850 lines
23 KiB
Go
850 lines
23 KiB
Go
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package okex
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import (
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"bytes"
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"context"
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"crypto/hmac"
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"crypto/sha256"
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"encoding/base64"
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"encoding/json"
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"errors"
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"fmt"
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"io"
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"net/http"
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"net/url"
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"sort"
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"strconv"
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"strings"
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"sync"
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"time"
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"git.qtrade.icu/coin-quant/exchange"
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"git.qtrade.icu/coin-quant/exchange/okex/api/account"
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"git.qtrade.icu/coin-quant/exchange/okex/api/market"
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"git.qtrade.icu/coin-quant/exchange/okex/api/public"
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"git.qtrade.icu/coin-quant/exchange/okex/api/trade"
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"git.qtrade.icu/coin-quant/exchange/ws"
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. "git.qtrade.icu/coin-quant/trademodel"
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"github.com/gorilla/websocket"
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log "github.com/sirupsen/logrus"
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)
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var (
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background = context.Background()
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ApiAddr = "https://www.okx.com/"
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WSOkexPUbilc = "wss://wsaws.okx.com:8443/ws/v5/public"
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WSOkexPrivate = "wss://wsaws.okx.com:8443/ws/v5/private"
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TypeSPOT = "SPOT" //币币
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TypeMARGIN = "MARGIN" // 币币杠杆
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TypeSWAP = "SWAP" //永续合约
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TypeFUTURES = "FUTURES" //交割合约
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TypeOption = "OPTION" //期权
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PosNetMode = "net_mode"
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PosLongShortMode = "long_short_mode"
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)
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var _ exchange.Exchange = &OkxTrader{}
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func init() {
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exchange.RegisterExchange("okx", NewOkexExchange)
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}
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type OkxTrader struct {
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Name string
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tradeApi *trade.ClientWithResponses
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marketApi *market.ClientWithResponses
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publicApi *public.ClientWithResponses
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accountApi *account.ClientWithResponses
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tradeCb exchange.WatchFn
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positionCb exchange.WatchFn
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balanceCb exchange.WatchFn
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depthCb exchange.WatchFn
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tradeMarketCb exchange.WatchFn
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klineCb exchange.WatchFn
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closeCh chan bool
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cfg *OKEXConfig
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klineLimit int
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wsUser *ws.WSConn
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wsPublic *ws.WSConn
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ordersCache sync.Map
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stopOrdersCache sync.Map
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posMode string
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watchPublics []OPParam
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instType string
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timeout time.Duration
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symbols map[string]Symbol
