bbgo_origin/pkg/exchange/kucoin/kucoinapi/marketdata.go

362 lines
10 KiB
Go
Raw Normal View History

2021-12-10 16:44:55 +00:00
package kucoinapi
2021-12-29 18:17:03 +00:00
//go:generate -command GetRequest requestgen -method GET -responseType .APIResponse -responseDataField Data
//go:generate -command PostRequest requestgen -method POST -responseType .APIResponse -responseDataField Data
2021-12-29 18:17:03 +00:00
2021-12-10 16:44:55 +00:00
import (
"context"
"encoding/json"
2021-12-10 16:44:55 +00:00
"net/url"
2021-12-10 17:41:23 +00:00
"strconv"
"time"
"github.com/c9s/requestgen"
"github.com/pkg/errors"
"github.com/valyala/fastjson"
2021-12-10 16:44:55 +00:00
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
2021-12-10 16:44:55 +00:00
)
type MarketDataService struct {
client *RestClient
}
func (s *MarketDataService) NewGetKLinesRequest() *GetKLinesRequest {
return &GetKLinesRequest{client: s.client}
}
2021-12-10 16:44:55 +00:00
type Symbol struct {
Symbol string `json:"symbol"`
Name string `json:"name"`
BaseCurrency string `json:"baseCurrency"`
QuoteCurrency string `json:"quoteCurrency"`
FeeCurrency string `json:"feeCurrency"`
Market string `json:"market"`
BaseMinSize fixedpoint.Value `json:"baseMinSize"`
QuoteMinSize fixedpoint.Value `json:"quoteMinSize"`
BaseIncrement fixedpoint.Value `json:"baseIncrement"`
QuoteIncrement fixedpoint.Value `json:"quoteIncrement"`
PriceIncrement fixedpoint.Value `json:"priceIncrement"`
PriceLimitRate fixedpoint.Value `json:"priceLimitRate"`
IsMarginEnabled bool `json:"isMarginEnabled"`
EnableTrading bool `json:"enableTrading"`
}
//go:generate GetRequest -type ListSymbolsRequest -url "/api/v1/symbols" -responseDataType []Symbol
2021-12-29 18:17:03 +00:00
type ListSymbolsRequest struct {
client requestgen.APIClient
market *string `param:"market"`
}
2021-12-10 16:44:55 +00:00
func (s *MarketDataService) NewListSymbolsRequest() *ListSymbolsRequest {
return &ListSymbolsRequest{client: s.client}
}
2021-12-29 18:17:03 +00:00
func (s *MarketDataService) ListSymbols(market ...string) ([]Symbol, error) {
req := s.NewListSymbolsRequest()
2021-12-10 16:44:55 +00:00
if len(market) == 1 {
2021-12-29 18:17:03 +00:00
req.Market(market[0])
2021-12-10 16:44:55 +00:00
} else if len(market) > 1 {
return nil, errors.New("symbols api only supports one market parameter")
}
2021-12-29 18:17:03 +00:00
return req.Do(context.Background())
2021-12-10 16:44:55 +00:00
}
/*
//Get Ticker
{
"sequence": "1550467636704",
"bestAsk": "0.03715004",
"size": "0.17",
"price": "0.03715005",
"bestBidSize": "3.803",
"bestBid": "0.03710768",
"bestAskSize": "1.788",
"time": 1550653727731
}
*/
type Ticker struct {
Sequence string `json:"sequence"`
Size fixedpoint.Value `json:"size"`
Price fixedpoint.Value `json:"price"`
BestAsk fixedpoint.Value `json:"bestAsk"`
BestBid fixedpoint.Value `json:"bestBid"`
BestBidSize fixedpoint.Value `json:"bestBidSize"`
Time types.MillisecondTimestamp `json:"time"`
}
//go:generate GetRequest -type GetTickerRequest -url "/api/v1/market/orderbook/level1" -responseDataType Ticker
type GetTickerRequest struct {
client requestgen.APIClient
symbol string `param:"symbol,query"`
}
func (s *MarketDataService) NewGetTickerRequest(symbol string) *GetTickerRequest {
return &GetTickerRequest{client: s.client, symbol: symbol}
}
/*
{
"time":1602832092060,
"ticker":[
{
"symbol": "BTC-USDT", // symbol
2021-12-21 17:26:00 +00:00
"symbolName":"BTC-USDT", // SymbolName of trading pairs, it would change after renaming
"buy": "11328.9", // bestAsk
"sell": "11329", // bestBid
"changeRate": "-0.0055", // 24h change rate
