bbgo_origin/pkg/exchange/binance/exchange.go

package binance

import (
	"context"
	"fmt"
	"time"

	"github.com/adshao/go-binance"
	"github.com/google/uuid"
	"github.com/pkg/errors"

	"github.com/sirupsen/logrus"

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

var log = logrus.WithFields(logrus.Fields{
	"exchange": "binance",
})

func init() {
	_ = types.Exchange(&Exchange{})
}

type Exchange struct {
	Client *binance.Client
}

func New(key, secret string) *Exchange {
	var client = binance.NewClient(key, secret)
	return &Exchange{
		Client: client,
	}
}

func (e *Exchange) Name() types.ExchangeName {
	return types.ExchangeBinance
}

func (e *Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) {
	log.Info("querying market info...")

	exchangeInfo, err := e.Client.NewExchangeInfoService().Do(ctx)
	if err != nil {
		return nil, err
	}

	markets := types.MarketMap{}
	for _, symbol := range exchangeInfo.Symbols {
		market := types.Market{
			Symbol:          symbol.Symbol,
			PricePrecision:  symbol.QuotePrecision,
			VolumePrecision: symbol.BaseAssetPrecision,
			QuoteCurrency:   symbol.QuoteAsset,
			BaseCurrency:    symbol.BaseAsset,
		}

		if f := symbol.MinNotionalFilter(); f != nil {
			market.MinNotional = util.MustParseFloat(f.MinNotional)
			market.MinAmount = util.MustParseFloat(f.MinNotional)
		}

		// The LOT_SIZE filter defines the quantity (aka "lots" in auction terms) rules for a symbol.
		// There are 3 parts:
		// minQty defines the minimum quantity/icebergQty allowed.
		//	maxQty defines the maximum quantity/icebergQty allowed.
		//	stepSize defines the intervals that a quantity/icebergQty can be increased/decreased by.
		if f := symbol.LotSizeFilter(); f != nil {
			market.MinLot = util.MustParseFloat(f.MinQuantity)
			market.MinQuantity = util.MustParseFloat(f.MinQuantity)
			market.MaxQuantity = util.MustParseFloat(f.MaxQuantity)
			// market.StepSize = util.MustParseFloat(f.StepSize)
		}

		if f := symbol.PriceFilter(); f != nil {
			market.MaxPrice = util.MustParseFloat(f.MaxPrice)
			market.MinPrice = util.MustParseFloat(f.MinPrice)
			market.TickSize = util.MustParseFloat(f.TickSize)
		}

		markets[symbol.Symbol] = market
	}

	return markets, nil
}

func (e *Exchange) QueryAveragePrice(ctx context.Context, symbol string) (float64, error) {
	resp, err := e.Client.NewAveragePriceService().Symbol(symbol).Do(ctx)
	if err != nil {
		return 0, err
	}

	return util.MustParseFloat(resp.Price), nil
}

func (e *Exchange) NewStream() types.Stream {
	return NewStream(e.Client)
}

func (e *Exchange) QueryWithdrawHistory(ctx context.Context, asset string, since, until time.Time) (allWithdraws []types.Withdraw, err error) {

	startTime := since
	txIDs := map[string]struct{}{}

	for startTime.Before(until) {
		// startTime ~ endTime must be in 90 days
		endTime := startTime.AddDate(0, 0, 60)
		if endTime.After(until) {
			endTime = until
		}

		req := e.Client.NewListWithdrawsService()
		if len(asset) > 0 {
			req.Asset(asset)
		}

		withdraws, err := req.
			StartTime(startTime.UnixNano() / int64(time.Millisecond)).
			EndTime(endTime.UnixNano() / int64(time.Millisecond)).
			Do(ctx)

		if err != nil {
			return allWithdraws, err
		}

		for _, d := range withdraws {
			if _, ok := txIDs[d.TxID]; ok {
				continue
			}

