bbgo_origin/pkg/exchange/ftx/ftxapi/client.go

package ftxapi

//go:generate -command GetRequest requestgen -method GET -responseType .APIResponse -responseDataField Result
//go:generate -command PostRequest requestgen -method POST -responseType .APIResponse -responseDataField Result
//go:generate -command DeleteRequest requestgen -method DELETE -responseType .APIResponse -responseDataField Result

import (
	"bytes"
	"context"
	"crypto/hmac"
	"crypto/sha256"
	"encoding/base64"
	"encoding/json"
	"fmt"
	"net/http"
	"net/url"
	"strconv"
	"time"

	"github.com/c9s/requestgen"
	"github.com/pkg/errors"

	"github.com/c9s/bbgo/pkg/fixedpoint"
)

const defaultHTTPTimeout = time.Second * 15
const RestBaseURL = "https://ftx.com/api"

type APIResponse struct {
	Success bool            `json:"success"`
	Result  json.RawMessage `json:"result,omitempty"`
}

type RestClient struct {
	BaseURL *url.URL

	client *http.Client

	Key, Secret, subAccount string

	/*
		AccountService    *AccountService
		MarketDataService *MarketDataService
		TradeService      *TradeService
		BulletService     *BulletService
	*/
}

func NewClient() *RestClient {
	u, err := url.Parse(RestBaseURL)
	if err != nil {
		panic(err)
	}

	client := &RestClient{
		BaseURL: u,
		client: &http.Client{
			Timeout: defaultHTTPTimeout,
		},
	}

	/*
		client.AccountService = &AccountService{client: client}
		client.MarketDataService = &MarketDataService{client: client}
		client.TradeService = &TradeService{client: client}
		client.BulletService = &BulletService{client: client}
	*/
	return client
}

func (c *RestClient) Auth(key, secret, subAccount string) {
	c.Key = key
	c.Secret = secret
	c.subAccount = subAccount
}

// NewRequest create new API request. Relative url can be provided in refURL.
func (c *RestClient) NewRequest(ctx context.Context, method, refURL string, params url.Values, payload interface{}) (*http.Request, error) {
	rel, err := url.Parse(refURL)
	if err != nil {
		return nil, err
	}

	if params != nil {
		rel.RawQuery = params.Encode()
	}

	body, err := castPayload(payload)
	if err != nil {
		return nil, err
	}

	pathURL := c.BaseURL.ResolveReference(rel)
	return http.NewRequestWithContext(ctx, method, pathURL.String(), bytes.NewReader(body))
}

// sendRequest sends the request to the API server and handle the response
func (c *RestClient) SendRequest(req *http.Request) (*requestgen.Response, error) {
	resp, err := c.client.Do(req)
	if err != nil {
		return nil, err
	}

	// newResponse reads the response body and return a new Response object
	response, err := requestgen.NewResponse(resp)
	if err != nil {
		return response, err
	}

	// Check error, if there is an error, return the ErrorResponse struct type
	if response.IsError() {
		return response, errors.New(string(response.Body))
	}

	return response, nil
}

// newAuthenticatedRequest creates new http request for authenticated routes.
func (c *RestClient) NewAuthenticatedRequest(ctx context.Context, method, refURL string, params url.Values, payload interface{}) (*http.Request, error) {
	if len(c.Key) == 0 {
		return nil, errors.New("empty api key")
	}

	if len(c.Secret) == 0 {
		return nil, errors.New("empty api secret")
	}

	rel, err := url.Parse(refURL)
	if err != nil {
		return nil, err
	}

	if params != nil {
		rel.RawQuery = params.Encode()
	}

	pathURL := c.BaseURL.ResolveReference(rel)
	path := pathURL.Path
	if rel.RawQuery != "" {
		path += "?" + rel.RawQuery
	}

	body, err := castPayload(payload)
	if err != nil {
		return nil, err
	}

	req, err := http.NewRequestWithContext(ctx, method, pathURL.String(), bytes.NewReader(body))
	if err != nil {
		return nil, err
	}

	req.Header.Add("Content-Type", "application/json")
	req.Header.Add("Accept", "application/json")

	// Build authentication headers
	c.attachAuthHeaders(req, method, path, body)
	return req, nil
}

func (c *RestClient) attachAuthHeaders(req *http.Request, method string, path string, body []byte) {
	millisecondTs := time.Now().UnixNano() / int64(time.Millisecond)
	ts := strconv.FormatInt(millisecondTs, 10)
	p := fmt.Sprintf("%s%s%s", ts, method, path)
	p += string(body)
	signature := sign(c.Secret, p)
	req.Header.Set("FTX-KEY", c.Key)
	req.Header.Set("FTX-SIGN", signature)
	req.Header.Set("FTX-TS", ts)
	if c.subAccount != "" {
		req.Header.Set("FTX-SUBACCOUNT", c.subAccount)
	}
}

