bbgo_origin/pkg/exchange/binance/convert.go

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package binance
import (
"fmt"
"strconv"
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"strings"
"time"
"github.com/adshao/go-binance/v2"
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"github.com/adshao/go-binance/v2/futures"
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"github.com/pkg/errors"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
)
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func toGlobalMarket(symbol binance.Symbol) types.Market {
market := types.Market{
Symbol: symbol.Symbol,
LocalSymbol: 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.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)
}
return market
}
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// TODO: Cuz it returns types.Market as well, merge following to the above function
func toGlobalFuturesMarket(symbol futures.Symbol) types.Market {
market := types.Market{
Symbol: symbol.Symbol,
LocalSymbol: 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.Notional)
market.MinAmount = util.MustParseFloat(f.Notional)
}
// 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.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)
}
return market
}
func toGlobalIsolatedUserAsset(userAsset binance.IsolatedUserAsset) types.IsolatedUserAsset {
return types.IsolatedUserAsset{
Asset: userAsset.Asset,
Borrowed: fixedpoint.MustNewFromString(userAsset.Borrowed),
Free: fixedpoint.MustNewFromString(userAsset.Free),
Interest: fixedpoint.MustNewFromString(userAsset.Interest),
Locked: fixedpoint.MustNewFromString(userAsset.Locked),
NetAsset: fixedpoint.MustNewFromString(userAsset.NetAsset),
NetAssetOfBtc: fixedpoint.MustNewFromString(userAsset.NetAssetOfBtc),
BorrowEnabled: userAsset.BorrowEnabled,
RepayEnabled: userAsset.RepayEnabled,
TotalAsset: fixedpoint.MustNewFromString(userAsset.TotalAsset),
}
}
func toGlobalIsolatedMarginAsset(asset binance.IsolatedMarginAsset) types.IsolatedMarginAsset {
return types.IsolatedMarginAsset{
Symbol: asset.Symbol,
QuoteAsset: toGlobalIsolatedUserAsset(asset.QuoteAsset),
BaseAsset: toGlobalIsolatedUserAsset(asset.BaseAsset),
IsolatedCreated: asset.IsolatedCreated,
MarginLevel: fixedpoint.MustNewFromString(asset.MarginLevel),
MarginLevelStatus: asset.MarginLevelStatus,
MarginRatio: fixedpoint.MustNewFromString(asset.MarginRatio),
IndexPrice: fixedpoint.MustNewFromString(asset.IndexPrice),
LiquidatePrice: fixedpoint.MustNewFromString(asset.LiquidatePrice),
LiquidateRate: fixedpoint.MustNewFromString(asset.LiquidateRate),
TradeEnabled: false,
}
}
func toGlobalIsolatedMarginAssets(assets []binance.IsolatedMarginAsset) (retAssets []types.IsolatedMarginAsset) {
for _, asset := range assets {
retAssets = append(retAssets, toGlobalIsolatedMarginAsset(asset))
}
return retAssets
}
func toGlobalIsolatedMarginAccount(account *binance.IsolatedMarginAccount) *types.IsolatedMarginAccount {
return &types.IsolatedMarginAccount{
TotalAssetOfBTC: fixedpoint.MustNewFromString(account.TotalNetAssetOfBTC),
TotalLiabilityOfBTC: fixedpoint.MustNewFromString(account.TotalLiabilityOfBTC),
TotalNetAssetOfBTC: fixedpoint.MustNewFromString(account.TotalNetAssetOfBTC),
Assets: toGlobalIsolatedMarginAssets(account.Assets),
}
}
func toGlobalMarginUserAssets(userAssets []binance.UserAsset) (retAssets []types.MarginUserAsset) {
for _, asset := range userAssets {
retAssets = append(retAssets, types.MarginUserAsset{
Asset: asset.Asset,
Borrowed: fixedpoint.MustNewFromString(asset.Borrowed),
Free: fixedpoint.MustNewFromString(asset.Free),
Interest: fixedpoint.MustNewFromString(asset.Interest),
Locked: fixedpoint.MustNewFromString(asset.Locked),
NetAsset: fixedpoint.MustNewFromString(asset.NetAsset),
})
}
return retAssets
}
func toGlobalMarginAccount(account *binance.MarginAccount) *types.MarginAccount {
return &types.MarginAccount{
BorrowEnabled: account.BorrowEnabled,
MarginLevel: fixedpoint.MustNewFromString(account.MarginLevel),
