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split files for batch processor and margin settings
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c9s
parent
ad4f339b27
commit
a73729fb17
158
pkg/types/batch.go
Normal file
158
pkg/types/batch.go
Normal file
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@ -0,0 +1,158 @@
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package types
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import (
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"context"
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"time"
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"github.com/sirupsen/logrus"
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)
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type ExchangeBatchProcessor struct {
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Exchange
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}
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func (e ExchangeBatchProcessor) BatchQueryClosedOrders(ctx context.Context, symbol string, startTime, endTime time.Time, lastOrderID uint64) (c chan Order, errC chan error) {
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c = make(chan Order, 500)
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errC = make(chan error, 1)
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go func() {
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defer close(c)
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defer close(errC)
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orderIDs := make(map[uint64]struct{}, 500)
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if lastOrderID > 0 {
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orderIDs[lastOrderID] = struct{}{}
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}
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for startTime.Before(endTime) {
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time.Sleep(5 * time.Second)
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logrus.Infof("batch querying %s closed orders %s <=> %s", symbol, startTime, endTime)
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orders, err := e.QueryClosedOrders(ctx, symbol, startTime, endTime, lastOrderID)
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if err != nil {
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errC <- err
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return
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}
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if len(orders) == 0 || (len(orders) == 1 && orders[0].OrderID == lastOrderID) {
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return
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}
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for _, o := range orders {
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if _, ok := orderIDs[o.OrderID]; ok {
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logrus.Infof("skipping duplicated order id: %d", o.OrderID)
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continue
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}
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c <- o
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startTime = o.CreationTime
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lastOrderID = o.OrderID
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orderIDs[o.OrderID] = struct{}{}
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}
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}
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}()
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return c, errC
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}
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func (e ExchangeBatchProcessor) BatchQueryKLines(ctx context.Context, symbol string, interval Interval, startTime, endTime time.Time) (c chan KLine, errC chan error) {
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c = make(chan KLine, 1000)
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errC = make(chan error, 1)
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go func() {
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defer close(c)
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defer close(errC)
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for startTime.Before(endTime) {
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time.Sleep(5 * time.Second)
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kLines, err := e.QueryKLines(ctx, symbol, interval, KLineQueryOptions{
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StartTime: &startTime,
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Limit: 1000,
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})
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if err != nil {
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errC <- err
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return
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}
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if len(kLines) == 0 {
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return
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}
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for _, kline := range kLines {
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// ignore any kline before the given start time
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if kline.StartTime.Before(startTime) {
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continue
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}
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if kline.EndTime.After(endTime) {
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return
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}
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c <- kline
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startTime = kline.EndTime
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}
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}
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}()
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return c, errC
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}
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func (e ExchangeBatchProcessor) BatchQueryTrades(ctx context.Context, symbol string, options *TradeQueryOptions) (c chan Trade, errC chan error) {
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c = make(chan Trade, 500)
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errC = make(chan error, 1)
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// last 7 days
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var startTime = time.Now().Add(-7 * 24 * time.Hour)
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if options.StartTime != nil {
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startTime = *options.StartTime
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}
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var lastTradeID = options.LastTradeID
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go func() {
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defer close(c)
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defer close(errC)
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for {
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time.Sleep(5 * time.Second)
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logrus.Infof("querying %s trades from %s, limit=%d", symbol, startTime, options.Limit)
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trades, err := e.QueryTrades(ctx, symbol, &TradeQueryOptions{
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StartTime: &startTime,
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Limit: options.Limit,
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LastTradeID: lastTradeID,
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})
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if err != nil {
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errC <- err
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return
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}
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if len(trades) == 0 {
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break
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}
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if len(trades) == 1 && trades[0].ID == lastTradeID {
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break
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}
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logrus.Infof("returned %d trades", len(trades))
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startTime = trades[len(trades)-1].Time
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for _, t := range trades {
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// ignore the first trade if last TradeID is given
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if t.ID == lastTradeID {
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continue
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}
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c <- t
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lastTradeID = t.ID
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}
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}
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}()
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return c, errC
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}
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@ -6,7 +6,6 @@ import (
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"time"
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"github.com/pkg/errors"
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log "github.com/sirupsen/logrus"
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)
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const DateFormat = "2006-01-02"
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@ -63,13 +62,6 @@ type Exchange interface {
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CancelOrders(ctx context.Context, orders ...Order) error
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}
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type MarginExchange interface {
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UseMargin()
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UseIsolatedMargin(symbol string)
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GetMarginSettings() MarginSettings
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// QueryMarginAccount(ctx context.Context) (*binance.MarginAccount, error)
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}
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type TradeQueryOptions struct {
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StartTime *time.Time
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EndTime *time.Time
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@ -77,172 +69,3 @@ type TradeQueryOptions struct {
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LastTradeID int64
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}
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type ExchangeBatchProcessor struct {
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Exchange
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}
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func (e ExchangeBatchProcessor) BatchQueryClosedOrders(ctx context.Context, symbol string, startTime, endTime time.Time, lastOrderID uint64) (c chan Order, errC chan error) {
