pkg/exchange: implement query kline api

This commit is contained in:
Edwin 2023-11-13 19:21:58 +08:00
parent 784030821e
commit 755ea5e427
9 changed files with 561 additions and 36 deletions

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@ -5,6 +5,7 @@ import (
"os"
"strconv"
"testing"
"time"
"github.com/stretchr/testify/assert"
@ -78,4 +79,12 @@ func TestClient(t *testing.T) {
resp, err := client.NewCancelOrderRequest().Symbol("APEUSDT").OrderId(req.OrderId).Do(ctx)
t.Logf("cancel order resp: %+v", resp)
})
t.Run("GetKLineRequest", func(t *testing.T) {
startTime := time.Date(2023, 8, 12, 0, 0, 0, 0, time.UTC)
endTime := time.Date(2023, 10, 14, 0, 0, 0, 0, time.UTC)
resp, err := client.NewGetKLineRequest().Symbol("APEUSDT").Granularity("30min").StartTime(startTime).EndTime(endTime).Limit("1000").Do(ctx)
assert.NoError(t, err)
t.Logf("resp: %+v", resp)
})
}

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@ -188,6 +188,12 @@ func (g *GetHistoryOrdersRequest) GetSlugsMap() (map[string]string, error) {
return slugs, nil
}
// GetPath returns the request path of the API
func (g *GetHistoryOrdersRequest) GetPath() string {
return "/api/v2/spot/trade/history-orders"
}
// Do generates the request object and send the request object to the API endpoint
func (g *GetHistoryOrdersRequest) Do(ctx context.Context) ([]OrderDetail, error) {
// no body params
@ -197,7 +203,9 @@ func (g *GetHistoryOrdersRequest) Do(ctx context.Context) ([]OrderDetail, error)
return nil, err
}
apiURL := "/api/v2/spot/trade/history-orders"
var apiURL string
apiURL = g.GetPath()
req, err := g.client.NewAuthenticatedRequest(ctx, "GET", apiURL, query, params)
if err != nil {
@ -214,6 +222,15 @@ func (g *GetHistoryOrdersRequest) Do(ctx context.Context) ([]OrderDetail, error)
return nil, err
}
type responseValidator interface {
Validate() error
}
validator, ok := interface{}(apiResponse).(responseValidator)
if ok {
if err := validator.Validate(); err != nil {
return nil, err
}
}
var data []OrderDetail
if err := json.Unmarshal(apiResponse.Data, &data); err != nil {
return nil, err

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@ -0,0 +1,83 @@
package bitgetapi
import (
"encoding/json"
"fmt"
"time"
"github.com/c9s/requestgen"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
//go:generate -command GetRequest requestgen -method GET -responseType .APIResponse -responseDataField Data
//go:generate -command PostRequest requestgen -method POST -responseType .APIResponse -responseDataField Data
type KLine struct {
// System timestamp, Unix millisecond timestamp, e.g. 1690196141868
Ts types.MillisecondTimestamp
Open fixedpoint.Value
High fixedpoint.Value
Low fixedpoint.Value
Close fixedpoint.Value
// Trading volume in base currency, e.g. "BTC" in the "BTCUSD" pair.
Volume fixedpoint.Value
// Trading volume in quote currency, e.g. "USD" in the "BTCUSD" pair.
QuoteVolume fixedpoint.Value
// Trading volume in USDT
UsdtVolume fixedpoint.Value
}
type KLineResponse []KLine
const KLinesArrayLen = 8
func (k *KLine) UnmarshalJSON(data []byte) error {
var jsonArr []json.RawMessage
err := json.Unmarshal(data, &jsonArr)
if err != nil {
return fmt.Errorf("failed to unmarshal jsonRawMessage: %v, err: %w", string(data), err)
}
if len(jsonArr) != KLinesArrayLen {
return fmt.Errorf("unexpected K Lines array length: %d, exp: %d", len(jsonArr), KLinesArrayLen)
}
err = json.Unmarshal(jsonArr[0], &k.Ts)
if err != nil {
return fmt.Errorf("failed to unmarshal resp index 0: %v, err: %w", string(jsonArr[0]), err)
}
values := make([]fixedpoint.Value, len(jsonArr)-1)
for i, jsonRaw := range jsonArr[1:] {
err = json.Unmarshal(jsonRaw, &values[i])
if err != nil {
return fmt.Errorf("failed to unmarshal resp index %d: %v, err: %w", i+1, string(jsonRaw), err)
}
}
k.Open = values[0]
k.High = values[1]
k.Low = values[2]
k.Close = values[3]
k.Volume = values[4]
k.QuoteVolume = values[5]
k.UsdtVolume = values[6]
return nil
}
//go:generate GetRequest -url "/api/v2/spot/market/candles" -type GetKLineRequest -responseDataType .KLineResponse
type GetKLineRequest struct {
client requestgen.APIClient
symbol string `param:"symbol,query"`
granularity string `param:"granularity,query"`
startTime *time.Time `param:"startTime,milliseconds,query"`
endTime *time.Time `param:"endTime,milliseconds,query"`
// Limit number default 100 max 1000
limit *string `param:"limit,query"`
}
func (s *Client) NewGetKLineRequest() *GetKLineRequest {
return &GetKLineRequest{client: s.Client}
}