TotalAssetOfBTC: fixedpoint.MustNewFromString(account.TotalAssetOfBTC),
TotalLiabilityOfBTC: fixedpoint.MustNewFromString(account.TotalLiabilityOfBTC),
TotalNetAssetOfBTC: fixedpoint.MustNewFromString(account.TotalNetAssetOfBTC),
TradeEnabled: account.TradeEnabled,
TransferEnabled: account.TransferEnabled,
UserAssets: toGlobalMarginUserAssets(account.UserAssets),
}
}
func toGlobalFuturesAccountInfo(account *futures.Account) *types.FuturesAccountInfo {
return &types.FuturesAccountInfo{
Assets: toGlobalFuturesUserAssets(account.Assets),
FeeTier: account.FeeTier,
MaxWithdrawAmount: fixedpoint.MustNewFromString(account.MaxWithdrawAmount),
Positions: toGlobalFuturesPositions(account.Positions),
TotalInitialMargin: fixedpoint.MustNewFromString(account.TotalInitialMargin),
TotalMaintMargin: fixedpoint.MustNewFromString(account.TotalMaintMargin),
TotalMarginBalance: fixedpoint.MustNewFromString(account.TotalMarginBalance),
TotalOpenOrderInitialMargin: fixedpoint.MustNewFromString(account.TotalOpenOrderInitialMargin),
TotalPositionInitialMargin: fixedpoint.MustNewFromString(account.TotalPositionInitialMargin),
TotalUnrealizedProfit: fixedpoint.MustNewFromString(account.TotalUnrealizedProfit),
TotalWalletBalance: fixedpoint.MustNewFromString(account.TotalWalletBalance),
UpdateTime: account.UpdateTime,
}
}
func toGlobalFuturesBalance(balances []*futures.Balance) types.BalanceMap {
retBalances := make(types.BalanceMap)
for _, balance := range balances {
retBalances[balance.Asset] = types.Balance{
Currency: balance.Asset,
Available: fixedpoint.MustNewFromString(balance.AvailableBalance),
}
}
return retBalances
}
func toGlobalFuturesPositions(futuresPositions []*futures.AccountPosition) types.FuturesPositionMap {
retFuturesPositions := make(types.FuturesPositionMap)
for _, futuresPosition := range futuresPositions {
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retFuturesPositions[futuresPosition.Symbol] = types.FuturesPosition{ // TODO: types.FuturesPosition
Isolated: futuresPosition.Isolated,
PositionRisk: &types.PositionRisk{
Leverage: fixedpoint.MustNewFromString(futuresPosition.Leverage),
},
Symbol: futuresPosition.Symbol,
UpdateTime: futuresPosition.UpdateTime,
}
}
return retFuturesPositions
}
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func toGlobalFuturesUserAssets(assets []*futures.AccountAsset) (retAssets types.FuturesAssetMap) {
retFuturesAssets := make(types.FuturesAssetMap)
for _, futuresAsset := range assets {
retFuturesAssets[futuresAsset.Asset] = types.FuturesUserAsset{
Asset: futuresAsset.Asset,
InitialMargin: fixedpoint.MustNewFromString(futuresAsset.InitialMargin),
MaintMargin: fixedpoint.MustNewFromString(futuresAsset.MaintMargin),
MarginBalance: fixedpoint.MustNewFromString(futuresAsset.MarginBalance),
MaxWithdrawAmount: fixedpoint.MustNewFromString(futuresAsset.MaxWithdrawAmount),
OpenOrderInitialMargin: fixedpoint.MustNewFromString(futuresAsset.OpenOrderInitialMargin),
PositionInitialMargin: fixedpoint.MustNewFromString(futuresAsset.PositionInitialMargin),
UnrealizedProfit: fixedpoint.MustNewFromString(futuresAsset.UnrealizedProfit),
WalletBalance: fixedpoint.MustNewFromString(futuresAsset.WalletBalance),
}
}
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return retFuturesAssets
}
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func toGlobalTicker(stats *binance.PriceChangeStats) (*types.Ticker, error) {
return &types.Ticker{
Volume: util.MustParseFloat(stats.Volume),
Last: util.MustParseFloat(stats.LastPrice),
Open: util.MustParseFloat(stats.OpenPrice),
High: util.MustParseFloat(stats.HighPrice),
Low: util.MustParseFloat(stats.LowPrice),
Buy: util.MustParseFloat(stats.BidPrice),
Sell: util.MustParseFloat(stats.AskPrice),
Time: time.Unix(0, stats.CloseTime*int64(time.Millisecond)),
}, nil
}
func toLocalOrderType(orderType types.OrderType) (binance.OrderType, error) {
switch orderType {
case types.OrderTypeLimitMaker:
return binance.OrderTypeLimitMaker, nil
case types.OrderTypeLimit:
return binance.OrderTypeLimit, nil