			status := ""
			switch d.Status {
			case 0:
				status = "email_sent"
			case 1:
				status = "cancelled"
			case 2:
				status = "awaiting_approval"
			case 3:
				status = "rejected"
			case 4:
				status = "processing"
			case 5:
				status = "failure"
			case 6:
				status = "completed"

			default:
				status = fmt.Sprintf("unsupported code: %d", d.Status)
			}

			txIDs[d.TxID] = struct{}{}
			allWithdraws = append(allWithdraws, types.Withdraw{
				ApplyTime:       time.Unix(0, d.ApplyTime*int64(time.Millisecond)),
				Asset:           d.Asset,
				Amount:          d.Amount,
				Address:         d.Address,
				AddressTag:      d.AddressTag,
				TransactionID:   d.TxID,
				TransactionFee:  d.TransactionFee,
				WithdrawOrderID: d.WithdrawOrderID,
				Network:         d.Network,
				Status:          status,
			})
		}

		startTime = endTime
	}

	return allWithdraws, nil
}

func (e *Exchange) QueryDepositHistory(ctx context.Context, asset string, since, until time.Time) (allDeposits []types.Deposit, err error) {
	startTime := since
	txIDs := map[string]struct{}{}
	for startTime.Before(until) {

		// startTime ~ endTime must be in 90 days
		endTime := startTime.AddDate(0, 0, 60)
		if endTime.After(until) {
			endTime = until
		}

		req := e.Client.NewListDepositsService()
		if len(asset) > 0 {
			req.Asset(asset)
		}

		deposits, err := req.
			StartTime(startTime.UnixNano() / int64(time.Millisecond)).
			EndTime(endTime.UnixNano() / int64(time.Millisecond)).
			Do(ctx)

		if err != nil {
			return nil, err
		}

		for _, d := range deposits {
			if _, ok := txIDs[d.TxID]; ok {
				continue
			}

			// 0(0:pending,6: credited but cannot withdraw, 1:success)
			status := types.DepositStatus(fmt.Sprintf("code: %d", d.Status))

			switch d.Status {
			case 0:
				status = types.DepositPending
			case 6:
				// https://www.binance.com/en/support/faq/115003736451
				status = types.DepositCredited
			case 1:
				status = types.DepositSuccess
			}

			txIDs[d.TxID] = struct{}{}
			allDeposits = append(allDeposits, types.Deposit{
				Time:          time.Unix(0, d.InsertTime*int64(time.Millisecond)),
				Asset:         d.Asset,
				Amount:        d.Amount,
				Address:       d.Address,
				AddressTag:    d.AddressTag,
				TransactionID: d.TxID,
				Status:        status,
			})
		}

		startTime = endTime
	}

	return allDeposits, nil
}

func (e *Exchange) QueryAccountBalances(ctx context.Context) (types.BalanceMap, error) {
	account, err := e.QueryAccount(ctx)
	if err != nil {
		return nil, err
	}

	return account.Balances(), nil
}

// PlatformFeeCurrency
func (e *Exchange) PlatformFeeCurrency() string {
	return "BNB"
}

func (e *Exchange) QueryAccount(ctx context.Context) (*types.Account, error) {
	account, err := e.Client.NewGetAccountService().Do(ctx)
	if err != nil {
		return nil, err
	}

	var balances = map[string]types.Balance{}
	for _, b := range account.Balances {
		balances[b.Asset] = types.Balance{
			Currency:  b.Asset,
			Available: fixedpoint.Must(fixedpoint.NewFromString(b.Free)),
			Locked:    fixedpoint.Must(fixedpoint.NewFromString(b.Locked)),
		}
	}

	a := &types.Account{
		MakerCommission: int(account.MakerCommission),
		TakerCommission: int(account.TakerCommission),
	}
	a.UpdateBalances(balances)
	return a, nil
}

func (e *Exchange) QueryOpenOrders(ctx context.Context, symbol string) (orders []types.Order, err error) {
	binanceOrders, err := e.Client.NewListOpenOrdersService().Symbol(symbol).Do(ctx)
	if err != nil {
		return orders, err
	}