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@ -0,0 +1,224 @@
// Code generated by "requestgen -method GET -responseType .APIResponse -responseDataField Data -url /api/v2/spot/market/candles -type GetKLineRequest -responseDataType .KLineResponse"; DO NOT EDIT.
package bitgetapi
import (
"context"
"encoding/json"
"fmt"
"github.com/c9s/bbgo/pkg/exchange/bitget/bitgetapi"
"net/url"
"reflect"
"regexp"
"strconv"
"time"
)
func (g *GetKLineRequest) Symbol(symbol string) *GetKLineRequest {
g.symbol = symbol
return g
}
func (g *GetKLineRequest) Granularity(granularity string) *GetKLineRequest {
g.granularity = granularity
return g
}
func (g *GetKLineRequest) StartTime(startTime time.Time) *GetKLineRequest {
g.startTime = &startTime
return g
}
func (g *GetKLineRequest) EndTime(endTime time.Time) *GetKLineRequest {
g.endTime = &endTime
return g
}
func (g *GetKLineRequest) Limit(limit string) *GetKLineRequest {
g.limit = &limit
return g
}
// GetQueryParameters builds and checks the query parameters and returns url.Values
func (g *GetKLineRequest) GetQueryParameters() (url.Values, error) {
var params = map[string]interface{}{}
// check symbol field -> json key symbol
symbol := g.symbol
// assign parameter of symbol
params["symbol"] = symbol
// check granularity field -> json key granularity
granularity := g.granularity
// assign parameter of granularity
params["granularity"] = granularity
// check startTime field -> json key startTime
if g.startTime != nil {
startTime := *g.startTime
// assign parameter of startTime
// convert time.Time to milliseconds time stamp
params["startTime"] = strconv.FormatInt(startTime.UnixNano()/int64(time.Millisecond), 10)
} else {
}
// check endTime field -> json key endTime
if g.endTime != nil {
endTime := *g.endTime
// assign parameter of endTime
// convert time.Time to milliseconds time stamp
params["endTime"] = strconv.FormatInt(endTime.UnixNano()/int64(time.Millisecond), 10)
} else {
}
// check limit field -> json key limit
if g.limit != nil {
limit := *g.limit
// assign parameter of limit
params["limit"] = limit
} else {
}
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 *GetKLineRequest) GetParameters() (map[string]interface{}, error) {
var params = map[string]interface{}{}
return params, nil
}
// GetParametersQuery converts the parameters from GetParameters into the url.Values format
func (g *GetKLineRequest) 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 *GetKLineRequest) 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 *GetKLineRequest) GetSlugParameters() (map[string]interface{}, error) {
var params = map[string]interface{}{}
return params, nil
}
func (g *GetKLineRequest) 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 *GetKLineRequest) 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 *GetKLineRequest) isVarSlice(_v interface{}) bool {
rt := reflect.TypeOf(_v)
switch rt.Kind() {
case reflect.Slice:
return true
}
return false
}
func (g *GetKLineRequest) 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
}
// GetPath returns the request path of the API
func (g *GetKLineRequest) GetPath() string {
return "/api/v2/spot/market/candles"
}
// Do generates the request object and send the request object to the API endpoint
func (g *GetKLineRequest) Do(ctx context.Context) (KLineResponse, error) {
// no body params
var params interface{}
query, err := g.GetQueryParameters()
if err != nil {
return nil, err
}
var apiURL string
apiURL = g.GetPath()
req, err := g.client.NewRequest(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 bitgetapi.APIResponse
if err := response.DecodeJSON(&apiResponse); err != nil {
return nil, err
}
type responseValidator interface {
Validate() error
}
validator, ok := interface{}(apiResponse).(responseValidator)
if ok {
if err := validator.Validate(); err != nil {
return nil, err
}
}
var data KLineResponse
if err := json.Unmarshal(apiResponse.Data, &data); err != nil {
return nil, err
}
return data, nil
}

