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Merge pull request #116 from c9s/feature/sqlite3

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convert time struct for sqlite driver
This commit is contained in:
Yo-An Lin 2021-02-06 15:05:49 +08:00 committed by GitHub
commit 597dd21865
12 changed files with 124 additions and 40 deletions
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3
pkg/accounting/pnl/avg_cost.go
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@ -2,6 +2,7 @@ package pnl
import (
"strings"
"time"
"github.com/c9s/bbgo/pkg/types"
)
@ -96,7 +97,7 @@ func (c *AverageCostCalculator) Calculate(symbol string, trades []types.Trade, c
Symbol: symbol,
CurrentPrice: currentPrice,
NumTrades: len(trades),
StartTime: trades[0].Time,
StartTime: time.Time(trades[0].Time),
BuyVolume: bidVolume,
SellVolume: askVolume,

7
pkg/backtest/matching.go
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@ -9,6 +9,7 @@ import (
"github.com/pkg/errors"
"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/datatype"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
@ -235,7 +236,7 @@ func (m *SimplePriceMatching) newTradeFromOrder(order types.Order, isMaker bool)
Side: order.Side,
IsBuyer: order.Side == types.SideTypeBuy,
IsMaker: isMaker,
Time: m.CurrentTime,
Time: datatype.Time(m.CurrentTime),
Fee: fee,
FeeCurrency: feeCurrency,
}
@ -436,7 +437,7 @@ func (m *SimplePriceMatching) newOrder(o types.SubmitOrder, orderID uint64) type
Status: types.OrderStatusNew,
ExecutedQuantity: 0,
IsWorking: true,
CreationTime: m.CurrentTime,
UpdateTime: m.CurrentTime,
CreationTime: datatype.Time(m.CurrentTime),
UpdateTime: datatype.Time(m.CurrentTime),
}
}

71
pkg/datatype/time.go Normal file
View File

@ -0,0 +1,71 @@
package datatype
import (
"database/sql/driver"
"fmt"
"time"
)
type Time time.Time
var layout = "2006-01-02 15:04:05.999Z07:00"
func (t *Time) UnmarshalJSON(data []byte) error {
return (*time.Time)(t).UnmarshalJSON(data)
}
func (t Time) MarshalJSON() ([]byte, error) {
return time.Time(t).MarshalJSON()
}
func (t Time) String() string {
return time.Time(t).String()
}
func (t Time) Time() time.Time {
return time.Time(t)
}
// driver.Valuer interface
// see http://jmoiron.net/blog/built-in-interfaces/
func (t Time) Value() (driver.Value, error) {
return time.Time(t), nil
}
func (t *Time) Scan(src interface{}) error {
switch d := src.(type) {
case *time.Time:
*t = Time(*d)
return nil
case time.Time:
*t = Time(d)
return nil
case string:
// 2020-12-16 05:17:12.994+08:00
tt, err := time.Parse(layout, d)
if err != nil {
return err
}
*t = Time(tt)
return nil
case []byte:
// 2019-10-20 23:01:43.77+08:00
tt, err := time.Parse(layout, string(d))
if err != nil {
return err
}
*t = Time(tt)
return nil
default:
}
return fmt.Errorf("datatype.Time scan error, type: %T is not supported, value; %+v", src, src)
}

7
pkg/exchange/binance/convert.go
View File

@ -8,6 +8,7 @@ import (
"github.com/adshao/go-binance/v2"
"github.com/pkg/errors"
"github.com/c9s/bbgo/pkg/datatype"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
)
@ -59,8 +60,8 @@ func ToGlobalOrder(binanceOrder *binance.Order, isMargin bool) (*types.Order, er
OrderID: uint64(binanceOrder.OrderID),
Status: toGlobalOrderStatus(binanceOrder.Status),
ExecutedQuantity: util.MustParseFloat(binanceOrder.ExecutedQuantity),
CreationTime: millisecondTime(binanceOrder.Time),
UpdateTime: millisecondTime(binanceOrder.UpdateTime),
CreationTime: datatype.Time(millisecondTime(binanceOrder.Time)),
UpdateTime: datatype.Time(millisecondTime(binanceOrder.UpdateTime)),
IsMargin: isMargin,
IsIsolated: binanceOrder.IsIsolated,
}, nil
@ -115,7 +116,7 @@ func ToGlobalTrade(t binance.TradeV3, isMargin bool) (*types.Trade, error) {
Fee: fee,
FeeCurrency: t.CommissionAsset,
QuoteQuantity: quoteQuantity,
Time: millisecondTime(t.Time),
Time: datatype.Time(millisecondTime(t.Time)),
IsMargin: isMargin,
IsIsolated: t.IsIsolated,
}, nil

