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refactor binance exchange factory

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This commit is contained in:
c9s 2020-07-11 13:08:50 +08:00
parent 0ae851a085
commit ce89835a7d
10 changed files with 78 additions and 96 deletions
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40
bbgo/event.go
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@ -1,40 +0,0 @@
package bbgo
/*
kline
{
"e": "kline", // KLineEvent type
"E": 123456789, // KLineEvent time
"s": "BNBBTC", // Symbol
"k": {
"t": 123400000, // Kline start time
"T": 123460000, // Kline close time
"s": "BNBBTC", // Symbol
"i": "1m", // Interval
"f": 100, // First trade ID
"L": 200, // Last trade ID
"o": "0.0010", // Open price
"c": "0.0020", // Close price
"h": "0.0025", // High price
"l": "0.0015", // Low price
"v": "1000", // Base asset volume
"n": 100, // Number of trades
"x": false, // Is this kline closed?
"q": "1.0000", // Quote asset volume
"V": "500", // Taker buy base asset volume
"Q": "0.500", // Taker buy quote asset volume
"B": "123456" // Ignore
}
}
*/
type EventBase struct {
Event string `json:"e"` // event
Time int64 `json:"E"`
}

12
bbgo/kline.go
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@ -1,12 +0,0 @@
package bbgo
import (
"github.com/c9s/bbgo/pkg/types"
)
type KLineEvent struct {
EventBase
Symbol string `json:"s"`
KLine *types.KLine `json:"k,omitempty"`
}

5
bbgo/kline_detector.go
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@ -4,6 +4,7 @@ import (
"fmt"
"github.com/adshao/go-binance"
"github.com/c9s/bbgo/pkg/bbgo/types"
binance2 "github.com/c9s/bbgo/pkg/exchange/binance"
"github.com/c9s/bbgo/pkg/util"
"github.com/slack-go/slack"
"math"
@ -124,7 +125,7 @@ func (d *KLineDetector) String() string {
return name
}
func (d *KLineDetector) NewOrder(e *KLineEvent, tradingCtx *TradingContext) *Order {
func (d *KLineDetector) NewOrder(e *binance2.KLineEvent, tradingCtx *TradingContext) *Order {
var kline types.KLineOrWindow = e.KLine
if d.EnableLookBack {
klineWindow := tradingCtx.KLineWindows[e.KLine.Interval]
@ -151,7 +152,7 @@ func (d *KLineDetector) NewOrder(e *KLineEvent, tradingCtx *TradingContext) *Ord
}
}
func (d *KLineDetector) Detect(e *KLineEvent, tradingCtx *TradingContext) (reason string, kline types.KLineOrWindow, ok bool) {
func (d *KLineDetector) Detect(e *binance2.KLineEvent, tradingCtx *TradingContext) (reason string, kline types.KLineOrWindow, ok bool) {
kline = e.KLine
// if the 3m trend is drop, do not buy, let 5m window handle it.

10
bbgo/parse.go
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@ -1,12 +1,2 @@
package bbgo
import "strconv"
func MustParseFloat(s string) float64 {
v, err := strconv.ParseFloat(s, 64)
if err != nil {
panic(err)
}
return v
}

2
bbgo/parser.go
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@ -1,2 +0,0 @@
package bbgo

17
bbgo/pnl.go
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@ -7,23 +7,6 @@ import (
"time"
)
func CalculateAverageCost(trades []types.Trade) (averageCost float64) {
var totalCost = 0.0
var totalQuantity = 0.0
for _, t := range trades {
if t.IsBuyer {
totalCost += t.Price * t.Volume
totalQuantity += t.Volume
} else {
totalCost -= t.Price * t.Volume
totalQuantity -= t.Volume
}
}
averageCost = totalCost / totalQuantity
return
}
type ProfitAndLossCalculator struct {
Symbol string
StartTime time.Time

10
exchange/binance/exchange.go
View File

@ -5,6 +5,7 @@ import (
"github.com/adshao/go-binance"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
"github.com/sirupsen/logrus"
"strconv"
"time"
@ -14,13 +15,20 @@ type Exchange struct {
Client *binance.Client
}
func NewExchange(key, secret string) *Exchange {
var client = binance.NewClient(key, secret)
return &Exchange{
Client: client,
}
}
func (e *Exchange) QueryAveragePrice(ctx context.Context, symbol string) (float64, error) {
resp, err := e.Client.NewAveragePriceService().Symbol(symbol).Do(ctx)
if err != nil {
return 0, err
}
return bbgo.MustParseFloat(resp.Price), nil
return util.MustParseFloat(resp.Price), nil
}
func (e *Exchange) NewPrivateStream(ctx context.Context) (*PrivateStream, error) {

