 'N-FILLED')
+            }
             const order_f_amount = round_amount(exchange, pair, order.f_amount)
             const order_info_f_amount = round_amount(exchange, pair, order_info.f_amount)
             if (_.includes(['N-FILLED', 'P-FILLED'], order_info.status) && order_f_amount > order_info_f_amount && order_f_amount / order_info.t_amount > this.f_filled_threshold) {
@@ -1442,9 +1490,10 @@ module.exports = class Orders {
     }
     get_trades_all(this.Exchanges, this.exchange_pairs, this.interval_dict)
   }
-  check_query_order(exchange) {
+  check_query_order(exchange, order_types) {
     // const QUERY_ORDER_TIME_IN_MS = 30 * 60 * 1000
     const QUERY_ORDER_TIME_IN_MS = 0
+    const types = order_types && order_types.length > 0 ? order_types : ['maker_1']
     let query_order_handler = (exchange, pair, res) => {
       if (res.success) {
         _.set(this.query_order, [exchange, pair], { query_order: res.body, update_time: new Date() })
@@ -1457,7 +1506,7 @@ module.exports = class Orders {
     }
     let get_query_order_all = (Exchanges, exchange_pairs, interval_dict) => {
       let query_order = (exchange, pair) => {
-        let order_info = _.get(this.get_order_info_by_order_type(['maker_1']), [exchange, pair], {})
+        let order_info = _.get(this.get_order_info_by_order_type(types), [exchange, pair], {})
         let timeout = setTimeout(() => {
           query_order(exchange, pair)
         }, interval_dict[exchange].query_order)

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@icgio/icg-exchanges-wrapper",
-  "version": "1.21.4",
+  "version": "1.21.6",
   "description": "",
   "main": "index.js",
   "scripts": {