5
pkg/exchange/binance/parse.go
View File

@ -9,6 +9,7 @@ import (
"github.com/adshao/go-binance/v2"
"github.com/valyala/fastjson"
"github.com/c9s/bbgo/pkg/datatype"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
@ -112,7 +113,7 @@ func (e *ExecutionReportEvent) Order() (*types.Order, error) {
OrderID: uint64(e.OrderID),
Status: toGlobalOrderStatus(binance.OrderStatusType(e.CurrentOrderStatus)),
ExecutedQuantity: util.MustParseFloat(e.CumulativeFilledQuantity),
CreationTime: orderCreationTime,
CreationTime: datatype.Time(orderCreationTime),
}, nil
}
@ -132,7 +133,7 @@ func (e *ExecutionReportEvent) Trade() (*types.Trade, error) {
QuoteQuantity: util.MustParseFloat(e.LastQuoteAssetTransactedQuantity),
IsBuyer: e.Side == "BUY",
IsMaker: e.IsMaker,
Time: tt,
Time: datatype.Time(tt),
Fee: util.MustParseFloat(e.CommissionAmount),
FeeCurrency: e.CommissionAsset,
}, nil

7
pkg/exchange/max/convert.go
View File

@ -6,6 +6,7 @@ import (
"strings"
"time"
"github.com/c9s/bbgo/pkg/datatype"
"github.com/c9s/bbgo/pkg/exchange/max/maxapi"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
@ -166,8 +167,8 @@ func toGlobalOrder(maxOrder max.Order) (*types.Order, error) {
OrderID: maxOrder.ID,
Status: toGlobalOrderStatus(maxOrder.State, executedVolume, remainingVolume),
ExecutedQuantity: executedVolume.Float64(),
CreationTime: maxOrder.CreatedAt,
UpdateTime: maxOrder.CreatedAt,
CreationTime: datatype.Time(maxOrder.CreatedAt),
UpdateTime: datatype.Time(maxOrder.CreatedAt),
}, nil
}
@ -211,7 +212,7 @@ func toGlobalTrade(t max.Trade) (*types.Trade, error) {
Fee: fee,
FeeCurrency: toGlobalCurrency(t.FeeCurrency),
QuoteQuantity: quoteQuantity,
Time: mts,
Time: datatype.Time(mts),
}, nil
}

5
pkg/exchange/max/stream.go
View File

@ -7,6 +7,7 @@ import (
"github.com/gorilla/websocket"
"github.com/c9s/bbgo/pkg/datatype"
max "github.com/c9s/bbgo/pkg/exchange/max/maxapi"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
@ -198,7 +199,7 @@ func convertWebSocketTrade(t max.TradeUpdate) (*types.Trade, error) {
Fee: fee,
FeeCurrency: toGlobalCurrency(t.FeeCurrency),
QuoteQuantity: quoteQuantity,
Time: mts,
Time: datatype.Time(mts),
}, nil
}
@ -228,6 +229,6 @@ func toGlobalOrderUpdate(u max.OrderUpdate) (*types.Order, error) {
OrderID: u.ID,
Status: toGlobalOrderStatus(u.State, executedVolume, remainingVolume),
ExecutedQuantity: executedVolume.Float64(),
CreationTime: time.Unix(0, u.CreatedAtMs*int64(time.Millisecond)),
CreationTime: datatype.Time(time.Unix(0, u.CreatedAtMs*int64(time.Millisecond))),
}, nil
}

19
pkg/server/setup.go
View File

@ -45,7 +45,8 @@ func (s *Server) setupTestDB(c *gin.Context) {
func (s *Server) setupConfigureDB(c *gin.Context) {
payload := struct {
DSN string `json:"dsn"`
Driver string `json:"driver"`
DSN string `json:"dsn"`
}{}
if err := c.BindJSON(&payload); err != nil {
@ -53,19 +54,25 @@ func (s *Server) setupConfigureDB(c *gin.Context) {
return
}
dsn := payload.DSN
if len(dsn) == 0 {
if len(payload.DSN) == 0 {
c.JSON(http.StatusBadRequest, gin.H{"error": "missing dsn argument"})
return
}
driver := "mysql"
if err := s.Environ.ConfigureDatabase(c, driver, dsn); err != nil {
if payload.Driver == "" {
payload.Driver = "mysql"
}
if err := s.Environ.ConfigureDatabase(c, payload.Driver, payload.DSN); err != nil {
c.JSON(http.StatusInternalServerError, gin.H{"error": err.Error()})
return
}
c.JSON(http.StatusOK, gin.H{"success": true})
c.JSON(http.StatusOK, gin.H{
"success": true,
"driver": payload.Driver,
"dsn": payload.DSN,
})
}
func (s *Server) setupAddStrategy(c *gin.Context) {

