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pkg/exchange: move common execution field to bybitapi.trade
This commit is contained in:
parent
aac833d135
commit
bdfcbdcf56
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@ -287,33 +287,18 @@ func (k *KLine) toGlobalKLine(symbol string) (types.KLine, error) {
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}
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type TradeEvent struct {
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bybitapi.Trade
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// linear and inverse order id format: 42f4f364-82e1-49d3-ad1d-cd8cf9aa308d (UUID format)
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// spot: 1468264727470772736 (only numbers)
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// we only use spot trading.
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OrderId string `json:"orderId"`
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OrderLinkId string `json:"orderLinkId"`
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Category bybitapi.Category `json:"category"`
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Symbol string `json:"symbol"`
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ExecId string `json:"execId"`
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ExecPrice fixedpoint.Value `json:"execPrice"`
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ExecQty fixedpoint.Value `json:"execQty"`
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// Is maker order. true: maker, false: taker
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IsMaker bool `json:"isMaker"`
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// Paradigm block trade ID
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BlockTradeId string `json:"blockTradeId"`
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// Order type. Market,Limit
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OrderType bybitapi.OrderType `json:"orderType"`
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// Side. Buy,Sell
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Side bybitapi.Side `json:"side"`
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// Executed timestamp(ms)
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ExecTime types.MillisecondTimestamp `json:"execTime"`
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// Closed position size
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ClosedSize fixedpoint.Value `json:"closedSize"`
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/* The following parameters do not support SPOT trading. */
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// Executed trading fee. You can get spot fee currency instruction here. Normal spot is not supported
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ExecFee fixedpoint.Value `json:"execFee"`
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// Executed type. Normal spot is not supported
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ExecType string `json:"execType"`
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// Executed order value. Normal spot is not supported
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@ -377,7 +362,7 @@ func (t *TradeEvent) toGlobalTrade(symbolFee symbolFeeDetail) (*types.Trade, err
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Fee: fixedpoint.Zero,
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FeeCurrency: "",
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}
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trade.FeeCurrency, trade.Fee = calculateFee(*t, symbolFee)
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trade.FeeCurrency, trade.Fee = calculateFee(t.Trade, symbolFee)
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return trade, nil
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}
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@ -400,7 +385,7 @@ func (t *TradeEvent) toGlobalTrade(symbolFee symbolFeeDetail) (*types.Trade, err
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// IsMakerOrder = FALSE
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// -> Side = Buy -> base currency (BTC)
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// -> Side = Sell -> quote currency (USDT)
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func calculateFee(t TradeEvent, feeDetail symbolFeeDetail) (string, fixedpoint.Value) {
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func calculateFee(t bybitapi.Trade, feeDetail symbolFeeDetail) (string, fixedpoint.Value) {
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if feeDetail.MakerFeeRate.Sign() > 0 || !t.IsMaker {
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if t.Side == bybitapi.SideBuy {
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return feeDetail.BaseCoin, baseCoinAsFee(t, feeDetail)
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@ -414,14 +399,14 @@ func calculateFee(t TradeEvent, feeDetail symbolFeeDetail) (string, fixedpoint.V
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return feeDetail.BaseCoin, baseCoinAsFee(t, feeDetail)
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}
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func baseCoinAsFee(t TradeEvent, feeDetail symbolFeeDetail) fixedpoint.Value {
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func baseCoinAsFee(t bybitapi.Trade, feeDetail symbolFeeDetail) fixedpoint.Value {
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if t.IsMaker {
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return feeDetail.MakerFeeRate.Mul(t.ExecQty)
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}
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return feeDetail.TakerFeeRate.Mul(t.ExecQty)
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}
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func quoteCoinAsFee(t TradeEvent, feeDetail symbolFeeDetail) fixedpoint.Value {
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func quoteCoinAsFee(t bybitapi.Trade, feeDetail symbolFeeDetail) fixedpoint.Value {
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baseFee := t.ExecPrice.Mul(t.ExecQty)
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if t.IsMaker {
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return feeDetail.MakerFeeRate.Mul(baseFee)
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@ -556,20 +556,22 @@ func TestTradeEvent_toGlobalTrade(t *testing.T) {
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FeeCurrency: "BTC",
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}
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tradeEvent := TradeEvent{
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OrderId: fmt.Sprintf("%d", expTrade.OrderID),
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Trade: bybitapi.Trade{
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OrderId: fmt.Sprintf("%d", expTrade.OrderID),
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Symbol: expTrade.Symbol,
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ExecId: fmt.Sprintf("%d", expTrade.ID),
