bbgo_origin/pkg/exchange/max/exchange.go

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package max
import (
"context"
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"fmt"
"math"
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"os"
"sort"
"strconv"
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"time"
"github.com/pkg/errors"
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"github.com/sirupsen/logrus"
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"golang.org/x/time/rate"
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maxapi "github.com/c9s/bbgo/pkg/exchange/max/maxapi"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
)
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var closedOrderQueryLimiter = rate.NewLimiter(rate.Every(5*time.Second), 1)
var tradeQueryLimiter = rate.NewLimiter(rate.Every(3*time.Second), 1)
var accountQueryLimiter = rate.NewLimiter(rate.Every(3*time.Second), 1)
var marketDataLimiter = rate.NewLimiter(rate.Every(2*time.Second), 10)
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var log = logrus.WithField("exchange", "max")
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type Exchange struct {
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client *maxapi.RestClient
key, secret string
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}
func New(key, secret string) *Exchange {
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baseURL := maxapi.ProductionAPIURL
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if override := os.Getenv("MAX_API_BASE_URL"); len(override) > 0 {
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baseURL = override
}
client := maxapi.NewRestClient(baseURL)
client.Auth(key, secret)
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return &Exchange{
client: client,
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key: key,
secret: secret,
}
}
func (e *Exchange) Name() types.ExchangeName {
return types.ExchangeMax
}
func (e *Exchange) QueryTicker(ctx context.Context, symbol string) (*types.Ticker, error) {
ticker, err := e.client.PublicService.Ticker(toLocalSymbol(symbol))
if err != nil {
return nil, err
}
return &types.Ticker{
Time: ticker.Time,
Volume: util.MustParseFloat(ticker.Volume),
Last: util.MustParseFloat(ticker.Last),
Open: util.MustParseFloat(ticker.Open),
High: util.MustParseFloat(ticker.High),
Low: util.MustParseFloat(ticker.Low),
Buy: util.MustParseFloat(ticker.Buy),
Sell: util.MustParseFloat(ticker.Sell),
}, nil
}
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func (e *Exchange) QueryTickers(ctx context.Context, symbol ...string) (map[string]types.Ticker, error) {
if err := marketDataLimiter.Wait(ctx); err != nil {
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return nil, err
}
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var tickers = make(map[string]types.Ticker)
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if len(symbol) == 1 {
ticker, err := e.QueryTicker(ctx, symbol[0])
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if err != nil {
return nil, err
}
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tickers[toGlobalSymbol(symbol[0])] = *ticker
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} else {
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maxTickers, err := e.client.PublicService.Tickers()
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if err != nil {
return nil, err
}
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m := make(map[string]struct{})
exists := struct{}{}
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for _, s := range symbol {
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m[toGlobalSymbol(s)] = exists
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}
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for k, v := range maxTickers {
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if _, ok := m[toGlobalSymbol(k)]; len(symbol) != 0 && !ok {
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continue
}
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tickers[toGlobalSymbol(k)] = types.Ticker{
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Time: v.Time,
Volume: util.MustParseFloat(v.Volume),
Last: util.MustParseFloat(v.Last),
Open: util.MustParseFloat(v.Open),
High: util.MustParseFloat(v.High),
Low: util.MustParseFloat(v.Low),
Buy: util.MustParseFloat(v.Buy),
Sell: util.MustParseFloat(v.Sell),
}
}
}
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return tickers, nil
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}
func (e *Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) {
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log.Info("querying market info...")