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}
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func NewOkexExchange(cfg exchange.Config, cltName string) (e exchange.Exchange, err error) {
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b, err := NewOkxTrader(cfg, cltName)
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if err != nil {
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return
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}
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e = b
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return
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}
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func NewOkxTrader(cfg exchange.Config, cltName string) (b *OkxTrader, err error) {
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b = new(OkxTrader)
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b.Name = "okx"
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b.instType = "SWAP"
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if cltName == "" {
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cltName = "okx"
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}
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b.symbols = make(map[string]Symbol)
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b.klineLimit = 100
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b.timeout = time.Second * 10
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var okxCfg OKEXConfig
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err = cfg.UnmarshalKey(fmt.Sprintf("exchanges.%s", cltName), &okxCfg)
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if err != nil {
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return nil, err
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}
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b.cfg = &okxCfg
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// isDebug := cfg.GetBool(fmt.Sprintf("exchanges.%s.debug", cltName))
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if b.cfg.TdMode == "" {
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b.cfg.TdMode = "isolated"
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}
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log.Infof("okex %s, tdMode: %s, isTest: %t", cltName, b.cfg.TdMode, b.cfg.IsTest)
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b.closeCh = make(chan bool)
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b.tradeApi, err = trade.NewClientWithResponses(ApiAddr)
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if err != nil {
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return
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}
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b.marketApi, err = market.NewClientWithResponses(ApiAddr)
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if err != nil {
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return
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}
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b.publicApi, err = public.NewClientWithResponses(ApiAddr)
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if err != nil {
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return
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}
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b.accountApi, err = account.NewClientWithResponses(ApiAddr)
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if err != nil {
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return
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}
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clientProxy := cfg.GetString("proxy")
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if clientProxy != "" {
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var proxyURL *url.URL
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proxyURL, err = url.Parse(clientProxy)
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if err != nil {
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return
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}
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clt := b.tradeApi.ClientInterface.(*trade.Client).Client.(*http.Client)
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*clt = http.Client{Transport: &http.Transport{Proxy: http.ProxyURL(proxyURL)}}
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clt = b.marketApi.ClientInterface.(*market.Client).Client.(*http.Client)
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*clt = http.Client{Transport: &http.Transport{Proxy: http.ProxyURL(proxyURL)}}
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clt = b.publicApi.ClientInterface.(*public.Client).Client.(*http.Client)
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*clt = http.Client{Transport: &http.Transport{Proxy: http.ProxyURL(proxyURL)}}
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clt = b.accountApi.ClientInterface.(*account.Client).Client.(*http.Client)
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*clt = http.Client{Transport: &http.Transport{Proxy: http.ProxyURL(proxyURL)}}
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websocket.DefaultDialer.Proxy = http.ProxyURL(proxyURL)
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websocket.DefaultDialer.HandshakeTimeout = time.Second * 60
