bbgo_origin/pkg/exchange/ftx/exchange.go

459 lines
12 KiB
Go
Raw Normal View History

2021-02-05 09:29:38 +00:00
package ftx
import (
"context"
2021-02-08 10:59:36 +00:00
"fmt"
"net/http"
"net/url"
2021-03-17 13:26:25 +00:00
"sort"
2021-03-25 08:57:54 +00:00
"strings"
2021-02-05 09:29:38 +00:00
"time"
"github.com/google/uuid"
"github.com/sirupsen/logrus"
2021-02-08 10:59:36 +00:00
"github.com/c9s/bbgo/pkg/fixedpoint"
2021-02-05 09:29:38 +00:00
"github.com/c9s/bbgo/pkg/types"
)
2021-02-08 10:59:36 +00:00
const (
restEndpoint = "https://ftx.com"
defaultHTTPTimeout = 15 * time.Second
)
2021-02-27 09:01:20 +00:00
var logger = logrus.WithField("exchange", "ftx")
//go:generate go run generate_symbol_map.go
2021-02-05 09:29:38 +00:00
type Exchange struct {
2021-03-15 11:01:23 +00:00
key, secret string
subAccount string
restEndpoint *url.URL
2021-02-05 09:29:38 +00:00
}
// FTX does not have broker ID
const spotBrokerID = "BBGO"
func newSpotClientOrderID(originalID string) (clientOrderID string) {
prefix := "x-" + spotBrokerID
prefixLen := len(prefix)
if originalID != "" {
// try to keep the whole original client order ID if user specifies it.
if prefixLen+len(originalID) > 32 {
return originalID
}
clientOrderID = prefix + originalID
return clientOrderID
}
clientOrderID = uuid.New().String()
clientOrderID = prefix + clientOrderID
if len(clientOrderID) > 32 {
return clientOrderID[0:32]
}
return clientOrderID
}
2021-02-08 10:59:36 +00:00
func NewExchange(key, secret string, subAccount string) *Exchange {
u, err := url.Parse(restEndpoint)
if err != nil {
panic(err)
}
2021-02-08 10:59:36 +00:00
return &Exchange{
2021-03-15 11:01:23 +00:00
restEndpoint: u,
key: key,
secret: secret,
subAccount: subAccount,
}
}
func (e *Exchange) newRest() *restRequest {
r := newRestRequest(&http.Client{Timeout: defaultHTTPTimeout}, e.restEndpoint).Auth(e.key, e.secret)
if len(e.subAccount) > 0 {
r.SubAccount(e.subAccount)
2021-02-08 10:59:36 +00:00
}
2021-03-15 11:01:23 +00:00
return r
2021-02-05 09:29:38 +00:00
}
2021-02-08 10:59:36 +00:00
func (e *Exchange) Name() types.ExchangeName {
2021-02-08 14:33:12 +00:00
return types.ExchangeFTX
2021-02-05 09:29:38 +00:00
}
2021-02-08 10:59:36 +00:00
func (e *Exchange) PlatformFeeCurrency() string {
2021-03-18 00:49:33 +00:00
return toGlobalCurrency("FTT")
2021-02-05 09:29:38 +00:00
}
2021-02-08 10:59:36 +00:00
func (e *Exchange) NewStream() types.Stream {
return NewStream(e.key, e.secret, e.subAccount, e)
2021-02-05 09:29:38 +00:00
}
2021-02-08 10:59:36 +00:00
func (e *Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) {
2021-03-21 02:52:41 +00:00
resp, err := e.newRest().Markets(ctx)
if err != nil {
return nil, err
}
if !resp.Success {
return nil, fmt.Errorf("ftx returns querying markets failure")
}
markets := types.MarketMap{}
for _, m := range resp.Result {
symbol := toGlobalSymbol(m.Name)
symbolMap[symbol] = m.Name
2021-03-21 02:52:41 +00:00
market := types.Market{
Symbol: symbol,
LocalSymbol: m.Name,
2021-05-25 18:15:47 +00:00
2021-03-21 02:52:41 +00:00
// The max precision is length(DefaultPow). For example, currently fixedpoint.DefaultPow
// is 1e8, so the max precision will be 8.
