hummingbot / hummingbot

Open source software that helps you create and deploy high-frequency crypto trading bots
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V2 strategy - Market orders to close executor are stuck on hummingbot resulting to "Waiting for close order to be filled" #6980

Open rapcmia opened 5 months ago

rapcmia commented 5 months ago

Describe the bug

When testing directional_trading.bollinger_v1 on development using binance_perpetual as connector with couple of controllers added to script config, observed that there are instances of when we are closing a position executor (or atleast run stop command when there are active executors) the market orders created are stuck on hummingbot and waiting for close order to be filled.. when these are already completed on exchange

# stop command initiated 
2024-04-24 14:17:45,124 - 33577 - hummingbot.client.hummingbot_application - INFO - stop command initiated.
2024-04-24 14:17:45,126 - 33577 - hummingbot.strategy.script_strategy_base - INFO - Creating BAKE-USDT buy order: price: NaN amount: 54.
2024-04-24 14:17:45,129 - 33577 - hummingbot.strategy.script_strategy_base - INFO - (BAKE-USDT) Canceling the limit order x-3QreWesySBEUT616d17608dda30f3f. [clock=2024-04-24 06:17:45+00:00]
2024-04-24 14:17:45,129 - 33577 - hummingbot.strategy.script_strategy_base - INFO - Creating BAKE-USDT buy order: price: NaN amount: 54.
2024-04-24 14:17:45,130 - 33577 - hummingbot.strategy.script_strategy_base - INFO - Creating BAKE-USDT buy order: price: NaN amount: 54.
2024-04-24 14:17:45,130 - 33577 - hummingbot.strategy.script_strategy_base - INFO - (BAKE-USDT) Canceling the limit order x-3QreWesySBEUT616d17d4b97720f3f. [clock=2024-04-24 06:17:45+00:00]
2024-04-24 14:17:45,130 - 33577 - hummingbot.strategy.script_strategy_base - INFO - Creating BAKE-USDT buy order: price: NaN amount: 54.
2024-04-24 14:17:45,130 - 33577 - hummingbot.strategy.script_strategy_base - INFO - Creating BAKE-USDT buy order: price: NaN amount: 54.
2024-04-24 14:17:45,130 - 33577 - hummingbot.strategy.script_strategy_base - INFO - (BAKE-USDT) Canceling the limit order x-3QreWesySBEUT616d1848991da0f3f. [clock=2024-04-24 06:17:45+00:00]
2024-04-24 14:17:45,298 - 33577 - hummingbot.connector.client_order_tracker - INFO - The BUY order x-3QreWesyBBEUT616d1a0fc47c50f3f amounting to 54/54 BAKE has been filled.
2024-04-24 14:17:45,299 - 33577 - hummingbot.core.event.event_reporter - EVENT_LOG - {"timestamp": 1713939465.0, "order_id": "x-3QreWesyBBEUT616d1a0fc47c50f3f", "trading_pair": "BAKE-USDT", "trade_type": "TradeType.BUY", "order_type": "OrderType.MARKET", "price": "0.2722", "amount": "54", "trade_fee": {"percent": "0", "percent_token": "USDT", "flat_fees": [{"token": "USDT", "amount": "0.00734940"}]}, "exchange_trade_id": "267605111", "exchange_order_id": "6730401681", "leverage": 20, "position": "CLOSE", "event_name": "OrderFilledEvent", "event_source": "binance_perpetual"}
2024-04-24 14:17:45,314 - 33577 - hummingbot.connector.client_order_tracker - INFO - Created MARKET BUY order x-3QreWesyBBEUT616d1a0fc47c50f3f for 54 to CLOSE a BAKE-USDT position.
2024-04-24 14:17:45,314 - 33577 - hummingbot.core.event.event_reporter - EVENT_LOG - {"timestamp": 1713939465.0, "type": "OrderType.MARKET", "trading_pair": "BAKE-USDT", "amount": "54", "price": "NaN", "order_id": "x-3QreWesyBBEUT616d1a0fc47c50f3f", "creation_timestamp": 1713939465.0, "exchange_order_id": "6730401681", "leverage": 20, "position": "CLOSE", "event_name": "BuyOrderCreatedEvent", "event_source": "binance_perpetual"}
2024-04-24 14:17:45,317 - 33577 - hummingbot.core.event.event_reporter - EVENT_LOG - {"timestamp": 1713939465.0, "order_id": "x-3QreWesyBBEUT616d1a0fc47c50f3f", "base_asset": "BAKE", "quote_asset": "USDT", "base_asset_amount": "54", "quote_asset_amount": "14.6988", "order_type": "OrderType.MARKET", "exchange_order_id": "6730401681", "event_name": "BuyOrderCompletedEvent", "event_source": "binance_perpetual"}