case types.OrderTypeStopLimit:
return binance.OrderTypeStopLossLimit, nil
case types.OrderTypeStopMarket:
return binance.OrderTypeStopLoss, nil
case types.OrderTypeMarket:
return binance.OrderTypeMarket, nil
}
return "", fmt.Errorf("can not convert to local order, order type %s not supported", orderType)
}
func toLocalFuturesOrderType(orderType types.OrderType) (futures.OrderType, error) {
switch orderType {
// case types.OrderTypeLimitMaker:
// return futures.OrderTypeLimitMaker, nil //TODO
case types.OrderTypeLimit:
return futures.OrderTypeLimit, nil
// case types.OrderTypeStopLimit:
// return futures.OrderTypeStopLossLimit, nil //TODO
// case types.OrderTypeStopMarket:
// return futures.OrderTypeStopLoss, nil //TODO
case types.OrderTypeMarket:
return futures.OrderTypeMarket, nil
}
return "", fmt.Errorf("can not convert to local order, order type %s not supported", orderType)
}
func toGlobalOrders(binanceOrders []*binance.Order) (orders []types.Order, err error) {
for _, binanceOrder := range binanceOrders {
order, err := toGlobalOrder(binanceOrder, false)
if err != nil {
return orders, err
}
orders = append(orders, *order)
}
return orders, err
}
func toGlobalFuturesOrders(futuresOrders []*futures.Order) (orders []types.Order, err error) {
for _, futuresOrder := range futuresOrders {
order, err := toGlobalFuturesOrder(futuresOrder, false)
if err != nil {
return orders, err
}
orders = append(orders, *order)
}
return orders, err
}
func toGlobalOrder(binanceOrder *binance.Order, isMargin bool) (*types.Order, error) {
return &types.Order{
SubmitOrder: types.SubmitOrder{
ClientOrderID: binanceOrder.ClientOrderID,
Symbol: binanceOrder.Symbol,
Side: toGlobalSideType(binanceOrder.Side),
Type: toGlobalOrderType(binanceOrder.Type),
Quantity: util.MustParseFloat(binanceOrder.OrigQuantity),
Price: util.MustParseFloat(binanceOrder.Price),
TimeInForce: string(binanceOrder.TimeInForce),
},
Exchange: types.ExchangeBinance,
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IsWorking: binanceOrder.IsWorking,
OrderID: uint64(binanceOrder.OrderID),
Status: toGlobalOrderStatus(binanceOrder.Status),
ExecutedQuantity: util.MustParseFloat(binanceOrder.ExecutedQuantity),
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CreationTime: types.Time(millisecondTime(binanceOrder.Time)),
UpdateTime: types.Time(millisecondTime(binanceOrder.UpdateTime)),
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IsMargin: isMargin,
IsIsolated: binanceOrder.IsIsolated,
}, nil
}
func toGlobalFuturesOrder(futuresOrder *futures.Order, isMargin bool) (*types.Order, error) {
return &types.Order{
SubmitOrder: types.SubmitOrder{
ClientOrderID: futuresOrder.ClientOrderID,
Symbol: futuresOrder.Symbol,
Side: toGlobalFuturesSideType(futuresOrder.Side),
Type: toGlobalFuturesOrderType(futuresOrder.Type),
ReduceOnly: futuresOrder.ReduceOnly,
ClosePosition: futuresOrder.ClosePosition,
Quantity: util.MustParseFloat(futuresOrder.OrigQuantity),
Price: util.MustParseFloat(futuresOrder.Price),
TimeInForce: string(futuresOrder.TimeInForce),
},
Exchange: types.ExchangeBinance,
OrderID: uint64(futuresOrder.OrderID),
Status: toGlobalFuturesOrderStatus(futuresOrder.Status),
ExecutedQuantity: util.MustParseFloat(futuresOrder.ExecutedQuantity),
CreationTime: types.Time(millisecondTime(futuresOrder.Time)),
UpdateTime: types.Time(millisecondTime(futuresOrder.UpdateTime)),
IsMargin: isMargin,
}, nil
}
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func millisecondTime(t int64) time.Time {
return time.Unix(0, t*int64(time.Millisecond))
}
func toGlobalTrade(t binance.TradeV3, isMargin bool) (*types.Trade, error) {
// skip trade ID that is the same. however this should not happen
var side types.SideType
if t.IsBuyer {
side = types.SideTypeBuy
} else {
side = types.SideTypeSell
}
price, err := strconv.ParseFloat(t.Price, 64)
if err != nil {
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return nil, errors.Wrapf(err, "price parse error, price: %+v", t.Price)
}
quantity, err := strconv.ParseFloat(t.Quantity, 64)
