FEATURE: use new max v3 api to query closed orders by timestamp

This commit is contained in:
chiahung.lin 2023-11-17 16:19:46 +08:00
parent 579e8b0ae5
commit 592cdede66
3 changed files with 302 additions and 0 deletions

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@ -268,6 +268,10 @@ func (e *Exchange) QueryOpenOrders(ctx context.Context, symbol string) (orders [
// lastOrderID is not supported on MAX
func (e *Exchange) QueryClosedOrders(ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64) ([]types.Order, error) {
log.Warn("!!!MAX EXCHANGE API NOTICE!!! the since/until conditions will not be effected on closed orders query, max exchange does not support time-range-based query")
if !since.IsZero() || !until.IsZero() {
return e.queryClosedOrdersByTime(ctx, symbol, since, until)
}
return e.queryClosedOrdersByLastOrderID(ctx, symbol, lastOrderID)
}
@ -311,6 +315,47 @@ func (e *Exchange) queryClosedOrdersByLastOrderID(ctx context.Context, symbol st
return types.SortOrdersAscending(orders), nil
}
func (e *Exchange) queryClosedOrdersByTime(ctx context.Context, symbol string, since, until time.Time) (orders []types.Order, err error) {
if err := e.closedOrderQueryLimiter.Wait(ctx); err != nil {
return orders, err
}
market := toLocalSymbol(symbol)
walletType := maxapi.WalletTypeSpot
if e.MarginSettings.IsMargin {
walletType = maxapi.WalletTypeMargin
}
req := e.v3client.NewGetWalletClosedOrdersRequest(walletType).Market(market).Limit(1000)
if !until.IsZero() {
req.Timestamp(until)
}
maxOrders, err := req.Do(ctx)
if err != nil {
return orders, err
}
for _, maxOrder := range maxOrders {
if maxOrder.CreatedAt.Time().Before(since) {
break
}
order, err2 := toGlobalOrder(maxOrder)
if err2 != nil {
err = multierr.Append(err, err2)
continue
}
orders = append(orders, *order)
}
if err != nil {
return nil, err
}
return types.SortOrdersAscending(orders), nil
}
func (e *Exchange) CancelAllOrders(ctx context.Context) ([]types.Order, error) {
walletType := maxapi.WalletTypeSpot
if e.MarginSettings.IsMargin {

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@ -0,0 +1,27 @@
package v3
import (
"time"
"github.com/c9s/requestgen"
)
//go:generate -command GetRequest requestgen -method GET
//go:generate -command PostRequest requestgen -method POST
//go:generate -command DeleteRequest requestgen -method DELETE
func (s *Client) NewGetWalletClosedOrdersRequest(walletType WalletType) *GetWalletClosedOrdersRequest {
return &GetWalletClosedOrdersRequest{client: s.Client, walletType: walletType}
}
//go:generate GetRequest -url "/api/v3/wallet/:walletType/orders/closed" -type GetWalletClosedOrdersRequest -responseType []Order
type GetWalletClosedOrdersRequest struct {
client requestgen.AuthenticatedAPIClient
walletType WalletType `param:"walletType,slug,required"`
market string `param:"market,required"`
timestamp *time.Time `param:"timestamp,milliseconds,omitempty"`
orderBy *string `param:"order_by,omitempty" validValues:"asc,desc,asc_updated_at,desc_updated_at"`
limit *uint `param:"limit,omitempty"`
}

