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pkg/exchange: move common execution field to bybitapi.trade

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This commit is contained in:
edwin 2024-09-30 16:28:07 +08:00
parent aac833d135
commit bdfcbdcf56
2 changed files with 99 additions and 86 deletions
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25
pkg/exchange/bybit/types.go
View File

@ -287,33 +287,18 @@ func (k *KLine) toGlobalKLine(symbol string) (types.KLine, error) {
}
type TradeEvent struct {
bybitapi.Trade
// linear and inverse order id format: 42f4f364-82e1-49d3-ad1d-cd8cf9aa308d (UUID format)
// spot: 1468264727470772736 (only numbers)
// we only use spot trading.
OrderId string `json:"orderId"`
OrderLinkId string `json:"orderLinkId"`
Category bybitapi.Category `json:"category"`
Symbol string `json:"symbol"`
ExecId string `json:"execId"`
ExecPrice fixedpoint.Value `json:"execPrice"`
ExecQty fixedpoint.Value `json:"execQty"`
// Is maker order. true: maker, false: taker
IsMaker bool `json:"isMaker"`
// Paradigm block trade ID
BlockTradeId string `json:"blockTradeId"`
// Order type. Market,Limit
OrderType bybitapi.OrderType `json:"orderType"`
// Side. Buy,Sell
Side bybitapi.Side `json:"side"`
// Executed timestamp（ms）
ExecTime types.MillisecondTimestamp `json:"execTime"`
// Closed position size
ClosedSize fixedpoint.Value `json:"closedSize"`
/* The following parameters do not support SPOT trading. */
// Executed trading fee. You can get spot fee currency instruction here. Normal spot is not supported
ExecFee fixedpoint.Value `json:"execFee"`
// Executed type. Normal spot is not supported
ExecType string `json:"execType"`
// Executed order value. Normal spot is not supported
@ -377,7 +362,7 @@ func (t *TradeEvent) toGlobalTrade(symbolFee symbolFeeDetail) (*types.Trade, err
Fee: fixedpoint.Zero,
FeeCurrency: "",
}
trade.FeeCurrency, trade.Fee = calculateFee(*t, symbolFee)
trade.FeeCurrency, trade.Fee = calculateFee(t.Trade, symbolFee)
return trade, nil
}
@ -400,7 +385,7 @@ func (t *TradeEvent) toGlobalTrade(symbolFee symbolFeeDetail) (*types.Trade, err
// IsMakerOrder = FALSE
// -> Side = Buy -> base currency (BTC)
// -> Side = Sell -> quote currency (USDT)
func calculateFee(t TradeEvent, feeDetail symbolFeeDetail) (string, fixedpoint.Value) {
func calculateFee(t bybitapi.Trade, feeDetail symbolFeeDetail) (string, fixedpoint.Value) {
if feeDetail.MakerFeeRate.Sign() > 0 || !t.IsMaker {
if t.Side == bybitapi.SideBuy {
return feeDetail.BaseCoin, baseCoinAsFee(t, feeDetail)
@ -414,14 +399,14 @@ func calculateFee(t TradeEvent, feeDetail symbolFeeDetail) (string, fixedpoint.V
return feeDetail.BaseCoin, baseCoinAsFee(t, feeDetail)
}
func baseCoinAsFee(t TradeEvent, feeDetail symbolFeeDetail) fixedpoint.Value {
