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Merge pull request #320 from c9s/minor/integrate-binance-future-types

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feature: integrate binance future types
This commit is contained in:
Yo-An Lin 2021-12-08 19:55:31 +08:00 committed by GitHub
commit cf0cdf5b83
7 changed files with 97 additions and 15 deletions
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17
README.md
View File

@ -535,7 +535,7 @@ rockhopper --config rockhopper_sqlite.yaml create --type sql add_pnl_column
rockhopper --config rockhopper_mysql.yaml create --type sql add_pnl_column
```
or
or you can use the util script:
```
bash utils/generate-new-migration.sh add_pnl_column
@ -558,6 +558,21 @@ Then run the following command to compile the migration files into go files:
make migrations
```
If you want to override the DSN and the Driver defined in the YAML config file, you can add some env vars in your dotenv file like this:
```shell
ROCKHOPPER_DRIVER=mysql
ROCKHOPPER_DIALECT=mysql
ROCKHOPPER_DSN="root:123123@unix(/opt/local/var/run/mysql57/mysqld.sock)/bbgo"
```
And then, run:
```shell
dotenv -f .env.local -- rockhopper --config rockhopper_mysql.yaml up
```
### Setup frontend development environment
```sh

18
migrations/mysql/20211205162043_add_is_futures_column.sql Normal file
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@ -0,0 +1,18 @@
-- +up
-- +begin
ALTER TABLE `trades` ADD COLUMN `is_futures` BOOLEAN NOT NULL DEFAULT FALSE;
-- +end
-- +begin
ALTER TABLE `orders` ADD COLUMN `is_futures` BOOLEAN NOT NULL DEFAULT FALSE;
-- +end
-- +down
-- +begin
ALTER TABLE `trades` DROP COLUMN `is_futures`;
-- +end
-- +begin
ALTER TABLE `orders` DROP COLUMN `is_futures`;
-- +end

18
migrations/sqlite3/20211205162302_add_is_futures_column.sql Normal file
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@ -0,0 +1,18 @@
-- +up
-- +begin
ALTER TABLE `trades` ADD COLUMN `is_futures` BOOLEAN NOT NULL DEFAULT FALSE;
-- +end
-- +begin
ALTER TABLE `orders` ADD COLUMN `is_futures` BOOLEAN NOT NULL DEFAULT FALSE;
-- +end
-- +down
-- +begin
ALTER TABLE `trades` RENAME COLUMN `is_futures` TO `is_futures_deleted`;
-- +end
-- +begin
ALTER TABLE `orders` RENAME COLUMN `is_futures` TO `is_futures_deleted`;
-- +end