remoteMarkets, err := e.client.PublicService.Markets()
if err != nil {
return nil, err
}
markets := types.MarketMap{}
for _, m := range remoteMarkets {
symbol := toGlobalSymbol(m.ID)
market := types.Market{
Symbol: symbol,
LocalSymbol: m.ID,
PricePrecision: m.QuoteUnitPrecision,
VolumePrecision: m.BaseUnitPrecision,
QuoteCurrency: toGlobalCurrency(m.QuoteUnit),
BaseCurrency: toGlobalCurrency(m.BaseUnit),
MinNotional: m.MinQuoteAmount,
MinAmount: m.MinQuoteAmount,
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MinQuantity: m.MinBaseAmount,
MaxQuantity: 10000.0,
StepSize: 1.0 / math.Pow10(m.BaseUnitPrecision), // make it like 0.0001
MinPrice: 1.0 / math.Pow10(m.QuoteUnitPrecision), // used in the price formatter
MaxPrice: 10000.0,
TickSize: 1.0 / math.Pow10(m.QuoteUnitPrecision),
}
markets[symbol] = market
}
return markets, nil
}
func (e *Exchange) NewStream() types.Stream {
return NewStream(e.key, e.secret)
}
func (e *Exchange) QueryOpenOrders(ctx context.Context, symbol string) (orders []types.Order, err error) {
maxOrders, err := e.client.OrderService.Open(toLocalSymbol(symbol), maxapi.QueryOrderOptions{})
if err != nil {
return orders, err
}
for _, maxOrder := range maxOrders {
order, err := toGlobalOrder(maxOrder)
if err != nil {
return orders, err
}
orders = append(orders, *order)
}
return orders, err
}
// lastOrderID is not supported on MAX
func (e *Exchange) QueryClosedOrders(ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64) (orders []types.Order, err error) {
if err := closedOrderQueryLimiter.Wait(ctx); err != nil {
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return nil, err
}
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numBatches := 3
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limit := 1000 // max limit = 1000
offset := limit * numBatches
orderIDs := make(map[uint64]struct{}, limit*2)
for ; offset > 0; offset -= limit {
log.Infof("querying %s closed orders offset %d ~ ", symbol, offset)
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maxOrders, err := e.client.OrderService.Closed(toLocalSymbol(symbol), maxapi.QueryOrderOptions{
Offset: offset,
Limit: limit,
})
if err != nil {
return orders, err
}
if len(maxOrders) == 0 {
break
}
for _, maxOrder := range maxOrders {
if maxOrder.CreatedAt.Before(since) {
continue
}
if maxOrder.CreatedAt.After(until) {
return orders, err
}
order, err := toGlobalOrder(maxOrder)
if err != nil {
return orders, err
}
if _, ok := orderIDs[order.OrderID]; ok {
log.Infof("skipping duplicated order: %d", order.OrderID)
}
orderIDs[order.OrderID] = struct{}{}
orders = append(orders, *order)
}
}
return orders, err
}
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func (e *Exchange) CancelAllOrders(ctx context.Context) ([]types.Order, error) {
var req = e.client.OrderService.NewOrderCancelAllRequest()
var maxOrders, err = req.Do(ctx)
if err != nil {
return nil, err
}
return toGlobalOrders(maxOrders)
}
func (e *Exchange) CancelOrdersBySymbol(ctx context.Context, symbol string) ([]types.Order, error) {
var req = e.client.OrderService.NewOrderCancelAllRequest()
req.Market(toLocalSymbol(symbol))
var maxOrders, err = req.Do(ctx)
if err != nil {
return nil, err
}
return toGlobalOrders(maxOrders)
}
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func (e *Exchange) CancelOrdersByGroupID(ctx context.Context, groupID uint32) ([]types.Order, error) {
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var req = e.client.OrderService.NewOrderCancelAllRequest()
req.GroupID(groupID)
var maxOrders, err = req.Do(ctx)
if err != nil {
return nil, err
}
return toGlobalOrders(maxOrders)
}
func (e *Exchange) CancelOrders(ctx context.Context, orders ...types.Order) (err2 error) {
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var groupIDs = make(map[uint32]struct{})
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var orphanOrders []types.Order
for _, o := range orders {
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if o.GroupID > 0 {
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groupIDs[o.GroupID] = struct{}{}
} else {
orphanOrders = append(orphanOrders, o)
}
}
if len(groupIDs) > 0 {
for groupID := range groupIDs {
var req = e.client.OrderService.NewOrderCancelAllRequest()
req.GroupID(groupID)
if _, err := req.Do(ctx); err != nil {
log.WithError(err).Errorf("group id order cancel error")
err2 = err
}
}
}
for _, o := range orphanOrders {
var req = e.client.OrderService.NewOrderCancelRequest()