	for _, binanceOrder := range binanceOrders {
		order, err := ToGlobalOrder(binanceOrder)
		if err != nil {
			return orders, err
		}

		orders = append(orders, *order)
	}

	return orders, err
}

func (e *Exchange) QueryClosedOrders(ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64) (orders []types.Order, err error) {
	if until.Sub(since) >= 24*time.Hour {
		until = since.Add(24*time.Hour - time.Millisecond)
	}

	time.Sleep(3 * time.Second)

	log.Infof("querying closed orders %s from %s <=> %s ...", symbol, since, until)
	req := e.Client.NewListOrdersService().
		Symbol(symbol)

	if lastOrderID > 0 {
		req.OrderID(int64(lastOrderID))
	} else {
		req.StartTime(since.UnixNano() / int64(time.Millisecond)).
			EndTime(until.UnixNano() / int64(time.Millisecond))
	}

	binanceOrders, err := req.Do(ctx)
	if err != nil {
		return orders, err
	}

	if len(binanceOrders) == 0 {
		return orders, nil
	}

	for _, binanceOrder := range binanceOrders {
		order, err := ToGlobalOrder(binanceOrder)
		if err != nil {
			return orders, err
		}
		orders = append(orders, *order)
	}

	return orders, nil
}

func (e *Exchange) CancelOrders(ctx context.Context, orders ...types.Order) (err2 error) {
	for _, o := range orders {
		var req = e.Client.NewCancelOrderService()

		// Mandatory
		req.Symbol(o.Symbol)

		if o.OrderID > 0 {
			req.OrderID(int64(o.OrderID))
		} else if len(o.ClientOrderID) > 0 {
			req.NewClientOrderID(o.ClientOrderID)
		}

		_, err := req.Do(ctx)
		if err != nil {
			log.WithError(err).Errorf("order cancel error")
			err2 = err
		}
	}

	return err2
}

func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error) {
	for _, order := range orders {
		orderType, err := toLocalOrderType(order.Type)
		if err != nil {
			return createdOrders, err
		}

		clientOrderID := uuid.New().String()
		if len(order.ClientOrderID) > 0 {
			clientOrderID = order.ClientOrderID
		}

		req := e.Client.NewCreateOrderService().
			Symbol(order.Symbol).
			Side(binance.SideType(order.Side)).
			NewClientOrderID(clientOrderID).
			Type(orderType)

		req.Quantity(order.QuantityString)

		if len(order.PriceString) > 0 {
			req.Price(order.PriceString)
		}

		switch order.Type {
		case types.OrderTypeStopLimit, types.OrderTypeStopMarket:
			if len(order.StopPriceString) == 0 {
				return createdOrders, fmt.Errorf("stop price string can not be empty")
			}

			req.StopPrice(order.StopPriceString)
		}

		if len(order.TimeInForce) > 0 {
			// TODO: check the TimeInForce value
			req.TimeInForce(binance.TimeInForceType(order.TimeInForce))
		}

		response, err := req.Do(ctx)
		if err != nil {
			return createdOrders, err
		}

		log.Infof("order creation response: %+v", response)

		retOrder := binance.Order{
			Symbol:                   response.Symbol,
			OrderID:                  response.OrderID,
			ClientOrderID:            response.ClientOrderID,
			Price:                    response.Price,
			OrigQuantity:             response.OrigQuantity,
			ExecutedQuantity:         response.ExecutedQuantity,
			CummulativeQuoteQuantity: response.CummulativeQuoteQuantity,
			Status:                   response.Status,
			TimeInForce:              response.TimeInForce,
			Type:                     response.Type,
			Side:                     response.Side,
			// StopPrice:
			// IcebergQuantity:
			Time: response.TransactTime,
			// UpdateTime:
			// IsWorking:               ,
		}

		createdOrder, err := ToGlobalOrder(&retOrder)
		if err != nil {
			return createdOrders, err
		}

		if createdOrder == nil {
			return createdOrders, errors.New("nil converted order")
		}

		createdOrders = append(createdOrders, *createdOrder)
	}

	return createdOrders, err
}

// QueryKLines queries the Kline/candlestick bars for a symbol. Klines are uniquely identified by their open time.
func (e *Exchange) QueryKLines(ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions) ([]types.KLine, error) {

	var limit = 500
	if options.Limit > 0 {
		// default limit == 500
		limit = options.Limit
	}

	log.Infof("querying kline %s %s %v", symbol, interval, options)