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c = make(chan Order, 500)
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errC = make(chan error, 1)
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go func() {
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defer close(c)
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defer close(errC)
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orderIDs := make(map[uint64]struct{}, 500)
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if lastOrderID > 0 {
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orderIDs[lastOrderID] = struct{}{}
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}
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for startTime.Before(endTime) {
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time.Sleep(5 * time.Second)
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log.Infof("batch querying %s closed orders %s <=> %s", symbol, startTime, endTime)
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orders, err := e.QueryClosedOrders(ctx, symbol, startTime, endTime, lastOrderID)
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if err != nil {
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errC <- err
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return
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}
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if len(orders) == 0 || (len(orders) == 1 && orders[0].OrderID == lastOrderID) {
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return
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}
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for _, o := range orders {
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if _, ok := orderIDs[o.OrderID]; ok {
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log.Infof("skipping duplicated order id: %d", o.OrderID)
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continue
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}
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c <- o
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startTime = o.CreationTime
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lastOrderID = o.OrderID
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orderIDs[o.OrderID] = struct{}{}
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}
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}
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}()
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return c, errC
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}
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func (e ExchangeBatchProcessor) BatchQueryKLines(ctx context.Context, symbol string, interval Interval, startTime, endTime time.Time) (c chan KLine, errC chan error) {
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c = make(chan KLine, 1000)
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errC = make(chan error, 1)
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go func() {
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defer close(c)
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defer close(errC)
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for startTime.Before(endTime) {
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time.Sleep(5 * time.Second)
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kLines, err := e.QueryKLines(ctx, symbol, interval, KLineQueryOptions{
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StartTime: &startTime,
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Limit: 1000,
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})
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if err != nil {
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errC <- err
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return
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}
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if len(kLines) == 0 {
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return
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}
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for _, kline := range kLines {
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// ignore any kline before the given start time
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if kline.StartTime.Before(startTime) {
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continue
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}
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if kline.EndTime.After(endTime) {
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return
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}
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c <- kline
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startTime = kline.EndTime
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}
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}
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}()
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return c, errC
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}
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func (e ExchangeBatchProcessor) BatchQueryTrades(ctx context.Context, symbol string, options *TradeQueryOptions) (c chan Trade, errC chan error) {
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c = make(chan Trade, 500)
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errC = make(chan error, 1)
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// last 7 days
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var startTime = time.Now().Add(-7 * 24 * time.Hour)
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if options.StartTime != nil {
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startTime = *options.StartTime
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}
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var lastTradeID = options.LastTradeID
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go func() {
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defer close(c)
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defer close(errC)
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for {
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time.Sleep(5 * time.Second)
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log.Infof("querying %s trades from %s, limit=%d", symbol, startTime, options.Limit)
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trades, err := e.QueryTrades(ctx, symbol, &TradeQueryOptions{
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StartTime: &startTime,
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Limit: options.Limit,
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LastTradeID: lastTradeID,
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})
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if err != nil {
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errC <- err
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return
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}
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if len(trades) == 0 {
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break
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}
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if len(trades) == 1 && trades[0].ID == lastTradeID {
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break
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}
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log.Infof("returned %d trades", len(trades))
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startTime = trades[len(trades)-1].Time
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for _, t := range trades {
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// ignore the first trade if last TradeID is given
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if t.ID == lastTradeID {
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continue
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}
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c <- t
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lastTradeID = t.ID
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}
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}
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}()
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return c, errC
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}
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type MarginSettings struct {
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IsMargin bool
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IsIsolatedMargin bool
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IsolatedMarginSymbol string
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}
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func (e MarginSettings) GetMarginSettings() MarginSettings {
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return e
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}
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func (e *MarginSettings) UseMargin() {
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e.IsMargin = true
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}
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func (e *MarginSettings) UseIsolatedMargin(symbol string) {
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e.IsMargin = true
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e.IsIsolatedMargin = true
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e.IsolatedMarginSymbol = symbol
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}
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28
pkg/types/margin.go
Normal file
28
pkg/types/margin.go
Normal file
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@ -0,0 +1,28 @@
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package types
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type MarginExchange interface {
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UseMargin()
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UseIsolatedMargin(symbol string)
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GetMarginSettings() MarginSettings
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// QueryMarginAccount(ctx context.Context) (*binance.MarginAccount, error)
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}
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type MarginSettings struct {
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IsMargin bool
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IsIsolatedMargin bool
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IsolatedMarginSymbol string
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}
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func (e MarginSettings) GetMarginSettings() MarginSettings {
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return e
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}
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func (e *MarginSettings) UseMargin() {
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e.IsMargin = true
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}
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func (e *MarginSettings) UseIsolatedMargin(symbol string) {
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e.IsMargin = true
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e.IsIsolatedMargin = true
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e.IsolatedMarginSymbol = symbol
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}
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