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Merge pull request #722 from ankion/fix_futures_kline

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fix futures mode not use futures kline data.
This commit is contained in:
Yo-An Lin 2022-06-16 07:31:33 +08:00 committed by GitHub
commit 20aa748ee0
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2 changed files with 114 additions and 7 deletions
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14
pkg/exchange/binance/convert.go
View File

@ -106,6 +106,19 @@ func toGlobalTicker(stats *binance.PriceChangeStats) (*types.Ticker, error) {
}, nil
}
func toGlobalFuturesTicker(stats *futures.PriceChangeStats) (*types.Ticker, error) {
return &types.Ticker{
Volume: fixedpoint.MustNewFromString(stats.Volume),
Last: fixedpoint.MustNewFromString(stats.LastPrice),
Open: fixedpoint.MustNewFromString(stats.OpenPrice),
High: fixedpoint.MustNewFromString(stats.HighPrice),
Low: fixedpoint.MustNewFromString(stats.LowPrice),
Buy: fixedpoint.MustNewFromString(stats.LastPrice),
Sell: fixedpoint.MustNewFromString(stats.LastPrice),
Time: time.Unix(0, stats.CloseTime*int64(time.Millisecond)),
}, nil
}
func toLocalOrderType(orderType types.OrderType) (binance.OrderType, error) {
switch orderType {
@ -317,4 +330,3 @@ func convertSubscription(s types.Subscription) string {
return fmt.Sprintf("%s@%s", strings.ToLower(s.Symbol), s.Channel)
}

107
pkg/exchange/binance/exchange.go
View File

@ -135,6 +135,16 @@ func (e *Exchange) Name() types.ExchangeName {
}
func (e *Exchange) QueryTicker(ctx context.Context, symbol string) (*types.Ticker, error) {
if e.IsFutures {
req := e.futuresClient.NewListPriceChangeStatsService()
req.Symbol(strings.ToUpper(symbol))
stats, err := req.Do(ctx)
if err != nil {
return nil, err
}
return toGlobalFuturesTicker(stats[0])
}
req := e.client.NewListPriceChangeStatsService()
req.Symbol(strings.ToUpper(symbol))
stats, err := req.Do(ctx)
@ -158,12 +168,6 @@ func (e *Exchange) QueryTickers(ctx context.Context, symbol ...string) (map[stri
return tickers, nil
}
var req = e.client.NewListPriceChangeStatsService()
changeStats, err := req.Do(ctx)
if err != nil {
return nil, err
}
m := make(map[string]struct{})
exists := struct{}{}
@ -171,6 +175,40 @@ func (e *Exchange) QueryTickers(ctx context.Context, symbol ...string) (map[stri
m[s] = exists
}
if e.IsFutures {
var req = e.futuresClient.NewListPriceChangeStatsService()
changeStats, err := req.Do(ctx)
if err != nil {
return nil, err
}
for _, stats := range changeStats {
if _, ok := m[stats.Symbol]; len(symbol) != 0 && !ok {
continue
}
tick := types.Ticker{
Volume: fixedpoint.MustNewFromString(stats.Volume),
Last: fixedpoint.MustNewFromString(stats.LastPrice),
Open: fixedpoint.MustNewFromString(stats.OpenPrice),
High: fixedpoint.MustNewFromString(stats.HighPrice),
Low: fixedpoint.MustNewFromString(stats.LowPrice),
Buy: fixedpoint.MustNewFromString(stats.LastPrice),
Sell: fixedpoint.MustNewFromString(stats.LastPrice),
Time: time.Unix(0, stats.CloseTime*int64(time.Millisecond)),
}
tickers[stats.Symbol] = tick
}
return tickers, nil
}
var req = e.client.NewListPriceChangeStatsService()
changeStats, err := req.Do(ctx)
if err != nil {
return nil, err
}
for _, stats := range changeStats {
if _, ok := m[stats.Symbol]; len(symbol) != 0 && !ok {
continue
@ -1198,6 +1236,9 @@ func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder
// the endTime of a binance kline, is the (startTime + interval time - 1 millisecond), e.g.,
// millisecond unix timestamp: 1620172860000 and 1620172919999
func (e *Exchange) QueryKLines(ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions) ([]types.KLine, error) {
if e.IsFutures {
return e.QueryFuturesKLines(ctx, symbol, interval, options)
}
var limit = 1000
if options.Limit > 0 {
@ -1251,6 +1292,60 @@ func (e *Exchange) QueryKLines(ctx context.Context, symbol string, interval type
return kLines, nil
}
func (e *Exchange) QueryFuturesKLines(ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions) ([]types.KLine, error) {
var limit = 1000
if options.Limit > 0 {
// default limit == 1000
limit = options.Limit
}
log.Infof("querying kline %s %s %v", symbol, interval, options)
req := e.futuresClient.NewKlinesService().
Symbol(symbol).
Interval(string(interval)).
Limit(limit)
if options.StartTime != nil {
req.StartTime(options.StartTime.UnixMilli())
}
if options.EndTime != nil {
req.EndTime(options.EndTime.UnixMilli())
}
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: types.ExchangeBinance,
Symbol: symbol,
Interval: interval,
StartTime: types.NewTimeFromUnix(0, k.OpenTime*int64(time.Millisecond)),
EndTime: types.NewTimeFromUnix(0, k.CloseTime*int64(time.Millisecond)),
Open: fixedpoint.MustNewFromString(k.Open),
Close: fixedpoint.MustNewFromString(k.Close),
High: fixedpoint.MustNewFromString(k.High),
Low: fixedpoint.MustNewFromString(k.Low),
Volume: fixedpoint.MustNewFromString(k.Volume),
QuoteVolume: fixedpoint.MustNewFromString(k.QuoteAssetVolume),
TakerBuyBaseAssetVolume: fixedpoint.MustNewFromString(k.TakerBuyBaseAssetVolume),
TakerBuyQuoteAssetVolume: fixedpoint.MustNewFromString(k.TakerBuyQuoteAssetVolume),
LastTradeID: 0,
NumberOfTrades: uint64(k.TradeNum),
Closed: true,
})
}
kLines = types.SortKLinesAscending(kLines)
return kLines, nil
}
func (e *Exchange) queryMarginTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) (trades []types.Trade, err error) {
var remoteTrades []*binance.TradeV3
req := e.client.NewListMarginTradesService().