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ExecPrice: expTrade.Price,
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ExecQty: expTrade.Quantity,
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IsMaker: false,
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OrderType: "",
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Side: bybitapi.SideBuy,
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ExecTime: types.MillisecondTimestamp(timeNow),
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ExecFee: fixedpoint.NewFromInt(0),
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},
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OrderLinkId: "1691419101980",
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Category: "spot",
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Symbol: expTrade.Symbol,
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ExecId: fmt.Sprintf("%d", expTrade.ID),
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ExecPrice: expTrade.Price,
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ExecQty: expTrade.Quantity,
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IsMaker: false,
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BlockTradeId: "",
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OrderType: "",
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Side: bybitapi.SideBuy,
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ExecTime: types.MillisecondTimestamp(timeNow),
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ClosedSize: fixedpoint.NewFromInt(0),
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ExecFee: fixedpoint.NewFromInt(0),
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ExecType: "",
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ExecValue: fixedpoint.NewFromInt(0),
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FeeRate: fixedpoint.NewFromInt(0),
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@ -602,8 +604,10 @@ func TestTradeEvent_toGlobalTrade(t *testing.T) {
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t.Run("unexpected side", func(t *testing.T) {
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tradeEvent := TradeEvent{
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Trade: bybitapi.Trade{
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Side: bybitapi.Side("BOTH"),
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},
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Category: "spot",
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Side: bybitapi.Side("BOTH"),
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}
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actualTrade, err := tradeEvent.toGlobalTrade(symbolFeeDetail{})
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@ -613,9 +617,11 @@ func TestTradeEvent_toGlobalTrade(t *testing.T) {
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t.Run("unexpected order id", func(t *testing.T) {
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tradeEvent := TradeEvent{
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Trade: bybitapi.Trade{
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Side: bybitapi.SideBuy,
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OrderId: "ABCD3123",
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},
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Category: "spot",
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Side: bybitapi.SideBuy,
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OrderId: "ABCD3123",
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}
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_, nerr := strconv.ParseUint(tradeEvent.OrderId, 10, 64)
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@ -626,10 +632,12 @@ func TestTradeEvent_toGlobalTrade(t *testing.T) {
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t.Run("unexpected exec id", func(t *testing.T) {
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tradeEvent := TradeEvent{
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Trade: bybitapi.Trade{
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Side: bybitapi.SideBuy,
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OrderId: "3123",
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ExecId: "ABC3123",
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},
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Category: "spot",
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Side: bybitapi.SideBuy,
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OrderId: "3123",
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ExecId: "ABC3123",
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}
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_, nerr := strconv.ParseUint(tradeEvent.ExecId, 10, 64)
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@ -654,13 +662,15 @@ func TestTradeEvent_CalculateFee(t *testing.T) {
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qty := fixedpoint.NewFromFloat(0.010000)
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price := fixedpoint.NewFromFloat(28830.8100)
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trade := &TradeEvent{
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ExecPrice: price,
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ExecQty: qty,
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IsMaker: true,
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Side: bybitapi.SideBuy,
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Trade: bybitapi.Trade{
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ExecPrice: price,
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ExecQty: qty,
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IsMaker: true,
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Side: bybitapi.SideBuy,
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},
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}
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feeCurrency, fee := calculateFee(*trade, symbolFee)
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feeCurrency, fee := calculateFee(trade.Trade, symbolFee)
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assert.Equal(t, feeCurrency, "BTC")
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assert.Equal(t, fee, qty.Mul(symbolFee.FeeRate.MakerFeeRate))
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})
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@ -679,13 +689,15 @@ func TestTradeEvent_CalculateFee(t *testing.T) {
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qty := fixedpoint.NewFromFloat(0.010000)
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price := fixedpoint.NewFromFloat(28830.8099)
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trade := &TradeEvent{
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ExecPrice: price,
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ExecQty: qty,
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IsMaker: true,
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Side: bybitapi.SideSell,
