service: implement margin service for syncing margin related data

go.mod

@@ -52,6 +52,7 @@ require (
 )
 
 require (
+	github.com/Masterminds/squirrel v1.5.3 // indirect
 	github.com/beorn7/perks v1.0.1 // indirect
 	github.com/bitly/go-simplejson v0.5.0 // indirect
 	github.com/boombuler/barcode v1.0.1-0.20190219062509-6c824513bacc // indirect
@@ -75,6 +76,8 @@ require (
 	github.com/inconshreveable/mousetrap v1.0.0 // indirect
 	github.com/jehiah/go-strftime v0.0.0-20171201141054-1d33003b3869 // indirect
 	github.com/json-iterator/go v1.1.11 // indirect
+	github.com/lann/builder v0.0.0-20180802200727-47ae307949d0 // indirect
+	github.com/lann/ps v0.0.0-20150810152359-62de8c46ede0 // indirect
 	github.com/leodido/go-urn v1.2.1 // indirect
 	github.com/lestrrat-go/strftime v1.0.0 // indirect
 	github.com/lib/pq v1.10.5 // indirect

go.sum

@@ -39,6 +39,8 @@ github.com/BurntSushi/toml v0.3.1/go.mod h1:xHWCNGjB5oqiDr8zfno3MHue2Ht5sIBksp03
 github.com/BurntSushi/xgb v0.0.0-20160522181843-27f122750802/go.mod h1:IVnqGOEym/WlBOVXweHU+Q+/VP0lqqI8lqeDx9IjBqo=
 github.com/DATA-DOG/go-sqlmock v1.5.0 h1:Shsta01QNfFxHCfpW6YH2STWB0MudeXXEWMr20OEh60=
 github.com/DATA-DOG/go-sqlmock v1.5.0/go.mod h1:f/Ixk793poVmq4qj/V1dPUg2JEAKC73Q5eFN3EC/SaM=
+github.com/Masterminds/squirrel v1.5.3 h1:YPpoceAcxuzIljlr5iWpNKaql7hLeG1KLSrhvdHpkZc=
+github.com/Masterminds/squirrel v1.5.3/go.mod h1:NNaOrjSoIDfDA40n7sr2tPNZRfjzjA400rg+riTZj10=
 github.com/OneOfOne/xxhash v1.2.2/go.mod h1:HSdplMjZKSmBqAxg5vPj2TmRDmfkzw+cTzAElWljhcU=
 github.com/adshao/go-binance/v2 v2.3.5 h1:WVYZecm0w8l14YoWlnKZj6xxZT2AKMTHpMQSqIX1xxA=
 github.com/adshao/go-binance/v2 v2.3.5/go.mod h1:8Pg/FGTLyAhq8QXA0IkoReKyRpoxJcK3LVujKDAZV/c=
@@ -303,6 +305,10 @@ github.com/kr/pretty v0.2.0/go.mod h1:ipq/a2n7PKx3OHsz4KJII5eveXtPO4qwEXGdVfWzfn
 github.com/kr/pty v1.1.1/go.mod h1:pFQYn66WHrOpPYNljwOMqo10TkYh1fy3cYio2l3bCsQ=
 github.com/kr/text v0.1.0 h1:45sCR5RtlFHMR4UwH9sdQ5TC8v0qDQCHnXt+kaKSTVE=
 github.com/kr/text v0.1.0/go.mod h1:4Jbv+DJW3UT/LiOwJeYQe1efqtUx/iVham/4vfdArNI=
+github.com/lann/builder v0.0.0-20180802200727-47ae307949d0 h1:SOEGU9fKiNWd/HOJuq6+3iTQz8KNCLtVX6idSoTLdUw=
+github.com/lann/builder v0.0.0-20180802200727-47ae307949d0/go.mod h1:dXGbAdH5GtBTC4WfIxhKZfyBF/HBFgRZSWwZ9g/He9o=
+github.com/lann/ps v0.0.0-20150810152359-62de8c46ede0 h1:P6pPBnrTSX3DEVR4fDembhRWSsG5rVo6hYhAB/ADZrk=
+github.com/lann/ps v0.0.0-20150810152359-62de8c46ede0/go.mod h1:vmVJ0l/dxyfGW6FmdpVm2joNMFikkuWg0EoCKLGUMNw=
 github.com/leekchan/accounting v0.0.0-20191218023648-17a4ce5f94d4 h1:KZzDAtJ7ZLm0zSWVhN/zgyB8Ksx5H+P9irwbTcJ9FwI=
 github.com/leekchan/accounting v0.0.0-20191218023648-17a4ce5f94d4/go.mod h1:3timm6YPhY3YDaGxl0q3eaflX0eoSx3FXn7ckHe4tO0=
 github.com/leodido/go-urn v1.1.0/go.mod h1:+cyI34gQWZcE1eQU7NVgKkkzdXDQHr1dBMtdAPozLkw=