2024-04-24 14:17:45,320 - 33577 - hummingbot.connector.client_order_tracker - INFO - BUY order x-3QreWesyBBEUT616d1a0fc47c50f3f completely filled.
2024-04-24 14:17:46,084 - 33577 - hummingbot.smart_components.executors.position_executor.position_executor - INFO - Waiting for close order to be filled --> Filled amount: 0 | Open amount: 54
2024-04-24 14:17:46,084 - 33577 - hummingbot.smart_components.executors.position_executor.position_executor - INFO - Waiting for close order to be filled --> Filled amount: 0 | Open amount: 54
2024-04-24 14:17:46,084 - 33577 - hummingbot.smart_components.executors.position_executor.position_executor - INFO - Waiting for close order to be filled --> Filled amount: 0 | Open amount: 54
2024-04-24 14:17:46,085 - 33577 - hummingbot.smart_components.executors.position_executor.position_executor - INFO - Waiting for close order to be filled --> Filled amount: 0 | Open amount: 54
2024-04-24 14:17:47,582 - 33577 - hummingbot.connector.client_order_tracker - INFO - Created MARKET BUY order x-3QreWesyBBEUT616d1a0fc50c20f3f for 54 to CLOSE a BAKE-USDT position.
2024-04-24 14:17:47,584 - 33577 - hummingbot.core.event.event_reporter - EVENT_LOG - {"timestamp": NaN, "type": "OrderType.MARKET", "trading_pair": "BAKE-USDT", "amount": "54", "price": "NaN", "order_id": "x-3QreWesyBBEUT616d1a0fc50c20f3f", "creation_timestamp": 1713939465.0, "exchange_order_id": "6730401790", "leverage": 20, "position": "CLOSE", "event_name": "BuyOrderCreatedEvent", "event_source": "binance_perpetual"}
2024-04-24 14:17:47,585 - 33577 - hummingbot.connector.client_order_tracker - INFO - Created MARKET BUY order x-3QreWesyBBEUT616d1a0fc505a0f3f for 54 to CLOSE a BAKE-USDT position.
2024-04-24 14:17:47,585 - 33577 - hummingbot.core.event.event_reporter - EVENT_LOG - {"timestamp": NaN, "type": "OrderType.MARKET", "trading_pair": "BAKE-USDT", "amount": "54", "price": "NaN", "order_id": "x-3QreWesyBBEUT616d1a0fc505a0f3f", "creation_timestamp": 1713939465.0, "exchange_order_id": "6730401794", "leverage": 20, "position": "CLOSE", "event_name": "BuyOrderCreatedEvent", "event_source": "binance_perpetual"}
2024-04-24 14:17:47,588 - 33577 - hummingbot.connector.client_order_tracker - INFO - Created MARKET BUY order x-3QreWesyBBEUT616d1a0fc51c00f3f for 54 to CLOSE a BAKE-USDT position.
2024-04-24 14:17:47,588 - 33577 - hummingbot.core.event.event_reporter - EVENT_LOG - {"timestamp": NaN, "type": "OrderType.MARKET", "trading_pair": "BAKE-USDT", "amount": "54", "price": "NaN", "order_id": "x-3QreWesyBBEUT616d1a0fc51c00f3f", "creation_timestamp": 1713939465.0, "exchange_order_id": "6730401797", "leverage": 20, "position": "CLOSE", "event_name": "BuyOrderCreatedEvent", "event_source": "binance_perpetual"}
2024-04-24 14:17:47,631 - 33577 - hummingbot.connector.client_order_tracker - INFO - Created MARKET BUY order x-3QreWesyBBEUT616d1a0fc516c0f3f for 54 to CLOSE a BAKE-USDT position.
2024-04-24 14:17:47,631 - 33577 - hummingbot.core.event.event_reporter - EVENT_LOG - {"timestamp": NaN, "type": "OrderType.MARKET", "trading_pair": "BAKE-USDT", "amount": "54", "price": "NaN", "order_id": "x-3QreWesyBBEUT616d1a0fc516c0f3f", "creation_timestamp": 1713939465.0, "exchange_order_id": "6730401805", "leverage": 20, "position": "CLOSE", "event_name": "BuyOrderCreatedEvent", "event_source": "binance_perpetual"}
2024-04-24 14:17:48,087 - 33577 - hummingbot.smart_components.executors.position_executor.position_executor - INFO - Waiting for close order to be filled --> Filled amount: 0 | Open amount: 54
