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Code Issues Releases Wiki Activity

Fixed orders getting incorrectly set to canceled state for UserDataTracker spot and futures orders

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This commit is contained in:
Jkorf 2026-02-11 11:44:32 +01:00
parent e151af8f37
commit 6560b82a3e
2 changed files with 76 additions and 9 deletions
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43
CryptoExchange.Net/Trackers/UserData/ItemTrackers/FuturesOrderTracker.cs
View File

@ -19,6 +19,7 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
private readonly IFuturesOrderSocketClient? _socketClient; private readonly IFuturesOrderSocketClient? _socketClient;
private readonly ExchangeParameters? _exchangeParameters; private readonly ExchangeParameters? _exchangeParameters;
private readonly bool _requiresSymbolParameterOpenOrders; private readonly bool _requiresSymbolParameterOpenOrders;
private readonly Dictionary<string, int> _openOrderNotReturnedTimes = new();
internal event Func<UpdateSource, SharedUserTrade[], Task>? OnTradeUpdate; internal event Func<UpdateSource, SharedUserTrade[], Task>? OnTradeUpdate;
@ -252,9 +253,37 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
} }
} }
if (!_firstPollDone && anyError)
return anyError;
// Check all current open orders
// Keep track of the orders no longer returned in the open list
// Order should be set to canceled state when it's no longer returned in the open list
// but also is not returned in the closed list
foreach (var order in Values.Where(x => x.Status == SharedOrderStatus.Open))
{
if (openOrders.Any(x => x.OrderId == order.OrderId))
continue;
if (!_openOrderNotReturnedTimes.ContainsKey(order.OrderId))
_openOrderNotReturnedTimes[order.OrderId] = 0;
_openOrderNotReturnedTimes[order.OrderId] += 1;
}
foreach (var symbol in _symbols.ToList()) foreach (var symbol in _symbols.ToList())
{ {
// Determine the timestamp from which we need to check order status
// Use the timestamp we last know the correct state of the data
var fromTimeOrders = _lastDataTimeBeforeDisconnect ?? _lastPollTime ?? _startTime; var fromTimeOrders = _lastDataTimeBeforeDisconnect ?? _lastPollTime ?? _startTime;
// If we're tracking open orders with a create time before this time we need to use that timestamp to make sure that order is included in the response
var trackedOrdersMinOpenTime = Values
.Where(x => x.Status == SharedOrderStatus.Open && x.SharedSymbol!.BaseAsset == symbol.BaseAsset && x.SharedSymbol.QuoteAsset == symbol.QuoteAsset)
.OrderBy(x => x.CreateTime)
.FirstOrDefault()?.CreateTime;
if (trackedOrdersMinOpenTime != null && trackedOrdersMinOpenTime < fromTimeOrders)
fromTimeOrders = trackedOrdersMinOpenTime.Value.AddMilliseconds(-1);
var updatedPollTime = DateTime.UtcNow; var updatedPollTime = DateTime.UtcNow;
var closedOrdersResult = await _restClient.GetClosedFuturesOrdersAsync(new GetClosedOrdersRequest(symbol, startTime: fromTimeOrders, exchangeParameters: _exchangeParameters)).ConfigureAwait(false); var closedOrdersResult = await _restClient.GetClosedFuturesOrdersAsync(new GetClosedOrdersRequest(symbol, startTime: fromTimeOrders, exchangeParameters: _exchangeParameters)).ConfigureAwait(false);
if (!closedOrdersResult.Success) if (!closedOrdersResult.Success)
@ -279,10 +308,16 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
// Check for orders which are no longer returned in either open/closed and assume they're canceled without fill // Check for orders which are no longer returned in either open/closed and assume they're canceled without fill
var openOrdersNotReturned = Values.Where(x => var openOrdersNotReturned = Values.Where(x =>
x.SharedSymbol!.BaseAsset == symbol.BaseAsset && x.SharedSymbol.QuoteAsset == symbol.QuoteAsset // Orders for the same symbol // Orders for the same symbol
&& x.QuantityFilled?.IsZero == true // With no filled value x.SharedSymbol!.BaseAsset == symbol.BaseAsset && x.SharedSymbol.QuoteAsset == symbol.QuoteAsset
&& !openOrders.Any(r => r.OrderId == x.OrderId) // Not returned in open orders // With no filled value
&& !relevantOrders.Any(r => r.OrderId == x.OrderId) // Not return in closed orders && x.QuantityFilled?.IsZero == true
// Not returned in open orders
&& !openOrders.Any(r => r.OrderId == x.OrderId)
// Not returned in closed orders
&& !relevantOrders.Any(r => r.OrderId == x.OrderId)
// Open order has not been returned in the open list at least 2 times
&& (_openOrderNotReturnedTimes.TryGetValue(x.OrderId, out var notReturnedTimes) ? notReturnedTimes >= 2 : false)
).ToList(); ).ToList();
var additionalUpdates = new List<SharedFuturesOrder>(); var additionalUpdates = new List<SharedFuturesOrder>();

