mirror of
https://github.com/c9s/bbgo.git
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ftx: rewrite ftxapi
This commit is contained in:
c9s
parent
7ae5869461
commit
7ed2e352d9
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@ -6,6 +6,7 @@ import (
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"net/http"
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"net/url"
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"sort"
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"strconv"
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"strings"
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"time"
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@ -14,6 +15,7 @@ import (
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"github.com/google/uuid"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/exchange/ftx/ftxapi"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -31,6 +33,8 @@ var requestLimit = rate.NewLimiter(rate.Every(220*time.Millisecond), 2)
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//go:generate go run generate_symbol_map.go
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type Exchange struct {
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client *ftxapi.RestClient
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key, secret string
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subAccount string
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restEndpoint *url.URL
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@ -78,7 +82,9 @@ func NewExchange(key, secret string, subAccount string) *Exchange {
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panic(err)
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}
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client := ftxapi.NewClient()
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return &Exchange{
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client: client,
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restEndpoint: u,
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key: key,
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secret: secret,
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@ -488,6 +494,15 @@ func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder
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return createdOrders, nil
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}
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func (e *Exchange) QueryOrder(ctx context.Context, q types.OrderQuery) (*types.Order, error) {
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orderID, err := strconv.ParseInt(q.OrderID, 10, 64)
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if err != nil {
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return nil, err
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}
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_ = orderID
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return nil, nil
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}
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func (e *Exchange) QueryOpenOrders(ctx context.Context, symbol string) (orders []types.Order, err error) {
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// TODO: invoke open trigger orders
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resp, err := e.newRest().OpenOrders(ctx, toLocalSymbol(symbol))
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260
pkg/exchange/ftx/ftxapi/client.go
Normal file
260
pkg/exchange/ftx/ftxapi/client.go
Normal file
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@ -0,0 +1,260 @@
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package ftxapi
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//go:generate -command GetRequest requestgen -method GET -responseType .APIResponse -responseDataField Result
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//go:generate -command PostRequest requestgen -method POST -responseType .APIResponse -responseDataField Result
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//go:generate -command DeleteRequest requestgen -method DELETE -responseType .APIResponse -responseDataField Result
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import (
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"bytes"
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"context"
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"crypto/hmac"
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"crypto/sha256"
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"encoding/base64"
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"encoding/json"
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"fmt"
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"net/http"
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"net/url"
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"strconv"
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"time"
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"github.com/c9s/requestgen"
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"github.com/pkg/errors"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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)
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const defaultHTTPTimeout = time.Second * 15
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const RestBaseURL = "https://ftx.com/api"
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type APIResponse struct {
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Success bool `json:"success"`
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Result json.RawMessage `json:"result,omitempty"`
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}
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type RestClient struct {
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BaseURL *url.URL
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client *http.Client
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Key, Secret, subAccount string
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/*
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AccountService *AccountService
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MarketDataService *MarketDataService
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TradeService *TradeService
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BulletService *BulletService
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*/
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}
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func NewClient() *RestClient {
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u, err := url.Parse(RestBaseURL)
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if err != nil {
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panic(err)
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}
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client := &RestClient{
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BaseURL: u,
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client: &http.Client{
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Timeout: defaultHTTPTimeout,
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},
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}
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/*
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client.AccountService = &AccountService{client: client}
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client.MarketDataService = &MarketDataService{client: client}
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client.TradeService = &TradeService{client: client}
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client.BulletService = &BulletService{client: client}
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*/
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return client
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}
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func (c *RestClient) Auth(key, secret, subAccount string) {
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c.Key = key
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c.Secret = secret
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c.subAccount = subAccount
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}
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// NewRequest create new API request. Relative url can be provided in refURL.
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func (c *RestClient) NewRequest(ctx context.Context, method, refURL string, params url.Values, payload interface{}) (*http.Request, error) {
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rel, err := url.Parse(refURL)
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if err != nil {
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return nil, err
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}
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if params != nil {
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rel.RawQuery = params.Encode()
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}
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body, err := castPayload(payload)
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if err != nil {
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return nil, err
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}
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pathURL := c.BaseURL.ResolveReference(rel)
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return http.NewRequestWithContext(ctx, method, pathURL.String(), bytes.NewReader(body))
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}
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// sendRequest sends the request to the API server and handle the response
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func (c *RestClient) SendRequest(req *http.Request) (*requestgen.Response, error) {
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resp, err := c.client.Do(req)
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if err != nil {
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return nil, err
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}
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// newResponse reads the response body and return a new Response object
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response, err := requestgen.NewResponse(resp)
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if err != nil {
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return response, err
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}
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// Check error, if there is an error, return the ErrorResponse struct type
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if response.IsError() {
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return response, errors.New(string(response.Body))
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}
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return response, nil
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}
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// newAuthenticatedRequest creates new http request for authenticated routes.
