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catch numerous race conditions in mutate sticky logic
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@askmike
askmike committed Apr 19, 2019
1 parent a143345 commit 114012d
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Showing 2 changed files with 136 additions and 30 deletions.
4 changes: 4 additions & 0 deletions exchange/orders/states.js
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Original file line number Diff line number Diff line change
Expand Up @@ -12,6 +12,10 @@ const states = {
OPEN: 'OPEN',


CHECKING: 'CHECKING',

CHECKED: 'CHECKED',

// the orders below indicate a fully completed order


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162 changes: 132 additions & 30 deletions exchange/orders/sticky.js
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Original file line number Diff line number Diff line change
Expand Up @@ -36,6 +36,9 @@ class StickyOrder extends BaseOrder {
if(_.isFunction(this.api.outbidPrice)) {
this.outbidPrice = this.api.outbidPrice.bind(this.api);
}

this.debug = this.api.name === 'Deribit2';
this.log = m => this.debug && console.log(new Date, m);
}

create(side, rawAmount, params = {}) {
Expand Down Expand Up @@ -222,36 +225,49 @@ class StickyOrder extends BaseOrder {
delete this.orders[this.id];

// register new order
this.log(`${this.side} old id: ${this.id} new id: ${id}`);
this.id = id;

this.orders[id] = {
price: this.price,
filled: 0
}

this.emit('new order', this.id);
this.emit('movelimit handled', new Date);

this.status = states.OPEN;
this.emitStatus();

this.scheduleNextCheck();
}

scheduleNextCheck() {

// remove lock
this.sticking = false;

initiateDefferedAction() {
// check whether we had an action pending
if(this.cancelling) {
return this.cancel();
this.cancel();
return true;
}

if(this.movingLimit) {
return this.moveLimit();
if(this.movingLimit && this.moveLimit()) {
return true;
}

if(this.movingAmount) {
return this.moveAmount();
this.moveAmount();
return true;
}

return false;
}

scheduleNextCheck() {

// remove lock
this.sticking = false;

if(this.initiateDefferedAction()) {
return;
}

// register check
Expand All @@ -262,12 +278,46 @@ class StickyOrder extends BaseOrder {
checkOrder() {

if(this.completed || this.completing) {
return console.log(new Date, 'checkOrder called on completed/completing order..', this.completed, this.completing);
return console.log(new Date, this.side, 'checkOrder called on completed/completing order..', this.completed, this.completing);
}

if(this.status === states.MOVING) {
return console.log(new Date, this.side, 'refusing to check, in the middle of move');
}

if(this.initiateDefferedAction()) {
console.log(new Date, this.side, 'skipping check logic, better things to do - 0');
return;
}

this.sticking = true;
const checkId = this.id;

this.api.checkOrder(this.id, (err, result) => {

if(!this.debug) {
if(this.ignoreCheckResult) {
this.log(this.side + ' debug ignoring check result');
this.ignoreCheckResult = false;
return;
}
}

if(this.status === states.MOVING) {
this.log(`${this.side} ${this.id} debug ignoring check result - in the middle of move`);
this.ignoreCheckResult = false;
return;
}

if(checkId !== this.id) {
this.log(this.side + ' debug got check on old id ' + checkId + ', ' + this.id);
this.ignoreCheckResult = false;
return;
}

this.status = states.CHECKED;
this.emitStatus();

if(this.handleError(err)) {
console.log(new Date, 'checkOrder error');
return;
Expand All @@ -286,22 +336,38 @@ class StickyOrder extends BaseOrder {
return;
}

if(this.initiateDefferedAction()) {
console.log(new Date, this.side, 'skipping check ticker logic, better things to do 1');
return;
}

this.api.getTicker((err, ticker) => {
if(this.handleError(err)) {
console.log(new Date, 'getTicker error');
return;
}

if(this.initiateDefferedAction()) {
console.log(new Date, this.side, 'skipping check ticker logic, better things to do 2');
return;
}