61
exchange/binance/parse.go
View File

@ -4,8 +4,8 @@ import (
"encoding/json"
"errors"
"fmt"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
"github.com/valyala/fastjson"
"time"
)
@ -50,7 +50,7 @@ executionReport
}
*/
type ExecutionReportEvent struct {
bbgo.EventBase
EventBase
Symbol string `json:"s"`
ClientOrderID string `json:"c"`
@ -92,12 +92,12 @@ func (e *ExecutionReportEvent) Trade() (*types.Trade, error) {
return &types.Trade{
ID: e.TradeID,
Symbol: e.Symbol,
Price: bbgo.MustParseFloat(e.LastExecutedPrice),
Volume: bbgo.MustParseFloat(e.LastExecutedQuantity),
Price: util.MustParseFloat(e.LastExecutedPrice),
Volume: util.MustParseFloat(e.LastExecutedQuantity),
IsBuyer: e.Side == "BUY",
IsMaker: e.IsMaker,
Time: tt,
Fee: bbgo.MustParseFloat(e.CommissionAmount),
Fee: util.MustParseFloat(e.CommissionAmount),
FeeCurrency: e.CommissionAsset,
}, nil
}
@ -114,7 +114,7 @@ balanceUpdate
}
*/
type BalanceUpdateEvent struct {
bbgo.EventBase
EventBase
Asset string `json:"a"`
Delta string `json:"d"`
@ -176,7 +176,7 @@ type Balance struct {
}
type OutboundAccountInfoEvent struct {
bbgo.EventBase
EventBase
MakerCommissionRate int `json:"m"`
TakerCommissionRate int `json:"t"`
@ -208,7 +208,7 @@ func ParseEvent(message string) (interface{}, error) {
switch eventType {
case "kline":
var event bbgo.KLineEvent
var event KLineEvent
err := json.Unmarshal([]byte(message), &event)
return &event, err
@ -236,3 +236,48 @@ func ParseEvent(message string) (interface{}, error) {
return nil, fmt.Errorf("unsupported message: %s", message)
}
type KLineEvent struct {
EventBase
Symbol string `json:"s"`
KLine *types.KLine `json:"k,omitempty"`
}
/*
kline
{
"e": "kline", // KLineEvent type
"E": 123456789, // KLineEvent time
"s": "BNBBTC", // Symbol
"k": {
"t": 123400000, // Kline start time
"T": 123460000, // Kline close time
"s": "BNBBTC", // Symbol
"i": "1m", // Interval
"f": 100, // First trade ID
"L": 200, // Last trade ID
"o": "0.0010", // Open price
"c": "0.0020", // Close price
"h": "0.0025", // High price
"l": "0.0015", // Low price
"v": "1000", // Base asset volume
"n": 100, // Number of trades
"x": false, // Is this kline closed?
"q": "1.0000", // Quote asset volume
"V": "500", // Taker buy base asset volume
"Q": "0.500", // Taker buy quote asset volume
"B": "123456" // Ignore
}
}
*/
type EventBase struct {
Event string `json:"e"` // event
Time int64 `json:"E"`
}

8
types/kline.go
View File

@ -59,19 +59,19 @@ func (k KLine) GetTrend() int {
}
func (k KLine) GetHigh() float64 {
return bbgo.MustParseFloat(k.High)
return util.MustParseFloat(k.High)
}
func (k KLine) GetLow() float64 {
return bbgo.MustParseFloat(k.Low)
return util.MustParseFloat(k.Low)
}
func (k KLine) GetOpen() float64 {
return bbgo.MustParseFloat(k.Open)
return util.MustParseFloat(k.Open)
}
func (k KLine) GetClose() float64 {
return bbgo.MustParseFloat(k.Close)
return util.MustParseFloat(k.Close)
}
func (k KLine) GetMaxChange() float64 {

9
util/math.go
View File

@ -20,3 +20,12 @@ func Pow10(n int64) int64 {
func FormatFloat(val float64, prec int) string {
return strconv.FormatFloat(val, 'f', prec, 64)
}
func MustParseFloat(s string) float64 {
v, err := strconv.ParseFloat(s, 64)
if err != nil {
panic(err)
}
return v
}