if o.OrderID > 0 {
req.ID(o.OrderID)
} else if len(o.ClientOrderID) > 0 && o.ClientOrderID != types.NoClientOrderID {
req.ClientOrderID(o.ClientOrderID)
} else {
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return fmt.Errorf("order id or client order id is not defined, order=%+v", o)
}
if err := req.Do(ctx); err != nil {
log.WithError(err).Errorf("order cancel error")
err2 = err
}
}
return err2
}
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func toMaxSubmitOrder(o types.SubmitOrder) (*maxapi.Order, error) {
symbol := toLocalSymbol(o.Symbol)
orderType, err := toLocalOrderType(o.Type)
if err != nil {
return nil, err
}
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var quantityString string
if o.Market.Symbol != "" {
quantityString = o.Market.FormatQuantity(o.Quantity)
} else {
quantityString = strconv.FormatFloat(o.Quantity, 'f', -1, 64)
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}
maxOrder := maxapi.Order{
Market: symbol,
Side: toLocalSideType(o.Side),
OrderType: orderType,
// Price: priceInString,
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Volume: quantityString,
}
if o.GroupID > 0 {
maxOrder.GroupID = o.GroupID
}
clientOrderID := NewClientOrderID(o.ClientOrderID)
if len(clientOrderID) > 0 {
maxOrder.ClientOID = clientOrderID
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}
switch o.Type {
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case types.OrderTypeStopLimit, types.OrderTypeLimit, types.OrderTypeLimitMaker, types.OrderTypeIOCLimit:
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var priceInString string
if o.Market.Symbol != "" {
priceInString = o.Market.FormatPrice(o.Price)
} else {
priceInString = strconv.FormatFloat(o.Price, 'f', -1, 64)
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}
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maxOrder.Price = priceInString
}
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// set stop price field for limit orders
switch o.Type {
case types.OrderTypeStopLimit, types.OrderTypeStopMarket:
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var priceInString string
if o.Market.Symbol != "" {
priceInString = o.Market.FormatPrice(o.StopPrice)
} else {
priceInString = strconv.FormatFloat(o.StopPrice, 'f', -1, 64)
}
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maxOrder.StopPrice = priceInString
}
return &maxOrder, nil
}
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func (e *Exchange) Withdrawal(ctx context.Context, asset string, amount fixedpoint.Value, address string, options *types.WithdrawalOptions) error {
asset = toLocalCurrency(asset)
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addresses, err := e.client.WithdrawalService.NewGetWithdrawalAddressesRequest().
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Currency(asset).
Do(ctx)
if err != nil {
return err
}
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var whitelistAddress maxapi.WithdrawalAddress
for _, a := range addresses {
if a.Address == address {
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whitelistAddress = a
break
}
}
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if whitelistAddress.Address != address {
return fmt.Errorf("address %s is not in the whitelist", address)
}
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if whitelistAddress.UUID == "" {
return errors.New("address UUID can not be empty")
}
response, err := e.client.WithdrawalService.NewWithdrawalRequest().
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Currency(asset).
Amount(amount.Float64()).
AddressUUID(whitelistAddress.UUID).
Do(ctx)
if err != nil {
return err
}
log.Infof("withdrawal request response: %+v", response)
return nil
}
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func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error) {
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if len(orders) > 1 && len(orders) < 15 {
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var ordersBySymbol = map[string][]maxapi.Order{}
for _, o := range orders {
maxOrder, err := toMaxSubmitOrder(o)
if err != nil {
return nil, err
}
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ordersBySymbol[maxOrder.Market] = append(ordersBySymbol[maxOrder.Market], *maxOrder)
}
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for symbol, orders := range ordersBySymbol {
req := e.client.OrderService.NewCreateMultiOrderRequest()
req.Market(symbol)
req.AddOrders(orders...)