migrations/mysql/20220531013542_margin_interests.sql

@@ -3,8 +3,6 @@ CREATE TABLE `margin_interests`
 (
     `gid`             BIGINT UNSIGNED          NOT NULL AUTO_INCREMENT,
 
-    `transaction_id`  BIGINT UNSIGNED          NOT NULL,
-
     `exchange`        VARCHAR(24)              NOT NULL DEFAULT '',
 
     `asset`           VARCHAR(24)              NOT NULL DEFAULT '',

migrations/mysql/20220531015005_margin_liquidations.sql

@@ -23,7 +23,7 @@ CREATE TABLE `margin_liquidations`
 
     `time_in_force`     VARCHAR(5)              NOT NULL DEFAULT '',
 
-    `updated_time`      DATETIME(3)             NOT NULL,
+    `time`              DATETIME(3)             NOT NULL,
 
     PRIMARY KEY (`gid`),
     UNIQUE KEY (`order_id`, `exchange`)

migrations/sqlite3/20220531013541_margin_interests.sql

@@ -3,8 +3,6 @@ CREATE TABLE `margin_interests`
 (
     `gid`             INTEGER PRIMARY KEY AUTOINCREMENT,
 
-    `transaction_id`  INTEGER         NOT NULL,
-
     `exchange`        VARCHAR(24)     NOT NULL DEFAULT '',
 
     `asset`           VARCHAR(24)     NOT NULL DEFAULT '',

migrations/sqlite3/20220531015005_margin_liquidations.sql

@@ -3,13 +3,13 @@ CREATE TABLE `margin_liquidations`
 (
     `gid`               INTEGER PRIMARY KEY AUTOINCREMENT,
 
-    `exchange`          VARCHAR(24)             NOT NULL DEFAULT '',
+    `exchange`          VARCHAR(24)    NOT NULL DEFAULT '',
 
-    `symbol`            VARCHAR(24)             NOT NULL DEFAULT '',
+    `symbol`            VARCHAR(24)    NOT NULL DEFAULT '',
 
-    `order_id`          INTEGER         NOT NULL,
+    `order_id`          INTEGER        NOT NULL,
 
-    `is_isolated`       BOOL                    NOT NULL DEFAULT false,
+    `is_isolated`       BOOL           NOT NULL DEFAULT false,
 
     `average_price`     DECIMAL(16, 8) NOT NULL,
 
@@ -19,11 +19,11 @@ CREATE TABLE `margin_liquidations`
 
     `executed_quantity` DECIMAL(16, 8) NOT NULL,
 
-    `side`              VARCHAR(5)              NOT NULL DEFAULT '',
+    `side`              VARCHAR(5)     NOT NULL DEFAULT '',
 
-    `time_in_force`     VARCHAR(5)              NOT NULL DEFAULT '',
+    `time_in_force`     VARCHAR(5)     NOT NULL DEFAULT '',
 
-    `updated_time`      DATETIME(3)             NOT NULL
+    `time`      DATETIME(3)    NOT NULL
 );
 
