Merge pull request #455 from yakir4123/yakir/feat/delete-orders

feat(FutureExchange/order store): delete canceled / executed orders to avoid O(N) and O(N^2) loops

jesse/exchanges/sandbox/Sandbox.py

@@ -63,7 +63,7 @@ def stop_order(self, symbol: str, qty: float, price: float, side: str, reduce_on
 
     def cancel_all_orders(self, symbol: str) -> None:
         orders = filter(lambda o: o.is_new,
-                        store.orders.get_orders(self.name, symbol))
+                        store.orders.get_active_orders(self.name, symbol))
 
         for o in orders:
             o.cancel()

jesse/helpers.py

@@ -832,6 +832,7 @@ def today_to_timestamp() -> int:
     return arrow.utcnow().floor('day').int_timestamp * 1000
 
 
+@lru_cache
 def type_to_side(t: str) -> str:
     from jesse.enums import trade_types, sides
 

jesse/libs/dynamic_numpy_array/__init__.py

@@ -133,3 +133,13 @@ def append_multiple(self, items: np.ndarray) -> None:
             self.array = np_shift(self.array, -shift_num)
 
         self.array[self.index - len(items) + 1 : self.index + 1] = items
+
+    def delete(self, index: int, axis=None) -> None:
+        self.array = np.delete(self.array, index, axis=axis)
+        self.index -= 1
+        if self.index == -1:
+            new_bucket = np.zeros(self.shape)
+            self.array = np.concatenate((self.array, new_bucket), axis=0)
+
+
+

jesse/models/FuturesExchange.py

@@ -131,18 +131,17 @@ def on_order_execution(self, order: Order) -> None:
         base_asset = jh.base_asset(order.symbol)
 
         if not order.reduce_only:
+            order_array = np.array([order.qty, order.price])
             if order.side == sides.BUY:
-                # find and set order to [0, 0] (same as removing it)
-                for index, item in enumerate(self.buy_orders[base_asset]):
-                    if item[0] == order.qty and item[1] == order.price:
-                        self.buy_orders[base_asset][index] = np.array([0, 0])
-                        break
+                item_index = np.where(np.all(self.buy_orders[base_asset].array == order_array, axis=1))[0]
+                if len(item_index) > 0:
+                    index = item_index[0]
+                    self.buy_orders[base_asset].delete(index, axis=0)
             else:
-                # find and set order to [0, 0] (same as removing it)
-                for index, item in enumerate(self.sell_orders[base_asset]):
-                    if item[0] == order.qty and item[1] == order.price:
-                        self.sell_orders[base_asset][index] = np.array([0, 0])
-                        break
+                item_index = np.where(np.all(self.sell_orders[base_asset].array == order_array, axis=1))[0]
+                if len(item_index) > 0:
+                    index = item_index[0]
+                    self.sell_orders[base_asset].delete(index, axis=0)
 
     def on_order_cancellation(self, order: Order) -> None:
         if jh.is_livetrading():
@@ -153,20 +152,17 @@ def on_order_cancellation(self, order: Order) -> None:
         self.available_assets[base_asset] -= order.qty
         # self.available_assets[quote_asset] += order.qty * order.price
         if not order.reduce_only:
+            order_array = np.array([order.qty, order.price])
             if order.side == sides.BUY:
-                # find and set order to [0, 0] (same as removing it)
-                for index in range(len(self.buy_orders[base_asset]) - 1, -1, -1):
-                    item = self.buy_orders[base_asset][index]
-                    if item[0] == order.qty and item[1] == order.price:
-                        self.buy_orders[base_asset][index] = np.array([0, 0])
-                        break
+                item_index = np.where(np.all(self.buy_orders[base_asset].array == order_array, axis=1))[0]
+                if len(item_index) > 0:
+                    index = item_index[0]
+                    self.buy_orders[base_asset].delete(index, axis=0)
             else:
-                # find and set order to [0, 0] (same as removing it)
-                for index in range(len(self.sell_orders[base_asset]) - 1, -1, -1):
-                    item = self.sell_orders[base_asset][index]
-                    if item[0] == order.qty and item[1] == order.price:
-                        self.sell_orders[base_asset][index] = np.array([0, 0])
-                        break
+                item_index = np.where(np.all(self.sell_orders[base_asset].array == order_array, axis=1))[0]
+                if len(item_index) > 0:
+                    index = item_index[0]
+                    self.sell_orders[base_asset].delete(index, axis=0)
 
     def update_from_stream(self, data: dict) -> None:
         """