4
pkg/service/sync.go
View File

@ -34,7 +34,7 @@ func (s *SyncService) SyncOrders(ctx context.Context, exchange types.Exchange, s
var lastID uint64 = 0
if lastOrder != nil {
lastID = lastOrder.OrderID
startTime = lastOrder.CreationTime
startTime = lastOrder.CreationTime.Time()
logrus.Infof("found last order, start from lastID = %d since %s", lastID, startTime)
}
@ -84,7 +84,7 @@ func (s *SyncService) SyncTrades(ctx context.Context, exchange types.Exchange, s
var lastID int64 = 0
if lastTrade != nil {
lastID = lastTrade.ID
startTime = lastTrade.Time
startTime = time.Time(lastTrade.Time)
logrus.Infof("found last trade, start from lastID = %d since %s", lastID, startTime)
}

4
pkg/types/batch.go
View File

@ -51,7 +51,7 @@ func (e ExchangeBatchProcessor) BatchQueryClosedOrders(ctx context.Context, symb
}
c <- o
startTime = o.CreationTime
startTime = o.CreationTime.Time()
lastOrderID = o.OrderID
orderIDs[o.OrderID] = struct{}{}
}
@ -155,7 +155,7 @@ func (e ExchangeBatchProcessor) BatchQueryTrades(ctx context.Context, symbol str
logrus.Infof("returned %d trades", len(trades))
startTime = trades[len(trades)-1].Time
startTime = time.Time(trades[len(trades)-1].Time)
for _, t := range trades {
// ignore the first trade if last TradeID is given
if t.ID == lastTradeID {

18
pkg/types/order.go
View File

@ -2,10 +2,10 @@ package types
import (
"fmt"
"time"
"github.com/slack-go/slack"
"github.com/c9s/bbgo/pkg/datatype"
"github.com/c9s/bbgo/pkg/util"
)
@ -113,14 +113,14 @@ func (o *SubmitOrder) SlackAttachment() slack.Attachment {
type Order struct {
SubmitOrder
Exchange string `json:"exchange" db:"exchange"`
GID uint64 `json:"gid" db:"gid"`
OrderID uint64 `json:"orderID" db:"order_id"` // order id
Status OrderStatus `json:"status" db:"status"`
ExecutedQuantity float64 `json:"executedQuantity" db:"executed_quantity"`
IsWorking bool `json:"isWorking" db:"is_working"`
CreationTime time.Time `json:"creationTime" db:"created_at"`
UpdateTime time.Time `json:"updateTime" db:"updated_at"`
Exchange string `json:"exchange" db:"exchange"`
GID uint64 `json:"gid" db:"gid"`
OrderID uint64 `json:"orderID" db:"order_id"` // order id
Status OrderStatus `json:"status" db:"status"`
ExecutedQuantity float64 `json:"executedQuantity" db:"executed_quantity"`
IsWorking bool `json:"isWorking" db:"is_working"`
CreationTime datatype.Time `json:"creationTime" db:"created_at"`
UpdateTime datatype.Time `json:"updateTime" db:"updated_at"`
IsMargin bool `json:"isMargin" db:"is_margin"`
IsIsolated bool `json:"isIsolated" db:"is_isolated"`

14
pkg/types/trade.go
View File

@ -3,10 +3,10 @@ package types
import (
"fmt"
"sync"
"time"
"github.com/slack-go/slack"
"github.com/c9s/bbgo/pkg/datatype"
"github.com/c9s/bbgo/pkg/util"
)
@ -49,12 +49,12 @@ type Trade struct {
QuoteQuantity float64 `json:"quoteQuantity" db:"quote_quantity"`
Symbol string `json:"symbol" db:"symbol"`
Side SideType `json:"side" db:"side"`
IsBuyer bool `json:"isBuyer" db:"is_buyer"`
IsMaker bool `json:"isMaker" db:"is_maker"`
Time time.Time `json:"tradedAt" db:"traded_at"`
Fee float64 `json:"fee" db:"fee"`
FeeCurrency string `json:"feeCurrency" db:"fee_currency"`
Side SideType `json:"side" db:"side"`
IsBuyer bool `json:"isBuyer" db:"is_buyer"`
IsMaker bool `json:"isMaker" db:"is_maker"`
Time datatype.Time `json:"tradedAt" db:"traded_at"`
Fee float64 `json:"fee" db:"fee"`
FeeCurrency string `json:"feeCurrency" db:"fee_currency"`
IsMargin bool `json:"isMargin" db:"is_margin"`
IsIsolated bool `json:"isIsolated" db:"is_isolated"`