"changePrice": "-63.6", // 24h change price
"high": "11610", // 24h highest price
"low": "11200", // 24h lowest price
"vol": "2282.70993217", // 24h volumethe aggregated trading volume in BTC
"volValue": "25984946.157790431", // 24h total, the trading volume in quote currency of last 24 hours
"last": "11328.9", // last price
"averagePrice": "11360.66065903", // 24h average transaction price yesterday
"takerFeeRate": "0.001", // Basic Taker Fee
"makerFeeRate": "0.001", // Basic Maker Fee
"takerCoefficient": "1", // Taker Fee Coefficient
"makerCoefficient": "1" // Maker Fee Coefficient
}
]
}
2021-12-10 17:41:23 +00:00
*/
type Ticker24H struct {
2021-12-10 17:41:23 +00:00
Symbol string `json:"symbol"`
2021-12-21 17:26:00 +00:00
SymbolName string `json:"symbolName"`
2021-12-10 17:41:23 +00:00
Buy fixedpoint.Value `json:"buy"`
Sell fixedpoint.Value `json:"sell"`
ChangeRate fixedpoint.Value `json:"changeRate"`
ChangePrice fixedpoint.Value `json:"changePrice"`
High fixedpoint.Value `json:"high"`
Low fixedpoint.Value `json:"low"`
Last fixedpoint.Value `json:"last"`
AveragePrice fixedpoint.Value `json:"averagePrice"`
2021-12-10 17:41:23 +00:00
Volume fixedpoint.Value `json:"vol"` // base volume
VolumeValue fixedpoint.Value `json:"volValue"` // quote volume
TakerFeeRate fixedpoint.Value `json:"takerFeeRate"`
MakerFeeRate fixedpoint.Value `json:"makerFeeRate"`
TakerCoefficient fixedpoint.Value `json:"takerCoefficient"`
MakerCoefficient fixedpoint.Value `json:"makerCoefficient"`
2021-12-21 17:26:00 +00:00
Time types.MillisecondTimestamp `json:"time"`
}
type AllTickers struct {
2021-12-10 17:41:23 +00:00
Time types.MillisecondTimestamp `json:"time"`
Ticker []Ticker24H `json:"ticker"`
}
//go:generate GetRequest -type GetAllTickersRequest -url "/api/v1/market/allTickers" -responseDataType AllTickers
type GetAllTickersRequest struct {
client requestgen.APIClient
}
func (s *MarketDataService) ListTickers() (*AllTickers, error) {
req := &GetAllTickersRequest{client: s.client}
return req.Do(context.Background())
}
2021-12-21 17:26:00 +00:00
func (s *MarketDataService) GetTicker24HStat(symbol string) (*Ticker24H, error) {
var params = url.Values{}
params.Add("symbol", symbol)
req, err := s.client.NewRequest(context.Background(), "GET", "/api/v1/market/stats", params, nil)
2021-12-21 17:26:00 +00:00
if err != nil {
return nil, err
}
response, err := s.client.SendRequest(req)
2021-12-21 17:26:00 +00:00
if err != nil {
return nil, err
}
var apiResponse struct {
Code string `json:"code"`
Message string `json:"msg"`
Data *Ticker24H `json:"data"`
}
if err := response.DecodeJSON(&apiResponse); err != nil {
return nil, err
}
return apiResponse.Data, nil
}
2021-12-10 17:41:23 +00:00
/*
{
"sequence": "3262786978",
"time": 1550653727731,
"bids": [["6500.12", "0.45054140"],
["6500.11", "0.45054140"]], //[pricesize]
"asks": [["6500.16", "0.57753524"],
["6500.15", "0.57753524"]]
}
*/
type OrderBook struct {
Sequence string `json:"sequence,omitempty"`
2021-12-10 17:41:23 +00:00
Time types.MillisecondTimestamp `json:"time"`
Bids types.PriceVolumeSlice `json:"bids,omitempty"`
Asks types.PriceVolumeSlice `json:"asks,omitempty"`
2021-12-10 17:41:23 +00:00
}
//go:generate GetRequest -type GetOrderBookLevel2Depth20Request -url "/api/v1/market/orderbook/level2_20" -responseDataType .OrderBook
type GetOrderBookLevel2Depth20Request struct {
client requestgen.APIClient
symbol string `param:"symbol,query"`
}
2021-12-10 17:41:23 +00:00
//go:generate GetRequest -type GetOrderBookLevel2Depth100Request -url "/api/v1/market/orderbook/level2_100" -responseDataType .OrderBook
