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fix: handle execution report (chrisleekr#495)
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@chrisleekr
chrisleekr authored Aug 27, 2022
1 parent 5daea00 commit 74793d1
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Showing 3 changed files with 138 additions and 12 deletions.
35 changes: 27 additions & 8 deletions app/binance/user.js
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Original file line number Diff line number Diff line change
@@ -1,3 +1,4 @@
const { v4: uuidv4 } = require('uuid');
const _ = require('lodash');
const { binance } = require('../helpers');
const queue = require('../cronjob/trailingTradeHelper/queue');
Expand Down Expand Up @@ -52,8 +53,15 @@ const setupUserWebsocket = async logger => {
totalTradeQuantity,
orderTime: transactTime // Transaction time
} = evt;
logger.info(
{ symbol, evt, saveLog: true },

const symbolLogger = logger.child({
jobName: 'trailingTrade',
correlationId: uuidv4(),
symbol
});

symbolLogger.info(
{ evt, saveLog: true },
`There is a new update in order. ${orderId} - ${side} - ${orderStatus}`
);

Expand All @@ -72,10 +80,14 @@ const setupUserWebsocket = async logger => {
orderId !== lastOrder.orderId ||
transactTime < lastOrder.transactTime
) {
symbolLogger.info(
{ lastOrder, evt, saveLog: true },
'This order update is an old order. Do not update last grid trade order.'
);
return;
}

await updateGridTradeLastOrder(logger, symbol, side.toLowerCase(), {
const updatedOrder = {
...lastOrder,
status: orderStatus,
type: orderType,
Expand All @@ -88,13 +100,20 @@ const setupUserWebsocket = async logger => {
isWorking: isOrderWorking,
updateTime: eventTime,
transactTime
});
logger.info(
{ symbol, lastOrder, saveLog: true },
'The last order has been updated.'
};

await updateGridTradeLastOrder(
logger,
symbol,
side.toLowerCase(),
updatedOrder
);
symbolLogger.info(
{ lastOrder, updatedOrder, saveLog: true },
`The last order has been updated. ${orderId} - ${side} - ${orderStatus}`
);

queue.executeFor(logger, symbol);
queue.executeFor(symbolLogger, symbol);
}
};

Expand Down
72 changes: 69 additions & 3 deletions app/cronjob/trailingTrade/step/__tests__/ensure-grid-trade-order-executed.test.js
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Original file line number Diff line number Diff line change
Expand Up @@ -14,6 +14,7 @@ describe('ensure-grid-trade-order-executed.js', () => {
let mockIsExceedAPILimit;
let mockDisableAction;
let mockSaveOrderStats;
let mockRefreshOpenOrdersAndAccountInfo;

let mockSaveSymbolGridTrade;

Expand Down Expand Up @@ -46,6 +47,14 @@ describe('ensure-grid-trade-order-executed.js', () => {
mockIsExceedAPILimit = jest.fn().mockReturnValue(false);
mockDisableAction = jest.fn().mockResolvedValue(true);
mockSaveOrderStats = jest.fn().mockResolvedValue(true);
mockRefreshOpenOrdersAndAccountInfo = jest.fn().mockResolvedValue({
accountInfo: {
accountInfo: 'updated'
},
openOrders: [{ openOrders: 'retrieved' }],
buyOpenOrders: [{ buyOpenOrders: 'retrived' }],
sellOpenOrders: [{ sellOpenOrders: 'retrived' }]
});

mockSaveSymbolGridTrade = jest.fn().mockResolvedValue(true);