 -- +down

pkg/exchange/batch/margin_liquidation.go

@@ -0,0 +1,36 @@
+package batch
+
+import (
+	"context"
+	"strconv"
+	"time"
+
+	"golang.org/x/time/rate"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type MarginLiquidationBatchQuery struct {
+	types.MarginHistory
+}
+
+func (e *MarginLiquidationBatchQuery) Query(ctx context.Context, startTime, endTime time.Time) (c chan types.MarginLiquidation, errC chan error) {
+	query := &AsyncTimeRangedBatchQuery{
+		Type:    types.MarginLiquidation{},
+		Limiter: rate.NewLimiter(rate.Every(5*time.Second), 2),
+		Q: func(startTime, endTime time.Time) (interface{}, error) {
+			return e.QueryLiquidationHistory(ctx, &startTime, &endTime)
+		},
+		T: func(obj interface{}) time.Time {
+			return time.Time(obj.(types.MarginLiquidation).UpdatedTime)
+		},
+		ID: func(obj interface{}) string {
+			liquidation := obj.(types.MarginLiquidation)
+			return strconv.FormatUint(liquidation.OrderID, 10)
+		},
+	}
+
+	c = make(chan types.MarginLiquidation, 100)
+	errC = query.Query(ctx, c, startTime, endTime)
+	return c, errC
+}

pkg/exchange/batch/margin_loan.go

@@ -22,7 +22,7 @@ func (e *MarginLoanBatchQuery) Query(ctx context.Context, asset string, startTim
 			return e.QueryLoanHistory(ctx, asset, &startTime, &endTime)
 		},
 		T: func(obj interface{}) time.Time {
-			return time.Time(obj.(types.MarginRepay).Time)
+			return time.Time(obj.(types.MarginLoan).Time)
 		},
 		ID: func(obj interface{}) string {
 			loan := obj.(types.MarginLoan)

pkg/exchange/binance/binanceapi/client_test.go

@@ -4,32 +4,15 @@ import (
 	"context"
 	"log"
 	"net/http/httputil"
-	"os"
-	"regexp"
 	"testing"
 
 	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/testutil"
 )
 
-func maskSecret(s string) string {
-	re := regexp.MustCompile(`\b(\w{4})\w+\b`)
-	s = re.ReplaceAllString(s, "$1******")
-	return s
-}
-
-func integrationTestConfigured(t *testing.T, prefix string) (key, secret string, ok bool) {
-	var hasKey, hasSecret bool
-	key, hasKey = os.LookupEnv(prefix + "_API_KEY")
-	secret, hasSecret = os.LookupEnv(prefix + "_API_SECRET")
-	ok = hasKey && hasSecret && os.Getenv("TEST_"+prefix) == "1"
-	if ok {
-		t.Logf(prefix+" api integration test enabled, key = %s, secret = %s", maskSecret(key), maskSecret(secret))
-	}
-	return key, secret, ok
-}
-
 func getTestClientOrSkip(t *testing.T) *RestClient {
-	key, secret, ok := integrationTestConfigured(t, "BINANCE")
+	key, secret, ok := testutil.IntegrationTestConfigured(t, "BINANCE")
 	if !ok {
 		t.SkipNow()
 		return nil
@@ -119,7 +102,7 @@ func TestClient_NewGetMarginInterestRateHistoryRequest(t *testing.T) {
 }
 
 func TestClient_privateCall(t *testing.T) {
-	key, secret, ok := integrationTestConfigured(t, "BINANCE")
+	key, secret, ok := testutil.IntegrationTestConfigured(t, "BINANCE")
 	if !ok {
 		t.SkipNow()
 	}