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func (c *RestClient) NewAuthenticatedRequest(ctx context.Context, method, refURL string, params url.Values, payload interface{}) (*http.Request, error) {
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if len(c.Key) == 0 {
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return nil, errors.New("empty api key")
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}
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if len(c.Secret) == 0 {
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return nil, errors.New("empty api secret")
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}
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rel, err := url.Parse(refURL)
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if err != nil {
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return nil, err
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}
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if params != nil {
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rel.RawQuery = params.Encode()
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}
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pathURL := c.BaseURL.ResolveReference(rel)
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path := pathURL.Path
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if rel.RawQuery != "" {
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path += "?" + rel.RawQuery
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}
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body, err := castPayload(payload)
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if err != nil {
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return nil, err
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}
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req, err := http.NewRequestWithContext(ctx, method, pathURL.String(), bytes.NewReader(body))
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if err != nil {
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return nil, err
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}
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req.Header.Add("Content-Type", "application/json")
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req.Header.Add("Accept", "application/json")
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// Build authentication headers
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c.attachAuthHeaders(req, method, path, body)
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return req, nil
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}
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func (c *RestClient) attachAuthHeaders(req *http.Request, method string, path string, body []byte) {
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millisecondTs := time.Now().UnixNano() / int64(time.Millisecond)
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ts := strconv.FormatInt(millisecondTs, 10)
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p := fmt.Sprintf("%s%s%s", ts, method, path)
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p += string(body)
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signature := sign(c.Secret, p)
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req.Header.Set("FTX-KEY", c.Key)
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req.Header.Set("FTX-SIGN", signature)
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req.Header.Set("FTX-TS", ts)
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if c.subAccount != "" {
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req.Header.Set("FTX-SUBACCOUNT", c.subAccount)
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}
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}
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// sign uses sha256 to sign the payload with the given secret
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func sign(secret, payload string) string {
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var sig = hmac.New(sha256.New, []byte(secret))
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_, err := sig.Write([]byte(payload))
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if err != nil {
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return ""
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}
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return base64.StdEncoding.EncodeToString(sig.Sum(nil))
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}
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func castPayload(payload interface{}) ([]byte, error) {
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if payload != nil {
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switch v := payload.(type) {
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case string:
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return []byte(v), nil
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case []byte:
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return v, nil
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default:
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body, err := json.Marshal(v)
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return body, err
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}
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}
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return nil, nil
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}
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type Position struct {
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Cost fixedpoint.Value `json:"cost"`
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EntryPrice fixedpoint.Value `json:"entryPrice"`
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Future string `json:"future"`
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InitialMarginRequirement fixedpoint.Value `json:"initialMarginRequirement"`
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LongOrderSize fixedpoint.Value `json:"longOrderSize"`
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MaintenanceMarginRequirement fixedpoint.Value `json:"maintenanceMarginRequirement"`
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NetSize fixedpoint.Value `json:"netSize"`
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OpenSize fixedpoint.Value `json:"openSize"`
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ShortOrderSize fixedpoint.Value `json:"shortOrderSize"`
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Side string `json:"side"`
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Size fixedpoint.Value `json:"size"`
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RealizedPnl fixedpoint.Value `json:"realizedPnl"`
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UnrealizedPnl fixedpoint.Value `json:"unrealizedPnl"`
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}
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type Account struct {
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BackstopProvider bool `json:"backstopProvider"`
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Collateral fixedpoint.Value `json:"collateral"`
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FreeCollateral fixedpoint.Value `json:"freeCollateral"`
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Leverage int `json:"leverage"`
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InitialMarginRequirement fixedpoint.Value `json:"initialMarginRequirement"`
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MaintenanceMarginRequirement fixedpoint.Value `json:"maintenanceMarginRequirement"`
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Liquidating bool `json:"liquidating"`
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MakerFee fixedpoint.Value `json:"makerFee"`
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MarginFraction fixedpoint.Value `json:"marginFraction"`
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OpenMarginFraction fixedpoint.Value `json:"openMarginFraction"`
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TakerFee fixedpoint.Value `json:"takerFee"`
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TotalAccountValue fixedpoint.Value `json:"totalAccountValue"`
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TotalPositionSize fixedpoint.Value `json:"totalPositionSize"`
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Username string `json:"username"`
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Positions []Position `json:"positions"`
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}
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//go:generate GetRequest -url /api/account -type GetAccountRequest -responseDataType .Account
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type GetAccountRequest struct {
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client requestgen.AuthenticatedAPIClient
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}
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func (c *RestClient) NewGetAccountRequest() *GetAccountRequest {
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return &GetAccountRequest{
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client: c,
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}
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}
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//go:generate GetRequest -url /api/positions -type GetPositionsRequest -responseDataType []Position
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type GetPositionsRequest struct {
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client requestgen.AuthenticatedAPIClient
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}
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func (c *RestClient) NewGetPositionsRequest() *GetPositionsRequest {
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return &GetPositionsRequest{
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client: c,
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}
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}
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@ -241,12 +241,12 @@ func (r *restRequest) sendRequest(req *http.Request) (*util.Response, error) {
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type ErrorResponse struct {
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*util.Response
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IsSuccess bool `json:"Success"`
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IsSuccess bool `json:"success"`
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ErrorString string `json:"error,omitempty"`
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}
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func (r *ErrorResponse) Error() string {
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return fmt.Sprintf("%s %s %d, Success: %t, err: %s",
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return fmt.Sprintf("%s %s %d, success: %t, err: %s",
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r.Response.Request.Method,
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r.Response.Request.URL.String(),
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r.Response.StatusCode,
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