ftx: convert open order

pkg/exchange/ftx/convert.go

@@ -1,7 +1,71 @@
 package ftx
 
-import "strings"
+import (
+	"fmt"
+	"strings"
+
+	"github.com/c9s/bbgo/pkg/datatype"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
 
 func toGlobalCurrency(original string) string {
+	return TrimUpperString(original)
+}
+
+func toGlobalSymbol(original string) string {
+	return TrimUpperString(original)
+}
+
+func TrimUpperString(original string) string {
 	return strings.ToUpper(strings.TrimSpace(original))
 }
+
+var errUnsupportedOrderStatus = fmt.Errorf("unsupported order status")
+
+func toGlobalOrderFromOpenOrder(r order) (types.Order, error) {
+	// In exchange/max, it only parses these fields.
+	o := types.Order{
+		SubmitOrder: types.SubmitOrder{
+			ClientOrderID: r.ClientId,
+			Symbol:        toGlobalSymbol(r.Market),
+			Side:          types.SideType(TrimUpperString(r.Side)),
+			// order type definition: https://github.com/ftexchange/ftx/blob/master/rest/client.py#L122
+			Type:        types.OrderType(TrimUpperString(r.Type)),
+			Quantity:    r.Size,
+			Price:       r.Price,
+			TimeInForce: "GTC",
+		},
+		Exchange:         types.ExchangeFTX.String(),
+		IsWorking:        r.Status == "open",
+		OrderID:          uint64(r.ID),
+		Status:           "",
+		ExecutedQuantity: r.FilledSize,
+		CreationTime:     datatype.Time(r.CreatedAt),
+		UpdateTime:       datatype.Time(r.CreatedAt),
+	}
+
+	// `new` (accepted but not processed yet), `open`, or `closed` (filled or cancelled)
+	switch r.Status {
+	case "new":
+		o.Status = types.OrderStatusNew
+	case "open":
+		if fixedpoint.NewFromFloat(o.ExecutedQuantity) != fixedpoint.NewFromInt(0) {
+			o.Status = types.OrderStatusPartiallyFilled
+		} else {
+			o.Status = types.OrderStatusNew
+		}
+	case "closed":
+		// filled or canceled
+		if fixedpoint.NewFromFloat(o.Quantity) == fixedpoint.NewFromFloat(o.ExecutedQuantity) {
+			o.Status = types.OrderStatusFilled
+		} else {
+			// can't distinguish it's canceled or rejected from order response, so always set to canceled
+			o.Status = types.OrderStatusCanceled
+		}
+	default:
+		return types.Order{}, fmt.Errorf("unsupported status %s: %w", r.Status, errUnsupportedOrderStatus)
+	}
+
+	return o, nil
+}

pkg/exchange/ftx/convert_test.go

@@ -0,0 +1,51 @@
+package ftx
+
+import (
+	"encoding/json"
+	"testing"
+
+	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func Test_toGlobalOrderFromOpenOrder(t *testing.T) {
+	input := `
+{
+	"createdAt": "2019-03-05T09:56:55.728933+00:00",
+	"filledSize": 10,
+	"future": "XRP-PERP",
+	"id": 9596912,
+	"market": "XRP-PERP",
+	"price": 0.306525,
+	"avgFillPrice": 0.306526,
+	"remainingSize": 31421,
+	"side": "sell",
+	"size": 31431,
+	"status": "open",
+	"type": "limit",
+	"reduceOnly": false,
+	"ioc": false,
+	"postOnly": false,
+	"clientId": "client-id-123"
+}
+`
+
+	var r order
+	assert.NoError(t, json.Unmarshal([]byte(input), &r))
+
+	o, err := toGlobalOrderFromOpenOrder(r)
+	assert.NoError(t, err)
+	assert.Equal(t, "client-id-123", o.ClientOrderID)
+	assert.Equal(t, "XRP-PERP", o.Symbol)
+	assert.Equal(t, types.SideTypeSell, o.Side)
+	assert.Equal(t, types.OrderTypeLimit, o.Type)
+	assert.Equal(t, float64(31431), o.Quantity)
+	assert.Equal(t, 0.306525, o.Price)
+	assert.Equal(t, "GTC", o.TimeInForce)
+	assert.Equal(t, types.ExchangeFTX.String(), o.Exchange)
+	assert.True(t, o.IsWorking)
+	assert.Equal(t, uint64(9596912), o.OrderID)
+	assert.Equal(t, types.OrderStatusPartiallyFilled, o.Status)
+	assert.Equal(t, float64(10), o.ExecutedQuantity)
+}