2024-04-24 14:17:48,087 - 33577 - hummingbot.smart_components.executors.position_executor.position_executor - INFO - Waiting for close order to be filled --> Filled amount: 0 | Open amount: 54
2024-04-24 14:17:48,087 - 33577 - hummingbot.smart_components.executors.position_executor.position_executor - INFO - Waiting for close order to be filled --> Filled amount: 0 | Open amount: 54
2024-04-24 14:17:48,087 - 33577 - hummingbot.smart_components.executors.position_executor.position_executor - INFO - Waiting for close order to be filled --> Filled amount: 0 | Open amount: 54
2024-04-24 14:17:50,089 - 33577 - hummingbot.smart_components.executors.position_executor.position_executor - INFO - Waiting for close order to be filled --> Filled amount: 0 | Open amount: 54
2024-04-24 14:17:50,089 - 33577 - hummingbot.smart_components.executors.position_executor.position_executor - INFO - Waiting for close order to be filled --> Filled amount: 0 | Open amount: 54
2024-04-24 14:17:50,089 - 33577 - hummingbot.smart_components.executors.position_executor.position_executor - INFO - Waiting for close order to be filled --> Filled amount: 0 | Open amount: 54
2024-04-24 14:17:50,089 - 33577 - hummingbot.smart_components.executors.position_executor.position_executor - INFO - Waiting for close order to be filled --> Filled amount: 0 | Open amount: 54
2024-04-24 14:17:52,092 - 33577 - hummingbot.smart_components.executors.position_executor.position_executor - INFO - Waiting for close order to be filled --> Filled amount: 0 | Open amount: 54
2024-04-24 14:17:52,092 - 33577 - hummingbot.smart_components.executors.position_executor.position_executor - INFO - Waiting for close order to be filled --> Filled amount: 0 | Open amount: 54
2024-04-24 14:17:52,092 - 33577 - hummingbot.smart_components.executors.position_executor.position_executor - INFO - Waiting for close order to be filled --> Filled amount: 0 | Open amount: 54
2024-04-24 14:17:52,092 - 33577 - hummingbot.smart_components.executors.position_executor.position_executor - INFO - Waiting for close order to be filled --> Filled amount: 0 | Open amount: 54
2024-04-24 14:17:54,093 - 33577 - hummingbot.smart_components.executors.position_executor.position_executor - INFO - Waiting for close order to be filled --> Filled amount: 0 | Open amount: 54
2024-04-24 14:17:54,094 - 33577 - hummingbot.smart_components.executors.position_executor.position_executor - INFO - Waiting for close order to be filled --> Filled amount: 0 | Open amount: 54
2024-04-24 14:17:54,095 - 33577 - hummingbot.smart_components.executors.position_executor.position_executor - INFO - Waiting for close order to be filled --> Filled amount: 0 | Open amount: 54
2024-04-24 14:17:54,095 - 33577 - hummingbot.smart_components.executors.position_executor.position_executor - INFO - Waiting for close order to be filled --> Filled amount: 0 | Open amount: 54
2024-04-24 14:17:56,097 - 33577 - hummingbot.smart_components.executors.position_executor.position_executor - INFO - Waiting for close order to be filled --> Filled amount: 0 | Open amount: 54
2024-04-24 14:17:56,097 - 33577 - hummingbot.smart_components.executors.position_executor.position_executor - INFO - Waiting for close order to be filled --> Filled amount: 0 | Open amount: 54
2024-04-24 14:17:56,097 - 33577 - hummingbot.smart_components.executors.position_executor.position_executor - INFO - Waiting for close order to be filled --> Filled amount: 0 | Open amount: 54
2024-04-24 14:17:56,097 - 33577 - hummingbot.smart_components.executors.position_executor.position_executor - INFO - Waiting for close order to be filled --> Filled amount: 0 | Open amount: 54
2024-04-24 14:17:58,100 - 33577 - hummingbot.smart_components.executors.position_executor.position_executor - INFO - 
# trimmed, please see attached log file 