// sign uses sha256 to sign the payload with the given secret
func sign(secret, payload string) string {
	var sig = hmac.New(sha256.New, []byte(secret))
	_, err := sig.Write([]byte(payload))
	if err != nil {
		return ""
	}

	return base64.StdEncoding.EncodeToString(sig.Sum(nil))
}

func castPayload(payload interface{}) ([]byte, error) {
	if payload != nil {
		switch v := payload.(type) {
		case string:
			return []byte(v), nil

		case []byte:
			return v, nil

		default:
			body, err := json.Marshal(v)
			return body, err
		}
	}

	return nil, nil
}

type Position struct {
	Cost                         fixedpoint.Value `json:"cost"`
	EntryPrice                   fixedpoint.Value `json:"entryPrice"`
	Future                       string           `json:"future"`
	InitialMarginRequirement     fixedpoint.Value `json:"initialMarginRequirement"`
	LongOrderSize                fixedpoint.Value `json:"longOrderSize"`
	MaintenanceMarginRequirement fixedpoint.Value `json:"maintenanceMarginRequirement"`
	NetSize                      fixedpoint.Value `json:"netSize"`
	OpenSize                     fixedpoint.Value `json:"openSize"`
	ShortOrderSize               fixedpoint.Value `json:"shortOrderSize"`
	Side                         string           `json:"side"`
	Size                         fixedpoint.Value `json:"size"`
	RealizedPnl                  fixedpoint.Value `json:"realizedPnl"`
	UnrealizedPnl                fixedpoint.Value `json:"unrealizedPnl"`
}

type Account struct {
	BackstopProvider             bool             `json:"backstopProvider"`
	Collateral                   fixedpoint.Value `json:"collateral"`
	FreeCollateral               fixedpoint.Value `json:"freeCollateral"`
	Leverage                     int              `json:"leverage"`
	InitialMarginRequirement     fixedpoint.Value `json:"initialMarginRequirement"`
	MaintenanceMarginRequirement fixedpoint.Value `json:"maintenanceMarginRequirement"`
	Liquidating                  bool             `json:"liquidating"`
	MakerFee                     fixedpoint.Value `json:"makerFee"`
	MarginFraction               fixedpoint.Value `json:"marginFraction"`
	OpenMarginFraction           fixedpoint.Value `json:"openMarginFraction"`
	TakerFee                     fixedpoint.Value `json:"takerFee"`
	TotalAccountValue            fixedpoint.Value `json:"totalAccountValue"`
	TotalPositionSize            fixedpoint.Value `json:"totalPositionSize"`
	Username                     string           `json:"username"`
	Positions                    []Position       `json:"positions"`
}

//go:generate GetRequest -url /api/account -type GetAccountRequest -responseDataType .Account
type GetAccountRequest struct {
	client requestgen.AuthenticatedAPIClient
}

func (c *RestClient) NewGetAccountRequest() *GetAccountRequest {
	return &GetAccountRequest{
		client: c,
	}
}

//go:generate GetRequest -url /api/positions -type GetPositionsRequest -responseDataType []Position
type GetPositionsRequest struct {
	client requestgen.AuthenticatedAPIClient
}

func (c *RestClient) NewGetPositionsRequest() *GetPositionsRequest {
	return &GetPositionsRequest{
		client: c,
	}
}

type Market struct {
	Name                  string           `json:"name"`
	BaseCurrency          string           `json:"baseCurrency"`
	QuoteCurrency         string           `json:"quoteCurrency"`
	QuoteVolume24H        fixedpoint.Value `json:"quoteVolume24h"`
	Change1H              fixedpoint.Value `json:"change1h"`
	Change24H             fixedpoint.Value `json:"change24h"`
	ChangeBod             fixedpoint.Value `json:"changeBod"`
	VolumeUsd24H          fixedpoint.Value `json:"volumeUsd24h"`
	HighLeverageFeeExempt bool             `json:"highLeverageFeeExempt"`
	MinProvideSize        fixedpoint.Value `json:"minProvideSize"`
	Type                  string           `json:"type"`
	Underlying            string           `json:"underlying"`
	Enabled               bool             `json:"enabled"`
	Ask                   fixedpoint.Value `json:"ask"`
	Bid                   int              `json:"bid"`
	Last                  fixedpoint.Value `json:"last"`
	PostOnly              bool             `json:"postOnly"`
	Price                 fixedpoint.Value `json:"price"`
	PriceIncrement        fixedpoint.Value `json:"priceIncrement"`
	SizeIncrement         fixedpoint.Value `json:"sizeIncrement"`
	Restricted            bool             `json:"restricted"`
}

//go:generate GetRequest -url /api/markets -type GetMarketsRequest -responseDataType []Market
type GetMarketsRequest struct {
	client requestgen.AuthenticatedAPIClient
}

func (c *RestClient) NewGetMarketsRequest() *GetMarketsRequest {
	return &GetMarketsRequest{
		client: c,
	}
}