	// avoid rate limit
	time.Sleep(500 * time.Millisecond)
	req := e.Client.NewKlinesService().
		Symbol(symbol).
		Interval(string(interval)).
		Limit(limit)

	if options.StartTime != nil {
		req.StartTime(options.StartTime.UnixNano() / int64(time.Millisecond))
	}

	if options.EndTime != nil {
		req.EndTime(options.EndTime.UnixNano() / int64(time.Millisecond))
	}

	resp, err := req.Do(ctx)
	if err != nil {
		return nil, err
	}

	var kLines []types.KLine
	for _, k := range resp {
		kLines = append(kLines, types.KLine{
			Exchange:       "binance",
			Symbol:         symbol,
			Interval:       interval,
			StartTime:      time.Unix(0, k.OpenTime*int64(time.Millisecond)),
			EndTime:        time.Unix(0, k.CloseTime*int64(time.Millisecond)),
			Open:           util.MustParseFloat(k.Open),
			Close:          util.MustParseFloat(k.Close),
			High:           util.MustParseFloat(k.High),
			Low:            util.MustParseFloat(k.Low),
			Volume:         util.MustParseFloat(k.Volume),
			QuoteVolume:    util.MustParseFloat(k.QuoteAssetVolume),
			LastTradeID:    0,
			NumberOfTrades: uint64(k.TradeNum),
			Closed:         true,
		})
	}
	return kLines, nil
}

func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) (trades []types.Trade, err error) {
	req := e.Client.NewListTradesService().
		Limit(1000).
		Symbol(symbol)

	if options.Limit > 0 {
		req.Limit(int(options.Limit))
	}

	if options.StartTime != nil {
		req.StartTime(options.StartTime.UnixNano() / int64(time.Millisecond))
	}
	if options.EndTime != nil {
		req.EndTime(options.EndTime.UnixNano() / int64(time.Millisecond))
	}
	if options.LastTradeID > 0 {
		req.FromID(options.LastTradeID)
	}

	remoteTrades, err := req.Do(ctx)
	if err != nil {
		return nil, err
	}

	for _, t := range remoteTrades {
		localTrade, err := ToGlobalTrade(*t)
		if err != nil {
			log.WithError(err).Errorf("can not convert binance trade: %+v", t)
			continue
		}

		log.Infof("trade: %d %s % 4s price: % 13s volume: % 11s %6s % 5s %s", t.ID, t.Symbol, localTrade.Side, t.Price, t.Quantity, BuyerOrSellerLabel(t), MakerOrTakerLabel(t), localTrade.Time)
		trades = append(trades, *localTrade)
	}

	return trades, nil
}

func (e *Exchange) BatchQueryKLines(ctx context.Context, symbol string, interval types.Interval, startTime, endTime time.Time) ([]types.KLine, error) {
	var allKLines []types.KLine

	for startTime.Before(endTime) {
		klines, err := e.QueryKLines(ctx, symbol, interval, types.KLineQueryOptions{
			StartTime: &startTime,
			Limit:     1000,
		})

		if err != nil {
			return nil, err
		}

		for _, kline := range klines {
			if kline.EndTime.After(endTime) {
				return allKLines, nil
			}

			allKLines = append(allKLines, kline)
			startTime = kline.EndTime
		}

		// avoid rate limit
		time.Sleep(100 * time.Millisecond)
	}

	return allKLines, nil
}