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@ -6,6 +6,7 @@ import (
"math"
"strconv"
"strings"
"time"
"github.com/c9s/bbgo/pkg/exchange/bitget/bitgetapi"
v2 "github.com/c9s/bbgo/pkg/exchange/bitget/bitgetapi/v2"
@ -341,3 +342,26 @@ func toGlobalBalanceMap(balances []Balance) types.BalanceMap {
}
return bm
}
func toGlobalKLines(symbol string, interval types.Interval, kLines v2.KLineResponse) []types.KLine {
gKLines := make([]types.KLine, len(kLines))
for i, kline := range kLines {
endTime := types.Time(kline.Ts.Time().Add(interval.Duration() - time.Millisecond))
gKLines[i] = types.KLine{
Exchange: types.ExchangeBitget,
Symbol: symbol,
StartTime: types.Time(kline.Ts),
EndTime: endTime,
Interval: interval,
Open: kline.Open,
Close: kline.Close,
High: kline.High,
Low: kline.Low,
Volume: kline.Volume,
QuoteVolume: kline.QuoteVolume,
// Bitget doesn't support close flag in REST API
Closed: false,
}
}
return gKLines
}

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@ -3,6 +3,7 @@ package bitget
import (
"strconv"
"testing"
"time"
"github.com/stretchr/testify/assert"
@ -598,3 +599,88 @@ func Test_toGlobalBalanceMap(t *testing.T) {
},
}))
}
func Test_toGlobalKLines(t *testing.T) {
symbol := "BTCUSDT"
interval := types.Interval15m
resp := v2.KLineResponse{
/*
[
{
"Ts": "1699816800000",
"OpenPrice": 29045.3,
"HighPrice": 29228.56,
"LowPrice": 29045.3,
"ClosePrice": 29228.56,
"Volume": 9.265593,
"QuoteVolume": 270447.43520753,
"UsdtVolume": 270447.43520753
},
{
"Ts": "1699816800000",
"OpenPrice": 29167.33,
"HighPrice": 29229.08,
"LowPrice": 29000,
"ClosePrice": 29045.3,
"Volume": 9.295508,
"QuoteVolume": 270816.87513775,
"UsdtVolume": 270816.87513775
}
]
*/
{
Ts: types.NewMillisecondTimestampFromInt(1691486100000),
Open: fixedpoint.NewFromFloat(29045.3),
High: fixedpoint.NewFromFloat(29228.56),
Low: fixedpoint.NewFromFloat(29045.3),
Close: fixedpoint.NewFromFloat(29228.56),
Volume: fixedpoint.NewFromFloat(9.265593),
QuoteVolume: fixedpoint.NewFromFloat(270447.43520753),
UsdtVolume: fixedpoint.NewFromFloat(270447.43520753),
},
{
Ts: types.NewMillisecondTimestampFromInt(1691487000000),
Open: fixedpoint.NewFromFloat(29167.33),
High: fixedpoint.NewFromFloat(29229.08),
Low: fixedpoint.NewFromFloat(29000),
Close: fixedpoint.NewFromFloat(29045.3),
Volume: fixedpoint.NewFromFloat(9.295508),
QuoteVolume: fixedpoint.NewFromFloat(270816.87513775),
UsdtVolume: fixedpoint.NewFromFloat(270447.43520753),
},
}
expKlines := []types.KLine{
{
Exchange: types.ExchangeBitget,
Symbol: symbol,
StartTime: types.Time(resp[0].Ts.Time()),
EndTime: types.Time(resp[0].Ts.Time().Add(interval.Duration() - time.Millisecond)),
Interval: interval,
Open: fixedpoint.NewFromFloat(29045.3),
Close: fixedpoint.NewFromFloat(29228.56),
High: fixedpoint.NewFromFloat(29228.56),
Low: fixedpoint.NewFromFloat(29045.3),
Volume: fixedpoint.NewFromFloat(9.265593),
QuoteVolume: fixedpoint.NewFromFloat(270447.43520753),
Closed: false,
},
{
Exchange: types.ExchangeBitget,
Symbol: symbol,
StartTime: types.Time(resp[1].Ts.Time()),
EndTime: types.Time(resp[1].Ts.Time().Add(interval.Duration() - time.Millisecond)),
Interval: interval,
Open: fixedpoint.NewFromFloat(29167.33),
Close: fixedpoint.NewFromFloat(29045.3),
High: fixedpoint.NewFromFloat(29229.08),
Low: fixedpoint.NewFromFloat(29000),
Volume: fixedpoint.NewFromFloat(9.295508),
QuoteVolume: fixedpoint.NewFromFloat(270816.87513775),
Closed: false,
},
}
assert.Equal(t, toGlobalKLines(symbol, interval, resp), expKlines)
}