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}
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_, err = b.Symbols()
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if err != nil {
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return nil, err
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}
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if b.cfg.ApiKey != "" {
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err = b.getAccountConfig()
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}
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return
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}
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func (b *OkxTrader) Info() exchange.ExchangeInfo {
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info := exchange.ExchangeInfo{
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Name: "okx",
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Value: "okx",
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Desc: "okx api",
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KLineLimit: exchange.FetchLimit{
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Limit: b.klineLimit,
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},
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}
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return info
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}
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func (b *OkxTrader) SetInstType(instType string) {
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b.instType = instType
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}
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func (b *OkxTrader) auth(ctx context.Context, req *http.Request) (err error) {
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var temp []byte
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if req.Method != "GET" {
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temp, err = io.ReadAll(req.Body)
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if err != nil {
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return
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}
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req.Body.Close()
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buf := bytes.NewBuffer(temp)
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req.Body = io.NopCloser(buf)
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} else {
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if req.URL.RawQuery != "" {
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temp = []byte(fmt.Sprintf("?%s", req.URL.RawQuery))
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}
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}
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var signStr string
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tmStr := time.Now().UTC().Format("2006-01-02T15:04:05.000Z")
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signStr = fmt.Sprintf("%s%s%s%s", tmStr, req.Method, req.URL.Path, string(temp))
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h := hmac.New(sha256.New, []byte(b.cfg.SecretKey))
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h.Write([]byte(signStr))
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ret := h.Sum(nil)
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n := base64.StdEncoding.EncodedLen(len(ret))
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dst := make([]byte, n)
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base64.StdEncoding.Encode(dst, ret)
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sign := string(dst)
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req.Header.Set("Content-Type", "application/json")
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req.Header.Set("OK-ACCESS-KEY", b.cfg.ApiKey)
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req.Header.Set("OK-ACCESS-SIGN", sign)
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req.Header.Set("OK-ACCESS-TIMESTAMP", tmStr)
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req.Header.Set("OK-ACCESS-PASSPHRASE", b.cfg.Passphrase)
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return
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}
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func (b *OkxTrader) Start() (err error) {
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fmt.Println("start okx")
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err = b.runPublic()
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if err != nil {
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return
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}
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err = b.runPrivate()
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if err != nil {
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return
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}
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fmt.Println("start okx finished")
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return
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}
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func (b *OkxTrader) Stop() (err error) {