Steps to reproduce

  1. Setup v2 strategy with 2-3 controllers on script using perpetual connectors
  2. Start and observe when closing a position executor using market order, you can setup any of the controllers with:
    • Setup take_profit_order_type to 1 (market order type) with tight take_profit
    • Wait for time_limit
    • Execute stop command
  3. Observe behavior when closing the position executor

Release version

dev-1.27.0

Type of installation

Source

Attach required files

04242024.zip

rapcmia commented 4 months ago

Reproduced when testing dydx_v4 connector (oneway mode, hedge not supported)

2024-05-10 19:28:12,028 - 5142 - hummingbot.strategy.script_strategy_base - INFO - Creating LINK-USD sell order: price: 14.2965 amount: 0.6994718987164690658552792642.
2024-05-10 19:28:14,442 - 5142 - hummingbot.connector.client_order_tracker - INFO - Created MARKET SELL order 864108787 for 0 to OPEN a LINK-USD position.
2024-05-10 19:28:14,443 - 5142 - hummingbot.core.event.event_reporter - EVENT_LOG - {"timestamp": 1715340494.0, "type": "OrderType.MARKET", "trading_pair": "LINK-USD", "amount": "0", "price": "14.2965", "order_id": "864108787", "creation_timestamp": 1715340492.0, "exchange_order_id": null, "leverage": 20, "position": "OPEN", "event_name": "SellOrderCreatedEvent", "event_source": "dydx_v4_perpetual"}
2024-05-10 19:28:16,052 - 5142 - hummingbot.core.event.event_reporter - EVENT_LOG - {"timestamp": 1715340496.0, "order_id": "864108787", "base_asset": "LINK", "quote_asset": "USD", "base_asset_amount": "0", "quote_asset_amount": "0", "order_type": "OrderType.MARKET", "exchange_order_id": "cf334570-8374-5bde-bbf6-696b08bb1586", "event_name": "SellOrderCompletedEvent", "event_source": "dydx_v4_perpetual"}
2024-05-10 19:28:16,052 - 5142 - hummingbot.connector.client_order_tracker - INFO - SELL order 864108787 completely filled.
2024-05-10 19:28:16,052 - 5142 - hummingbot.connector.client_order_tracker - INFO - The SELL order 864108787 amounting to 1/0 LINK has been filled.
2024-05-10 19:28:16,053 - 5142 - hummingbot.core.event.event_reporter - EVENT_LOG - {"timestamp": 1715340496.0, "order_id": "864108787", "trading_pair": "LINK-USD", "trade_type": "TradeType.SELL", "order_type": "OrderType.MARKET", "price": "14.298", "amount": "1", "trade_fee": {"percent": "0", "percent_token": "USD", "flat_fees": [{"token": "USD", "amount": "0.007149"}]}, "exchange_trade_id": "5aa35da7-b994-56dd-9b47-0bfcbd393aac", "exchange_order_id": "cf334570-8374-5bde-bbf6-696b08bb1586", "leverage": 20, "position": "OPEN", "event_name": "OrderFilledEvent", "event_source": "dydx_v4_perpetual"}
2024-05-10 19:31:00,397 - 5142 - hummingbot.strategy.script_strategy_base - INFO - Creating LINK-USD buy order: price: 14.2835 amount: 0.7001085168201071166030734764.
2024-05-10 19:31:02,801 - 5142 - hummingbot.connector.client_order_tracker - INFO - Created MARKET BUY order 1032477151 for 0 to OPEN a LINK-USD position.
2024-05-10 19:31:02,805 - 5142 - hummingbot.core.event.event_reporter - EVENT_LOG - {"timestamp": 1715340662.0, "type": "OrderType.MARKET", "trading_pair": "LINK-USD", "amount": "0", "price": "14.2835", "order_id": "1032477151", "creation_timestamp": 1715340660.0, "exchange_order_id": null, "leverage": 20, "position": "OPEN", "event_name": "BuyOrderCreatedEvent", "event_source": "dydx_v4_perpetual"}
2024-05-10 19:31:04,367 - 5142 - hummingbot.connector.client_order_tracker - INFO - The BUY order 1032477151 amounting to 1/0 LINK has been filled.
2024-05-10 19:31:04,367 - 5142 - hummingbot.core.event.event_reporter - EVENT_LOG - {"timestamp": 1715340664.0, "order_id": "1032477151", "trading_pair": "LINK-USD", "trade_type": "TradeType.BUY", "order_type": "OrderType.MARKET", "price": "14.284", "amount": "1", "trade_fee": {"percent": "0", "percent_token": "USD", "flat_fees": [{"token": "USD", "amount": "0.007142"}]}, "exchange_trade_id": "75f4fa33-d5f7-5bb1-aaf0-e60e31af3787", "exchange_order_id": "9e131492-88c3-57b6-ab9a-b558130f245c", "leverage": 20, "position": "OPEN", "event_name": "OrderFilledEvent", "event_source": "dydx_v4_perpetual"}
2024-05-10 19:31:04,378 - 5142 - hummingbot.core.event.event_reporter - EVENT_LOG - {"timestamp": 1715340664.0, "order_id": "1032477151", "base_asset": "LINK", "quote_asset": "USD", "base_asset_amount": "1", "quote_asset_amount": "14.284", "order_type": "OrderType.MARKET", "exchange_order_id": "9e131492-88c3-57b6-ab9a-b558130f245c", "event_name": "BuyOrderCompletedEvent", "event_source": "dydx_v4_perpetual"}
2024-05-10 19:31:04,382 - 5142 - hummingbot.connector.client_order_tracker - INFO - BUY order 1032477151 completely filled.