PricePrecision: fixedpoint.NumFractionalDigits(fixedpoint.NewFromFloat(m.PriceIncrement)),
VolumePrecision: fixedpoint.NumFractionalDigits(fixedpoint.NewFromFloat(m.SizeIncrement)),
QuoteCurrency: toGlobalCurrency(m.QuoteCurrency),
BaseCurrency: toGlobalCurrency(m.BaseCurrency),
// FTX only limit your order by `MinProvideSize`, so I assign zero value to unsupported fields:
// MinNotional, MinAmount, MaxQuantity, MinPrice and MaxPrice.
MinNotional: 0,
MinAmount: 0,
MinQuantity: m.MinProvideSize,
MaxQuantity: 0,
StepSize: m.SizeIncrement,
MinPrice: 0,
MaxPrice: 0,
TickSize: m.PriceIncrement,
}
markets[symbol] = market
}
return markets, nil
2021-02-05 09:29:38 +00:00
}
2021-02-08 10:59:36 +00:00
func (e *Exchange) QueryAccount(ctx context.Context) (*types.Account, error) {
2021-03-18 00:33:14 +00:00
resp, err := e.newRest().Account(ctx)
if err != nil {
return nil, err
}
if !resp.Success {
return nil, fmt.Errorf("ftx returns querying balances failure")
}
a := &types.Account{
2021-03-20 14:53:14 +00:00
MakerCommission: fixedpoint.NewFromFloat(resp.Result.MakerFee),
TakerCommission: fixedpoint.NewFromFloat(resp.Result.TakerFee),
2021-03-18 00:33:14 +00:00
}
balances, err := e.QueryAccountBalances(ctx)
if err != nil {
return nil, err
}
a.UpdateBalances(balances)
return a, nil
2021-02-05 09:29:38 +00:00
}
2021-02-08 10:59:36 +00:00
func (e *Exchange) QueryAccountBalances(ctx context.Context) (types.BalanceMap, error) {
2021-03-15 11:01:23 +00:00
resp, err := e.newRest().Balances(ctx)
2021-02-08 10:59:36 +00:00
if err != nil {
return nil, err
}
if !resp.Success {
return nil, fmt.Errorf("ftx returns querying balances failure")
}
var balances = make(types.BalanceMap)
for _, r := range resp.Result {
balances[toGlobalCurrency(r.Coin)] = types.Balance{
Currency: toGlobalCurrency(r.Coin),
Available: fixedpoint.NewFromFloat(r.Free),
Locked: fixedpoint.NewFromFloat(r.Total).Sub(fixedpoint.NewFromFloat(r.Free)),
}
}
return balances, nil
}
func (e *Exchange) QueryKLines(ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions) ([]types.KLine, error) {
2021-03-31 10:09:13 +00:00
var since, until time.Time
if options.StartTime != nil {
since = *options.StartTime
}
if options.EndTime != nil {
until = *options.EndTime
} else {
until = time.Now()
}
if since.After(until) {
return nil, fmt.Errorf("invalid query klines time range, since: %+v, until: %+v", since, until)
}
if !isIntervalSupportedInKLine(interval) {
return nil, fmt.Errorf("interval %s is not supported", interval.String())
}
resp, err := e.newRest().HistoricalPrices(ctx, toLocalSymbol(symbol), interval, int64(options.Limit), since, until)
2021-03-31 10:09:13 +00:00
if err != nil {
return nil, err
}
if !resp.Success {
return nil, fmt.Errorf("ftx returns failure")
}
var kline []types.KLine
for _, r := range resp.Result {
globalKline, err := toGlobalKLine(symbol, interval, r)
if err != nil {
return nil, err
}
kline = append(kline, globalKline)
}
return kline, nil
}
2021-04-01 03:55:27 +00:00
var supportedInterval = map[int]struct{}{
15: {},
60: {},
300: {},
900: {},
3600: {},
14400: {},
86400: {},
}
2021-03-31 10:09:13 +00:00
func isIntervalSupportedInKLine(interval types.Interval) bool {
2021-04-01 03:55:27 +00:00
_, ok := supportedInterval[interval.Minutes()*60]
2021-03-31 10:09:13 +00:00
return ok
2021-02-05 09:29:38 +00:00
}
2021-02-08 10:59:36 +00:00
func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) ([]types.Trade, error) {
2021-03-25 08:57:54 +00:00
var since, until time.Time
if options.StartTime != nil {
since = *options.StartTime
}
if options.EndTime != nil {
until = *options.EndTime
2021-03-29 14:07:21 +00:00
} else {
until = time.Now()
2021-03-25 08:57:54 +00:00
}
2021-03-29 14:07:21 +00:00
if since.After(until) {
return nil, fmt.Errorf("invalid query trades time range, since: %+v, until: %+v", since, until)
2021-03-25 08:57:54 +00:00
}
2021-03-29 14:07:21 +00:00
2021-03-25 08:57:54 +00:00
if options.Limit == 1 {
// FTX doesn't provide pagination api, so we have to split the since/until time range into small slices, and paginate ourselves.