40
CryptoExchange.Net/Trackers/UserData/ItemTrackers/SpotOrderTracker.cs
View File

@ -19,6 +19,7 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
private readonly ISpotOrderSocketClient? _socketClient; private readonly ISpotOrderSocketClient? _socketClient;
private readonly ExchangeParameters? _exchangeParameters; private readonly ExchangeParameters? _exchangeParameters;
private readonly bool _requiresSymbolParameterOpenOrders; private readonly bool _requiresSymbolParameterOpenOrders;
private readonly Dictionary<string, int> _openOrderNotReturnedTimes = new();
internal event Func<UpdateSource, SharedUserTrade[], Task>? OnTradeUpdate; internal event Func<UpdateSource, SharedUserTrade[], Task>? OnTradeUpdate;
@ -266,9 +267,34 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
if (!_firstPollDone && anyError) if (!_firstPollDone && anyError)
return anyError; return anyError;
// Check all current open orders
// Keep track of the orders no longer returned in the open list
// Order should be set to canceled state when it's no longer returned in the open list
// but also is not returned in the closed list
foreach (var order in Values.Where(x => x.Status == SharedOrderStatus.Open))
{
if (openOrders.Any(x => x.OrderId == order.OrderId))
continue;
if (!_openOrderNotReturnedTimes.ContainsKey(order.OrderId))
_openOrderNotReturnedTimes[order.OrderId] = 0;
_openOrderNotReturnedTimes[order.OrderId] += 1;
}
foreach (var symbol in _symbols.ToList()) foreach (var symbol in _symbols.ToList())
{ {
// Determine the timestamp from which we need to check order status
// Use the timestamp we last know the correct state of the data
var fromTimeOrders = _lastDataTimeBeforeDisconnect ?? _lastPollTime ?? _startTime; var fromTimeOrders = _lastDataTimeBeforeDisconnect ?? _lastPollTime ?? _startTime;
// If we're tracking open orders with a create time before this time we need to use that timestamp to make sure that order is included in the response
var trackedOrdersMinOpenTime = Values
.Where(x => x.Status == SharedOrderStatus.Open && x.SharedSymbol!.BaseAsset == symbol.BaseAsset && x.SharedSymbol.QuoteAsset == symbol.QuoteAsset)
.OrderBy(x => x.CreateTime)
.FirstOrDefault()?.CreateTime;
if (trackedOrdersMinOpenTime != null && trackedOrdersMinOpenTime < fromTimeOrders)
fromTimeOrders = trackedOrdersMinOpenTime.Value.AddMilliseconds(-1);
var updatedPollTime = DateTime.UtcNow; var updatedPollTime = DateTime.UtcNow;
var closedOrdersResult = await _restClient.GetClosedSpotOrdersAsync(new GetClosedOrdersRequest(symbol, startTime: fromTimeOrders, exchangeParameters: _exchangeParameters)).ConfigureAwait(false); var closedOrdersResult = await _restClient.GetClosedSpotOrdersAsync(new GetClosedOrdersRequest(symbol, startTime: fromTimeOrders, exchangeParameters: _exchangeParameters)).ConfigureAwait(false);
if (!closedOrdersResult.Success) if (!closedOrdersResult.Success)
@ -293,10 +319,16 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
// Check for orders which are no longer returned in either open/closed and assume they're canceled without fill // Check for orders which are no longer returned in either open/closed and assume they're canceled without fill
var openOrdersNotReturned = Values.Where(x => var openOrdersNotReturned = Values.Where(x =>
x.SharedSymbol!.BaseAsset == symbol.BaseAsset && x.SharedSymbol.QuoteAsset == symbol.QuoteAsset // Orders for the same symbol // Orders for the same symbol
&& x.QuantityFilled?.IsZero == true // With no filled value x.SharedSymbol!.BaseAsset == symbol.BaseAsset && x.SharedSymbol.QuoteAsset == symbol.QuoteAsset
&& !openOrders.Any(r => r.OrderId == x.OrderId) // Not returned in open orders // With no filled value
&& !relevantOrders.Any(r => r.OrderId == x.OrderId) // Not return in closed orders && x.QuantityFilled?.IsZero == true
// Not returned in open orders
&& !openOrders.Any(r => r.OrderId == x.OrderId)
// Not returned in closed orders
&& !relevantOrders.Any(r => r.OrderId == x.OrderId)
// Open order has not been returned in the open list at least 2 times
&& (_openOrderNotReturnedTimes.TryGetValue(x.OrderId, out var notReturnedTimes) ? notReturnedTimes >= 2 : false)
).ToList(); ).ToList();
var additionalUpdates = new List<SharedSpotOrder>(); var additionalUpdates = new List<SharedSpotOrder>();