binance: implement GetDepthRequest with requestgen

pkg/exchange/binance/binanceapi/get_depth_request.go

@@ -0,0 +1,25 @@
+package binanceapi
+
+import (
+	"github.com/c9s/requestgen"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+)
+
+type Depth struct {
+	LastUpdateId int64                `json:"lastUpdateId"`
+	Bids         [][]fixedpoint.Value `json:"bids"`
+	Asks         [][]fixedpoint.Value `json:"asks"`
+}
+
+//go:generate requestgen -method GET -url "/api/v3/depth" -type GetDepthRequest -responseType .Depth
+type GetDepthRequest struct {
+	client requestgen.AuthenticatedAPIClient
+
+	symbol string `param:"symbol"`
+	limit  int    `param:"limit" defaultValue:"1000"`
+}
+
+func (c *RestClient) NewGetDepthRequest() *GetDepthRequest {
+	return &GetDepthRequest{client: c}
+}

pkg/exchange/binance/binanceapi/get_depth_request_requestgen.go

@@ -0,0 +1,190 @@
+// Code generated by "requestgen -method GET -url /api/v3/depth -type GetDepthRequest -responseType .Depth"; DO NOT EDIT.
+
+package binanceapi
+
+import (
+	"context"
+	"encoding/json"
+	"fmt"
+	"net/url"
+	"reflect"
+	"regexp"
+)
+
+func (g *GetDepthRequest) Symbol(symbol string) *GetDepthRequest {
+	g.symbol = symbol
+	return g
+}
+
+func (g *GetDepthRequest) Limit(limit int) *GetDepthRequest {
+	g.limit = limit
+	return g
+}
+
+// GetQueryParameters builds and checks the query parameters and returns url.Values
+func (g *GetDepthRequest) 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 *GetDepthRequest) GetParameters() (map[string]interface{}, error) {
+	var params = map[string]interface{}{}
+	// check symbol field -> json key symbol
+	symbol := g.symbol
+
+	// assign parameter of symbol
+	params["symbol"] = symbol
+	// check limit field -> json key limit
+	limit := g.limit
+
+	// assign parameter of limit
+	params["limit"] = limit
+
+	return params, nil
+}
+
+// GetParametersQuery converts the parameters from GetParameters into the url.Values format
+func (g *GetDepthRequest) 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 *GetDepthRequest) 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 *GetDepthRequest) GetSlugParameters() (map[string]interface{}, error) {
+	var params = map[string]interface{}{}
+
+	return params, nil
+}
+
+func (g *GetDepthRequest) 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 *GetDepthRequest) 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 *GetDepthRequest) isVarSlice(_v interface{}) bool {
+	rt := reflect.TypeOf(_v)
+	switch rt.Kind() {
+	case reflect.Slice:
+		return true
+	}
+	return false
+}
+
+func (g *GetDepthRequest) 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 *GetDepthRequest) GetPath() string {
+	return "/api/v3/depth"
+}
+
+// Do generates the request object and send the request object to the API endpoint
+func (g *GetDepthRequest) Do(ctx context.Context) (*Depth, error) {
+
+	// empty params for GET operation
+	var params interface{}
+	query, err := g.GetParametersQuery()
+	if err != nil {
+		return nil, err
+	}
+
+	var apiURL string
+
+	apiURL = g.GetPath()
+
+	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 Depth
+
+	type responseUnmarshaler interface {
+		Unmarshal(data []byte) error
+	}
+
+	if unmarshaler, ok := interface{}(&apiResponse).(responseUnmarshaler); ok {
+		if err := unmarshaler.Unmarshal(response.Body); err != nil {
+			return nil, err
+		}
+	} else {
+		// The line below checks the content type, however, some API server might not send the correct content type header,
+		// Hence, this is commented for backward compatibility
+		// response.IsJSON()
+		if err := response.DecodeJSON(&apiResponse); err != nil {
+			return nil, err
+		}
+	}
+
+	type responseValidator interface {
+		Validate() error
+	}
+
+	if validator, ok := interface{}(&apiResponse).(responseValidator); ok {
+		if err := validator.Validate(); err != nil {
+			return nil, err
+		}
+	}
+	return &apiResponse, nil
+}

pkg/exchange/binance/exchange.go

@@ -1346,15 +1346,32 @@ func (e *Exchange) QueryDepth(ctx context.Context, symbol string) (snapshot type
 		return e.queryFuturesDepth(ctx, symbol)
 	}
 
-	response, err := e.client.NewDepthService().Symbol(symbol).Limit(DefaultDepthLimit).Do(ctx)
+	response, err := e.client2.NewGetDepthRequest().Symbol(symbol).Limit(DefaultDepthLimit).Do(ctx)
 	if err != nil {
 		return snapshot, finalUpdateID, err
 	}
 
-	return convertDepth(snapshot, symbol, finalUpdateID, response)
+	return convertDepth(symbol, response)
 }
 