type GetOrderBookLevel2Depth100Request struct {
client requestgen.APIClient
symbol string `param:"symbol,query"`
}
2021-12-10 17:41:23 +00:00
//go:generate GetRequest -type GetOrderBookLevel2DepthAllRequest -url "/api/v3/market/orderbook/level2" -responseDataType .OrderBook
type GetOrderBookLevel2DepthAllRequest struct {
client requestgen.AuthenticatedAPIClient
symbol string `param:"symbol,query"`
}
2021-12-10 17:41:23 +00:00
type OrderBookRequest interface {
Do(ctx context.Context) (*OrderBook, error)
}
2021-12-10 17:41:23 +00:00
func (s *MarketDataService) NewGetOrderBookRequest(symbol string, depth int) OrderBookRequest {
switch depth {
case 20:
return &GetOrderBookLevel2Depth20Request{client: s.client, symbol: symbol}
2021-12-10 17:41:23 +00:00
case 100:
return &GetOrderBookLevel2Depth100Request{client: s.client, symbol: symbol}
2021-12-10 17:41:23 +00:00
}
return &GetOrderBookLevel2DepthAllRequest{client: s.client, symbol: symbol}
}
func (s *MarketDataService) GetOrderBook(symbol string, depth int) (*OrderBook, error) {
req := s.NewGetOrderBookRequest(symbol, depth)
return req.Do(context.Background())
2021-12-10 17:41:23 +00:00
}
//go:generate requestgen -type GetKLinesRequest
type GetKLinesRequest struct {
client *RestClient
symbol string `param:"symbol"`
2021-12-25 18:39:44 +00:00
interval string `param:"type" validValues:"1min,3min,5min,15min,30min,1hour,2hour,4hour,6hour,8hour,12hour,1day,1week"`
startAt *time.Time `param:"startAt,seconds"`
endAt *time.Time `param:"endAt,seconds"`
}
type KLine struct {
Symbol string
Interval string
StartTime time.Time
Open fixedpoint.Value
High fixedpoint.Value
Low fixedpoint.Value
Close fixedpoint.Value
Volume, QuoteVolume fixedpoint.Value
}
func (r *GetKLinesRequest) Do(ctx context.Context) ([]KLine, error) {
params, err := r.GetParametersQuery()
if err != nil {
return nil, err
}
req, err := r.client.NewRequest(ctx, "GET", "/api/v1/market/candles", params, nil)
if err != nil {
return nil, err
}
response, err := r.client.SendRequest(req)
if err != nil {
return nil, err
}
var apiResponse struct {
Code string `json:"code"`
Message string `json:"msg"`
Data json.RawMessage `json:"data"`
}
if err := response.DecodeJSON(&apiResponse); err != nil {
return nil, err
}
if apiResponse.Data == nil {
return nil, errors.New("api error: [" + apiResponse.Code + "] " + apiResponse.Message)
}
return parseKLines(apiResponse.Data, r.symbol, r.interval)
}
func parseKLines(b []byte, symbol, interval string) (klines []KLine, err error) {
s, err := fastjson.ParseBytes(b)
if err != nil {
return klines, err
}
for _, v := range s.GetArray() {
arr := v.GetArray()
ts, err := strconv.ParseInt(string(arr[0].GetStringBytes()), 10, 64)
if err != nil {
return klines, err
}
o, err := fixedpoint.NewFromString(string(arr[1].GetStringBytes()))
if err != nil {
return klines, err
}
c, err := fixedpoint.NewFromString(string(arr[2].GetStringBytes()))
if err != nil {
return klines, err
}
h, err := fixedpoint.NewFromString(string(arr[3].GetStringBytes()))
if err != nil {
return klines, err
}
l, err := fixedpoint.NewFromString(string(arr[4].GetStringBytes()))
if err != nil {
return klines, err
}
vv, err := fixedpoint.NewFromString(string(arr[5].GetStringBytes()))
if err != nil {
return klines, err
}
qv, err := fixedpoint.NewFromString(string(arr[6].GetStringBytes()))
if err != nil {
return klines, err
}
klines = append(klines, KLine{
Symbol: symbol,
Interval: interval,
StartTime: time.Unix(ts, 0),
Open: o,
High: h,
Low: l,
Close: c,
Volume: vv,
QuoteVolume: qv,
})
}
return klines, err
}