// If the limit is 1, we always get the same data from FTX.
return nil, fmt.Errorf("limit can't be 1 which can't be used in pagination")
}
limit := options.Limit
if limit == 0 {
limit = 200
}
tradeIDs := make(map[int64]struct{})
lastTradeID := options.LastTradeID
2021-03-25 08:57:54 +00:00
var trades []types.Trade
symbol = strings.ToUpper(symbol)
for since.Before(until) {
// DO not set limit to `1` since you will always get the same response.
resp, err := e.newRest().Fills(ctx, toLocalSymbol(symbol), since, until, limit, true)
2021-03-25 08:57:54 +00:00
if err != nil {
return nil, err
}
if !resp.Success {
return nil, fmt.Errorf("ftx returns failure")
}
sort.Slice(resp.Result, func(i, j int) bool {
return resp.Result[i].TradeId < resp.Result[j].TradeId
})
for _, r := range resp.Result {
// always update since to avoid infinite loop
since = r.Time.Time
2021-03-25 08:57:54 +00:00
if _, ok := tradeIDs[r.TradeId]; ok {
continue
}
if r.TradeId <= lastTradeID || r.Time.Before(since) || r.Time.After(until) || r.Market != toLocalSymbol(symbol) {
2021-03-25 08:57:54 +00:00
continue
}
tradeIDs[r.TradeId] = struct{}{}
lastTradeID = r.TradeId
t, err := toGlobalTrade(r)
if err != nil {
return nil, err
}
trades = append(trades, t)
}
if int64(len(resp.Result)) < limit {
return trades, nil
}
}
return trades, nil
2021-02-05 09:29:38 +00:00
}
2021-02-08 10:59:36 +00:00
func (e *Exchange) QueryDepositHistory(ctx context.Context, asset string, since, until time.Time) (allDeposits []types.Deposit, err error) {
2021-03-29 14:07:21 +00:00
if until == (time.Time{}) {
until = time.Now()
}
if since.After(until) {
return nil, fmt.Errorf("invalid query deposit history time range, since: %+v, until: %+v", since, until)
2021-03-21 12:17:41 +00:00
}
2021-03-23 14:27:11 +00:00
asset = TrimUpperString(asset)
2021-03-21 12:17:41 +00:00
2021-03-23 14:27:11 +00:00
resp, err := e.newRest().DepositHistory(ctx, since, until, 0)
2021-03-21 12:17:41 +00:00
if err != nil {
return nil, err
}
2021-03-25 08:57:54 +00:00
if !resp.Success {
return nil, fmt.Errorf("ftx returns failure")
}
2021-03-21 12:17:41 +00:00
sort.Slice(resp.Result, func(i, j int) bool {
2021-03-25 08:57:54 +00:00
return resp.Result[i].Time.Before(resp.Result[j].Time.Time)
2021-03-21 12:17:41 +00:00
})
for _, r := range resp.Result {
d, err := toGlobalDeposit(r)
if err != nil {
return nil, err
}
if d.Asset == asset && !since.After(d.Time.Time()) && !until.Before(d.Time.Time()) {
allDeposits = append(allDeposits, d)
}
}
return
2021-02-05 09:29:38 +00:00
}
2021-03-13 01:51:31 +00:00
func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (types.OrderSlice, error) {
var createdOrders types.OrderSlice
// TODO: currently only support limit and market order
// TODO: support time in force
for _, so := range orders {
if so.TimeInForce != "GTC" && so.TimeInForce != "" {
2021-03-13 01:51:31 +00:00
return createdOrders, fmt.Errorf("unsupported TimeInForce %s. only support GTC", so.TimeInForce)
}
2021-03-15 11:01:23 +00:00
or, err := e.newRest().PlaceOrder(ctx, PlaceOrderPayload{
Market: toLocalSymbol(TrimUpperString(so.Symbol)),
2021-03-13 01:51:31 +00:00
Side: TrimLowerString(string(so.Side)),
Price: so.Price,
Type: TrimLowerString(string(so.Type)),
Size: so.Quantity,
ReduceOnly: false,
IOC: false,
PostOnly: false,
ClientID: newSpotClientOrderID(so.ClientOrderID),
2021-03-13 01:51:31 +00:00
})
if err != nil {
return createdOrders, fmt.Errorf("failed to place order %+v: %w", so, err)
}
if !or.Success {
return createdOrders, fmt.Errorf("ftx returns placing order failure")