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Trade: bybitapi.Trade{
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ExecPrice: price,
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ExecQty: qty,
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IsMaker: true,
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Side: bybitapi.SideSell,
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},
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}
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feeCurrency, fee := calculateFee(*trade, symbolFee)
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feeCurrency, fee := calculateFee(trade.Trade, symbolFee)
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assert.Equal(t, feeCurrency, "USDT")
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assert.Equal(t, fee, qty.Mul(price).Mul(symbolFee.FeeRate.MakerFeeRate))
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})
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@ -704,13 +716,15 @@ func TestTradeEvent_CalculateFee(t *testing.T) {
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qty := fixedpoint.NewFromFloat(0.010000)
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price := fixedpoint.NewFromFloat(28830.8100)
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trade := &TradeEvent{
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ExecPrice: price,
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ExecQty: qty,
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IsMaker: false,
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Side: bybitapi.SideBuy,
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Trade: bybitapi.Trade{
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ExecPrice: price,
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ExecQty: qty,
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IsMaker: false,
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Side: bybitapi.SideBuy,
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},
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}
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feeCurrency, fee := calculateFee(*trade, symbolFee)
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feeCurrency, fee := calculateFee(trade.Trade, symbolFee)
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assert.Equal(t, feeCurrency, "BTC")
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assert.Equal(t, fee, qty.Mul(symbolFee.FeeRate.TakerFeeRate))
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})
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@ -729,13 +743,15 @@ func TestTradeEvent_CalculateFee(t *testing.T) {
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qty := fixedpoint.NewFromFloat(0.010000)
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price := fixedpoint.NewFromFloat(28830.8099)
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trade := &TradeEvent{
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ExecPrice: price,
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ExecQty: qty,
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IsMaker: false,
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Side: bybitapi.SideSell,
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Trade: bybitapi.Trade{
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ExecPrice: price,
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ExecQty: qty,
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IsMaker: false,
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Side: bybitapi.SideSell,
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},
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}
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feeCurrency, fee := calculateFee(*trade, symbolFee)
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feeCurrency, fee := calculateFee(trade.Trade, symbolFee)
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assert.Equal(t, feeCurrency, "USDT")
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assert.Equal(t, fee, qty.Mul(price).Mul(symbolFee.FeeRate.TakerFeeRate))
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})
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@ -754,13 +770,15 @@ func TestTradeEvent_CalculateFee(t *testing.T) {
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qty := fixedpoint.NewFromFloat(0.002289)
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price := fixedpoint.NewFromFloat(28829.7600)
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trade := &TradeEvent{
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ExecPrice: price,
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ExecQty: qty,
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IsMaker: true,
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Side: bybitapi.SideBuy,
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Trade: bybitapi.Trade{
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ExecPrice: price,
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ExecQty: qty,
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IsMaker: true,
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Side: bybitapi.SideBuy,
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},
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}
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feeCurrency, fee := calculateFee(*trade, symbolFee)
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feeCurrency, fee := calculateFee(trade.Trade, symbolFee)
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assert.Equal(t, feeCurrency, "USDT")
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assert.Equal(t, fee, qty.Mul(price).Mul(symbolFee.FeeRate.MakerFeeRate))
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})
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@ -779,13 +797,15 @@ func TestTradeEvent_CalculateFee(t *testing.T) {
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qty := fixedpoint.NewFromFloat(0.002289)
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price := fixedpoint.NewFromFloat(28829.7600)
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trade := &TradeEvent{
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ExecPrice: price,
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ExecQty: qty,
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IsMaker: true,
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Side: bybitapi.SideSell,
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Trade: bybitapi.Trade{
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ExecPrice: price,
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ExecQty: qty,
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IsMaker: true,
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Side: bybitapi.SideSell,
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},
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}
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feeCurrency, fee := calculateFee(*trade, symbolFee)
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feeCurrency, fee := calculateFee(trade.Trade, symbolFee)