Expand All @@ -62,7 +71,8 @@ describe('ensure-grid-trade-order-executed.js', () => {
getAPILimit: mockGetAPILimit,
isExceedAPILimit: mockIsExceedAPILimit,
disableAction: mockDisableAction,
saveOrderStats: mockSaveOrderStats
saveOrderStats: mockSaveOrderStats,
refreshOpenOrdersAndAccountInfo: mockRefreshOpenOrdersAndAccountInfo
}));

jest.mock('../../../trailingTradeHelper/configuration', () => ({
Expand Down Expand Up @@ -148,6 +158,10 @@ describe('ensure-grid-trade-order-executed.js', () => {
expect(mockSaveOrderStats).not.toHaveBeenCalled();
});

it('does not trigger refreshOpenOrdersAndAccountInfo', () => {
expect(mockRefreshOpenOrdersAndAccountInfo).not.toHaveBeenCalled();
});

it('does not trigger slack.sendMessage', () => {
expect(slackMock.sendMessage).not.toHaveBeenCalled();
});
Expand Down Expand Up @@ -337,7 +351,9 @@ describe('ensure-grid-trade-order-executed.js', () => {
getAPILimit: mockGetAPILimit,
isExceedAPILimit: mockIsExceedAPILimit,
disableAction: mockDisableAction,
saveOrderStats: mockSaveOrderStats
saveOrderStats: mockSaveOrderStats,
refreshOpenOrdersAndAccountInfo:
mockRefreshOpenOrdersAndAccountInfo
}));

jest.mock('../../../trailingTradeHelper/configuration', () => ({
Expand Down Expand Up @@ -417,6 +433,13 @@ describe('ensure-grid-trade-order-executed.js', () => {
checkOrderExecutePeriod: 10,
temporaryDisableActionAfterConfirmingOrder: 20
}
},
openOrders: [],
buy: {
openOrders: []
},
sell: {
openOrders: []
}
};

Expand Down Expand Up @@ -448,6 +471,12 @@ describe('ensure-grid-trade-order-executed.js', () => {
it('does not trigger saveOrderStats', () => {
expect(mockSaveOrderStats).not.toHaveBeenCalled();
});

it('does not trigger refreshOpenOrdersAndAccountInfo', () => {
expect(
mockRefreshOpenOrdersAndAccountInfo
).not.toHaveBeenCalled();
});
} else if (t.lastBuyOrder.status.includes('FILLED')) {
// do filled thing
it('triggers calculated last buy price as order filled', () => {
Expand Down Expand Up @@ -488,6 +517,13 @@ describe('ensure-grid-trade-order-executed.js', () => {
);
});

it('triggers refreshOpenOrdersAndAccountInfo as order filled', () => {
expect(mockRefreshOpenOrdersAndAccountInfo).toHaveBeenCalledWith(
loggerMock,
t.symbol
);
});

it('triggers PubSub.publish for check-open-orders channel', () => {
expect(PubSubMock.publish).toHaveBeenCalledWith(
'check-open-orders',
Expand Down Expand Up @@ -551,6 +587,13 @@ describe('ensure-grid-trade-order-executed.js', () => {
]);
});

it('triggers refreshOpenOrdersAndAccountInfo due to cancelled order', () => {
expect(mockRefreshOpenOrdersAndAccountInfo).toHaveBeenCalledWith(
loggerMock,
t.symbol
);
});

if (t.notifyOrderExecute === true) {
it('triggers slack.sendMessage due to cancelled order', () => {
expect(slackMock.sendMessage).toHaveBeenCalledWith(
Expand Down Expand Up @@ -760,7 +803,9 @@ describe('ensure-grid-trade-order-executed.js', () => {
getAPILimit: mockGetAPILimit,
isExceedAPILimit: mockIsExceedAPILimit,
disableAction: mockDisableAction,
saveOrderStats: mockSaveOrderStats
saveOrderStats: mockSaveOrderStats,
refreshOpenOrdersAndAccountInfo:
mockRefreshOpenOrdersAndAccountInfo
}));

jest.mock('../../../trailingTradeHelper/configuration', () => ({
Expand Down Expand Up @@ -840,6 +885,13 @@ describe('ensure-grid-trade-order-executed.js', () => {
checkOrderExecutePeriod: 10,
temporaryDisableActionAfterConfirmingOrder: 20
}
},
openOrders: [],
buy: {
openOrders: []
},
sell: {
openOrders: []
}
};