logs_conf_v2_generic_with_controllers_1.log

cardosofede commented 4 months ago

If you are in one way mode, you can’t open long and short at the same time. The long will reduce the short always. Which strategy are you using?

On Fri, 10 May 2024 at 8:49 AM rapcmia @.***> wrote:

Reproduced when testing dydx_v4 connector https://github.com/hummingbot/hummingbot/pull/6987 (oneway mode, hedge not supported)

2024-05-10 19:28:12,028 - 5142 - hummingbot.strategy.script_strategy_base - INFO - Creating LINK-USD sell order: price: 14.2965 amount: 0.6994718987164690658552792642. 2024-05-10 19:28:14,442 - 5142 - hummingbot.connector.client_order_tracker - INFO - Created MARKET SELL order 864108787 for 0 to OPEN a LINK-USD position. 2024-05-10 19:28:14,443 - 5142 - hummingbot.core.event.event_reporter - EVENT_LOG - {"timestamp": 1715340494.0, "type": "OrderType.MARKET", "trading_pair": "LINK-USD", "amount": "0", "price": "14.2965", "order_id": "864108787", "creation_timestamp": 1715340492.0, "exchange_order_id": null, "leverage": 20, "position": "OPEN", "event_name": "SellOrderCreatedEvent", "event_source": "dydx_v4_perpetual"} 2024-05-10 19:28:16,052 - 5142 - hummingbot.core.event.event_reporter - EVENT_LOG - {"timestamp": 1715340496.0, "order_id": "864108787", "base_asset": "LINK", "quote_asset": "USD", "base_asset_amount": "0", "quote_asset_amount": "0", "order_type": "OrderType.MARKET", "exchange_order_id": "cf334570-8374-5bde-bbf6-696b08bb1586", "event_name": "SellOrderCompletedEvent", "event_source": "dydx_v4_perpetual"} 2024-05-10 19:28:16,052 - 5142 - hummingbot.connector.client_order_tracker - INFO - SELL order 864108787 completely filled. 2024-05-10 19:28:16,052 - 5142 - hummingbot.connector.client_order_tracker - INFO - The SELL order 864108787 amounting to 1/0 LINK has been filled. 2024-05-10 19:28:16,053 - 5142 - hummingbot.core.event.event_reporter - EVENT_LOG - {"timestamp": 1715340496.0, "order_id": "864108787", "trading_pair": "LINK-USD", "trade_type": "TradeType.SELL", "order_type": "OrderType.MARKET", "price": "14.298", "amount": "1", "trade_fee": {"percent": "0", "percent_token": "USD", "flat_fees": [{"token": "USD", "amount": "0.007149"}]}, "exchange_trade_id": "5aa35da7-b994-56dd-9b47-0bfcbd393aac", "exchange_order_id": "cf334570-8374-5bde-bbf6-696b08bb1586", "leverage": 20, "position": "OPEN", "event_name": "OrderFilledEvent", "event_source": "dydx_v4_perpetual"} 2024-05-10 19:31:00,397 - 5142 - hummingbot.strategy.script_strategy_base - INFO - Creating LINK-USD buy order: price: 14.2835 amount: 0.7001085168201071166030734764. 2024-05-10 19:31:02,801 - 5142 - hummingbot.connector.client_order_tracker - INFO - Created MARKET BUY order 1032477151 for 0 to OPEN a LINK-USD position. 