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assert.Equal(t, feeCurrency, "BTC")
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assert.Equal(t, fee, qty.Mul(symbolFee.FeeRate.MakerFeeRate))
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})
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@ -804,13 +824,15 @@ func TestTradeEvent_CalculateFee(t *testing.T) {
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qty := fixedpoint.NewFromFloat(0.002289)
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price := fixedpoint.NewFromFloat(28829.7600)
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trade := &TradeEvent{
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ExecPrice: price,
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ExecQty: qty,
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IsMaker: false,
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Side: bybitapi.SideBuy,
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Trade: bybitapi.Trade{
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ExecPrice: price,
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ExecQty: qty,
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IsMaker: false,
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Side: bybitapi.SideBuy,
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},
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}
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feeCurrency, fee := calculateFee(*trade, symbolFee)
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feeCurrency, fee := calculateFee(trade.Trade, symbolFee)
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assert.Equal(t, feeCurrency, "BTC")
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assert.Equal(t, fee, qty.Mul(symbolFee.FeeRate.TakerFeeRate))
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})
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@ -829,13 +851,15 @@ func TestTradeEvent_CalculateFee(t *testing.T) {
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qty := fixedpoint.NewFromFloat(0.002289)
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price := fixedpoint.NewFromFloat(28829.7600)
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trade := &TradeEvent{
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ExecPrice: price,
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ExecQty: qty,
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IsMaker: false,
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Side: bybitapi.SideSell,
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Trade: bybitapi.Trade{
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ExecPrice: price,
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ExecQty: qty,
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IsMaker: false,
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Side: bybitapi.SideSell,
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},
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}
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feeCurrency, fee := calculateFee(*trade, symbolFee)
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feeCurrency, fee := calculateFee(trade.Trade, symbolFee)
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assert.Equal(t, feeCurrency, "USDT")
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assert.Equal(t, fee, qty.Mul(price).Mul(symbolFee.FeeRate.TakerFeeRate))
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})
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@ -855,14 +879,16 @@ func TestTradeEvent_baseCoinAsFee(t *testing.T) {
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qty := fixedpoint.NewFromFloat(0.002289)
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price := fixedpoint.NewFromFloat(28829.7600)
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trade := &TradeEvent{
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ExecPrice: price,
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ExecQty: qty,
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IsMaker: false,
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Trade: bybitapi.Trade{
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ExecPrice: price,
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ExecQty: qty,
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IsMaker: false,
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},
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}
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assert.Equal(t, symbolFee.FeeRate.TakerFeeRate.Mul(qty), baseCoinAsFee(*trade, symbolFee))
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assert.Equal(t, symbolFee.FeeRate.TakerFeeRate.Mul(qty), baseCoinAsFee(trade.Trade, symbolFee))
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trade.IsMaker = true
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assert.Equal(t, symbolFee.FeeRate.MakerFeeRate.Mul(qty), baseCoinAsFee(*trade, symbolFee))
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assert.Equal(t, symbolFee.FeeRate.MakerFeeRate.Mul(qty), baseCoinAsFee(trade.Trade, symbolFee))
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}
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func TestTradeEvent_quoteCoinAsFee(t *testing.T) {
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@ -878,12 +904,14 @@ func TestTradeEvent_quoteCoinAsFee(t *testing.T) {
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qty := fixedpoint.NewFromFloat(0.002289)
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price := fixedpoint.NewFromFloat(28829.7600)
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trade := &TradeEvent{
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ExecPrice: price,
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ExecQty: qty,
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IsMaker: false,
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Trade: bybitapi.Trade{
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ExecPrice: price,
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ExecQty: qty,
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IsMaker: false,
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},
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}
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assert.Equal(t, symbolFee.FeeRate.TakerFeeRate.Mul(qty.Mul(price)), quoteCoinAsFee(*trade, symbolFee))
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assert.Equal(t, symbolFee.FeeRate.TakerFeeRate.Mul(qty.Mul(price)), quoteCoinAsFee(trade.Trade, symbolFee))
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trade.IsMaker = true
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assert.Equal(t, symbolFee.FeeRate.MakerFeeRate.Mul(qty.Mul(price)), quoteCoinAsFee(*trade, symbolFee))
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assert.Equal(t, symbolFee.FeeRate.MakerFeeRate.Mul(qty.Mul(price)), quoteCoinAsFee(trade.Trade, symbolFee))
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}
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