mirror of
https://github.com/c9s/bbgo.git
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service: implement margin service for syncing margin related data
This commit is contained in:
parent
7601f08786
commit
bf92e28461
3
go.mod
3
go.mod
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@ -52,6 +52,7 @@ require (
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)
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require (
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github.com/Masterminds/squirrel v1.5.3 // indirect
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github.com/beorn7/perks v1.0.1 // indirect
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github.com/bitly/go-simplejson v0.5.0 // indirect
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github.com/boombuler/barcode v1.0.1-0.20190219062509-6c824513bacc // indirect
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@ -75,6 +76,8 @@ require (
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github.com/inconshreveable/mousetrap v1.0.0 // indirect
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github.com/jehiah/go-strftime v0.0.0-20171201141054-1d33003b3869 // indirect
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github.com/json-iterator/go v1.1.11 // indirect
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github.com/lann/builder v0.0.0-20180802200727-47ae307949d0 // indirect
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github.com/lann/ps v0.0.0-20150810152359-62de8c46ede0 // indirect
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github.com/leodido/go-urn v1.2.1 // indirect
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github.com/lestrrat-go/strftime v1.0.0 // indirect
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github.com/lib/pq v1.10.5 // indirect
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6
go.sum
6
go.sum
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@ -39,6 +39,8 @@ github.com/BurntSushi/toml v0.3.1/go.mod h1:xHWCNGjB5oqiDr8zfno3MHue2Ht5sIBksp03
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github.com/BurntSushi/xgb v0.0.0-20160522181843-27f122750802/go.mod h1:IVnqGOEym/WlBOVXweHU+Q+/VP0lqqI8lqeDx9IjBqo=
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github.com/DATA-DOG/go-sqlmock v1.5.0 h1:Shsta01QNfFxHCfpW6YH2STWB0MudeXXEWMr20OEh60=
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github.com/DATA-DOG/go-sqlmock v1.5.0/go.mod h1:f/Ixk793poVmq4qj/V1dPUg2JEAKC73Q5eFN3EC/SaM=
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github.com/Masterminds/squirrel v1.5.3 h1:YPpoceAcxuzIljlr5iWpNKaql7hLeG1KLSrhvdHpkZc=
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github.com/Masterminds/squirrel v1.5.3/go.mod h1:NNaOrjSoIDfDA40n7sr2tPNZRfjzjA400rg+riTZj10=
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github.com/OneOfOne/xxhash v1.2.2/go.mod h1:HSdplMjZKSmBqAxg5vPj2TmRDmfkzw+cTzAElWljhcU=
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github.com/adshao/go-binance/v2 v2.3.5 h1:WVYZecm0w8l14YoWlnKZj6xxZT2AKMTHpMQSqIX1xxA=
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github.com/adshao/go-binance/v2 v2.3.5/go.mod h1:8Pg/FGTLyAhq8QXA0IkoReKyRpoxJcK3LVujKDAZV/c=
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@ -303,6 +305,10 @@ github.com/kr/pretty v0.2.0/go.mod h1:ipq/a2n7PKx3OHsz4KJII5eveXtPO4qwEXGdVfWzfn
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github.com/kr/pty v1.1.1/go.mod h1:pFQYn66WHrOpPYNljwOMqo10TkYh1fy3cYio2l3bCsQ=
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github.com/kr/text v0.1.0 h1:45sCR5RtlFHMR4UwH9sdQ5TC8v0qDQCHnXt+kaKSTVE=
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github.com/kr/text v0.1.0/go.mod h1:4Jbv+DJW3UT/LiOwJeYQe1efqtUx/iVham/4vfdArNI=
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github.com/lann/builder v0.0.0-20180802200727-47ae307949d0 h1:SOEGU9fKiNWd/HOJuq6+3iTQz8KNCLtVX6idSoTLdUw=
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github.com/lann/builder v0.0.0-20180802200727-47ae307949d0/go.mod h1:dXGbAdH5GtBTC4WfIxhKZfyBF/HBFgRZSWwZ9g/He9o=
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github.com/lann/ps v0.0.0-20150810152359-62de8c46ede0 h1:P6pPBnrTSX3DEVR4fDembhRWSsG5rVo6hYhAB/ADZrk=
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github.com/lann/ps v0.0.0-20150810152359-62de8c46ede0/go.mod h1:vmVJ0l/dxyfGW6FmdpVm2joNMFikkuWg0EoCKLGUMNw=
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github.com/leekchan/accounting v0.0.0-20191218023648-17a4ce5f94d4 h1:KZzDAtJ7ZLm0zSWVhN/zgyB8Ksx5H+P9irwbTcJ9FwI=
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github.com/leekchan/accounting v0.0.0-20191218023648-17a4ce5f94d4/go.mod h1:3timm6YPhY3YDaGxl0q3eaflX0eoSx3FXn7ckHe4tO0=
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github.com/leodido/go-urn v1.1.0/go.mod h1:+cyI34gQWZcE1eQU7NVgKkkzdXDQHr1dBMtdAPozLkw=
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@ -3,8 +3,6 @@ CREATE TABLE `margin_interests`
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(
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`gid` BIGINT UNSIGNED NOT NULL AUTO_INCREMENT,
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`transaction_id` BIGINT UNSIGNED NOT NULL,
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`exchange` VARCHAR(24) NOT NULL DEFAULT '',
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`asset` VARCHAR(24) NOT NULL DEFAULT '',
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@ -23,7 +23,7 @@ CREATE TABLE `margin_liquidations`
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`time_in_force` VARCHAR(5) NOT NULL DEFAULT '',
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`updated_time` DATETIME(3) NOT NULL,
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`time` DATETIME(3) NOT NULL,
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PRIMARY KEY (`gid`),
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UNIQUE KEY (`order_id`, `exchange`)
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@ -3,8 +3,6 @@ CREATE TABLE `margin_interests`
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(
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`gid` INTEGER PRIMARY KEY AUTOINCREMENT,
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`transaction_id` INTEGER NOT NULL,
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`exchange` VARCHAR(24) NOT NULL DEFAULT '',
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`asset` VARCHAR(24) NOT NULL DEFAULT '',
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@ -3,13 +3,13 @@ CREATE TABLE `margin_liquidations`
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(
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`gid` INTEGER PRIMARY KEY AUTOINCREMENT,
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`exchange` VARCHAR(24) NOT NULL DEFAULT '',
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`exchange` VARCHAR(24) NOT NULL DEFAULT '',
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`symbol` VARCHAR(24) NOT NULL DEFAULT '',
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`symbol` VARCHAR(24) NOT NULL DEFAULT '',
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`order_id` INTEGER NOT NULL,
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`order_id` INTEGER NOT NULL,
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`is_isolated` BOOL NOT NULL DEFAULT false,
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`is_isolated` BOOL NOT NULL DEFAULT false,
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`average_price` DECIMAL(16, 8) NOT NULL,
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@ -19,11 +19,11 @@ CREATE TABLE `margin_liquidations`
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`executed_quantity` DECIMAL(16, 8) NOT NULL,