Expand Down Expand Up @@ -885,6 +937,13 @@ describe('ensure-grid-trade-order-executed.js', () => {
);
});

it('triggers refreshOpenOrdersAndAccountInfo as order filled', () => {
expect(mockRefreshOpenOrdersAndAccountInfo).toHaveBeenCalledWith(
loggerMock,
t.symbol
);
});

it('triggers disableAction as order filled', () => {
expect(mockDisableAction).toHaveBeenCalledWith(
loggerMock,
Expand Down Expand Up @@ -944,6 +1003,13 @@ describe('ensure-grid-trade-order-executed.js', () => {
]);
});

it('triggers refreshOpenOrdersAndAccountInfo due to cancelled order', () => {
expect(mockRefreshOpenOrdersAndAccountInfo).toHaveBeenCalledWith(
loggerMock,
t.symbol
);
});

it('triggers slack.sendMessage due to cancelled order', () => {
expect(slackMock.sendMessage).toHaveBeenCalledWith(
expect.stringContaining('Order Removed'),
Expand Down
43 changes: 42 additions & 1 deletion app/cronjob/trailingTrade/step/ensure-grid-trade-order-executed.js
View file
Original file line number Diff line number Diff line change
Expand Up @@ -7,7 +7,8 @@ const {
getAPILimit,
isExceedAPILimit,
disableAction,
saveOrderStats
saveOrderStats,
refreshOpenOrdersAndAccountInfo
} = require('../../trailingTradeHelper/common');

const {
Expand Down Expand Up @@ -228,6 +229,16 @@ const execute = async (logger, rawData) => {
// Remove grid trade last order
await removeGridTradeLastOrder(logger, symbols, symbol, 'buy');

const {
accountInfo,
openOrders: updatedOpenOrders,
buyOpenOrders
} = await refreshOpenOrdersAndAccountInfo(logger, symbol);

data.accountInfo = accountInfo;
data.openOrders = updatedOpenOrders;
data.buy.openOrders = buyOpenOrders;

slackMessageOrderFilled(
logger,
symbol,
Expand Down Expand Up @@ -261,6 +272,16 @@ const execute = async (logger, rawData) => {
// If order is no longer available, then delete from cache
await removeGridTradeLastOrder(logger, symbols, symbol, 'buy');

const {
accountInfo,
openOrders: updatedOpenOrders,
buyOpenOrders
} = await refreshOpenOrdersAndAccountInfo(logger, symbol);

data.accountInfo = accountInfo;
data.openOrders = updatedOpenOrders;
data.buy.openOrders = buyOpenOrders;

slackMessageOrderDeleted(
logger,
symbol,
Expand Down Expand Up @@ -291,6 +312,16 @@ const execute = async (logger, rawData) => {
// Remove grid trade last order
await removeGridTradeLastOrder(logger, symbols, symbol, 'sell');

const {
accountInfo,
openOrders: updatedOpenOrders,
sellOpenOrders
} = await refreshOpenOrdersAndAccountInfo(logger, symbol);

data.accountInfo = accountInfo;
data.openOrders = updatedOpenOrders;
data.sell.openOrders = sellOpenOrders;

slackMessageOrderFilled(
logger,
symbol,
Expand All @@ -315,6 +346,16 @@ const execute = async (logger, rawData) => {
// If order is no longer available, then delete from cache
await removeGridTradeLastOrder(logger, symbols, symbol, 'sell');

const {
accountInfo,
openOrders: updatedOpenOrders,
sellOpenOrders
} = await refreshOpenOrdersAndAccountInfo(logger, symbol);

data.accountInfo = accountInfo;
data.openOrders = updatedOpenOrders;
data.sell.openOrders = sellOpenOrders;

slackMessageOrderDeleted(
logger,
symbol,
Expand Down

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