@icgio/icg-exchanges-wrapper 1.21.40 → 1.21.42

package/middleware/orders.js

@@ -174,6 +174,7 @@ module.exports = class Orders {
     this.f_filled_threshold = 0.999
     this.previous_orders_canceled = false
     this.previous_orders_canceled_exchange_pair = {}
+    this.previous_orders_cleanup = {}
     this.account_init = false
     this.cmc_curs = settings.cmc_curs || []
     this.accounting_benchmark = settings.accounting_benchmark
@@ -1211,46 +1212,117 @@ module.exports = class Orders {
   }
   check_open_orders() {
     const CANCEL_PREVIOUS_ORDERS_DELAY_MS = 60 * 1000
-    let previous_orders_processer = (exchange, pair, orders) => {
-      // no cancel previous orders
-      if (_.includes(this.no_cancel_previous_exchanges, exchange) && !this.previous_orders_canceled) {
-        _.set(this.previous_orders_canceled_exchange_pair, [exchange, pair], true)
+    let update_previous_orders_canceled = () => {
+      let all_canceled = true
+      outer: for (const exch of Object.keys(this.exchange_pairs)) {
+        const pairs = this.exchange_pairs[exch]
+        const exch_marks = this.previous_orders_canceled_exchange_pair[exch]
+        for (let i = 0; i < pairs.length; i++) {
+          if (!exch_marks || !exch_marks[pairs[i]]) {
+            all_canceled = false
+            break outer
+          }
+        }
       }
-      // cancel previous orders
-      else if (this.cancel_previous_orders && !this.previous_orders_canceled) {
-        if (this.cancel_previous_orders_with_delay) {
-          setTimeout(() => {
-            orders.map((order) => {
-              console.log('cancel original order with delay: %s %s %j', exchange, pair, order)
-              this.Exchanges[exchange].cancel_order_by_order(order, (res) => {})
-            })
-          }, CANCEL_PREVIOUS_ORDERS_DELAY_MS)
-          _.set(this.previous_orders_canceled_exchange_pair, [exchange, pair], true)
-        } else {
-          orders.map((order) => {
-            console.log('cancel original order: %s %s %j', exchange, pair, order)
-            this.Exchanges[exchange].cancel_order_by_order(order, (res) => {})
+      if (all_canceled && !this.previous_orders_canceled) {
+        console.log('original orders cleanup verified')
+      }
+      this.previous_orders_canceled = all_canceled
+    }
+    let complete_previous_orders_cleanup = (exchange, pair, state) => {
+      if (state.complete) return
+      state.complete = true
+      _.set(this.previous_orders_canceled_exchange_pair, [exchange, pair], true)
+      console.log('original orders cleanup verified: %s %s', exchange, pair)
+      update_previous_orders_canceled()
+    }
+    let cancel_previous_orders_for_pair = (exchange, pair, state) => {
+      if (!state.cancel_started || state.complete) return
+      const order_ids = Array.from(state.remaining_ids).filter((order_id) => !state.in_flight_ids.has(order_id))
+      if (order_ids.length === 0) return
+      console.log('canceling original orders: %s %s count=%s remaining=%s', exchange, pair, order_ids.length, state.remaining_ids.size)
+      order_ids.forEach((order_id) => {
+        state.in_flight_ids.add(order_id)
+        this.Exchanges[exchange].cancel_order_by_order(state.orders_by_id.get(order_id), (res) => {
+          state.in_flight_ids.delete(order_id)
+          if (!res || (!res.success && res.error !== 'order-not-open')) {
+            console.error('cancel original order failed: %s %s order_id=%s %j', exchange, pair, order_id, res)
+          }
+        })
+      })
+    }
+    let previous_orders_processer = (exchange, pair, orders) => {
+      if (!this.previous_orders_canceled) {
+        let state = _.get(this.previous_orders_cleanup, [exchange, pair])
+        if (!state && _.includes(this.no_cancel_previous_exchanges, exchange)) {
+          state = { complete: false }
+          _.set(this.previous_orders_cleanup, [exchange, pair], state)
+          complete_previous_orders_cleanup(exchange, pair, state)
+        } else if (!state && this.cancel_previous_orders) {
+          const orders_by_id = new Map()
+          let has_malformed_orders = false
+          orders.forEach((order) => {
+            if (!order || order.order_id == null || order.order_id === '') {
+              has_malformed_orders = true
+              console.error('original order missing order_id: %s %s %j', exchange, pair, order)
+              return
+            }
+            const order_id = String(order.order_id)