pkg/service/margin.go

@@ -0,0 +1,260 @@
+package service
+
+import (
+	"context"
+	"fmt"
+	"reflect"
+	"sort"
+	"strconv"
+	"time"
+
+	sq "github.com/Masterminds/squirrel"
+	"github.com/jmoiron/sqlx"
+	"github.com/sirupsen/logrus"
+
+	"github.com/c9s/bbgo/pkg/exchange/batch"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// SyncSelect defines the behaviors for syncing remote records
+type SyncSelect struct {
+	Select     sq.SelectBuilder
+	Type       interface{}
+	BatchQuery func(ctx context.Context, startTime, endTime time.Time) (interface{}, chan error)
+
+	// ID is a function that returns the unique identity of the object
+	ID func(obj interface{}) string
+
+	// Time is a function that returns the time of the object
+	Time func(obj interface{}) time.Time
+}
+
+type MarginService struct {
+	DB *sqlx.DB
+}
+
+func (s *MarginService) Sync(ctx context.Context, ex types.Exchange, asset string, startTime time.Time) error {
+	api, ok := ex.(types.MarginHistory)
+	if !ok {
+		return ErrNotImplemented
+	}
+
+	marginExchange, ok := ex.(types.MarginExchange)
+	if !ok {
+		return fmt.Errorf("%T does not implement margin service", ex)
+	}
+
+	marginSettings := marginExchange.GetMarginSettings()
+	if !marginSettings.IsMargin {
+		return fmt.Errorf("exchange instance %s is not using margin", ex.Name())
+	}
+
+	sels := []SyncSelect{
+		{
+			Select: SelectLastMarginLoans(ex.Name(), 100),
+			Type:   types.MarginLoan{},
+			BatchQuery: func(ctx context.Context, startTime, endTime time.Time) (interface{}, chan error) {
+				query := &batch.MarginLoanBatchQuery{
+					MarginHistory: api,
+				}
+				return query.Query(ctx, asset, startTime, endTime)
+			},
+			ID: func(obj interface{}) string {
+				return strconv.FormatUint(obj.(types.MarginLoan).TransactionID, 10)
+			},
+		},
+		{
+			Select: SelectLastMarginRepays(ex.Name(), 100),
+			Type:   types.MarginRepay{},
+			BatchQuery: func(ctx context.Context, startTime, endTime time.Time) (interface{}, chan error) {
+				query := &batch.MarginRepayBatchQuery{
+					MarginHistory: api,
+				}
+				return query.Query(ctx, asset, startTime, endTime)
+			},
+			ID: func(obj interface{}) string {
+				return strconv.FormatUint(obj.(types.MarginRepay).TransactionID, 10)
+			},
+		},
+		{
+			Select: SelectLastMarginInterests(ex.Name(), 100),
+			Type:   types.MarginInterest{},
+			BatchQuery: func(ctx context.Context, startTime, endTime time.Time) (interface{}, chan error) {
+				query := &batch.MarginInterestBatchQuery{
+					MarginHistory: api,
+				}
+				return query.Query(ctx, asset, startTime, endTime)
+			},
+			ID: func(obj interface{}) string {
+				m := obj.(types.MarginInterest)
+				return m.Asset + m.IsolatedSymbol + strconv.FormatInt(m.Time.UnixMilli(), 10)
+			},
+		},
+	}
+
+NextQuery:
+	for _, sel := range sels {
+		// query from db
+		recordSlice, err := s.executeDbQuery(ctx, sel.Select, sel.Type)
+		if err != nil {
+			return err
+		}
+
+		recordSliceRef := reflect.ValueOf(recordSlice)
+		if recordSliceRef.Kind() == reflect.Ptr {
+			recordSliceRef = recordSliceRef.Elem()
+		}
+
+		logrus.Debugf("loaded %d records", recordSliceRef.Len())
+
+		ids := buildIdMap(sel, recordSliceRef)
+		sortRecords(sel, recordSliceRef)
+
+		// default since time point
+		since := lastRecordTime(sel, recordSliceRef, startTime)
+
+		// asset "" means all assets