if err != nil {
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return nil, errors.Wrapf(err, "quantity parse error, quantity: %+v", t.Quantity)
}
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var quoteQuantity = 0.0
if len(t.QuoteQuantity) > 0 {
quoteQuantity, err = strconv.ParseFloat(t.QuoteQuantity, 64)
if err != nil {
return nil, errors.Wrapf(err, "quote quantity parse error, quoteQuantity: %+v", t.QuoteQuantity)
}
} else {
quoteQuantity = price * quantity
}
fee, err := strconv.ParseFloat(t.Commission, 64)
if err != nil {
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return nil, errors.Wrapf(err, "commission parse error, commission: %+v", t.Commission)
}
return &types.Trade{
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ID: uint64(t.ID),
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OrderID: uint64(t.OrderID),
Price: price,
Symbol: t.Symbol,
Exchange: "binance",
Quantity: quantity,
QuoteQuantity: quoteQuantity,
Side: side,
IsBuyer: t.IsBuyer,
IsMaker: t.IsMaker,
Fee: fee,
FeeCurrency: t.CommissionAsset,
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Time: types.Time(millisecondTime(t.Time)),
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IsMargin: isMargin,
IsIsolated: t.IsIsolated,
}, nil
}
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func toGlobalFuturesTrade(t futures.AccountTrade) (*types.Trade, error) {
// skip trade ID that is the same. however this should not happen
var side types.SideType
if t.Buyer {
side = types.SideTypeBuy
} else {
side = types.SideTypeSell
}
price, err := strconv.ParseFloat(t.Price, 64)
if err != nil {
return nil, errors.Wrapf(err, "price parse error, price: %+v", t.Price)
}
quantity, err := strconv.ParseFloat(t.Quantity, 64)
if err != nil {
return nil, errors.Wrapf(err, "quantity parse error, quantity: %+v", t.Quantity)
}
var quoteQuantity = 0.0
if len(t.QuoteQuantity) > 0 {
quoteQuantity, err = strconv.ParseFloat(t.QuoteQuantity, 64)
if err != nil {
return nil, errors.Wrapf(err, "quote quantity parse error, quoteQuantity: %+v", t.QuoteQuantity)
}
} else {
quoteQuantity = price * quantity
}
fee, err := strconv.ParseFloat(t.Commission, 64)
if err != nil {
return nil, errors.Wrapf(err, "commission parse error, commission: %+v", t.Commission)
}
return &types.Trade{
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ID: uint64(t.ID),
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OrderID: uint64(t.OrderID),
Price: price,
Symbol: t.Symbol,
Exchange: "binance",
Quantity: quantity,
QuoteQuantity: quoteQuantity,
Side: side,
IsBuyer: t.Buyer,
IsMaker: t.Maker,
Fee: fee,
FeeCurrency: t.CommissionAsset,
Time: types.Time(millisecondTime(t.Time)),
IsFutures: true,
}, nil
}
func toGlobalSideType(side binance.SideType) types.SideType {
switch side {
case binance.SideTypeBuy:
return types.SideTypeBuy
case binance.SideTypeSell:
return types.SideTypeSell
default:
log.Errorf("can not convert binance side type, unknown side type: %q", side)
return ""
}
}
func toGlobalFuturesSideType(side futures.SideType) types.SideType {
switch side {
case futures.SideTypeBuy:
return types.SideTypeBuy
case futures.SideTypeSell:
return types.SideTypeSell
default:
log.Errorf("can not convert futures side type, unknown side type: %q", side)
return ""
}
}
func toGlobalOrderType(orderType binance.OrderType) types.OrderType {
switch orderType {
case binance.OrderTypeLimit,
binance.OrderTypeLimitMaker, binance.OrderTypeTakeProfitLimit:
return types.OrderTypeLimit
case binance.OrderTypeMarket:
return types.OrderTypeMarket
case binance.OrderTypeStopLossLimit:
return types.OrderTypeStopLimit
case binance.OrderTypeStopLoss:
return types.OrderTypeStopMarket
default:
log.Errorf("unsupported order type: %v", orderType)
return ""
}
}
func toGlobalFuturesOrderType(orderType futures.OrderType) types.OrderType {
switch orderType {
// TODO
case futures.OrderTypeLimit: // , futures.OrderTypeLimitMaker, futures.OrderTypeTakeProfitLimit:
return types.OrderTypeLimit
case futures.OrderTypeMarket:
