refactor binance exchange factory

bbgo/event.go

@@ -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"`
-}
-

bbgo/kline.go

@@ -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"`
-}
-

bbgo/kline_detector.go

@@ -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.

bbgo/parse.go

@@ -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
-}
-

bbgo/parser.go

@@ -1,2 +0,0 @@
-package bbgo
-

bbgo/pnl.go

@@ -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

exchange/binance/exchange.go

@@ -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) {

exchange/binance/parse.go

@@ -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),
+		Price:       util.MustParseFloat(e.LastExecutedPrice),
-		Volume:      bbgo.MustParseFloat(e.LastExecutedQuantity),
+		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"`
+}
+

types/kline.go

@@ -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 {

util/math.go

@@ -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
+}
+