+		dataC, errC := sel.BatchQuery(ctx, since, time.Now())
+		dataCRef := reflect.ValueOf(dataC)
+
+		for {
+			select {
+			case <-ctx.Done():
+				return nil
+
+			case err := <-errC:
+				return err
+
+			default:
+				v, ok := dataCRef.Recv()
+				if !ok {
+					err := <-errC
+					if err != nil {
+						return err
+					}
+
+					// closed chan, skip to next query
+					continue NextQuery
+				}
+
+				obj := v.Interface()
+				id := sel.ID(obj)
+				if _, exists := ids[id]; exists {
+					continue
+				}
+
+				logrus.Debugf("inserting %T: %+v", obj, obj)
+				if err := s.Insert(obj); err != nil {
+					return err
+				}
+			}
+		}
+	}
+
+	return nil
+}
+
+func (s *MarginService) executeDbQuery(ctx context.Context, sel sq.SelectBuilder, tpe interface{}) (interface{}, error) {
+	sql, args, err := sel.ToSql()
+
+	if err != nil {
+		return nil, err
+	}
+
+	rows, err := s.DB.QueryxContext(ctx, sql, args...)
+	if err != nil {
+		return nil, err
+	}
+
+	defer rows.Close()
+	return s.scanRows(rows, tpe)
+}
+
+func (s *MarginService) scanRows(rows *sqlx.Rows, tpe interface{}) (interface{}, error) {
+	refType := reflect.TypeOf(tpe)
+
+	if refType.Kind() == reflect.Ptr {
+		refType = refType.Elem()
+	}
+
+	sliceRef := reflect.New(reflect.SliceOf(refType))
+	for rows.Next() {
+		var recordRef = reflect.New(refType)
+		var record = recordRef.Interface()
+		if err := rows.StructScan(&record); err != nil {
+			return sliceRef.Interface(), err
+		}
+
+		sliceRef = reflect.Append(sliceRef, recordRef)
+	}
+
+	return sliceRef.Interface(), rows.Err()
+}
+
+func (s *MarginService) Insert(record interface{}) error {
+	sql := dbCache.InsertSqlOf(record)
+	_, err := s.DB.NamedExec(sql, record)
+	return err
+}
+
+func SelectLastMarginLoans(ex types.ExchangeName, limit uint64) sq.SelectBuilder {
+	return sq.Select("*").
+		From("margin_loans").
+		Where(sq.Eq{"exchange": ex}).
+		OrderBy("time").
+		Limit(limit)
+}
+
+func SelectLastMarginRepays(ex types.ExchangeName, limit uint64) sq.SelectBuilder {
+	return sq.Select("*").
+		From("margin_repays").
+		Where(sq.Eq{"exchange": ex}).
+		OrderBy("time").
+		Limit(limit)
+}
+
+func SelectLastMarginInterests(ex types.ExchangeName, limit uint64) sq.SelectBuilder {
+	return sq.Select("*").
+		From("margin_interests").
+		Where(sq.Eq{"exchange": ex}).
+		OrderBy("time").
+		Limit(limit)
+}
+
+func SelectLastMarginLiquidations(ex types.ExchangeName, limit uint64) sq.SelectBuilder {
+	return sq.Select("*").
+		From("margin_liquidations").
+		Where(sq.Eq{"exchange": ex}).
+		OrderBy("time").
+		Limit(limit)
+}
+
+func lastRecordTime(sel SyncSelect, recordSlice reflect.Value, defaultTime time.Time) time.Time {
+	since := defaultTime
+	length := recordSlice.Len()
+	if length > 0 {
+		since = sel.Time(recordSlice.Index(length - 1))
+	}
+
+	return since
+}
+
+func sortRecords(sel SyncSelect, recordSlice reflect.Value) {
+	// always sort
+	sort.Slice(recordSlice.Interface(), func(i, j int) bool {
+		a := sel.Time(recordSlice.Index(i).Interface())
+		b := sel.Time(recordSlice.Index(j).Interface())
+		return a.Before(b)
+	})
+}
+
+func buildIdMap(sel SyncSelect, recordSliceRef reflect.Value) map[string]struct{} {
+	ids := map[string]struct{}{}
+	for i := 0; i < recordSliceRef.Len(); i++ {
+		entryRef := recordSliceRef.Index(i)
+		id := sel.ID(entryRef.Interface())
+		ids[id] = struct{}{}
+	}
+
+	return ids
+}

