rename trade volume to quantity and record quote quantity

bbgo/exchange/binance/exchange.go

@@ -164,7 +164,82 @@ func (e *Exchange) QueryKLines(ctx context.Context, symbol, interval string, opt
 	return kLines, nil
 }
 
-func (e *Exchange) BatchQueryTrades(ctx context.Context, symbol string, startTime time.Time) (trades []types.Trade, err error) {
+type TradeQueryOptions struct {
+	StartTime   *time.Time
+	EndTime     *time.Time
+	Limit       int
+	LastTradeID int64
+}
+
+func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *TradeQueryOptions) (trades []types.Trade, err error) {
+	req := e.Client.NewListTradesService().
+		Limit(1000).
+		Symbol(symbol)
+
+	if options.Limit > 0 {
+		req.Limit(options.Limit)
+	}
+
+	if options.StartTime != nil {
+		req.StartTime(options.StartTime.UnixNano() / int64(time.Millisecond))
+	}
+	if options.EndTime != nil {
+		req.EndTime(options.EndTime.UnixNano() / int64(time.Millisecond))
+	}
+	if options.LastTradeID > 0 {
+		req.FromID(options.LastTradeID)
+	}
+
+	remoteTrades, err := req.Do(ctx)
+	if err != nil {
+		return nil, err
+	}
+
+	for _, t := range remoteTrades {
+		// skip trade ID that is the same. however this should not happen
+		var side string
+		if t.IsBuyer {
+			side = "BUY"
+		} else {
+			side = "SELL"
+		}
+
+		// trade time
+		tt := time.Unix(0, t.Time*1000000)
+
+		logrus.Infof("[binance] trade: %d %s % 4s price: % 13s volume: % 11s %6s % 5s %s", t.ID, t.Symbol, side, t.Price, t.Quantity, BuyerOrSellerLabel(t), MakerOrTakerLabel(t), tt)
+
+		price, err := strconv.ParseFloat(t.Price, 64)
+		if err != nil {
+			return nil, err
+		}
+
+		quantity, err := strconv.ParseFloat(t.Quantity, 64)
+		if err != nil {
+			return nil, err
+		}
+
+		fee, err := strconv.ParseFloat(t.Commission, 64)
+		if err != nil {
+			return nil, err
+		}
+
+		trades = append(trades, types.Trade{
+			ID:          t.ID,
+			Price:       price,
+			Quantity:    quantity,
+			Side:        side,
+			IsBuyer:     t.IsBuyer,
+			IsMaker:     t.IsMaker,
+			Fee:         fee,
+			FeeCurrency: t.CommissionAsset,
+			Time:        tt,
+		})
+	}
+
+}
+
+func (e *Exchange) BatchQueryTrades(ctx context.Context, symbol string, startTime time.Time, options *TradeQueryOptions) (trades []types.Trade, err error) {
 	logrus.Infof("[binance] querying %s trades from %s", symbol, startTime)
 
 	var lastTradeID int64 = 0
@@ -223,7 +298,7 @@ func (e *Exchange) BatchQueryTrades(ctx context.Context, symbol string, startTim
 			trades = append(trades, types.Trade{
 				ID:          t.ID,
 				Price:       price,
-				Volume:      quantity,
+				Quantity:    quantity,
 				Side:        side,
 				IsBuyer:     t.IsBuyer,
 				IsMaker:     t.IsMaker,
@@ -238,3 +313,49 @@ func (e *Exchange) BatchQueryTrades(ctx context.Context, symbol string, startTim
 
 	return trades, nil
 }
+
+func convertRemoteTrade(t binance.TradeV3) (*types.Trade, error) {
+	// skip trade ID that is the same. however this should not happen
+	var side string
+	if t.IsBuyer {
+		side = "BUY"
+	} else {
+		side = "SELL"
+	}
+
+	// trade time
+	mts := time.Unix(0, t.Time*int64(time.Millisecond))
+
+	price, err := strconv.ParseFloat(t.Price, 64)
+	if err != nil {
+		return nil, err
+	}
+
+	quantity, err := strconv.ParseFloat(t.Quantity, 64)
+	if err != nil {
+		return nil, err
+	}
+
+	quoteQuantity, err := strconv.ParseFloat(t.QuoteQuantity, 64)
+	if err != nil {
+		return nil, err
+	}
+
+	fee, err := strconv.ParseFloat(t.Commission, 64)
+	if err != nil {
+		return nil, err
+	}
+
+	return &types.Trade{
+		ID:            t.ID,
+		Price:         price,
+		Quantity:      quantity,
+		Side:          side,
+		IsBuyer:       t.IsBuyer,
+		IsMaker:       t.IsMaker,
+		Fee:           fee,
+		FeeCurrency:   t.CommissionAsset,
+		QuoteQuantity: quoteQuantity,
+		Time:          mts,
+	}, nil
+}

