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Hanging Orders Tracker

Introduction

This section of the tutorial provides an overview of the HangingOrdersTracker helper class designed to assist strategies with managing hanging orders. It automates a large part of the process, including renewing outdated orders and cancelling orders that have drifted too far from the market price.

Two examples of its usage can be found in the PureMarketMakingStrategy and the AvellanedaMarketMakingStrategy strategies.

Fundamental Concepts

An important fundamental concept to be aware of is that the tracker operates by maintaining a list of candidate hanging orders. This article will refer to that list as "the candidate list". Calling the update_strategy_orders_with_equivalent_orders method will perform a check that the candidate list is synchronized with the orders on the exchange and will effectively start tracking the hanging orders.

The most basic set of methods are the add_order and remove_order which respectively add and remove orders from the candidate list of hanging orders. However, the add_order function is most likely to be used in the initialization of the strategy, when hanging orders are retrieved from the database and registered with the tracker, while the remove_order function may not have to be used at all as the responsibility of removing tracked hanging orders is transferred to the tracker and automated away.

Registering the Tracker

During the initialization phase, the HangingOrdersTracker must be registered with the connectors used by the strategy in order to receive updates about the orders and perform its responsibilities. This is achieved by simply calling the register_events method and passing a list of the relevant connectors. When the strategy is being stopped, the tracker's unregister_events must be called to gracefully deregister the tracker from the connectors.

Hanging Orders Creation Flow

When creating new orders, use the method aptly named add_current_pairs_of_proposal_orders_executed_by_strategy to register the order pairs by passing them in as CreatedPairOfOrders. The tracker then starts listening for filled orders and updates the pairs accordingly.

Once the current cycle is over and the strategy is about to cancel the current orders and replace them with a new set, calling update_strategy_orders_with_equivalent_orders will detect hanging orders from the currently active CreatedPairOrders and add them to the candidate orders list. Subsequently, as mentioned in the Fundamental Concepts section, calling theupdate_strategy_orders_with_equivalent_orders method will ensure the integrity of the candidate orders list and start tracking the hanging orders.

After this step is performed, the strategy can proceed to cancelling the orders it wants to cancel as part of the current cycle termination process. It simply needs to ask the tracker if a given order is a hanging order by calling the is_order_id_in_hanging_orders method. If it is, the strategy doesn't need to worry about that order anymore. If it's not, then the strategy can proceed to cancelling it.

The Management Process

Finally, for the tracker to perform its tasks, the process_tick method must be called on every strategy tick. When the method is called, the HangingOrdersTracker performs two tasks: first, it removes hanging orders with extreme spreads; second, it renews orders that have passed the max order age. To enable renewing old orders, the strategy must implement the max_order_age attribute.


Last update: 2021-09-30
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