Merge pull request #169 from c9s/ftx/account

feature: support FTX account information api

pkg/backtest/matching.go

@@ -47,8 +47,8 @@ type SimplePriceMatching struct {
 
 	Account *types.Account
 
-	MakerCommission int `json:"makerCommission"`
-	TakerCommission int `json:"takerCommission"`
+	MakerCommission float64 `json:"makerCommission"`
+	TakerCommission float64 `json:"takerCommission"`
 
 	tradeUpdateCallbacks   []func(trade types.Trade)
 	orderUpdateCallbacks   []func(order types.Order)
@@ -205,9 +205,9 @@ func (m *SimplePriceMatching) newTradeFromOrder(order types.Order, isMaker bool)
 	// MAX uses 0.050% for maker and 0.15% for taker
 	var commission = DefaultFeeRate
 	if isMaker && m.Account.MakerCommission > 0 {
-		commission = 0.0001 * float64(m.Account.MakerCommission) // binance uses 10~15
+		commission = 0.0001 * m.Account.MakerCommission // binance uses 10~15
 	} else if m.Account.TakerCommission > 0 {
-		commission = 0.0001 * float64(m.Account.TakerCommission) // binance uses 10~15
+		commission = 0.0001 * m.Account.TakerCommission // binance uses 10~15
 	}
 
 	var fee float64

pkg/bbgo/config.go

@@ -113,8 +113,8 @@ func (t Backtest) ParseStartTime() (time.Time, error) {
 }
 
 type BacktestAccount struct {
-	MakerCommission  int                       `json:"makerCommission"`
-	TakerCommission  int                       `json:"takerCommission"`
+	MakerCommission  float64                   `json:"makerCommission"`
+	TakerCommission  float64                   `json:"takerCommission"`
 	BuyerCommission  int                       `json:"buyerCommission"`
 	SellerCommission int                       `json:"sellerCommission"`
 	Balances         BacktestAccountBalanceMap `json:"balances" yaml:"balances"`

pkg/cmd/account.go

@@ -0,0 +1,78 @@
+package cmd
+
+import (
+	"context"
+	"fmt"
+	"os"
+
+	"github.com/pkg/errors"
+	log "github.com/sirupsen/logrus"
+	"github.com/spf13/cobra"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+)
+
+func init() {
+	accountCmd.Flags().String("session", "", "the exchange session name for querying information")
+	RootCmd.AddCommand(accountCmd)
+}
+
+// go run ./cmd/bbgo account --session=ftx --config=config/bbgo.yaml
+var accountCmd = &cobra.Command{
+	Use:          "account",
+	SilenceUsage: true,
+	RunE: func(cmd *cobra.Command, args []string) error {
+		ctx := context.Background()
+
+		configFile, err := cmd.Flags().GetString("config")
+		if err != nil {
+			return err
+		}
+
+		if len(configFile) == 0 {
+			return errors.New("--config option is required")
+		}
+
+		var userConfig *bbgo.Config
+		if _, err := os.Stat(configFile); err == nil {
+			// load successfully
+			userConfig, err = bbgo.Load(configFile, false)
+			if err != nil {
+				return err
+			}
+		} else if os.IsNotExist(err) {
+			// config file doesn't exist
+			userConfig = &bbgo.Config{}
+		} else {
+			// other error
+			return err
+		}
+
+		environ := bbgo.NewEnvironment()
+		if err := environ.ConfigureDatabase(ctx); err != nil {
+			return err
+		}
+
+		if err := environ.ConfigureExchangeSessions(userConfig); err != nil {
+			return err
+		}
+
+		sessionName, err := cmd.Flags().GetString("session")
+		if err != nil {
+			return err
+		}
+
+		session, ok := environ.Session(sessionName)
+		if !ok {
+			return fmt.Errorf("session %s not found", sessionName)
+		}
+
+		a, err := session.Exchange.QueryAccount(ctx)
+		if err != nil {
+			return err
+		}
+
+		log.Infof("account info: %+v", a)
+		return nil
+	},
+}

pkg/exchange/binance/exchange.go

@@ -378,8 +378,8 @@ func (e *Exchange) QueryAccount(ctx context.Context) (*types.Account, error) {
 	}
 
 	a := &types.Account{
-		MakerCommission: int(account.MakerCommission),
-		TakerCommission: int(account.TakerCommission),
+		MakerCommission: float64(account.MakerCommission),
+		TakerCommission: float64(account.TakerCommission),
 	}
 	a.UpdateBalances(balances)
 	return a, nil

pkg/exchange/ftx/exchange.go

@@ -53,7 +53,7 @@ func (e *Exchange) Name() types.ExchangeName {
 }
 
 func (e *Exchange) PlatformFeeCurrency() string {
-	panic("implement me")
+	return toGlobalCurrency("FTT")
 }
 
 func (e *Exchange) NewStream() types.Stream {
@@ -65,7 +65,27 @@ func (e *Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) {
 }
 