bbgo/exchange/binance/parse.go

@@ -93,7 +93,7 @@ func (e *ExecutionReportEvent) Trade() (*types.Trade, error) {
 		ID:          e.TradeID,
 		Symbol:      e.Symbol,
 		Price:       util.MustParseFloat(e.LastExecutedPrice),
-		Volume:      util.MustParseFloat(e.LastExecutedQuantity),
+		Quantity:    util.MustParseFloat(e.LastExecutedQuantity),
 		Side:        e.Side,
 		IsBuyer:     e.Side == "BUY",
 		IsMaker:     e.IsMaker,

bbgo/pnl.go

@@ -48,8 +48,8 @@ func (c *ProfitAndLossCalculator) Calculate() *ProfitAndLossReport {
 
 	for _, t := range trades {
 		if t.IsBuyer {
-			bidVolume += t.Volume
+			bidVolume += t.Quantity
-			bidAmount += t.Price * t.Volume
+			bidAmount += t.Price * t.Quantity
 
 			// since we use USDT as the quote currency, we simply check if it matches the currency symbol
 			if strings.HasPrefix(t.Symbol, t.FeeCurrency) {
@@ -66,8 +66,8 @@ func (c *ProfitAndLossCalculator) Calculate() *ProfitAndLossReport {
 
 	for _, t := range trades {
 		if !t.IsBuyer {
-			profit += (t.Price - averageBidPrice) * t.Volume
+			profit += (t.Price - averageBidPrice) * t.Quantity
-			askVolume += t.Volume
+			askVolume += t.Quantity
 
 			// since we use USDT as the quote currency, we simply check if it matches the currency symbol
 			if strings.HasPrefix(t.Symbol, t.FeeCurrency) {

bbgo/trader.go

@@ -119,7 +119,7 @@ func (trader *KLineRegressionTrader) RunStrategy(ctx context.Context, strategy S
 			trade := types.Trade{
 				ID:          tradeID,
 				Price:       price,
-				Volume:      volume,
+				Quantity:    volume,
 				Side:        string(order.Side),
 				IsBuyer:     order.Side == types.SideTypeBuy,
 				IsMaker:     false,

bbgo/types/trade.go

@@ -10,11 +10,13 @@ type Trade struct {
 	GID int64 `json:"gid" db:"gid"`
 
 	// ID is the source trade ID
-	ID          int64     `json:"id" db:"id"`
+	ID            int64   `json:"id" db:"id"`
-	Exchange    string    `json:"exchange" db:"exchange"`
+	Exchange      string  `json:"exchange" db:"exchange"`
-	Price       float64   `json:"price" db:"price"`
+	Price         float64 `json:"price" db:"price"`
-	Volume      float64   `json:"volume" db:"volume"`
+	Quantity      float64 `json:"quantity" db:"quantity"`
-	Symbol      string    `json:"symbol" db:"symbol"`
+	QuoteQuantity float64 `json:"quoteQuantity" db:"quote_quantity"`
+	Symbol        string  `json:"symbol" db:"symbol"`
+
 	Side        string    `json:"side" db:"side"`
 	IsBuyer     bool      `json:"isBuyer" db:"is_buyer"`
 	IsMaker     bool      `json:"isMaker" db:"is_maker"`
@@ -48,7 +50,7 @@ func (trade Trade) SlackAttachment() slack.Attachment {
 			{Title: "Symbol", Value: trade.Symbol, Short: true},
 			{Title: "Side", Value: trade.Side, Short: true},
 			{Title: "Price", Value: market.FormatPrice(trade.Price), Short: true},
-			{Title: "Volume", Value: market.FormatVolume(trade.Volume), Short: true},
+			{Title: "Volume", Value: market.FormatVolume(trade.Quantity), Short: true},
 		},
 		// Footer:     tradingCtx.TradeStartTime.Format(time.RFC822),
 		// FooterIcon: "",