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fix exchange interface
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0b58033bfb
commit
a9b995a362
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@ -323,14 +323,7 @@ func (e *Exchange) QueryKLines(ctx context.Context, symbol, interval string, opt
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return kLines, nil
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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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Limit int
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LastTradeID int64
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}
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func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *TradeQueryOptions) (trades []types.Trade, err error) {
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func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) (trades []types.Trade, err error) {
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req := e.Client.NewListTradesService().
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Limit(1000).
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Symbol(symbol)
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@ -368,7 +361,7 @@ func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *Trad
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return trades, nil
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}
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func (e *Exchange) BatchQueryTrades(ctx context.Context, symbol string, options *TradeQueryOptions) (allTrades []types.Trade, err error) {
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func (e *Exchange) BatchQueryTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) (allTrades []types.Trade, err error) {
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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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@ -378,7 +371,7 @@ func (e *Exchange) BatchQueryTrades(ctx context.Context, symbol string, options
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var lastTradeID = options.LastTradeID
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for {
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trades, err := e.QueryTrades(ctx, symbol, &TradeQueryOptions{
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trades, err := e.QueryTrades(ctx, symbol, &types.TradeQueryOptions{
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StartTime: &startTime,
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Limit: options.Limit,
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LastTradeID: lastTradeID,
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@ -242,7 +242,6 @@ func ParseEvent(message string) (interface{}, error) {
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return nil, fmt.Errorf("unsupported message: %s", message)
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}
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// KLine uses binance's kline as the standard structure
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type KLine struct {
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StartTime int64 `json:"t"`
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EndTime int64 `json:"T"`
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@ -35,9 +35,9 @@ type OrderProcessor struct {
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MinProfitSpread float64 `json:"minProfitSpread"`
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MaxOrderAmount float64 `json:"maxOrderAmount"`
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Exchange types.Exchange
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Trader *Trader
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Exchange types.Exchange `json:"-"`
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Trader *Trader `json:"-"`
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}
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func (p *OrderProcessor) Submit(ctx context.Context, order *types.SubmitOrder) error {
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@ -46,6 +46,9 @@ func (p *OrderProcessor) Submit(ctx context.Context, order *types.SubmitOrder) e
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market := order.Market
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quantity := order.Quantity
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tradingCtx.Lock()
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defer tradingCtx.Unlock()
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switch order.Side {
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case types.SideTypeBuy:
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@ -31,7 +31,7 @@ func (s *TradeSync) Sync(ctx context.Context, symbol string, startTime time.Time
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log.Infof("found last trade, start from lastID = %d since %s", lastTrade.ID, startTime)
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}
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trades, err := s.Exchange.BatchQueryTrades(ctx, symbol, &binance.TradeQueryOptions{
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trades, err := s.Exchange.BatchQueryTrades(ctx, symbol, &types.TradeQueryOptions{
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StartTime: &startTime,
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Limit: 200,
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LastTradeID: lastID,
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@ -304,7 +304,18 @@ func (trader *Trader) reportPnL() {
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func (trader *Trader) SubmitOrder(ctx context.Context, order *types.SubmitOrder) {
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trader.Notifier.Notify(":memo: Submitting %s %s %s order with quantity: %s", order.Symbol, order.Type, order.Side, order.QuantityString, order)
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err := trader.Exchange.SubmitOrder(ctx, order)
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orderProcessor := &OrderProcessor{
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MinQuoteBalance: 0,
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MaxAssetBalance: 0,
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MinAssetBalance: 0,
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MinProfitSpread: 0,
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MaxOrderAmount: 0,
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Exchange: trader.Exchange,
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Trader: trader,
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}
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err := orderProcessor.Submit(ctx, order)
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if err != nil {
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log.WithError(err).Errorf("order create error: side %s quantity: %s", order.Side, order.QuantityString)
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return
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@ -6,8 +6,16 @@ import (
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)
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type Exchange interface {
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QueryKLines(interval string, startFrom time.Time, endTo time.Time) []KLineOrWindow
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QueryTrades(symbol string, startFrom time.Time) []Trade
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QueryKLines(ctx context.Context, symbol string, interval string, options KLineQueryOptions) ([]KLine, error)
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QueryTrades(ctx context.Context, symbol string, options *TradeQueryOptions) ([]Trade, error)
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SubmitOrder(ctx context.Context, order *SubmitOrder) 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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Limit int
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LastTradeID int64
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}
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