+            if (!orders_by_id.has(order_id)) orders_by_id.set(order_id, _.cloneDeep(order))
           })
-          if (orders.length === 0) {
-            _.set(this.previous_orders_canceled_exchange_pair, [exchange, pair], true)
+          state = {
+            orders_by_id,
+            remaining_ids: new Set(orders_by_id.keys()),
+            in_flight_ids: new Set(),
+            unexpected_ids: new Set(),
+            cancel_started: false,
+            has_malformed_orders,
+            complete: false,
           }
-        }
-        if (!this.previous_orders_canceled) {
-          let all_canceled = true
-          outer: for (const exch of Object.keys(this.exchange_pairs)) {
-            const pairs = this.exchange_pairs[exch]
-            const exch_marks = this.previous_orders_canceled_exchange_pair[exch]
-            for (let i = 0; i < pairs.length; i++) {
-              if (!exch_marks || !exch_marks[pairs[i]]) {
-                all_canceled = false
-                break outer
-              }
+          _.set(this.previous_orders_cleanup, [exchange, pair], state)
+          _.set(this.previous_orders_canceled_exchange_pair, [exchange, pair], false)
+          const delay_ms = this.cancel_previous_orders_with_delay ? CANCEL_PREVIOUS_ORDERS_DELAY_MS : 0
+          console.log('original orders captured: %s %s count=%s delay_ms=%s', exchange, pair, state.remaining_ids.size, delay_ms)
+          if (state.remaining_ids.size === 0 && !state.has_malformed_orders) {
+            complete_previous_orders_cleanup(exchange, pair, state)
+          } else {
+            const start_cancel = () => {
+              if (state.complete || state.cancel_started) return
+              state.cancel_started = true
+              cancel_previous_orders_for_pair(exchange, pair, state)
             }
+            if (delay_ms > 0) setTimeout(start_cancel, delay_ms)
+            else start_cancel()
+          }
+        } else if (state && !state.complete && state.remaining_ids) {
+          const live_ids = new Set()
+          state.has_malformed_orders = false
+          orders.forEach((order) => {
+            if (!order || order.order_id == null || order.order_id === '') state.has_malformed_orders = true
+            else live_ids.add(String(order.order_id))
+          })
+          const unexpected_ids = new Set(Array.from(live_ids).filter((order_id) => !state.orders_by_id.has(order_id)))
+          const unexpected_ids_changed =
+            unexpected_ids.size !== state.unexpected_ids.size || Array.from(unexpected_ids).some((order_id) => !state.unexpected_ids.has(order_id))
+          if (unexpected_ids.size > 0 && unexpected_ids_changed) {
+            console.error('unexpected orders during original cleanup: %s %s count=%s order_ids=%j', exchange, pair, unexpected_ids.size, Array.from(unexpected_ids).slice(0, 10))
+          }
+          state.unexpected_ids = unexpected_ids
+          const previous_remaining = state.remaining_ids.size
+          state.remaining_ids.forEach((order_id) => {
+            if (!live_ids.has(order_id)) {
+              state.remaining_ids.delete(order_id)
+              state.in_flight_ids.delete(order_id)
+            }
+          })
+          if (state.remaining_ids.size !== previous_remaining) {
+            console.log('original orders cleanup progress: %s %s remaining=%s', exchange, pair, state.remaining_ids.size)
           }
-          if (all_canceled) {
-            console.log('original order canceled')
+          if (state.remaining_ids.size === 0 && !state.has_malformed_orders && state.unexpected_ids.size === 0) {
+            complete_previous_orders_cleanup(exchange, pair, state)
+          } else if (state.cancel_started) {
+            cancel_previous_orders_for_pair(exchange, pair, state)
           }
-          this.previous_orders_canceled = all_canceled
         }
       }
       let rate_major = _.get(this.rates_combined_major, [pair])

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@icgio/icg-exchanges-wrapper",
-  "version": "1.21.40",
+  "version": "1.21.42",
   "description": "",
   "main": "index.js",
   "scripts": {
@@ -17,7 +17,7 @@
   },
   "homepage": "https://github.com/icgio/icg-exchanges-wrapper#readme",
   "dependencies": {
-    "@icgio/icg-exchanges": "^1.45.27",
+    "@icgio/icg-exchanges": "^1.45.29",
     "@icgio/icg-utils": "^1.9.64",
     "lodash": "^4.17.23",
     "pg": "^8.17.2"