bbgo: optimize order cancel for back-testing

Author: c9s

pkg/bbgo/activeorderbook.go

@@ -69,9 +69,14 @@ func (b *ActiveOrderBook) waitAllClear(ctx context.Context, waitTime, timeout ti
 
 // GracefulCancel cancels the active orders gracefully
 func (b *ActiveOrderBook) GracefulCancel(ctx context.Context, ex types.Exchange) error {
-	waitTime := CancelOrderWaitTime
+	// optimize order cancel for back-testing
+	if IsBackTesting {
+		orders := b.Orders()
+		return ex.CancelOrders(context.Background(), orders...)
+	}
 
 	log.Debugf("[ActiveOrderBook] gracefully cancelling %s orders...", b.Symbol)
+	waitTime := CancelOrderWaitTime
 
 	startTime := time.Now()
 	// ensure every order is cancelled

pkg/bbgo/environment.go

@@ -37,6 +37,16 @@ func init() {
 	rand.Seed(time.Now().UnixNano())
 }
 
+// IsBackTesting is a global variable that indicates the current environment is back-test or not.
+var IsBackTesting = false
+
+var BackTestService *service.BacktestService
+
+func SetBackTesting(s *service.BacktestService) {
+	BackTestService = s
+	IsBackTesting = true
+}
+
 var LoadedExchangeStrategies = make(map[string]SingleExchangeStrategy)
 var LoadedCrossExchangeStrategies = make(map[string]CrossExchangeStrategy)
 
@@ -69,18 +79,18 @@ const (
 
 // Environment presents the real exchange data layer
 type Environment struct {
-	DatabaseService          *service.DatabaseService
-	OrderService             *service.OrderService
-	TradeService             *service.TradeService
-	ProfitService            *service.ProfitService
-	PositionService          *service.PositionService
-	BacktestService          *service.BacktestService
-	RewardService            *service.RewardService
-	MarginService            *service.MarginService
-	SyncService              *service.SyncService
-	AccountService           *service.AccountService
-	WithdrawService          *service.WithdrawService
-	DepositService           *service.DepositService
+	DatabaseService *service.DatabaseService
+	OrderService    *service.OrderService
+	TradeService    *service.TradeService
+	ProfitService   *service.ProfitService
+	PositionService *service.PositionService
+	BacktestService *service.BacktestService
+	RewardService   *service.RewardService
+	MarginService   *service.MarginService
+	SyncService     *service.SyncService
+	AccountService  *service.AccountService
+	WithdrawService *service.WithdrawService
+	DepositService  *service.DepositService
 
 	// startTime is the time of start point (which is used in the backtest)
 	startTime time.Time
@@ -105,7 +115,7 @@ func NewEnvironment() *Environment {
 		sessions:      make(map[string]*ExchangeSession),
 		startTime:     now,
 
-		syncStatus:               SyncNotStarted,
+		syncStatus: SyncNotStarted,
 	}
 }
 

pkg/cmd/backtest.go

@@ -160,6 +160,7 @@ var BacktestCmd = &cobra.Command{
 
 		backtestService := &service.BacktestService{DB: environ.DatabaseService.DB}
 		environ.BacktestService = backtestService
+		bbgo.SetBackTesting(backtestService)
 
 		if len(sessionName) > 0 {
 			userConfig.Backtest.Sessions = []string{sessionName}