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refactor trade loader

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This commit is contained in:
c9s 2020-07-27 00:54:49 +08:00
parent 4a4178286a
commit c5969bf879
1 changed files with 19 additions and 72 deletions
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91
bbgo/exchange/binance/exchange.go
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@ -196,54 +196,31 @@ func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *Trad
}
for _, t := range remoteTrades {
// skip trade ID that is the same. however this should not happen
var side string
if t.IsBuyer {
side = "BUY"
} else {
side = "SELL"
}
// trade time
tt := time.Unix(0, t.Time*1000000)
logrus.Infof("[binance] trade: %d %s % 4s price: % 13s volume: % 11s %6s % 5s %s", t.ID, t.Symbol, side, t.Price, t.Quantity, BuyerOrSellerLabel(t), MakerOrTakerLabel(t), tt)
price, err := strconv.ParseFloat(t.Price, 64)
localTrade, err := convertRemoteTrade(*t)
if err != nil {
return nil, err
logrus.WithError(err).Errorf("can not convert binance trade: %+v", t)
continue
}
quantity, err := strconv.ParseFloat(t.Quantity, 64)
if err != nil {
return nil, err
}
fee, err := strconv.ParseFloat(t.Commission, 64)
if err != nil {
return nil, err
}
trades = append(trades, types.Trade{
ID: t.ID,
Price: price,
Quantity: quantity,
Side: side,
IsBuyer: t.IsBuyer,
IsMaker: t.IsMaker,
Fee: fee,
FeeCurrency: t.CommissionAsset,
Time: tt,
})
logrus.Infof("[binance] trade: %d %s % 4s price: % 13s volume: % 11s %6s % 5s %s", t.ID, t.Symbol, localTrade.Side, t.Price, t.Quantity, BuyerOrSellerLabel(t), MakerOrTakerLabel(t), localTrade.Time)
trades = append(trades, *localTrade)
}
return trades, nil
}
func (e *Exchange) BatchQueryTrades(ctx context.Context, symbol string, startTime time.Time, options *TradeQueryOptions) (trades []types.Trade, err error) {
func (e *Exchange) BatchQueryTrades(ctx context.Context, symbol string, startTime time.Time, options *TradeQueryOptions) (allTrades []types.Trade, err error) {
logrus.Infof("[binance] querying %s trades from %s", symbol, startTime)
var startTime = options.StartTime
var lastTradeID int64 = 0
for {
trades, err := e.QueryTrades(ctx, symbol, &TradeQueryOptions{
StartTime: &startTime,
})
allTrades = append(allTrades, trades...)
req := e.Client.NewListTradesService().
Limit(1000).
Symbol(symbol).
@ -268,44 +245,14 @@ func (e *Exchange) BatchQueryTrades(ctx context.Context, symbol string, startTim
continue
}
var side string
if t.IsBuyer {
side = "BUY"
} else {
side = "SELL"
}
// trade time
tt := time.Unix(0, t.Time*1000000)
logrus.Infof("[binance] trade: %d %s % 4s price: % 13s volume: % 11s %6s % 5s %s", t.ID, t.Symbol, side, t.Price, t.Quantity, BuyerOrSellerLabel(t), MakerOrTakerLabel(t), tt)
price, err := strconv.ParseFloat(t.Price, 64)
localTrade, err := convertRemoteTrade(*t)
if err != nil {
return nil, err
logrus.WithError(err).Errorf("can not convert binance trade: %+v", t)
continue
}
quantity, err := strconv.ParseFloat(t.Quantity, 64)
if err != nil {
return nil, err
}
fee, err := strconv.ParseFloat(t.Commission, 64)
if err != nil {
return nil, err
}
trades = append(trades, types.Trade{
ID: t.ID,
Price: price,
Quantity: quantity,
Side: side,
IsBuyer: t.IsBuyer,
IsMaker: t.IsMaker,
Fee: fee,
FeeCurrency: t.CommissionAsset,
Time: tt,
})
logrus.Infof("[binance] trade: %d %s % 4s price: % 13s volume: % 11s %6s % 5s %s", t.ID, t.Symbol, localTrade.Side, t.Price, t.Quantity, BuyerOrSellerLabel(t), MakerOrTakerLabel(t), localTrade.Time)
trades = append(trades, *localTrade)
lastTradeID = t.ID
}