pkg/service/margin_test.go

@@ -0,0 +1,47 @@
+package service
+
+import (
+	"context"
+	"testing"
+	"time"
+
+	"github.com/jmoiron/sqlx"
+	"github.com/sirupsen/logrus"
+	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/exchange/binance"
+	"github.com/c9s/bbgo/pkg/testutil"
+)
+
+func TestMarginService(t *testing.T) {
+	key, secret, ok := testutil.IntegrationTestConfigured(t, "BINANCE")
+	if !ok {
+		t.SkipNow()
+		return
+	}
+
+	ex := binance.New(key, secret)
+	ex.MarginSettings.IsMargin = true
+	ex.MarginSettings.IsIsolatedMargin = true
+	ex.MarginSettings.IsolatedMarginSymbol = "DOTUSDT"
+
+	db, err := prepareDB(t)
+	if err != nil {
+		t.Fatal(err)
+	}
+
+	defer db.Close()
+
+	ctx := context.Background()
+
+	logrus.SetLevel(logrus.DebugLevel)
+
+	dbx := sqlx.NewDb(db.DB, "sqlite3")
+	service := &MarginService{DB: dbx}
+	err = service.Sync(ctx, ex, "USDT", time.Date(2022, time.February, 1, 0, 0, 0, 0, time.UTC))
+	assert.NoError(t, err)
+
+	// sync second time to ensure that we can query records
+	err = service.Sync(ctx, ex, "USDT", time.Date(2022, time.February, 1, 0, 0, 0, 0, time.UTC))
+	assert.NoError(t, err)
+}

pkg/service/reflect_test.go

@@ -58,7 +58,7 @@ func Test_fieldsNamesOf(t *testing.T) {
 		{
 			name: "MarginInterest",
 			args: args{record: &types.MarginInterest{}},
-			want: []string{"asset", "principle", "interest", "interest_rate", "isolated_symbol", "time"},
+			want: []string{"exchange", "asset", "principle", "interest", "interest_rate", "isolated_symbol", "time"},
 		},
 	}
 	for _, tt := range tests {

pkg/testutil/auth.go

@@ -0,0 +1,25 @@
+package testutil
+
+import (
+	"os"
+	"regexp"
+	"testing"
+)
+
+func maskSecret(s string) string {
+	re := regexp.MustCompile(`\b(\w{4})\w+\b`)
+	s = re.ReplaceAllString(s, "$1******")
+	return s
+}
+
+func IntegrationTestConfigured(t *testing.T, prefix string) (key, secret string, ok bool) {
+	var hasKey, hasSecret bool
+	key, hasKey = os.LookupEnv(prefix + "_API_KEY")
+	secret, hasSecret = os.LookupEnv(prefix + "_API_SECRET")
+	ok = hasKey && hasSecret && os.Getenv("TEST_"+prefix) == "1"
+	if ok {
+		t.Logf(prefix+" api integration test enabled, key = %s, secret = %s", maskSecret(key), maskSecret(secret))
+	}
+
+	return key, secret, ok
+}

pkg/types/margin.go

@@ -98,7 +98,7 @@ type MarginLiquidation struct {
 	Symbol           string           `json:"symbol" db:"symbol"`
 	TimeInForce      TimeInForce      `json:"timeInForce" db:"time_in_force"`
 	IsIsolated       bool             `json:"isIsolated" db:"is_isolated"`
-	UpdatedTime      Time             `json:"updatedTime" db:"updated_time"`
+	UpdatedTime      Time             `json:"updatedTime" db:"time"`
 }
 
 // MarginHistory provides the service of querying loan history and repay history