func baseCoinAsFee(t bybitapi.Trade, feeDetail symbolFeeDetail) fixedpoint.Value {
if t.IsMaker {
return feeDetail.MakerFeeRate.Mul(t.ExecQty)
}
return feeDetail.TakerFeeRate.Mul(t.ExecQty)
}
func quoteCoinAsFee(t TradeEvent, feeDetail symbolFeeDetail) fixedpoint.Value {
func quoteCoinAsFee(t bybitapi.Trade, feeDetail symbolFeeDetail) fixedpoint.Value {
baseFee := t.ExecPrice.Mul(t.ExecQty)
if t.IsMaker {
return feeDetail.MakerFeeRate.Mul(baseFee)

160
pkg/exchange/bybit/types_test.go
View File

@ -556,20 +556,22 @@ func TestTradeEvent_toGlobalTrade(t *testing.T) {
FeeCurrency: "BTC",
}
tradeEvent := TradeEvent{
OrderId: fmt.Sprintf("%d", expTrade.OrderID),
Trade: bybitapi.Trade{
OrderId: fmt.Sprintf("%d", expTrade.OrderID),
Symbol: expTrade.Symbol,
ExecId: fmt.Sprintf("%d", expTrade.ID),
ExecPrice: expTrade.Price,
ExecQty: expTrade.Quantity,
IsMaker: false,
OrderType: "",
Side: bybitapi.SideBuy,
ExecTime: types.MillisecondTimestamp(timeNow),
ExecFee: fixedpoint.NewFromInt(0),
},
OrderLinkId: "1691419101980",
Category: "spot",
Symbol: expTrade.Symbol,
ExecId: fmt.Sprintf("%d", expTrade.ID),
ExecPrice: expTrade.Price,
ExecQty: expTrade.Quantity,
IsMaker: false,
BlockTradeId: "",
OrderType: "",
Side: bybitapi.SideBuy,
ExecTime: types.MillisecondTimestamp(timeNow),
ClosedSize: fixedpoint.NewFromInt(0),
ExecFee: fixedpoint.NewFromInt(0),
ExecType: "",
ExecValue: fixedpoint.NewFromInt(0),
FeeRate: fixedpoint.NewFromInt(0),
@ -602,8 +604,10 @@ func TestTradeEvent_toGlobalTrade(t *testing.T) {
t.Run("unexpected side", func(t *testing.T) {
tradeEvent := TradeEvent{
Trade: bybitapi.Trade{
Side: bybitapi.Side("BOTH"),
},
Category: "spot",
Side: bybitapi.Side("BOTH"),
}
actualTrade, err := tradeEvent.toGlobalTrade(symbolFeeDetail{})
@ -613,9 +617,11 @@ func TestTradeEvent_toGlobalTrade(t *testing.T) {
t.Run("unexpected order id", func(t *testing.T) {
tradeEvent := TradeEvent{
Trade: bybitapi.Trade{
Side: bybitapi.SideBuy,
OrderId: "ABCD3123",
},
Category: "spot",
Side: bybitapi.SideBuy,
OrderId: "ABCD3123",
}
_, nerr := strconv.ParseUint(tradeEvent.OrderId, 10, 64)
@ -626,10 +632,12 @@ func TestTradeEvent_toGlobalTrade(t *testing.T) {
t.Run("unexpected exec id", func(t *testing.T) {
tradeEvent := TradeEvent{
Trade: bybitapi.Trade{
Side: bybitapi.SideBuy,
OrderId: "3123",
ExecId: "ABC3123",
},
Category: "spot",
Side: bybitapi.SideBuy,
OrderId: "3123",
ExecId: "ABC3123",
}
_, nerr := strconv.ParseUint(tradeEvent.ExecId, 10, 64)
@ -654,13 +662,15 @@ func TestTradeEvent_CalculateFee(t *testing.T) {
qty := fixedpoint.NewFromFloat(0.010000)
price := fixedpoint.NewFromFloat(28830.8100)
trade := &TradeEvent{
ExecPrice: price,
ExecQty: qty,
IsMaker: true,
Side: bybitapi.SideBuy,
Trade: bybitapi.Trade{
ExecPrice: price,
ExecQty: qty,
IsMaker: true,
Side: bybitapi.SideBuy,
},
}
feeCurrency, fee := calculateFee(*trade, symbolFee)