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b.wsPublic.Close()
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b.wsUser.Close()
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close(b.closeCh)
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return
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}
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func (b *OkxTrader) customReq(ctx context.Context, req *http.Request) error {
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if b.cfg.IsTest {
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req.Header.Set("x-simulated-trading", "1")
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}
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return nil
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}
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func (b *OkxTrader) getAccountConfig() (err error) {
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ctx, cancel := context.WithTimeout(background, b.timeout)
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defer cancel()
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resp, err := b.accountApi.GetApiV5AccountConfigWithResponse(ctx, b.auth, b.customReq)
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if err != nil {
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return err
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}
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var accountCfg AccountConfig
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err = json.Unmarshal(resp.Body, &accountCfg)
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if err != nil {
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return err
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}
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if accountCfg.Code != "0" {
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err = fmt.Errorf("[%s]%s", accountCfg.Code, accountCfg.Msg)
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return
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}
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// long_short_mode：双向持仓 net_mode：单向持仓
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// 仅适用交割/永续
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b.posMode = accountCfg.Data[0].PosMode
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log.Infof("posMode: %s", b.posMode)
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if b.posMode != PosNetMode {
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log.Warnf("account posmode is %s, stop order will failed if no position", b.posMode)
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}
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return nil
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}
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// KlineChan get klines
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func (b *OkxTrader) GetKline(symbol, bSize string, start, end time.Time) (data []*Candle, err error) {
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// fmt.Println("GetKline:", symbol, bSize, start, end)
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nStart := start.Unix() * 1000
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nEnd := end.UnixMilli()
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tempEnd := nEnd
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var resp *market.GetApiV5MarketHistoryCandlesResponse
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var startStr, endStr string
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ctx, cancel := context.WithTimeout(background, time.Second*3)
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startStr = strconv.FormatInt(nStart, 10)
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tempEnd = nStart + 100*60*1000
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if tempEnd > nEnd {
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tempEnd = nEnd
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}
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endStr = strconv.FormatInt(tempEnd, 10)
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var params = market.GetApiV5MarketHistoryCandlesParams{InstId: symbol, Bar: &bSize, Before: &startStr, After: &endStr}
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resp, err = b.marketApi.GetApiV5MarketHistoryCandlesWithResponse(ctx, ¶ms, b.customReq)
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cancel()
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if err != nil {
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return
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}
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data, err = parseCandles(resp)
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if err != nil {
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if strings.Contains(err.Error(), "Requests too frequent.") {
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err = fmt.Errorf("requests too frequent %w", exchange.ErrRetry)
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}
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return
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}
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sort.Slice(data, func(i, j int) bool {