return types.OrderTypeMarket
// TODO
// case futures.OrderTypeStopLossLimit:
// return types.OrderTypeStopLimit
// TODO
// case futures.OrderTypeStopLoss:
// return types.OrderTypeStopMarket
default:
log.Errorf("unsupported order type: %v", orderType)
return ""
}
}
func toGlobalOrderStatus(orderStatus binance.OrderStatusType) types.OrderStatus {
switch orderStatus {
case binance.OrderStatusTypeNew:
return types.OrderStatusNew
case binance.OrderStatusTypeRejected:
return types.OrderStatusRejected
case binance.OrderStatusTypeCanceled:
return types.OrderStatusCanceled
case binance.OrderStatusTypePartiallyFilled:
return types.OrderStatusPartiallyFilled
case binance.OrderStatusTypeFilled:
return types.OrderStatusFilled
}
return types.OrderStatus(orderStatus)
}
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func toGlobalFuturesOrderStatus(orderStatus futures.OrderStatusType) types.OrderStatus {
switch orderStatus {
case futures.OrderStatusTypeNew:
return types.OrderStatusNew
case futures.OrderStatusTypeRejected:
return types.OrderStatusRejected
case futures.OrderStatusTypeCanceled:
return types.OrderStatusCanceled
case futures.OrderStatusTypePartiallyFilled:
return types.OrderStatusPartiallyFilled
case futures.OrderStatusTypeFilled:
return types.OrderStatusFilled
}
return types.OrderStatus(orderStatus)
}
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// ConvertTrades converts the binance v3 trade into the global trade type
func ConvertTrades(remoteTrades []*binance.TradeV3) (trades []types.Trade, err error) {
for _, t := range remoteTrades {
trade, err := toGlobalTrade(*t, false)
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if err != nil {
return nil, errors.Wrapf(err, "binance v3 trade parse error, trade: %+v", *t)
}
trades = append(trades, *trade)
}
return trades, err
}
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func convertSubscription(s types.Subscription) string {
// binance uses lower case symbol name,
// for kline, it's "<symbol>@kline_<interval>"
// for depth, it's "<symbol>@depth OR <symbol>@depth@100ms"
switch s.Channel {
case types.KLineChannel:
return fmt.Sprintf("%s@%s_%s", strings.ToLower(s.Symbol), s.Channel, s.Options.String())
case types.BookChannel:
// depth values: 5, 10, 20
// Stream Names: <symbol>@depth<levels> OR <symbol>@depth<levels>@100ms.
// Update speed: 1000ms or 100ms
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n := strings.ToLower(s.Symbol) + "@depth"
switch s.Options.Depth {
case types.DepthLevel5:
n += "5"
case types.DepthLevelMedium:
n += "20"
case types.DepthLevelFull:
default:
}
switch s.Options.Speed {
case types.SpeedHigh:
n += "@100ms"
case types.SpeedLow:
n += "@1000ms"
}
return n
case types.BookTickerChannel:
return fmt.Sprintf("%s@bookTicker", strings.ToLower(s.Symbol))
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}
return fmt.Sprintf("%s@%s", strings.ToLower(s.Symbol), s.Channel)
}
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func convertPremiumIndex(index *futures.PremiumIndex) (*types.PremiumIndex, error) {
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markPrice, err := fixedpoint.NewFromString(index.MarkPrice)
if err != nil {
return nil, err
}
lastFundingRate, err := fixedpoint.NewFromString(index.LastFundingRate)
if err != nil {
return nil, err
}
nextFundingTime := time.Unix(0, index.NextFundingTime*int64(time.Millisecond))
t := time.Unix(0, index.Time*int64(time.Millisecond))
return &types.PremiumIndex{
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Symbol: index.Symbol,
MarkPrice: markPrice,
NextFundingTime: nextFundingTime,
LastFundingRate: lastFundingRate,
Time: t,
}, nil
}
func convertPositionRisk(risk *futures.PositionRisk) (*types.PositionRisk, error) {
leverage, err := fixedpoint.NewFromString(risk.Leverage)
if err != nil {
return nil, err
}
liquidationPrice, err := fixedpoint.NewFromString(risk.LiquidationPrice)
if err != nil {
return nil, err
}
return &types.PositionRisk{
Leverage: leverage,
LiquidationPrice: liquidationPrice,
}, nil
}