2024-05-10 19:31:02,805 - 5142 - hummingbot.core.event.event_reporter - EVENT_LOG - {"timestamp": 1715340662.0, "type": "OrderType.MARKET", "trading_pair": "LINK-USD", "amount": "0", "price": "14.2835", "order_id": "1032477151", "creation_timestamp": 1715340660.0, "exchange_order_id": null, "leverage": 20, "position": "OPEN", "event_name": "BuyOrderCreatedEvent", "event_source": "dydx_v4_perpetual"} 2024-05-10 19:31:04,367 - 5142 - hummingbot.connector.client_order_tracker - INFO - The BUY order 1032477151 amounting to 1/0 LINK has been filled. 2024-05-10 19:31:04,367 - 5142 - hummingbot.core.event.event_reporter - EVENT_LOG - {"timestamp": 1715340664.0, "order_id": "1032477151", "trading_pair": "LINK-USD", "trade_type": "TradeType.BUY", "order_type": "OrderType.MARKET", "price": "14.284", "amount": "1", "trade_fee": {"percent": "0", "percent_token": "USD", "flat_fees": [{"token": "USD", "amount": "0.007142"}]}, "exchange_trade_id": "75f4fa33-d5f7-5bb1-aaf0-e60e31af3787", "exchange_order_id": "9e131492-88c3-57b6-ab9a-b558130f245c", "leverage": 20, "position": "OPEN", "event_name": "OrderFilledEvent", "event_source": "dydx_v4_perpetual"} 2024-05-10 19:31:04,378 - 5142 - hummingbot.core.event.event_reporter - EVENT_LOG - {"timestamp": 1715340664.0, "order_id": "1032477151", "base_asset": "LINK", "quote_asset": "USD", "base_asset_amount": "1", "quote_asset_amount": "14.284", "order_type": "OrderType.MARKET", "exchange_order_id": "9e131492-88c3-57b6-ab9a-b558130f245c", "event_name": "BuyOrderCompletedEvent", "event_source": "dydx_v4_perpetual"} 2024-05-10 19:31:04,382 - 5142 - hummingbot.connector.client_order_tracker - INFO - BUY order 1032477151 completely filled.

  • Got an opportunity to open short position
  • After few secs, got another to open for long position but instead it closes the short position
  • Now no position opened but we have active executor displayed on status
  • Execute stop command: image.png (view on web) https://github.com/hummingbot/hummingbot/assets/73840223/e185898b-d16d-4702-99e4-b0acd6e74c7a
    • If the executor reaches the time_limit or stop command executed, it creates a market order only on the hummingbot client. This order does not have exchange_order_id
    • The executor stuck on a endless loop of Waiting for close order to be filled...
    • Repeats itself every 2s

logs_conf_v2_generic_with_controllers_1.log https://github.com/hummingbot/hummingbot/files/15274587/logs_conf_v2_generic_with_controllers_1.log

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rapcmia commented 4 months ago

Hi @cardosofede thanks for the reply, its the same bollinger_v1 controller-config

rapcmia commented 4 months ago

If you are in one way mode, you can’t open long and short at the same time. The long will reduce the short always.

I think this is something to do with my bb thresholds, set values are too tight therefore when it has opportunity to go either long or short, it immediate creates market orders

bb_long_threshold: 0.5
bb_short_threshold: 0.7