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return data[i].Start < data[j].Start
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})
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return
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}
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func (b *OkxTrader) Watch(param exchange.WatchParam, fn exchange.WatchFn) (err error) {
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symbol := param.Param["symbol"]
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log.Info("okex watch:", param)
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switch param.Type {
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case exchange.WatchTypeCandle:
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var p = OPParam{
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OP: "subscribe",
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Args: []interface{}{
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OPArg{Channel: "candle1m", InstType: b.instType, InstID: symbol},
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},
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}
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b.klineCb = fn
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b.watchPublics = append(b.watchPublics, p)
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err = b.wsPublic.WriteMsg(p)
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case exchange.WatchTypeDepth:
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var p = OPParam{
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OP: "subscribe",
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Args: []interface{}{
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OPArg{Channel: "books5", InstType: b.instType, InstID: symbol},
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},
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}
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b.depthCb = fn
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b.watchPublics = append(b.watchPublics, p)
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err = b.wsPublic.WriteMsg(p)
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case exchange.WatchTypeTradeMarket:
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var p = OPParam{
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OP: "subscribe",
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Args: []interface{}{
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OPArg{Channel: "trades", InstType: b.instType, InstID: symbol},
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},
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}
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b.tradeMarketCb = fn
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b.watchPublics = append(b.watchPublics, p)
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err = b.wsPublic.WriteMsg(p)
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case exchange.WatchTypeTrade:
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b.tradeCb = fn
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case exchange.WatchTypePosition:
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b.positionCb = fn
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err = b.fetchBalanceAndPosition()
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case exchange.WatchTypeBalance:
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b.balanceCb = fn
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err = b.fetchBalanceAndPosition()
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default:
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err = fmt.Errorf("unknown wath param: %s", param.Type)
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}
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return
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}
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func (b *OkxTrader) fetchBalanceAndPosition() (err error) {
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|
|
err = b.fetchBalance()
|
|||
|
|
if err != nil {
|
|||
|
|
return err
|
|||
|
|
}
|
|||
|
|
err = b.fetchPosition()
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
func (b *OkxTrader) fetchPosition() (err error) {
|
|||
|
|
ctx, cancel := context.WithTimeout(background, b.timeout)
|
|||
|
|
defer cancel()
|
|||
|
|
var params = account.GetApiV5AccountPositionsParams{InstType: &b.instType}
|
|||
|
|
resp, err := b.accountApi.GetApiV5AccountPositionsWithResponse(ctx, ¶ms, b.auth, b.customReq)
|
|||
|
|
if err != nil {
|
|||
|
|
return err
|
|||
|
|
}
|
|||
|
|
if b.positionCb == nil {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
var data AccountPositionResp
|
|||
|
|
err = json.Unmarshal(resp.Body, &data)
|
|||
|
|
if err != nil {
|
|||
|
|
return err
|
|||
|
|
}
|
|||
|
|
for _, v := range data.Data {
|
|||
|
|
var pos Position
|
|||
|
|
pos.Hold = parseFloat(v.Pos)
|
|||
|
|
pos.Price = parseFloat(v.AvgPx)
|
|||
|
|
pos.Symbol = v.InstID
|
|||
|
|
if pos.Hold > 0 {
|
|||
|
|
pos.Type = Long
|
|||
|
|
} else {
|
|||
|
|
pos.Type = Short
|
|||
|
|
}
|
|||
|
|
pos.ProfitRatio = parseFloat(v.UplRatio)
|
|||
|
|
if pos.Hold == 0 {
|
|||
|
|
log.Warnf("fetch position return 0: %s", string(resp.Body))