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`side` VARCHAR(5) NOT NULL DEFAULT '',
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`side` VARCHAR(5) NOT NULL DEFAULT '',
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`time_in_force` VARCHAR(5) NOT NULL DEFAULT '',
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`time_in_force` VARCHAR(5) NOT NULL DEFAULT '',
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`updated_time` DATETIME(3) NOT NULL
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`time` DATETIME(3) NOT NULL
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);
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-- +down
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36
pkg/exchange/batch/margin_liquidation.go
Normal file
36
pkg/exchange/batch/margin_liquidation.go
Normal file
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@ -0,0 +1,36 @@
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package batch
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import (
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"context"
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"strconv"
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"time"
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"golang.org/x/time/rate"
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"github.com/c9s/bbgo/pkg/types"
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)
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type MarginLiquidationBatchQuery struct {
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types.MarginHistory
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}
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func (e *MarginLiquidationBatchQuery) Query(ctx context.Context, startTime, endTime time.Time) (c chan types.MarginLiquidation, errC chan error) {
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query := &AsyncTimeRangedBatchQuery{
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Type: types.MarginLiquidation{},
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Limiter: rate.NewLimiter(rate.Every(5*time.Second), 2),
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Q: func(startTime, endTime time.Time) (interface{}, error) {
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return e.QueryLiquidationHistory(ctx, &startTime, &endTime)
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},
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T: func(obj interface{}) time.Time {
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return time.Time(obj.(types.MarginLiquidation).UpdatedTime)
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},
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ID: func(obj interface{}) string {
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liquidation := obj.(types.MarginLiquidation)
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return strconv.FormatUint(liquidation.OrderID, 10)
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},
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}
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c = make(chan types.MarginLiquidation, 100)
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errC = query.Query(ctx, c, startTime, endTime)
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return c, errC
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}
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@ -22,7 +22,7 @@ func (e *MarginLoanBatchQuery) Query(ctx context.Context, asset string, startTim
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return e.QueryLoanHistory(ctx, asset, &startTime, &endTime)
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},
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T: func(obj interface{}) time.Time {
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return time.Time(obj.(types.MarginRepay).Time)
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return time.Time(obj.(types.MarginLoan).Time)
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},
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ID: func(obj interface{}) string {
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loan := obj.(types.MarginLoan)
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@ -4,32 +4,15 @@ import (
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"context"
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"log"
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"net/http/httputil"
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"os"
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"regexp"
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"testing"
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"github.com/stretchr/testify/assert"
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"github.com/c9s/bbgo/pkg/testutil"
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)
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func maskSecret(s string) string {
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re := regexp.MustCompile(`\b(\w{4})\w+\b`)
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s = re.ReplaceAllString(s, "$1******")
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return s
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}
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func integrationTestConfigured(t *testing.T, prefix string) (key, secret string, ok bool) {
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var hasKey, hasSecret bool
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key, hasKey = os.LookupEnv(prefix + "_API_KEY")
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secret, hasSecret = os.LookupEnv(prefix + "_API_SECRET")
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ok = hasKey && hasSecret && os.Getenv("TEST_"+prefix) == "1"
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if ok {
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t.Logf(prefix+" api integration test enabled, key = %s, secret = %s", maskSecret(key), maskSecret(secret))
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}
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return key, secret, ok
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}
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func getTestClientOrSkip(t *testing.T) *RestClient {
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key, secret, ok := integrationTestConfigured(t, "BINANCE")
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key, secret, ok := testutil.IntegrationTestConfigured(t, "BINANCE")
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if !ok {
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t.SkipNow()
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return nil
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@ -119,7 +102,7 @@ func TestClient_NewGetMarginInterestRateHistoryRequest(t *testing.T) {
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}
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func TestClient_privateCall(t *testing.T) {
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key, secret, ok := integrationTestConfigured(t, "BINANCE")
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key, secret, ok := testutil.IntegrationTestConfigured(t, "BINANCE")
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if !ok {
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t.SkipNow()
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}
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260
pkg/service/margin.go
Normal file
260
pkg/service/margin.go
Normal file
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@ -0,0 +1,260 @@