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orderResponses, err := req.Do(ctx)
if err != nil {
return createdOrders, err
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}
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for _, resp := range *orderResponses {
if len(resp.Error) > 0 {
log.Errorf("multi-order submit error: %s", resp.Error)
continue
}
o, err := toGlobalOrder(resp.Order)
if err != nil {
return createdOrders, err
}
createdOrders = append(createdOrders, *o)
}
}
return createdOrders, nil
}
for _, order := range orders {
maxOrder, err := toMaxSubmitOrder(order)
if err != nil {
return createdOrders, err
}
req := e.client.OrderService.NewCreateOrderRequest().
Market(maxOrder.Market).
Side(maxOrder.Side).
Volume(maxOrder.Volume).
OrderType(string(maxOrder.OrderType))
if len(maxOrder.ClientOID) > 0 {
req.ClientOrderID(maxOrder.ClientOID)
}
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if len(maxOrder.Price) > 0 {
req.Price(maxOrder.Price)
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}
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if len(maxOrder.StopPrice) > 0 {
req.StopPrice(maxOrder.StopPrice)
}
retOrder, err := req.Do(ctx)
if err != nil {
return createdOrders, err
}
if retOrder == nil {
return createdOrders, errors.New("returned nil order")
}
createdOrder, err := toGlobalOrder(*retOrder)
if err != nil {
return createdOrders, err
}
createdOrders = append(createdOrders, *createdOrder)
}
return createdOrders, err
}
// PlatformFeeCurrency
func (e *Exchange) PlatformFeeCurrency() string {
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return toGlobalCurrency("max")
}
func (e *Exchange) getLaunchDate() (time.Time, error) {
// MAX launch date June 21th, 2018
loc, err := time.LoadLocation("Asia/Taipei")
if err != nil {
return time.Time{}, err
}
return time.Date(2018, time.June, 21, 0, 0, 0, 0, loc), nil
}
func (e *Exchange) QueryAccount(ctx context.Context) (*types.Account, error) {
if err := accountQueryLimiter.Wait(ctx); err != nil {
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return nil, err
}
userInfo, err := e.client.AccountService.Me()
if err != nil {
return nil, err
}
var balances = make(types.BalanceMap)
for _, a := range userInfo.Accounts {
balances[toGlobalCurrency(a.Currency)] = types.Balance{
Currency: toGlobalCurrency(a.Currency),
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Available: fixedpoint.Must(fixedpoint.NewFromString(a.Balance)),
Locked: fixedpoint.Must(fixedpoint.NewFromString(a.Locked)),
}
}
vipLevel, err := e.client.AccountService.VipLevel()
if err != nil {
return nil, err
}
// MAX returns the fee rate in the following format:
// "maker_fee": 0.0005 -> 0.05%
// "taker_fee": 0.0015 -> 0.15%
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a := &types.Account{
MakerFeeRate: fixedpoint.NewFromFloat(vipLevel.Current.MakerFee), // 0.15% = 0.0015
TakerFeeRate: fixedpoint.NewFromFloat(vipLevel.Current.TakerFee), // 0.15% = 0.0015
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}
a.UpdateBalances(balances)
return a, nil
}
func (e *Exchange) QueryWithdrawHistory(ctx context.Context, asset string, since, until time.Time) (allWithdraws []types.Withdraw, err error) {
startTime := since
limit := 1000
txIDs := map[string]struct{}{}
emptyTime := time.Time{}
if startTime == emptyTime {
startTime, err = e.getLaunchDate()
if err != nil {
return nil, err
}
}
for startTime.Before(until) {
// startTime ~ endTime must be in 60 days
endTime := startTime.AddDate(0, 0, 60)
if endTime.After(until) {
endTime = until
}
log.Infof("querying withdraw %s: %s <=> %s", asset, startTime, endTime)
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req := e.client.AccountService.NewGetWithdrawalHistoryRequest()
if len(asset) > 0 {
req.Currency(toLocalCurrency(asset))
}
withdraws, err := req.