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@ -21,9 +21,10 @@ const (
PlatformToken = "BGB"
queryLimit = 100
maxOrderIdLen = 36
queryMaxDuration = 90 * 24 * time.Hour
queryLimit = 100
defaultKLineLimit = 100
maxOrderIdLen = 36
queryMaxDuration = 90 * 24 * time.Hour
)
var log = logrus.WithFields(logrus.Fields{
@ -49,6 +50,8 @@ var (
queryTradeRateLimiter = rate.NewLimiter(rate.Every(time.Second/5), 5)
// cancelOrderRateLimiter has its own rate limit. https://www.bitget.com/api-doc/spot/trade/Cancel-Order
cancelOrderRateLimiter = rate.NewLimiter(rate.Every(time.Second/5), 5)
// kLineRateLimiter has its own rate limit. https://www.bitget.com/api-doc/spot/market/Get-Candle-Data
kLineOrderRateLimiter = rate.NewLimiter(rate.Every(time.Second/10), 5)
)
type Exchange struct {
@ -153,9 +156,56 @@ func (e *Exchange) QueryTickers(ctx context.Context, symbols ...string) (map[str
return tickers, nil
}
// QueryKLines queries the k line data by interval and time range...etc.
//
// If you provide only the start time, the system will return the latest data.
// If you provide both the start and end times, the system will return data within the specified range.
// If you provide only the end time, the system will return data that occurred before the end time.
//
// The end time has different limits. 1m, 5m can query for one month,15m can query for 52 days,30m can query for 62 days,
// 1H can query for 83 days,4H can query for 240 days,6H can query for 360 days.
func (e *Exchange) QueryKLines(ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions) ([]types.KLine, error) {
// TODO implement me
panic("implement me")
req := e.v2Client.NewGetKLineRequest().Symbol(symbol)
intervalStr, found := toLocalGranularity[interval]
if !found {
return nil, fmt.Errorf("%s not supported, supported granlarity: %+v", intervalStr, toLocalGranularity)
}
req.Granularity(intervalStr)
limit := uint64(options.Limit)
if limit > defaultKLineLimit || limit <= 0 {
log.Debugf("limtit is exceeded or zero, update to %d, got: %d", defaultKLineLimit, options.Limit)
limit = defaultKLineLimit
}
req.Limit(strconv.FormatUint(limit, 10))
if options.StartTime != nil {
req.StartTime(*options.StartTime)
}
if options.EndTime != nil {
if options.StartTime != nil && options.EndTime.Before(*options.StartTime) {
return nil, fmt.Errorf("end time %s before start time %s", *options.EndTime, *options.StartTime)
}
ok, duration := hasMaxDuration(interval)
if ok && time.Since(*options.EndTime) > duration {
return nil, fmt.Errorf("end time %s are greater than max duration %s", *options.EndTime, duration)
}
req.EndTime(*options.EndTime)
}
if err := kLineOrderRateLimiter.Wait(ctx); err != nil {
return nil, fmt.Errorf("query klines rate limiter wait error: %w", err)
}
resp, err := req.Do(ctx)
if err != nil {
return nil, fmt.Errorf("failed to call k line, err: %w", err)
}
kLines := toGlobalKLines(symbol, interval, resp)
return types.SortKLinesAscending(kLines), nil
}
func (e *Exchange) QueryAccount(ctx context.Context) (*types.Account, error) {