feeCurrency, fee := calculateFee(trade.Trade, symbolFee)
assert.Equal(t, feeCurrency, "BTC")
assert.Equal(t, fee, qty.Mul(symbolFee.FeeRate.MakerFeeRate))
})
@ -679,13 +689,15 @@ func TestTradeEvent_CalculateFee(t *testing.T) {
qty := fixedpoint.NewFromFloat(0.010000)
price := fixedpoint.NewFromFloat(28830.8099)
trade := &TradeEvent{
ExecPrice: price,
ExecQty: qty,
IsMaker: true,
Side: bybitapi.SideSell,
Trade: bybitapi.Trade{
ExecPrice: price,
ExecQty: qty,
IsMaker: true,
Side: bybitapi.SideSell,
},
}
feeCurrency, fee := calculateFee(*trade, symbolFee)
feeCurrency, fee := calculateFee(trade.Trade, symbolFee)
assert.Equal(t, feeCurrency, "USDT")
assert.Equal(t, fee, qty.Mul(price).Mul(symbolFee.FeeRate.MakerFeeRate))
})
@ -704,13 +716,15 @@ func TestTradeEvent_CalculateFee(t *testing.T) {
qty := fixedpoint.NewFromFloat(0.010000)
price := fixedpoint.NewFromFloat(28830.8100)
trade := &TradeEvent{
ExecPrice: price,
ExecQty: qty,
IsMaker: false,
Side: bybitapi.SideBuy,
Trade: bybitapi.Trade{
ExecPrice: price,
ExecQty: qty,
IsMaker: false,
Side: bybitapi.SideBuy,
},
}
feeCurrency, fee := calculateFee(*trade, symbolFee)
feeCurrency, fee := calculateFee(trade.Trade, symbolFee)
assert.Equal(t, feeCurrency, "BTC")
assert.Equal(t, fee, qty.Mul(symbolFee.FeeRate.TakerFeeRate))
})
@ -729,13 +743,15 @@ func TestTradeEvent_CalculateFee(t *testing.T) {
qty := fixedpoint.NewFromFloat(0.010000)
price := fixedpoint.NewFromFloat(28830.8099)
trade := &TradeEvent{
ExecPrice: price,
ExecQty: qty,
IsMaker: false,
Side: bybitapi.SideSell,
Trade: bybitapi.Trade{
ExecPrice: price,
ExecQty: qty,
IsMaker: false,
Side: bybitapi.SideSell,
},
}
feeCurrency, fee := calculateFee(*trade, symbolFee)
feeCurrency, fee := calculateFee(trade.Trade, symbolFee)
assert.Equal(t, feeCurrency, "USDT")
assert.Equal(t, fee, qty.Mul(price).Mul(symbolFee.FeeRate.TakerFeeRate))
})
@ -754,13 +770,15 @@ func TestTradeEvent_CalculateFee(t *testing.T) {
qty := fixedpoint.NewFromFloat(0.002289)
price := fixedpoint.NewFromFloat(28829.7600)
trade := &TradeEvent{
ExecPrice: price,
ExecQty: qty,
IsMaker: true,
Side: bybitapi.SideBuy,
Trade: bybitapi.Trade{
ExecPrice: price,
ExecQty: qty,
IsMaker: true,
Side: bybitapi.SideBuy,
},
}
feeCurrency, fee := calculateFee(*trade, symbolFee)
feeCurrency, fee := calculateFee(trade.Trade, symbolFee)
assert.Equal(t, feeCurrency, "USDT")
assert.Equal(t, fee, qty.Mul(price).Mul(symbolFee.FeeRate.MakerFeeRate))
})
@ -779,13 +797,15 @@ func TestTradeEvent_CalculateFee(t *testing.T) {
qty := fixedpoint.NewFromFloat(0.002289)
price := fixedpoint.NewFromFloat(28829.7600)
trade := &TradeEvent{
ExecPrice: price,
ExecQty: qty,
IsMaker: true,
Side: bybitapi.SideSell,
Trade: bybitapi.Trade{
ExecPrice: price,
ExecQty: qty,
IsMaker: true,
Side: bybitapi.SideSell,
},
}
feeCurrency, fee := calculateFee(*trade, symbolFee)