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package service
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import (
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"context"
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"fmt"
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"reflect"
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"sort"
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"strconv"
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"time"
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sq "github.com/Masterminds/squirrel"
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"github.com/jmoiron/sqlx"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/exchange/batch"
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"github.com/c9s/bbgo/pkg/types"
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)
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// SyncSelect defines the behaviors for syncing remote records
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type SyncSelect struct {
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Select sq.SelectBuilder
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Type interface{}
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BatchQuery func(ctx context.Context, startTime, endTime time.Time) (interface{}, chan error)
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// ID is a function that returns the unique identity of the object
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ID func(obj interface{}) string
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// Time is a function that returns the time of the object
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Time func(obj interface{}) time.Time
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}
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type MarginService struct {
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DB *sqlx.DB
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}
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func (s *MarginService) Sync(ctx context.Context, ex types.Exchange, asset string, startTime time.Time) error {
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api, ok := ex.(types.MarginHistory)
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if !ok {
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return ErrNotImplemented
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}
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marginExchange, ok := ex.(types.MarginExchange)
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if !ok {
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return fmt.Errorf("%T does not implement margin service", ex)
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}
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marginSettings := marginExchange.GetMarginSettings()
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if !marginSettings.IsMargin {
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return fmt.Errorf("exchange instance %s is not using margin", ex.Name())
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}
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sels := []SyncSelect{
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{
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Select: SelectLastMarginLoans(ex.Name(), 100),
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Type: types.MarginLoan{},
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BatchQuery: func(ctx context.Context, startTime, endTime time.Time) (interface{}, chan error) {
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query := &batch.MarginLoanBatchQuery{
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MarginHistory: api,
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}
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return query.Query(ctx, asset, startTime, endTime)
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},
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ID: func(obj interface{}) string {
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return strconv.FormatUint(obj.(types.MarginLoan).TransactionID, 10)
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},
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},
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{
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Select: SelectLastMarginRepays(ex.Name(), 100),
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Type: types.MarginRepay{},
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BatchQuery: func(ctx context.Context, startTime, endTime time.Time) (interface{}, chan error) {
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query := &batch.MarginRepayBatchQuery{
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MarginHistory: api,
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}
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return query.Query(ctx, asset, startTime, endTime)
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},
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ID: func(obj interface{}) string {
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return strconv.FormatUint(obj.(types.MarginRepay).TransactionID, 10)
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},
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},
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{
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Select: SelectLastMarginInterests(ex.Name(), 100),
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Type: types.MarginInterest{},
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BatchQuery: func(ctx context.Context, startTime, endTime time.Time) (interface{}, chan error) {
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query := &batch.MarginInterestBatchQuery{
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MarginHistory: api,
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}
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return query.Query(ctx, asset, startTime, endTime)
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},
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ID: func(obj interface{}) string {
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m := obj.(types.MarginInterest)
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return m.Asset + m.IsolatedSymbol + strconv.FormatInt(m.Time.UnixMilli(), 10)
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},
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},
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}
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NextQuery:
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for _, sel := range sels {
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// query from db
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recordSlice, err := s.executeDbQuery(ctx, sel.Select, sel.Type)
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if err != nil {
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return err
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}
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recordSliceRef := reflect.ValueOf(recordSlice)
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if recordSliceRef.Kind() == reflect.Ptr {
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recordSliceRef = recordSliceRef.Elem()
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}
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logrus.Debugf("loaded %d records", recordSliceRef.Len())
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ids := buildIdMap(sel, recordSliceRef)