|
|||
|
|
continue
|
|||
|
|
}
|
|||
|
|
b.positionCb(&pos)
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
func (b *OkxTrader) fetchBalance() (err error) {
|
|||
|
|
ctx, cancel := context.WithTimeout(background, b.timeout)
|
|||
|
|
defer cancel()
|
|||
|
|
var ccy = "USDT"
|
|||
|
|
var param = account.GetApiV5AccountBalanceParams{Ccy: &ccy}
|
|||
|
|
resp, err := b.accountApi.GetApiV5AccountBalanceWithResponse(ctx, ¶m, b.auth, b.customReq)
|
|||
|
|
if err != nil {
|
|||
|
|
return err
|
|||
|
|
}
|
|||
|
|
if b.balanceCb == nil {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
var balance AccountBalanceResp
|
|||
|
|
err = json.Unmarshal(resp.Body, &balance)
|
|||
|
|
if err != nil {
|
|||
|
|
return err
|
|||
|
|
}
|
|||
|
|
for _, v := range balance.Data {
|
|||
|
|
for _, d := range v.Details {
|
|||
|
|
if d.Ccy == ccy {
|
|||
|
|
var bal Balance
|
|||
|
|
bal.Available = parseFloat(d.AvailBal)
|
|||
|
|
bal.Balance = parseFloat(d.CashBal)
|
|||
|
|
bal.Currency = ccy
|
|||
|
|
bal.Frozen = parseFloat(d.OrdFrozen)
|
|||
|
|
b.balanceCb(&bal)
|
|||
|
|
break
|
|||
|
|
}
|
|||
|
|
}
|
|||
|
|
}
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
func (b *OkxTrader) processStopOrder(act TradeAction) (ret *Order, err error) {
|
|||
|
|
ctx, cancel := context.WithTimeout(background, b.timeout)
|
|||
|
|
defer cancel()
|
|||
|
|
var side, posSide string
|
|||
|
|
// open: side = posSide, close: side!=posSide
|
|||
|
|
if act.Action.IsLong() {
|
|||
|
|
side = "buy"
|
|||
|
|
posSide = "short"
|
|||
|
|
} else {
|
|||
|
|
side = "sell"
|
|||
|
|
posSide = "long"
|
|||
|
|
}
|
|||
|
|
reduceOnly := true
|
|||
|
|
var orderPx = "-1"
|
|||
|
|
triggerPx := fmt.Sprintf("%f", act.Price)
|
|||
|
|
// PostApiV5TradeOrderAlgoJSONBody defines parameters for PostApiV5TradeOrderAlgo.
|
|||
|
|
params := trade.PostApiV5TradeOrderAlgoJSONBody{
|
|||
|
|
// 非必填<br>保证金币种，如：USDT<br>仅适用于单币种保证金模式下的全仓杠杆订单
|
|||
|
|
// Ccy *string `json:"ccy,omitempty"`
|
|||
|
|
|
|||
|
|
// 必填<br>产品ID，如：`BTC-USDT`
|
|||
|
|
InstId: act.Symbol,
|
|||
|
|
|
|||
|
|
// 必填<br>订单类型。<br>`conditional`：单向止盈止损<br>`oco`：双向止盈止损<br>`trigger`：计划委托<br>`iceberg`：冰山委托<br>`twap`：时间加权委托
|
|||
|
|
OrdType: "conditional",
|
|||
|
|
|
|||
|
|
// 非必填<br>委托价格<br>委托价格为-1时，执行市价委托<br>适用于`计划委托`
|
|||
|
|
OrderPx: &orderPx,
|
|||
|
|
|
|||
|
|
// 可选<br>持仓方向<br>在双向持仓模式下必填，且仅可选择 `long` 或 `short`
|
|||
|
|
PosSide: &posSide,
|
|||
|
|
|
|||
|
|
// 非必填<br>挂单限制价<br>适用于`冰山委托`和`时间加权委托`
|
|||
|
|
// PxLimit *string `json:"pxLimit,omitempty"`
|
|||
|
|
|
|||
|
|
// 非必填<br>距离盘口的比例价距<br>适用于`冰山委托`和`时间加权委托`
|
|||
|
|
// PxSpread *string `json:"pxSpread,omitempty"`
|
|||
|
|
|
|||
|
|
// 非必填<br>距离盘口的比例<br>pxVar和pxSpread只能传入一个<br>适用于`冰山委托`和`时间加权委托`
|
|||
|
|
// PxVar *string `json:"pxVar,omitempty"`
|
|||
|
|
|
|||
|
|
// 非必填<br>是否只减仓，`true` 或 `false`，默认`false`
|
|||
|
|
// 仅适用于币币杠杆，以及买卖模式下的交割/永续
|
|||
|
|
ReduceOnly: &reduceOnly,
|
|||
|
|
|
|||
|
|
// 必填<br>订单方向。买：`buy` 卖：`sell`
|
|||
|
|
Side: side,
|
|||
|
|
|
|||
|
|
// 非必填<br>止损委托价，如果填写此参数，必须填写止损触发价<br>委托价格为-1时，执行市价止损<br>适用于`止盈止损委托`
|
|||
|
|
SlOrdPx: &orderPx,
|
|||
|
|
|
|||
|
|
// 非必填<br>止损触发价，如果填写此参数，必须填写止损委托价<br>适用于`止盈止损委托`
|
|||
|
|
SlTriggerPx: &triggerPx,
|
|||
|
|
|
|||
|
|
// 必填<br>委托数量
|
|||
|
|
Sz: fmt.Sprintf("%d", int(act.Amount)),
|
|||
|
|
|
|||
|
|
// 非必填<br>单笔数量<br>适用于`冰山委托`和`时间加权委托`
|
|||
|
|
// SzLimit *string `json:"szLimit,omitempty"`
|
|||
|
|
|
|||
|
|
// 必填<br>交易模式<br>保证金模式：`isolated`：逐仓 ；`cross`<br>全仓非保证金模式：`cash`：非保证金
|
|||
|
|
TdMode: b.cfg.TdMode,
|
|||
|
|
|
|||
|
|
// 非必填<br>市价单委托数量的类型<br>交易货币：`base_ccy`<br>计价货币：`quote_ccy`<br>仅适用于币币订单
|
|||
|
|
// TgtCcy *string `json:"tgtCcy,omitempty"`
|
|||
|
|
|
|||
|
|
// 非必填<br>挂单限制价<br>适用于`时间加权委托`
|
|||
|
|
// TimeInterval *string `json:"timeInterval,omitempty"`
|
|||
|
|
|
|||
|
|
// 非必填<br>止盈委托价，如果填写此参数，必须填写止盈触发价<br>委托价格为-1时，执行市价止盈<br>适用于`止盈止损委托`
|
|||
|
|
// TpOrdPx ,
|
|||
|
|
|
|||
|
|
// 非必填<br>止盈触发价，如果填写此参数，必须填写止盈委托价<br>适用于`止盈止损委托`
|
|||
|
|
// TpTriggerPx *string `json:"tpTriggerPx,omitempty"`
|
|||
|
|
|
|||
|
|
// 非必填<br>计划委托触发价格<br>适用于`计划委托`
|
|||
|
|
// TriggerPx *string `json:"triggerPx,omitempty"`
|
|||
|
|
}
|
|||
|
|
if b.posMode == PosNetMode {
|
|||
|
|
params.PosSide = nil
|
|||
|
|
}
|
|||
|
|
resp, err := b.tradeApi.PostApiV5TradeOrderAlgoWithResponse(ctx, params, b.auth, b.customReq)
|
|||
|
|
if err != nil {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
orders, err := parsePostAlgoOrders(act.Symbol, "open", side, act.Price, act.Amount, resp.Body)
|
|||
|
|
if err != nil {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
if len(orders) != 1 {
|
|||
|
|
err = fmt.Errorf("orders len not match: %#v", orders)
|
|||
|
|
log.Warnf(err.Error())
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
ret = orders[0]
|
|||
|
|
ret.Remark = "stop"
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
func (b *OkxTrader) CancelOrder(old *Order) (order *Order, err error) {
|
|||
|
|
_, ok := b.ordersCache.Load(old.OrderID)
|
|||
|
|
if ok {
|
|||
|
|
order, err = b.cancelNormalOrder(old)
|
|||
|
|
if err != nil {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
b.ordersCache.Delete(old.OrderID)
|
|||
|
|
}
|
|||
|
|
_, ok = b.stopOrdersCache.Load(old.OrderID)
|
|||
|
|
if ok {
|
|||
|
|
order, err = b.cancelAlgoOrder(old)
|
|||
|
|
b.stopOrdersCache.Delete(old.OrderID)