From(startTime.Unix()).
To(endTime.Unix()).
Limit(limit).
Do(ctx)
if err != nil {
return allWithdraws, err
}
if len(withdraws) == 0 {
startTime = endTime
continue
}
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for i := len(withdraws) - 1; i >= 0; i-- {
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d := withdraws[i]
if _, ok := txIDs[d.TxID]; ok {
continue
}
// we can convert this later
status := d.State
switch d.State {
case "confirmed":
status = "completed" // make it compatible with binance
case "submitting", "submitted", "accepted",
"rejected", "suspect", "approved", "delisted_processing",
"processing", "retryable", "sent", "canceled",
"failed", "pending",
"kgi_manually_processing", "kgi_manually_confirmed", "kgi_possible_failed",
"sygna_verifying":
default:
status = d.State
}
txIDs[d.TxID] = struct{}{}
withdraw := types.Withdraw{
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Exchange: types.ExchangeMax,
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ApplyTime: types.Time(time.Unix(d.CreatedAt, 0)),
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Asset: toGlobalCurrency(d.Currency),
Amount: util.MustParseFloat(d.Amount),
Address: "",
AddressTag: "",
TransactionID: d.TxID,
TransactionFee: util.MustParseFloat(d.Fee),
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TransactionFeeCurrency: d.FeeCurrency,
// WithdrawOrderID: d.WithdrawOrderID,
// Network: d.Network,
Status: status,
}
allWithdraws = append(allWithdraws, withdraw)
}
// go next time frame
if len(withdraws) < limit {
startTime = endTime
} else {
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// its in descending order, so we get the first record
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startTime = time.Unix(withdraws[0].CreatedAt, 0)
}
}
return allWithdraws, nil
}
func (e *Exchange) QueryDepositHistory(ctx context.Context, asset string, since, until time.Time) (allDeposits []types.Deposit, err error) {
startTime := since
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limit := 1000
txIDs := map[string]struct{}{}
emptyTime := time.Time{}
if startTime == emptyTime {
startTime, err = e.getLaunchDate()
if err != nil {
return nil, err
}
}
for startTime.Before(until) {
// startTime ~ endTime must be in 90 days
endTime := startTime.AddDate(0, 0, 60)
if endTime.After(until) {
endTime = until
}
log.Infof("querying deposit history %s: %s <=> %s", asset, startTime, endTime)
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req := e.client.AccountService.NewGetDepositHistoryRequest()
if len(asset) > 0 {
req.Currency(toLocalCurrency(asset))
}
deposits, err := req.
From(startTime.Unix()).
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To(endTime.Unix()).
Limit(limit).
Do(ctx)
if err != nil {
return nil, err
}
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for i := len(deposits) - 1; i >= 0; i-- {
d := deposits[i]
if _, ok := txIDs[d.TxID]; ok {
continue
}
allDeposits = append(allDeposits, types.Deposit{
Exchange: types.ExchangeMax,
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Time: types.Time(time.Unix(d.CreatedAt, 0)),
Amount: util.MustParseFloat(d.Amount),
Asset: toGlobalCurrency(d.Currency),
Address: "", // not supported
AddressTag: "", // not supported
TransactionID: d.TxID,
Status: toGlobalDepositStatus(d.State),
})
}
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if len(deposits) < limit {
startTime = endTime
} else {
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startTime = time.Unix(deposits[0].CreatedAt, 0)
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}
}
return allDeposits, err
}
func (e *Exchange) QueryAccountBalances(ctx context.Context) (types.BalanceMap, error) {
if err := accountQueryLimiter.Wait(ctx); err != nil {
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return nil, err
}
accounts, err := e.client.AccountService.Accounts()
if err != nil {
return nil, err
}
var balances = make(types.BalanceMap)
for _, a := range accounts {
balances[toGlobalCurrency(a.Currency)] = types.Balance{
Currency: toGlobalCurrency(a.Currency),
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Available: fixedpoint.Must(fixedpoint.NewFromString(a.Balance)),
Locked: fixedpoint.Must(fixedpoint.NewFromString(a.Locked)),
}
}
return balances, nil
}
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func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) (trades []types.Trade, err error) {
if err := tradeQueryLimiter.Wait(ctx); err != nil {
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return nil, err
}
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req := e.client.TradeService.NewPrivateTradeRequest()
req.Market(toLocalSymbol(symbol))
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if options.Limit > 0 {
req.Limit(options.Limit)
} else {
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req.Limit(1000)
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}
// MAX uses exclusive last trade ID
// the timestamp parameter is used for reverse order, we can't use it.