 func (e *Exchange) QueryAccount(ctx context.Context) (*types.Account, error) {
-	panic("implement me")
+	resp, err := e.newRest().Account(ctx)
+	if err != nil {
+		return nil, err
+	}
+	if !resp.Success {
+		return nil, fmt.Errorf("ftx returns querying balances failure")
+	}
+
+	bps := fixedpoint.NewFromFloat(10000)
+	a := &types.Account{
+		MakerCommission: fixedpoint.NewFromFloat(resp.Result.MakerFee).Mul(bps).Float64(),
+		TakerCommission: fixedpoint.NewFromFloat(resp.Result.TakerFee).Mul(bps).Float64(),
+	}
+
+	balances, err := e.QueryAccountBalances(ctx)
+	if err != nil {
+		return nil, err
+	}
+	a.UpdateBalances(balances)
+
+	return a, nil
 }
 
 func (e *Exchange) QueryAccountBalances(ctx context.Context) (types.BalanceMap, error) {

pkg/exchange/ftx/exchange_test.go

@@ -12,6 +12,7 @@ import (
 	"github.com/stretchr/testify/assert"
 
 	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
 )
 
 func TestExchange_QueryAccountBalances(t *testing.T) {
@@ -280,3 +281,90 @@ func TestExchange_QueryClosedOrders(t *testing.T) {
 		}
 	})
 }
+
+func TestExchange_QueryAccount(t *testing.T) {
+	balanceResp := `
+{
+  "result": [
+    {
+      "availableWithoutBorrow": 19.47458865,
+      "coin": "USD",
+      "free": 19.48085209,
+      "spotBorrow": 0.0,
+      "total": 1094.66405065,
+      "usdValue": 1094.664050651561
+    }
+  ],
+  "success": true
+}
+`
+
+	accountInfoResp := `
+{
+  "success": true,
+  "result": {
+    "backstopProvider": true,
+    "collateral": 3568181.02691129,
+    "freeCollateral": 1786071.456884368,
+    "initialMarginRequirement": 0.12222384240257728,
+    "leverage": 10,
+    "liquidating": false,
+    "maintenanceMarginRequirement": 0.07177992558058484,
+    "makerFee": 0.0002,
+    "marginFraction": 0.5588433331419503,
+    "openMarginFraction": 0.2447194090423075,
+    "takerFee": 0.0005,
+    "totalAccountValue": 3568180.98341129,
+    "totalPositionSize": 6384939.6992,
+    "username": "user@domain.com",
+    "positions": [
+      {
+        "cost": -31.7906,
+        "entryPrice": 138.22,
+        "future": "ETH-PERP",
+        "initialMarginRequirement": 0.1,
+        "longOrderSize": 1744.55,
+        "maintenanceMarginRequirement": 0.04,
+        "netSize": -0.23,
+        "openSize": 1744.32,
+        "realizedPnl": 3.39441714,
+        "shortOrderSize": 1732.09,
+        "side": "sell",
+        "size": 0.23,
+        "unrealizedPnl": 0
+      }
+    ]
+  }
+}
+`
+	returnBalance := false
+	ts := httptest.NewServer(http.HandlerFunc(func(w http.ResponseWriter, r *http.Request) {
+		if returnBalance {
+			fmt.Fprintln(w, balanceResp)
+			return
+		}
+		returnBalance = true
+		fmt.Fprintln(w, accountInfoResp)
+	}))
+	defer ts.Close()
+
+	ex := NewExchange("", "", "")
+	serverURL, err := url.Parse(ts.URL)
+	assert.NoError(t, err)
+	ex.restEndpoint = serverURL
+	resp, err := ex.QueryAccount(context.Background())
+	assert.NoError(t, err)
+
+	b, ok := resp.Balance("USD")
+	assert.True(t, ok)
+	expected := types.Balance{
+		Currency:  "USD",
+		Available: fixedpoint.MustNewFromString("19.48085209"),
+		Locked:    fixedpoint.MustNewFromString("1094.66405065"),
+	}
+	expected.Locked = expected.Locked.Sub(expected.Available)
+	assert.Equal(t, expected, b)
+
+	assert.Equal(t, 0.0002*10000, resp.MakerCommission)
+	assert.Equal(t, 0.0005*10000, resp.TakerCommission)
+}

pkg/exchange/ftx/rest.go

@@ -21,6 +21,7 @@ import (
 type restRequest struct {
 	*balanceRequest
 	*orderRequest
+	*accountRequest
 
 	key, secret string
 	// Optional sub-account name
@@ -42,6 +43,7 @@ func newRestRequest(c *http.Client, baseURL *url.URL) *restRequest {
 		baseURL: baseURL,
 	}
 
