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Merge pull request #1107 from c9s/feature/maxapi/support-time-range

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FEATURE: make MAX QueryTrades support start_time, end_time
This commit is contained in:
kbearXD 2023-03-14 21:12:59 +08:00 committed by GitHub
commit 78071dc2c7
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2 changed files with 32 additions and 2 deletions
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1
pkg/exchange/batch/trade.go
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@ -40,6 +40,7 @@ func (e TradeBatchQuery) Query(ctx context.Context, symbol string, options *type
}
return trade.Key().String()
},
JumpIfEmpty: 24 * time.Hour,
}
c = make(chan types.Trade, 100)

33
pkg/exchange/max/exchange.go
View File

@ -780,6 +780,17 @@ func (e *Exchange) QueryDepositHistory(ctx context.Context, asset string, since,
return allDeposits, err
}
// QueryTrades
// For MAX API spec
// start_time and end_time need to be within 3 days
// without any parameters -> return trades within 24 hours
// give start_time or end_time -> ignore parameter from_id
// give start_time or from_id -> order by time asc
// give end_time -> order by time desc
// limit should b1 1~1000
// For this QueryTrades spec (to be compatible with batch.TradeBatchQuery)
// give LastTradeID -> ignore start_time (but still can filter the end_time)
// without any parameters -> return trades within 24 hours
func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) (trades []types.Trade, err error) {
if err := tradeQueryLimiter.Wait(ctx); err != nil {
return nil, err
@ -800,10 +811,28 @@ func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *type
req.Limit(1000)
}
// MAX uses exclusive last trade ID
// the timestamp parameter is used for reverse order, we can't use it.
// If we use start_time as parameter, MAX will ignore from_id.
// However, we want to use from_id as main parameter for batch.TradeBatchQuery
if options.LastTradeID > 0 {
// MAX uses inclusive last trade ID
req.From(options.LastTradeID)
} else {
// option's start_time and end_time need to be within 3 days
// so if the start_time and end_time is over 3 days, we make end_time down to start_time + 3 days
if options.StartTime != nil && options.EndTime != nil {
endTime := *options.EndTime
startTime := *options.StartTime
if endTime.Sub(startTime) > 72*time.Hour {
startTime := *options.StartTime
endTime = startTime.Add(72 * time.Hour)
}
req.StartTime(startTime)
req.EndTime(endTime)
} else if options.StartTime != nil {
req.StartTime(*options.StartTime)
} else if options.EndTime != nil {
req.EndTime(*options.EndTime)
}
}
maxTrades, err := req.Do(ctx)