|
|||
|
|
}
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
func (b *OkxTrader) cancelNormalOrder(old *Order) (order *Order, err error) {
|
|||
|
|
ctx, cancel := context.WithTimeout(background, b.timeout)
|
|||
|
|
defer cancel()
|
|||
|
|
|
|||
|
|
var body trade.PostApiV5TradeCancelOrderJSONRequestBody
|
|||
|
|
body.InstId = old.Symbol
|
|||
|
|
body.OrdId = &old.OrderID
|
|||
|
|
|
|||
|
|
cancelResp, err := b.tradeApi.PostApiV5TradeCancelOrderWithResponse(ctx, body, b.auth, b.customReq)
|
|||
|
|
if err != nil {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
temp := OKEXOrder{}
|
|||
|
|
err = json.Unmarshal(cancelResp.Body, &temp)
|
|||
|
|
if err != nil {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
if temp.Code != "0" {
|
|||
|
|
err = errors.New(string(cancelResp.Body))
|
|||
|
|
}
|
|||
|
|
order = old
|
|||
|
|
if len(temp.Data) > 0 {
|
|||
|
|
order.OrderID = temp.Data[0].OrdID
|
|||
|
|
}
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
func (b *OkxTrader) cancelAlgoOrder(old *Order) (order *Order, err error) {
|
|||
|
|
ctx, cancel := context.WithTimeout(background, time.Second*2)
|
|||
|
|
defer cancel()
|
|||
|
|
|
|||
|
|
var body = make(trade.PostApiV5TradeCancelAlgosJSONBody, 1)
|
|||
|
|
body[0] = trade.CancelAlgoOrder{AlgoId: old.OrderID, InstId: old.Symbol}
|
|||
|
|
|
|||
|
|
cancelResp, err := b.tradeApi.PostApiV5TradeCancelAlgosWithResponse(ctx, body, b.auth, b.customReq)
|
|||
|
|
if err != nil {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
temp := OKEXAlgoOrder{}
|
|||
|
|
err = json.Unmarshal(cancelResp.Body, &temp)
|
|||
|
|
if err != nil {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
if temp.Code != "0" {
|
|||
|
|
err = errors.New(string(cancelResp.Body))
|
|||
|
|
}
|
|||
|
|
order = old
|
|||
|
|
if len(temp.Data) > 0 {
|
|||
|
|
order.OrderID = temp.Data[0].AlgoID
|
|||
|
|
}
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
func (b *OkxTrader) ProcessOrder(act TradeAction) (ret *Order, err error) {
|
|||
|
|
symbol, ok := b.symbols[act.Symbol]
|
|||
|
|
if ok {
|
|||
|
|
price := symbol.FixPrice(act.Price)
|
|||
|
|
if price != act.Price {
|
|||
|
|
log.Infof("okx change order price form %f to %f", act.Price, price)
|
|||
|
|
act.Price = price
|
|||
|
|
}
|
|||
|
|
}
|
|||
|
|
if act.Action.IsStop() {
|
|||
|
|
// if no position:
|
|||
|
|
// stopOrder will fail when posMode = long_short_mode
|
|||
|
|
// stopOrder will success when posMode =net_mode
|
|||
|
|
ret, err = b.processStopOrder(act)
|
|||
|
|
if err != nil {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
b.stopOrdersCache.Store(ret.OrderID, ret)
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
ctx, cancel := context.WithTimeout(background, b.timeout)
|
|||
|
|
defer cancel()
|
|||
|
|
var side, posSide, px string
|
|||
|
|
if act.Action.IsLong() {
|
|||
|
|
side = "buy"
|
|||
|
|
if act.Action.IsOpen() {
|
|||
|
|
posSide = "long"
|
|||
|
|
} else {
|
|||
|
|
posSide = "short"
|
|||
|
|
}
|
|||
|
|
} else {
|
|||
|
|
side = "sell"
|
|||
|
|
if act.Action.IsOpen() {
|
|||
|
|
posSide = "short"
|
|||
|
|
} else {
|
|||
|
|
posSide = "long"
|
|||
|
|
}
|
|||
|
|
}
|
|||
|
|
ordType := "limit"
|
|||
|
|
tag := "trade"
|
|||
|
|
px = fmt.Sprintf("%f", act.Price)
|
|||
|
|
params := trade.PostApiV5TradeOrderJSONRequestBody{
|
|||
|
|
//ClOrdId *string `json:"clOrdId,omitempty"`
|
|||
|
|
// 必填<br>产品ID，如：`BTC-USDT`
|
|||
|
|
InstId: act.Symbol,
|
|||
|
|
// 必填<br>订单类型。<br>市价单：`market`<br>限价单：`limit`<br>只做maker单：`post_only`<br>全部成交或立即取消：`fok`<br>立即成交并取消剩余：`ioc`<br>市价委托立即成交并取消剩余：`optimal_limit_ioc`（仅适用交割、永续）
|
|||
|
|
OrdType: ordType,
|
|||
|
|
|
|||
|
|
// 可选<br>持仓方向<br>在双向持仓模式下必填，且仅可选择 `long` 或 `short`
|
|||
|
|
PosSide: &posSide,
|
|||
|
|
|
|||
|
|
// 可选<br>委托价格<br>仅适用于`limit`、`post_only`、`fok`、`ioc`类型的订单
|
|||
|
|
Px: &px,
|
|||
|
|
|
|||
|
|
// 非必填<br>是否只减仓，`true` 或 `false`，默认`false`<br>仅适用于币币杠杆订单
|
|||
|
|
// ReduceOnly: &reduceOnly,
|
|||
|
|
// 必填<br>订单方向。买：`buy` 卖：`sell`
|
|||
|
|
Side: side,
|
|||
|
|
// 必填<br>委托数量
|
|||
|
|
Sz: fmt.Sprintf("%d", int(act.Amount)),
|
|||
|
|
// 非必填<br>订单标签<br>字母（区分大小写）与数字的组合，可以是纯字母、纯数字，且长度在1-8位之间。
|
|||
|
|
Tag: &tag,
|
|||
|
|
// 必填<br>交易模式<br>保证金模式：`isolated`：逐仓 ；`cross`<br>全仓非保证金模式：`cash`：非保证金
|
|||
|
|
TdMode: b.cfg.TdMode,
|
|||
|
|
// 非必填<br>市价单委托数量的类型<br>交易货币：`base_ccy`<br>计价货币：`quote_ccy`<br>仅适用于币币订单
|
|||
|
|
// TgtCcy *string `json:"tgtCcy,omitempty"`
|
|||
|
|
}
|
|||
|
|
if b.posMode == PosNetMode {
|
|||
|
|
params.PosSide = nil
|
|||
|
|
}
|
|||
|
|
resp, err := b.tradeApi.PostApiV5TradeOrderWithResponse(ctx, params, b.auth, b.customReq)
|
|||
|
|
if err != nil {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
orders, err := parsePostOrders(act.Symbol, "open", side, act.Price, act.Amount, resp.Body)
|
|||
|
|
if err != nil {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
if len(orders) != 1 {
|
|||
|
|
err = fmt.Errorf("orders len not match: %#v", orders)
|
|||
|
|
log.Warnf(err.Error())
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
ret = orders[0]
|
|||
|
|
b.ordersCache.Store(ret.OrderID, ret)
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
func (b *OkxTrader) cancelAllNormal() (orders []*Order, err error) {
|
|||
|
|
ctx, cancel := context.WithTimeout(background, b.timeout)
|
|||
|
|
defer cancel()
|
|||
|
|
instType := b.instType