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sortRecords(sel, recordSliceRef)
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// default since time point
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since := lastRecordTime(sel, recordSliceRef, startTime)
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// asset "" means all assets
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dataC, errC := sel.BatchQuery(ctx, since, time.Now())
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dataCRef := reflect.ValueOf(dataC)
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for {
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select {
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case <-ctx.Done():
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return nil
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case err := <-errC:
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return err
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default:
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v, ok := dataCRef.Recv()
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if !ok {
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err := <-errC
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if err != nil {
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return err
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}
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// closed chan, skip to next query
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continue NextQuery
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}
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obj := v.Interface()
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id := sel.ID(obj)
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if _, exists := ids[id]; exists {
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continue
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}
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logrus.Debugf("inserting %T: %+v", obj, obj)
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if err := s.Insert(obj); err != nil {
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return err
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}
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}
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}
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}
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return nil
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}
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func (s *MarginService) executeDbQuery(ctx context.Context, sel sq.SelectBuilder, tpe interface{}) (interface{}, error) {
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sql, args, err := sel.ToSql()
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if err != nil {
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return nil, err
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}
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rows, err := s.DB.QueryxContext(ctx, sql, args...)
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if err != nil {
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return nil, err
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}
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defer rows.Close()
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return s.scanRows(rows, tpe)
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}
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func (s *MarginService) scanRows(rows *sqlx.Rows, tpe interface{}) (interface{}, error) {
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refType := reflect.TypeOf(tpe)
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if refType.Kind() == reflect.Ptr {
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refType = refType.Elem()
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}
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sliceRef := reflect.New(reflect.SliceOf(refType))
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for rows.Next() {
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var recordRef = reflect.New(refType)
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var record = recordRef.Interface()
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if err := rows.StructScan(&record); err != nil {
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return sliceRef.Interface(), err
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}
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sliceRef = reflect.Append(sliceRef, recordRef)
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}
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return sliceRef.Interface(), rows.Err()
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}
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func (s *MarginService) Insert(record interface{}) error {
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sql := dbCache.InsertSqlOf(record)
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_, err := s.DB.NamedExec(sql, record)
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return err
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}
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func SelectLastMarginLoans(ex types.ExchangeName, limit uint64) sq.SelectBuilder {
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return sq.Select("*").
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From("margin_loans").
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Where(sq.Eq{"exchange": ex}).
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OrderBy("time").
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Limit(limit)
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}
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func SelectLastMarginRepays(ex types.ExchangeName, limit uint64) sq.SelectBuilder {
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return sq.Select("*").
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From("margin_repays").
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Where(sq.Eq{"exchange": ex}).
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OrderBy("time").
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Limit(limit)
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}
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func SelectLastMarginInterests(ex types.ExchangeName, limit uint64) sq.SelectBuilder {
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return sq.Select("*").
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From("margin_interests").
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Where(sq.Eq{"exchange": ex}).
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OrderBy("time").
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Limit(limit)
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}
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func SelectLastMarginLiquidations(ex types.ExchangeName, limit uint64) sq.SelectBuilder {
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return sq.Select("*").
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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
|
||||
}
|
47
pkg/service/margin_test.go
Normal file
47
pkg/service/margin_test.go
Normal file
|
@ -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)
|
||||
}
|
|
@ -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 {
|
||||
|
|
25
pkg/testutil/auth.go
Normal file
25
pkg/testutil/auth.go
Normal file
|
@ -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
|
||||
}
|
|
@ -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
|
||||
|
|
Loading…
Reference in New Issue
Block a user