}
globalOrder, err := toGlobalOrder(or.Result)
if err != nil {
return createdOrders, fmt.Errorf("failed to convert response to global order")
}
createdOrders = append(createdOrders, globalOrder)
}
return createdOrders, nil
2021-02-05 09:29:38 +00:00
}
2021-02-08 10:59:36 +00:00
func (e *Exchange) QueryOpenOrders(ctx context.Context, symbol string) (orders []types.Order, err error) {
2021-03-07 04:53:41 +00:00
// TODO: invoke open trigger orders
resp, err := e.newRest().OpenOrders(ctx, toLocalSymbol(symbol))
2021-03-07 04:47:11 +00:00
if err != nil {
return nil, err
}
if !resp.Success {
return nil, fmt.Errorf("ftx returns querying open orders failure")
}
for _, r := range resp.Result {
2021-03-13 01:51:31 +00:00
o, err := toGlobalOrder(r)
2021-03-07 04:47:11 +00:00
if err != nil {
return nil, err
}
orders = append(orders, o)
}
return orders, nil
2021-02-05 09:29:38 +00:00
}
2021-03-17 13:26:25 +00:00
// symbol, since and until are all optional. FTX can only query by order created time, not updated time.
// FTX doesn't support lastOrderID, so we will query by the time range first, and filter by the lastOrderID.
2021-02-08 10:59:36 +00:00
func (e *Exchange) QueryClosedOrders(ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64) (orders []types.Order, err error) {
2021-03-29 14:07:21 +00:00
if until == (time.Time{}) {
until = time.Now()
}
if since.After(until) {
return nil, fmt.Errorf("invalid query closed orders time range, since: %+v, until: %+v", since, until)
2021-03-17 13:26:25 +00:00
}
2021-03-23 14:27:11 +00:00
symbol = TrimUpperString(symbol)
limit := int64(100)
2021-03-17 13:26:25 +00:00
hasMoreData := true
s := since
var lastOrder order
for hasMoreData {
resp, err := e.newRest().OrdersHistory(ctx, toLocalSymbol(symbol), s, until, limit)
2021-03-17 13:26:25 +00:00
if err != nil {
return nil, err
}
if !resp.Success {
return nil, fmt.Errorf("ftx returns querying orders history failure")
}
sortByCreatedASC(resp.Result)
for _, r := range resp.Result {
// There may be more than one orders at the same time, so also have to check the ID
2021-03-25 08:57:54 +00:00
if r.CreatedAt.Before(lastOrder.CreatedAt.Time) || r.ID == lastOrder.ID || r.Status != "closed" || r.ID < int64(lastOrderID) {
2021-03-17 13:26:25 +00:00
continue
}
lastOrder = r
o, err := toGlobalOrder(r)
if err != nil {
return nil, err
}
orders = append(orders, o)
}
hasMoreData = resp.HasMoreData
// the start_time and end_time precision is second. There might be more than one orders within one second.
s = lastOrder.CreatedAt.Add(-1 * time.Second)
}
return orders, nil
}
func sortByCreatedASC(orders []order) {
sort.Slice(orders, func(i, j int) bool {
2021-03-25 08:57:54 +00:00
return orders[i].CreatedAt.Before(orders[j].CreatedAt.Time)
2021-03-17 13:26:25 +00:00
})
2021-02-05 09:29:38 +00:00
}
2021-02-08 10:59:36 +00:00
func (e *Exchange) CancelOrders(ctx context.Context, orders ...types.Order) error {
2021-03-16 14:31:17 +00:00
for _, o := range orders {
rest := e.newRest()
if len(o.ClientOrderID) > 0 {
if _, err := rest.CancelOrderByClientID(ctx, o.ClientOrderID); err != nil {
return err
}
continue
}
if _, err := rest.CancelOrderByOrderID(ctx, o.OrderID); err != nil {
return err
}
}
return nil
2021-02-05 09:29:38 +00:00
}
func (e *Exchange) QueryTicker(ctx context.Context, symbol string) (*types.Ticker, error) {
panic("implement me")
}
func (e *Exchange) QueryTickers(ctx context.Context, symbol ...string) (map[string]types.Ticker, error) {
panic("implement me")
}