if(this.status === states.MOVING) {
this.log(`${this.side} ${this.id} debug ignoring check result - in the middle of move ---- 2`);
this.ignoreCheckResult = false;
return;
}

this.ticker = ticker;
this.emit('ticker', ticker);

const bookSide = this.side === 'buy' ? 'bid' : 'ask';
// note: might be string VS float
if(ticker[bookSide] != this.price) {
return this.move(this.calculatePrice(ticker));
} else {
this.scheduleNextCheck();
}

this.scheduleNextCheck();
});

return;
Expand All @@ -313,9 +379,9 @@ class StickyOrder extends BaseOrder {

if(!result.executed) {
// not open and not executed means it never hit the book
this.status = states.REJECTED;
this.emitStatus();
this.finish();
console.log(this.side, this.status, this.id, 'not open not executed!', result);
this.rejected();
throw 'a';
return;
}

Expand All @@ -324,6 +390,10 @@ class StickyOrder extends BaseOrder {
this.emit('fill', this.amount);
this.filled(this.price);
});


this.status = states.CHECKING;
this.emitStatus();
}

// global error handler
Expand Down Expand Up @@ -382,14 +452,20 @@ class StickyOrder extends BaseOrder {
this.status = states.MOVING;
this.emitStatus();

this.api.cancelOrder(this.id, (err, filled, data) => {
this.log(`${this.side} ${this.id} this.move 1`);

const cancelId = this.id;

this.api.cancelOrder(cancelId, (err, filled, data) => {
this.log(`${this.side} ${this.id} this.move 2`);

if(this.handleError(err)) {
console.log(new Date, 'error move');
return;
}

// it got filled before we could cancel
if(this.handleCancel(filled, data)) {
if(cancelId === this.id && this.handleCancel(filled, data)) {
return;
}

Expand All @@ -416,6 +492,10 @@ class StickyOrder extends BaseOrder {

if(!limit) {
limit = this.moveLimitTo;
// console.log(new Date, this.side, 'debug resuming move!');
} else {
this.limitRequested = new Date;
this.log(this.side + ' received move limit');
}

if(this.limit === this.roundPrice(limit)) {
Expand All @@ -427,34 +507,56 @@ class StickyOrder extends BaseOrder {
return false;
}

this.emit('movelimit', new Date);

if(
this.status === states.INITIALIZING ||
this.status === states.SUBMITTED ||
this.status === states.MOVING ||
this.status === states.CHECKING ||
this.sticking
) {
this.moveLimitTo = limit;
this.movingLimit = true;
return true;

if(
!this.api.fillDataOnCancel ||
this.status === states.MOVING ||
this.status === states.SUBMITTED
) {
// console.log(new Date, '[sticky]', this.side, 'skipping because:', this.status);
this.moveLimitTo = limit;
this.movingLimit = true;
return false;
}
}

this.limit = this.roundPrice(limit);

clearTimeout(this.timeout);

this.movingLimit = false;

if(this.side === 'buy' && this.limit < this.price) {
this.sticking = true;
this.move(this.limit);
} else if(this.side === 'sell' && this.limit > this.price) {
const moveBuy = this.side === 'buy' && this.limit < this.price;
const moveSell = this.side === 'sell' && this.limit > this.price;

if(moveBuy || moveSell) {
this.sticking = true;
clearTimeout(this.timeout);

if(this.api.fillDataOnCancel && this.status === states.CHECKING) {
this.log(this.side + 'debug move overwrites running check ' + this.status + ' ' + this.id);
this.ignoreCheckResult = true;
}

this.log(this.side + ' moving ' + this.id);

const timeToMove = new Date - this.limitRequested;
if(timeToMove > 300) {
console.log(new Date, this.side, 'long time to move:', timeToMove);
}
this.move(this.limit);
} else {
this.scheduleNextCheck();

return true;
}

return true;
this.emit('movelimit handled', new Date);
return false;
}

moveAmount(amount) {
Expand Down

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