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if options.LastTradeID > 0 {
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req.From(int64(options.LastTradeID))
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}
// make it compatible with binance, we need the last trade id for the next page.
req.OrderBy("asc")
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remoteTrades, err := req.Do(ctx)
if err != nil {
return nil, err
}
for _, t := range remoteTrades {
localTrade, err := toGlobalTrade(t)
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if err != nil {
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log.WithError(err).Errorf("can not convert trade: %+v", t)
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continue
}
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trades = append(trades, *localTrade)
}
return trades, nil
}
func (e *Exchange) QueryRewards(ctx context.Context, startTime time.Time) ([]types.Reward, error) {
var from = startTime
var emptyTime = time.Time{}
if from == emptyTime {
from = time.Unix(maxapi.TimestampSince, 0)
}
var now = time.Now()
for {
if from.After(now) {
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return nil, nil
}
// scan by 30 days
// an user might get most 14 commission records by currency per day
// limit 1000 / 14 = 71 days
to := from.Add(time.Hour * 24 * 30)
req := e.client.RewardService.NewRewardsRequest()
req.From(from.Unix())
req.To(to.Unix())
req.Limit(1000)
maxRewards, err := req.Do(ctx)
if err != nil {
return nil, err
}
if len(maxRewards) == 0 {
// next page
from = to
continue
}
rewards, err := toGlobalRewards(maxRewards)
if err != nil {
return nil, err
}
// sort them in the ascending order
sort.Sort(types.RewardSliceByCreationTime(rewards))
return rewards, nil
}
return nil, errors.New("unknown error")
}
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// QueryKLines returns the klines from the MAX exchange API.
// The KLine API of the MAX exchange uses inclusive time range
//
// https://max-api.maicoin.com/api/v2/k?market=btctwd&limit=10&period=1&timestamp=1620202440
// The above query will return a kline that starts with 1620202440 (unix timestamp) without endTime.
// We need to calculate the endTime by ourself.
func (e *Exchange) QueryKLines(ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions) ([]types.KLine, error) {
if err := marketDataLimiter.Wait(ctx); err != nil {
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return nil, err
}
var limit = 5000
if options.Limit > 0 {
// default limit == 500
limit = options.Limit
}
// workaround for the kline query, because MAX does not support query by end time
// so we need to use the given end time and the limit number to calculate the start time
if options.EndTime != nil && options.StartTime == nil {
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startTime := options.EndTime.Add(-time.Duration(limit) * interval.Duration())
options.StartTime = &startTime
}
if options.StartTime == nil {
return nil, errors.New("start time can not be empty")
}
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log.Infof("querying kline %s %s %+v", symbol, interval, options)
localKLines, err := e.client.PublicService.KLines(toLocalSymbol(symbol), string(interval), *options.StartTime, limit)
if err != nil {
return nil, err
}
var kLines []types.KLine
for _, k := range localKLines {
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if options.EndTime != nil && k.StartTime.After(*options.EndTime) {
break
}
kLines = append(kLines, k.KLine())
}
return kLines, nil
}
func (e *Exchange) QueryAveragePrice(ctx context.Context, symbol string) (float64, error) {
ticker, err := e.client.PublicService.Ticker(toLocalSymbol(symbol))
if err != nil {
return 0, err
}
return (util.MustParseFloat(ticker.Sell) + util.MustParseFloat(ticker.Buy)) / 2, nil
}