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@ -299,8 +299,43 @@ var (
"candle1D": types.Interval1d,
"candle1W": types.Interval1w,
}
// we align utc time zone
toLocalGranularity = map[types.Interval]string{
types.Interval1m: "1min",
types.Interval5m: "5min",
types.Interval15m: "15min",
types.Interval30m: "30min",
types.Interval1h: "1h",
types.Interval4h: "4h",
types.Interval6h: "6Hutc",
types.Interval12h: "12Hutc",
types.Interval1d: "1Dutc",
types.Interval3d: "3Dutc",
types.Interval1w: "1Wutc",
types.Interval1mo: "1Mutc",
}
)
func hasMaxDuration(interval types.Interval) (bool, time.Duration) {
switch interval {
case types.Interval1m, types.Interval5m:
return true, 30 * 24 * time.Hour
case types.Interval15m:
return true, 52 * 24 * time.Hour
case types.Interval30m:
return true, 62 * 24 * time.Hour
case types.Interval1h:
return true, 83 * 24 * time.Hour
case types.Interval4h:
return true, 240 * 24 * time.Hour
case types.Interval6h:
return true, 360 * 24 * time.Hour
default:
return false, 0 * time.Duration(0)
}
}
type KLine struct {
StartTime types.MillisecondTimestamp
OpenPrice fixedpoint.Value

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@ -6,38 +6,35 @@ import (
"github.com/stretchr/testify/assert"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
func TestKLine_ToGlobal(t *testing.T) {
startTime := int64(1698744600000)
interval := types.Interval1m
k := KLine{
StartTime: types.NewMillisecondTimestampFromInt(startTime),
OpenPrice: fixedpoint.NewFromFloat(34361.49),
HighestPrice: fixedpoint.NewFromFloat(34458.98),
LowestPrice: fixedpoint.NewFromFloat(34355.53),
ClosePrice: fixedpoint.NewFromFloat(34416.41),
Volume: fixedpoint.NewFromFloat(99.6631),
}
func Test_hasMaxDuration(t *testing.T) {
ok, duration := hasMaxDuration(types.Interval1m)
assert.True(t, ok)
assert.Equal(t, 30*24*time.Hour, duration)
assert.Equal(t, types.KLine{
Exchange: types.ExchangeBitget,
Symbol: "BTCUSDT",
StartTime: types.Time(types.NewMillisecondTimestampFromInt(startTime).Time()),
EndTime: types.Time(types.NewMillisecondTimestampFromInt(startTime).Time().Add(interval.Duration() - time.Millisecond)),
Interval: interval,
Open: fixedpoint.NewFromFloat(34361.49),
Close: fixedpoint.NewFromFloat(34416.41),
High: fixedpoint.NewFromFloat(34458.98),
Low: fixedpoint.NewFromFloat(34355.53),
Volume: fixedpoint.NewFromFloat(99.6631),
QuoteVolume: fixedpoint.Zero,
TakerBuyBaseAssetVolume: fixedpoint.Zero,
TakerBuyQuoteAssetVolume: fixedpoint.Zero,
LastTradeID: 0,
NumberOfTrades: 0,
Closed: false,
}, k.ToGlobal(interval, "BTCUSDT"))
ok, duration = hasMaxDuration(types.Interval5m)
assert.True(t, ok)
assert.Equal(t, 30*24*time.Hour, duration)
ok, duration = hasMaxDuration(types.Interval15m)
assert.True(t, ok)
assert.Equal(t, 52*24*time.Hour, duration)
ok, duration = hasMaxDuration(types.Interval30m)
assert.True(t, ok)
assert.Equal(t, 62*24*time.Hour, duration)
ok, duration = hasMaxDuration(types.Interval1h)
assert.True(t, ok)
assert.Equal(t, 83*24*time.Hour, duration)
ok, duration = hasMaxDuration(types.Interval4h)
assert.True(t, ok)
assert.Equal(t, 240*24*time.Hour, duration)
ok, duration = hasMaxDuration(types.Interval6h)
assert.True(t, ok)
assert.Equal(t, 360*24*time.Hour, duration)
}