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@ -0,0 +1,230 @@
// Code generated by "requestgen --method GET -url /api/v3/wallet/:walletType/orders/closed -type GetWalletClosedOrdersRequest -responseType []Order"; DO NOT EDIT.
package v3
import (
"context"
"encoding/json"
"fmt"
"github.com/c9s/bbgo/pkg/exchange/max/maxapi"
"net/url"
"reflect"
"regexp"
"strconv"
"time"
)
func (g *GetWalletClosedOrdersRequest) Market(market string) *GetWalletClosedOrdersRequest {
g.market = market
return g
}
func (g *GetWalletClosedOrdersRequest) Timestamp(timestamp time.Time) *GetWalletClosedOrdersRequest {
g.timestamp = &timestamp
return g
}
func (g *GetWalletClosedOrdersRequest) OrderBy(orderBy string) *GetWalletClosedOrdersRequest {
g.orderBy = &orderBy
return g
}
func (g *GetWalletClosedOrdersRequest) Limit(limit uint) *GetWalletClosedOrdersRequest {
g.limit = &limit
return g
}
func (g *GetWalletClosedOrdersRequest) WalletType(walletType max.WalletType) *GetWalletClosedOrdersRequest {
g.walletType = walletType
return g
}
// GetQueryParameters builds and checks the query parameters and returns url.Values
func (g *GetWalletClosedOrdersRequest) GetQueryParameters() (url.Values, error) {
var params = map[string]interface{}{}
query := url.Values{}
for _k, _v := range params {
query.Add(_k, fmt.Sprintf("%v", _v))
}
return query, nil
}
// GetParameters builds and checks the parameters and return the result in a map object
func (g *GetWalletClosedOrdersRequest) GetParameters() (map[string]interface{}, error) {
var params = map[string]interface{}{}
// check market field -> json key market
market := g.market
// TEMPLATE check-required
if len(market) == 0 {
return nil, fmt.Errorf("market is required, empty string given")
}
// END TEMPLATE check-required
// assign parameter of market
params["market"] = market
// check timestamp field -> json key timestamp
if g.timestamp != nil {
timestamp := *g.timestamp
// assign parameter of timestamp
// convert time.Time to milliseconds time stamp
params["timestamp"] = strconv.FormatInt(timestamp.UnixNano()/int64(time.Millisecond), 10)
} else {
}
// check orderBy field -> json key order_by
if g.orderBy != nil {
orderBy := *g.orderBy
// TEMPLATE check-valid-values
switch orderBy {
case "asc", "desc":
params["order_by"] = orderBy
default:
return nil, fmt.Errorf("order_by value %v is invalid", orderBy)
}
// END TEMPLATE check-valid-values
// assign parameter of orderBy
params["order_by"] = orderBy
} else {
}
// check limit field -> json key limit
if g.limit != nil {
limit := *g.limit
// assign parameter of limit
params["limit"] = limit
} else {
}
return params, nil
}
// GetParametersQuery converts the parameters from GetParameters into the url.Values format
func (g *GetWalletClosedOrdersRequest) GetParametersQuery() (url.Values, error) {
query := url.Values{}
params, err := g.GetParameters()
if err != nil {
return query, err
}
for _k, _v := range params {
if g.isVarSlice(_v) {
g.iterateSlice(_v, func(it interface{}) {
query.Add(_k+"[]", fmt.Sprintf("%v", it))
})
} else {
query.Add(_k, fmt.Sprintf("%v", _v))
}
}
return query, nil
}
// GetParametersJSON converts the parameters from GetParameters into the JSON format
func (g *GetWalletClosedOrdersRequest) GetParametersJSON() ([]byte, error) {
params, err := g.GetParameters()
if err != nil {
return nil, err
}
return json.Marshal(params)
}
// GetSlugParameters builds and checks the slug parameters and return the result in a map object
func (g *GetWalletClosedOrdersRequest) GetSlugParameters() (map[string]interface{}, error) {
var params = map[string]interface{}{}
// check walletType field -> json key walletType
walletType := g.walletType
// TEMPLATE check-required
if len(walletType) == 0 {
return nil, fmt.Errorf("walletType is required, empty string given")
}
// END TEMPLATE check-required
// assign parameter of walletType
params["walletType"] = walletType
return params, nil
}
func (g *GetWalletClosedOrdersRequest) applySlugsToUrl(url string, slugs map[string]string) string {
for _k, _v := range slugs {
needleRE := regexp.MustCompile(":" + _k + "\\b")
url = needleRE.ReplaceAllString(url, _v)
}
return url
}
func (g *GetWalletClosedOrdersRequest) iterateSlice(slice interface{}, _f func(it interface{})) {
sliceValue := reflect.ValueOf(slice)
for _i := 0; _i < sliceValue.Len(); _i++ {
it := sliceValue.Index(_i).Interface()
_f(it)
}
}
func (g *GetWalletClosedOrdersRequest) isVarSlice(_v interface{}) bool {
rt := reflect.TypeOf(_v)
switch rt.Kind() {
case reflect.Slice:
return true
}
return false
}
func (g *GetWalletClosedOrdersRequest) GetSlugsMap() (map[string]string, error) {
slugs := map[string]string{}
params, err := g.GetSlugParameters()
if err != nil {
return slugs, nil
}
for _k, _v := range params {
slugs[_k] = fmt.Sprintf("%v", _v)
}
return slugs, nil
}
func (g *GetWalletClosedOrdersRequest) Do(ctx context.Context) ([]max.Order, error) {
// empty params for GET operation
var params interface{}
query, err := g.GetParametersQuery()
if err != nil {
return nil, err
}
apiURL := "/api/v3/wallet/:walletType/orders/closed"
slugs, err := g.GetSlugsMap()
if err != nil {
return nil, err
}
apiURL = g.applySlugsToUrl(apiURL, slugs)
req, err := g.client.NewAuthenticatedRequest(ctx, "GET", apiURL, query, params)
if err != nil {
return nil, err
}
response, err := g.client.SendRequest(req)
if err != nil {
return nil, err
}
var apiResponse []max.Order
if err := response.DecodeJSON(&apiResponse); err != nil {
return nil, err
}
return apiResponse, nil
}