-func convertDepth(
+func convertDepth(symbol string, response *binanceapi.Depth) (snapshot types.SliceOrderBook, finalUpdateID int64, err error) {
+	snapshot.Symbol = symbol
+	// empty time since the API does not provide time information.
+	snapshot.Time = time.Time{}
+
+	finalUpdateID = response.LastUpdateId
+	for _, entry := range response.Bids {
+		snapshot.Bids = append(snapshot.Bids, types.PriceVolume{Price: entry[0], Volume: entry[1]})
+	}
+
+	for _, entry := range response.Asks {
+		snapshot.Asks = append(snapshot.Asks, types.PriceVolume{Price: entry[0], Volume: entry[1]})
+	}
+
+	return snapshot, finalUpdateID, err
+}
+
+func convertDepthLegacy(
 	snapshot types.SliceOrderBook, symbol string, finalUpdateID int64, response *binance.DepthResponse,
 ) (types.SliceOrderBook, int64, error) {
 	snapshot.Symbol = symbol

pkg/exchange/binance/futures.go

@@ -15,7 +15,9 @@ import (
 	"github.com/c9s/bbgo/pkg/types"
 )
 
-func (e *Exchange) queryFuturesClosedOrders(ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64) (orders []types.Order, err error) {
+func (e *Exchange) queryFuturesClosedOrders(
+	ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64,
+) (orders []types.Order, err error) {
 	req := e.futuresClient.NewListOrdersService().Symbol(symbol)
 
 	if lastOrderID > 0 {
@@ -34,7 +36,9 @@ func (e *Exchange) queryFuturesClosedOrders(ctx context.Context, symbol string,
 	return toGlobalFuturesOrders(binanceOrders, false)
 }
 
-func (e *Exchange) TransferFuturesAccountAsset(ctx context.Context, asset string, amount fixedpoint.Value, io types.TransferDirection) error {
+func (e *Exchange) TransferFuturesAccountAsset(
+	ctx context.Context, asset string, amount fixedpoint.Value, io types.TransferDirection,
+) error {
 	req := e.client2.NewFuturesTransferRequest()
 	req.Asset(asset)
 	req.Amount(amount.String())
@@ -63,7 +67,7 @@ func (e *Exchange) TransferFuturesAccountAsset(ctx context.Context, asset string
 // Balance.Available = Wallet Balance(in Binance UI) - Used Margin
 // Balance.Locked = Used Margin
 func (e *Exchange) QueryFuturesAccount(ctx context.Context) (*types.Account, error) {
-	//account, err := e.futuresClient.NewGetAccountService().Do(ctx)
+	// account, err := e.futuresClient.NewGetAccountService().Do(ctx)
 	reqAccount := e.futuresClient2.NewFuturesGetAccountRequest()
 	account, err := reqAccount.Do(ctx)
 	if err != nil {
@@ -218,7 +222,9 @@ func (e *Exchange) submitFuturesOrder(ctx context.Context, order types.SubmitOrd
 	return createdOrder, err
 }
 
-func (e *Exchange) QueryFuturesKLines(ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions) ([]types.KLine, error) {
+func (e *Exchange) QueryFuturesKLines(
+	ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions,
+) ([]types.KLine, error) {
 
 	var limit = 1000
 	if options.Limit > 0 {
@@ -272,7 +278,9 @@ func (e *Exchange) QueryFuturesKLines(ctx context.Context, symbol string, interv
 	return kLines, nil
 }
 
-func (e *Exchange) queryFuturesTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) (trades []types.Trade, err error) {
+func (e *Exchange) queryFuturesTrades(
+	ctx context.Context, symbol string, options *types.TradeQueryOptions,
+) (trades []types.Trade, err error) {
 
 	var remoteTrades []*futures.AccountTrade
 	req := e.futuresClient.NewListAccountTradeService().
@@ -376,7 +384,7 @@ func (e *Exchange) queryFuturesDepth(ctx context.Context, symbol string) (snapsh
 		Asks:         res.Asks,
 	}
 
-	return convertDepth(snapshot, symbol, finalUpdateID, response)
+	return convertDepthLegacy(snapshot, symbol, finalUpdateID, response)
 }
 
 func (e *Exchange) GetFuturesClient() *binanceapi.FuturesRestClient {
@@ -386,7 +394,9 @@ func (e *Exchange) GetFuturesClient() *binanceapi.FuturesRestClient {
 // QueryFuturesIncomeHistory queries the income history on the binance futures account
 // This is more binance futures specific API, the convert function is not designed yet.
 // TODO: consider other futures platforms and design the common data structure for this
-func (e *Exchange) QueryFuturesIncomeHistory(ctx context.Context, symbol string, incomeType binanceapi.FuturesIncomeType, startTime, endTime *time.Time) ([]binanceapi.FuturesIncome, error) {
+func (e *Exchange) QueryFuturesIncomeHistory(
+	ctx context.Context, symbol string, incomeType binanceapi.FuturesIncomeType, startTime, endTime *time.Time,
+) ([]binanceapi.FuturesIncome, error) {
 	req := e.futuresClient2.NewFuturesGetIncomeHistoryRequest()
 	req.Symbol(symbol)
 	req.IncomeType(incomeType)