+	r.accountRequest = &accountRequest{restRequest: r}
 	r.balanceRequest = &balanceRequest{restRequest: r}
 	r.orderRequest = &orderRequest{restRequest: r}
 	return r

pkg/exchange/ftx/rest_account_request.go

@@ -0,0 +1,47 @@
+package ftx
+
+import (
+	"context"
+	"encoding/json"
+	"fmt"
+)
+
+type accountRequest struct {
+	*restRequest
+}
+
+func (r *accountRequest) Account(ctx context.Context) (accountResponse, error) {
+	resp, err := r.
+		Method("GET").
+		ReferenceURL("api/account").
+		DoAuthenticatedRequest(ctx)
+
+	if err != nil {
+		return accountResponse{}, err
+	}
+
+	var a accountResponse
+	if err := json.Unmarshal(resp.Body, &a); err != nil {
+		return accountResponse{}, fmt.Errorf("failed to unmarshal account response body to json: %w", err)
+	}
+
+	return a, nil
+}
+
+func (r *accountRequest) Positions(ctx context.Context) (positionsResponse, error) {
+	resp, err := r.
+		Method("GET").
+		ReferenceURL("api/positions").
+		DoAuthenticatedRequest(ctx)
+
+	if err != nil {
+		return positionsResponse{}, err
+	}
+
+	var p positionsResponse
+	if err := json.Unmarshal(resp.Body, &p); err != nil {
+		return positionsResponse{}, fmt.Errorf("failed to unmarshal position response body to json: %w", err)
+	}
+
+	return p, nil
+}

pkg/exchange/ftx/rest_responses.go

@@ -2,6 +2,96 @@ package ftx
 
 import "time"
 
+/*
+{
+  "success": true,
+  "result": {
+    "backstopProvider": true,
+    "collateral": 3568181.02691129,
+    "freeCollateral": 1786071.456884368,
+    "initialMarginRequirement": 0.12222384240257728,
+    "leverage": 10,
+    "liquidating": false,
+    "maintenanceMarginRequirement": 0.07177992558058484,
+    "makerFee": 0.0002,
+    "marginFraction": 0.5588433331419503,
+    "openMarginFraction": 0.2447194090423075,
+    "takerFee": 0.0005,
+    "totalAccountValue": 3568180.98341129,
+    "totalPositionSize": 6384939.6992,
+    "username": "user@domain.com",
+    "positions": [
+      {
+        "cost": -31.7906,
+        "entryPrice": 138.22,
+        "future": "ETH-PERP",
+        "initialMarginRequirement": 0.1,
+        "longOrderSize": 1744.55,
+        "maintenanceMarginRequirement": 0.04,
+        "netSize": -0.23,
+        "openSize": 1744.32,
+        "realizedPnl": 3.39441714,
+        "shortOrderSize": 1732.09,
+        "side": "sell",
+        "size": 0.23,
+        "unrealizedPnl": 0
+      }
+    ]
+  }
+}
+*/
+type accountResponse struct {
+	Success bool    `json:"success"`
+	Result  account `json:"result"`
+}
+
+type account struct {
+	MakerFee float64 `json:"makerFee"`
+	TakerFee float64 `json:"takerFee"`
+}
+
+type positionsResponse struct {
+	Success bool       `json:"success"`
+	Result  []position `json:"result"`
+}
+
+/*
+{
+  "cost": -31.7906,
+  "entryPrice": 138.22,
+  "estimatedLiquidationPrice": 152.1,
+  "future": "ETH-PERP",
+  "initialMarginRequirement": 0.1,
+  "longOrderSize": 1744.55,
+  "maintenanceMarginRequirement": 0.04,
+  "netSize": -0.23,
+  "openSize": 1744.32,
+  "realizedPnl": 3.39441714,
+  "shortOrderSize": 1732.09,
+  "side": "sell",
+  "size": 0.23,
+  "unrealizedPnl": 0,
+  "collateralUsed": 3.17906
+}
+*/
+type position struct {
+	Cost                         float64 `json:"cost"`
+	EntryPrice                   float64 `json:"entryPrice"`
+	EstimatedLiquidationPrice    float64 `json:"estimatedLiquidationPrice"`
+	Future                       string  `json:"future"`
+	InitialMarginRequirement     float64 `json:"initialMarginRequirement"`
+	LongOrderSize                float64 `json:"longOrderSize"`
+	MaintenanceMarginRequirement float64 `json:"maintenanceMarginRequirement"`
+	NetSize                      float64 `json:"netSize"`
+	OpenSize                     float64 `json:"openSize"`
+	RealizedPnl                  float64 `json:"realizedPnl"`
+	ShortOrderSize               float64 `json:"shortOrderSize"`
+	Side                         string  `json:"Side"`
+	Size                         float64 `json:"size"`
+	UnrealizedPnl                float64 `json:"unrealizedPnl"`
+	CollateralUsed               float64 `json:"collateralUsed"`
+}
+
 type balances struct {
 	Success bool `json:"success"`
 

pkg/types/account.go

@@ -102,9 +102,10 @@ func (m BalanceMap) Print() {
 type Account struct {
 	sync.Mutex `json:"-"`
 
-	MakerCommission int    `json:"makerCommission,omitempty"`
-	TakerCommission int    `json:"takerCommission,omitempty"`
-	AccountType     string `json:"accountType,omitempty"`
+	// bps. 0.15% fee will be 15.
+	MakerCommission float64 `json:"makerCommission,omitempty"`
+	TakerCommission float64 `json:"takerCommission,omitempty"`
+	AccountType     string  `json:"accountType,omitempty"`
 
 	balances BalanceMap
 }