feeCurrency, fee := calculateFee(trade.Trade, symbolFee)
assert.Equal(t, feeCurrency, "BTC")
assert.Equal(t, fee, qty.Mul(symbolFee.FeeRate.MakerFeeRate))
})
@ -804,13 +824,15 @@ func TestTradeEvent_CalculateFee(t *testing.T) {
qty := fixedpoint.NewFromFloat(0.002289)
price := fixedpoint.NewFromFloat(28829.7600)
trade := &TradeEvent{
ExecPrice: price,
ExecQty: qty,
IsMaker: false,
Side: bybitapi.SideBuy,
Trade: bybitapi.Trade{
ExecPrice: price,
ExecQty: qty,
IsMaker: false,
Side: bybitapi.SideBuy,
},
}
feeCurrency, fee := calculateFee(*trade, symbolFee)
feeCurrency, fee := calculateFee(trade.Trade, symbolFee)
assert.Equal(t, feeCurrency, "BTC")
assert.Equal(t, fee, qty.Mul(symbolFee.FeeRate.TakerFeeRate))
})
@ -829,13 +851,15 @@ func TestTradeEvent_CalculateFee(t *testing.T) {
qty := fixedpoint.NewFromFloat(0.002289)
price := fixedpoint.NewFromFloat(28829.7600)
trade := &TradeEvent{
ExecPrice: price,
ExecQty: qty,
IsMaker: false,
Side: bybitapi.SideSell,
Trade: bybitapi.Trade{
ExecPrice: price,
ExecQty: qty,
IsMaker: false,
Side: bybitapi.SideSell,
},
}
feeCurrency, fee := calculateFee(*trade, symbolFee)
feeCurrency, fee := calculateFee(trade.Trade, symbolFee)
assert.Equal(t, feeCurrency, "USDT")
assert.Equal(t, fee, qty.Mul(price).Mul(symbolFee.FeeRate.TakerFeeRate))
})
@ -855,14 +879,16 @@ func TestTradeEvent_baseCoinAsFee(t *testing.T) {
qty := fixedpoint.NewFromFloat(0.002289)
price := fixedpoint.NewFromFloat(28829.7600)
trade := &TradeEvent{
ExecPrice: price,
ExecQty: qty,
IsMaker: false,
Trade: bybitapi.Trade{
ExecPrice: price,
ExecQty: qty,
IsMaker: false,
},
}
assert.Equal(t, symbolFee.FeeRate.TakerFeeRate.Mul(qty), baseCoinAsFee(*trade, symbolFee))
assert.Equal(t, symbolFee.FeeRate.TakerFeeRate.Mul(qty), baseCoinAsFee(trade.Trade, symbolFee))
trade.IsMaker = true
assert.Equal(t, symbolFee.FeeRate.MakerFeeRate.Mul(qty), baseCoinAsFee(*trade, symbolFee))
assert.Equal(t, symbolFee.FeeRate.MakerFeeRate.Mul(qty), baseCoinAsFee(trade.Trade, symbolFee))
}
func TestTradeEvent_quoteCoinAsFee(t *testing.T) {
@ -878,12 +904,14 @@ func TestTradeEvent_quoteCoinAsFee(t *testing.T) {
qty := fixedpoint.NewFromFloat(0.002289)
price := fixedpoint.NewFromFloat(28829.7600)
trade := &TradeEvent{
ExecPrice: price,
ExecQty: qty,
IsMaker: false,
Trade: bybitapi.Trade{
ExecPrice: price,
ExecQty: qty,
IsMaker: false,
},
}
assert.Equal(t, symbolFee.FeeRate.TakerFeeRate.Mul(qty.Mul(price)), quoteCoinAsFee(*trade, symbolFee))
assert.Equal(t, symbolFee.FeeRate.TakerFeeRate.Mul(qty.Mul(price)), quoteCoinAsFee(trade.Trade, symbolFee))
trade.IsMaker = true
assert.Equal(t, symbolFee.FeeRate.MakerFeeRate.Mul(qty.Mul(price)), quoteCoinAsFee(*trade, symbolFee))
assert.Equal(t, symbolFee.FeeRate.MakerFeeRate.Mul(qty.Mul(price)), quoteCoinAsFee(trade.Trade, symbolFee))
}