|
|||
|
|
var params = trade.GetApiV5TradeOrdersPendingParams{
|
|||
|
|
// InstId: &b.symbol,
|
|||
|
|
InstType: &instType,
|
|||
|
|
}
|
|||
|
|
resp, err := b.tradeApi.GetApiV5TradeOrdersPendingWithResponse(ctx, ¶ms, b.auth, b.customReq)
|
|||
|
|
if err != nil {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
var orderResp CancelNormalResp
|
|||
|
|
err = json.Unmarshal(resp.Body, &orderResp)
|
|||
|
|
if err != nil {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
if orderResp.Code != "0" {
|
|||
|
|
err = errors.New(string(resp.Body))
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
if len(orderResp.Data) == 0 {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
var body trade.PostApiV5TradeCancelBatchOrdersJSONRequestBody
|
|||
|
|
for _, v := range orderResp.Data {
|
|||
|
|
temp := v.OrdID
|
|||
|
|
body = append(body, trade.CancelBatchOrder{
|
|||
|
|
InstId: v.InstID,
|
|||
|
|
OrdId: &temp,
|
|||
|
|
})
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
cancelResp, err := b.tradeApi.PostApiV5TradeCancelBatchOrdersWithResponse(ctx, body, b.auth, b.customReq)
|
|||
|
|
if err != nil {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
temp := OKEXOrder{}
|
|||
|
|
err = json.Unmarshal(cancelResp.Body, &temp)
|
|||
|
|
if err != nil {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
if temp.Code != "0" {
|
|||
|
|
err = errors.New(string(cancelResp.Body))
|
|||
|
|
}
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
func (b *OkxTrader) cancelAllAlgo() (orders []*Order, err error) {
|
|||
|
|
ctx, cancel := context.WithTimeout(background, b.timeout)
|
|||
|
|
defer cancel()
|
|||
|
|
instType := b.instType
|
|||
|
|
var params = trade.GetApiV5TradeOrdersAlgoPendingParams{
|
|||
|
|
OrdType: "conditional",
|
|||
|
|
// InstId: &b.symbol,
|
|||
|
|
InstType: &instType,
|
|||
|
|
}
|
|||
|
|
resp, err := b.tradeApi.GetApiV5TradeOrdersAlgoPendingWithResponse(ctx, ¶ms, b.auth, b.customReq)
|
|||
|
|
if err != nil {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
var orderResp CancelAlgoResp
|
|||
|
|
err = json.Unmarshal(resp.Body, &orderResp)
|
|||
|
|
if err != nil {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
if orderResp.Code != "0" {
|
|||
|
|
err = errors.New(string(resp.Body))
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
if len(orderResp.Data) == 0 {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
var body trade.PostApiV5TradeCancelAlgosJSONRequestBody
|
|||
|
|
for _, v := range orderResp.Data {
|
|||
|
|
body = append(body, trade.CancelAlgoOrder{
|
|||
|
|
InstId: v.InstID,
|
|||
|
|
AlgoId: v.AlgoID,
|
|||
|
|
})
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
cancelResp, err := b.tradeApi.PostApiV5TradeCancelAlgosWithResponse(ctx, body, b.auth, b.customReq)
|
|||
|
|
if err != nil {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
temp := OKEXAlgoOrder{}
|
|||
|
|
err = json.Unmarshal(cancelResp.Body, &temp)
|
|||
|
|
if err != nil {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
if temp.Code != "0" {
|
|||
|
|
err = errors.New(string(cancelResp.Body))
|
|||
|
|
}
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
func (b *OkxTrader) CancelAllOrders() (orders []*Order, err error) {
|
|||
|
|
temp, err := b.cancelAllNormal()
|
|||
|
|
if err != nil {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
orders, err = b.cancelAllAlgo()
|
|||
|
|
if err != nil {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
orders = append(temp, orders...)
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
func (b *OkxTrader) Symbols() (symbols []Symbol, err error) {
|
|||
|
|
ctx, cancel := context.WithTimeout(background, b.timeout)
|
|||
|
|
defer cancel()
|
|||
|
|
resp, err := b.publicApi.GetApiV5PublicInstrumentsWithResponse(ctx, &public.GetApiV5PublicInstrumentsParams{InstType: b.instType}, b.customReq)
|
|||
|
|
if err != nil {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
var instruments InstrumentResp
|
|||
|
|
err = json.Unmarshal(resp.Body, &instruments)
|
|||
|
|
if instruments.Code != "0" {
|
|||
|
|
err = errors.New(string(resp.Body))
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
var value, amountPrecision float64
|
|||
|
|
symbols = make([]Symbol, len(instruments.Data))
|
|||
|
|
for i, v := range instruments.Data {
|
|||
|
|
value, err = strconv.ParseFloat(v.TickSz, 64)
|
|||
|
|
if err != nil {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
amountPrecision, err = strconv.ParseFloat(v.LotSz, 64)
|
|||
|
|
if err != nil {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
symbolInfo := Symbol{
|
|||
|
|
Name: v.InstID,
|
|||
|
|
Exchange: "okx",
|
|||
|
|
Symbol: v.InstID,
|
|||
|
|
Resolutions: "1m,5m,15m,30m,1h,4h,1d,1w",
|
|||
|
|
Precision: int(float64(1) / value),
|
|||
|
|
AmountPrecision: int(float64(1) / amountPrecision),
|
|||
|
|
PriceStep: value,
|
|||
|
|
AmountStep: 0,
|
|||
|
|
}
|
|||
|
|
value, err = strconv.ParseFloat(v.MinSz, 64)
|
|||
|
|
if err != nil {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
symbolInfo.AmountStep = value
|
|||
|
|
symbols[i] = symbolInfo
|
|||
|
|
}
|
|||
|
|
if len(symbols) > 0 {
|
|||
|
|
symbolMap := make(map[string]Symbol)
|
|||
|
|
for _, v := range symbols {
|
|||
|
|
symbolMap[v.Symbol] = v
|
|||
|
|
}
|
|||
|
|
b.symbols = symbolMap
|
|||
|
|
}
|
|||
|
|
return
|
|||
|
|
}
|