29
pkg/service/order.go
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@ -20,7 +20,9 @@ type OrderService struct {
func (s *OrderService) Sync(ctx context.Context, exchange types.Exchange, symbol string, startTime time.Time) error {
isMargin := false
isFutures := false
isIsolated := false
if marginExchange, ok := exchange.(types.MarginExchange); ok {
marginSettings := marginExchange.GetMarginSettings()
isMargin = marginSettings.IsMargin
@ -30,7 +32,17 @@ func (s *OrderService) Sync(ctx context.Context, exchange types.Exchange, symbol
}
}
records, err := s.QueryLast(exchange.Name(), symbol, isMargin, isIsolated, 50)
if futuresExchange, ok := exchange.(types.FuturesExchange); ok {
futuresSettings := futuresExchange.GetFuturesSettings()
isFutures = futuresSettings.IsFutures
isIsolated = futuresSettings.IsIsolatedFutures
if futuresSettings.IsIsolatedFutures {
symbol = futuresSettings.IsolatedFuturesSymbol
}
}
records, err := s.QueryLast(exchange.Name(), symbol, isMargin, isFutures, isIsolated, 50)
if err != nil {
return err
}
@ -78,14 +90,15 @@ func (s *OrderService) Sync(ctx context.Context, exchange types.Exchange, symbol
// QueryLast queries the last order from the database
func (s *OrderService) QueryLast(ex types.ExchangeName, symbol string, isMargin, isIsolated bool, limit int) ([]types.Order, error) {
log.Infof("querying last order exchange = %s AND symbol = %s AND is_margin = %v AND is_isolated = %v", ex, symbol, isMargin, isIsolated)
func (s *OrderService) QueryLast(ex types.ExchangeName, symbol string, isMargin, isFutures, isIsolated bool, limit int) ([]types.Order, error) {
log.Infof("querying last order exchange = %s AND symbol = %s AND is_margin = %v AND is_futures = %v AND is_isolated = %v", ex, symbol, isMargin, isFutures, isIsolated)
sql := `SELECT * FROM orders WHERE exchange = :exchange AND symbol = :symbol AND is_margin = :is_margin AND is_isolated = :is_isolated ORDER BY gid DESC LIMIT :limit`
sql := `SELECT * FROM orders WHERE exchange = :exchange AND symbol = :symbol AND is_margin = :is_margin AND is_futures = :is_futures AND is_isolated = :is_isolated ORDER BY gid DESC LIMIT :limit`
rows, err := s.DB.NamedQuery(sql, map[string]interface{}{
"exchange": ex,
"symbol": symbol,
"is_margin": isMargin,
"is_futures": isFutures,
"is_isolated": isIsolated,
"limit": limit,
})
@ -195,15 +208,15 @@ func (s *OrderService) scanRows(rows *sqlx.Rows) (orders []types.Order, err erro
func (s *OrderService) Insert(order types.Order) (err error) {
if s.DB.DriverName() == "mysql" {
_, err = s.DB.NamedExec(`
INSERT INTO orders (exchange, order_id, client_order_id, order_type, status, symbol, price, stop_price, quantity, executed_quantity, side, is_working, time_in_force, created_at, updated_at, is_margin, is_isolated)
VALUES (:exchange, :order_id, :client_order_id, :order_type, :status, :symbol, :price, :stop_price, :quantity, :executed_quantity, :side, :is_working, :time_in_force, :created_at, :updated_at, :is_margin, :is_isolated)
INSERT INTO orders (exchange, order_id, client_order_id, order_type, status, symbol, price, stop_price, quantity, executed_quantity, side, is_working, time_in_force, created_at, updated_at, is_margin, is_futures, is_isolated)
VALUES (:exchange, :order_id, :client_order_id, :order_type, :status, :symbol, :price, :stop_price, :quantity, :executed_quantity, :side, :is_working, :time_in_force, :created_at, :updated_at, :is_margin, :is_futures, :is_isolated)
ON DUPLICATE KEY UPDATE status=:status, executed_quantity=:executed_quantity, is_working=:is_working, updated_at=:updated_at`, order)
return err
}
_, err = s.DB.NamedExec(`
INSERT INTO orders (exchange, order_id, client_order_id, order_type, status, symbol, price, stop_price, quantity, executed_quantity, side, is_working, time_in_force, created_at, updated_at, is_margin, is_isolated)
VALUES (:exchange, :order_id, :client_order_id, :order_type, :status, :symbol, :price, :stop_price, :quantity, :executed_quantity, :side, :is_working, :time_in_force, :created_at, :updated_at, :is_margin, :is_isolated)
INSERT INTO orders (exchange, order_id, client_order_id, order_type, status, symbol, price, stop_price, quantity, executed_quantity, side, is_working, time_in_force, created_at, updated_at, is_margin, is_futures, is_isolated)
VALUES (:exchange, :order_id, :client_order_id, :order_type, :status, :symbol, :price, :stop_price, :quantity, :executed_quantity, :side, :is_working, :time_in_force, :created_at, :updated_at, :is_margin, :is_futures, :is_isolated)
`, order)
return err

25
pkg/service/trade.go
View File

@ -52,7 +52,9 @@ func NewTradeService(db *sqlx.DB) *TradeService {
func (s *TradeService) Sync(ctx context.Context, exchange types.Exchange, symbol string) error {
isMargin := false
isFutures := false
isIsolated := false
if marginExchange, ok := exchange.(types.MarginExchange); ok {
marginSettings := marginExchange.GetMarginSettings()
isMargin = marginSettings.IsMargin
@ -62,8 +64,18 @@ func (s *TradeService) Sync(ctx context.Context, exchange types.Exchange, symbol
}
}
if futuresExchange, ok := exchange.(types.FuturesExchange); ok {
futuresSettings := futuresExchange.GetFuturesSettings()
isFutures = futuresSettings.IsFutures
isIsolated = futuresSettings.IsIsolatedFutures
if futuresSettings.IsIsolatedFutures {
symbol = futuresSettings.IsolatedFuturesSymbol
}
}
// records descending ordered
records, err := s.QueryLast(exchange.Name(), symbol, isMargin, isIsolated, 50)
records, err := s.QueryLast(exchange.Name(), symbol, isMargin, isFutures, isIsolated, 50)
if err != nil {
return err
}
@ -265,14 +277,15 @@ func generateMysqlTradingVolumeQuerySQL(options TradingVolumeQueryOptions) strin
}
// QueryLast queries the last trade from the database
func (s *TradeService) QueryLast(ex types.ExchangeName, symbol string, isMargin, isIsolated bool, limit int) ([]types.Trade, error) {
log.Debugf("querying last trade exchange = %s AND symbol = %s AND is_margin = %v AND is_isolated = %v", ex, symbol, isMargin, isIsolated)
func (s *TradeService) QueryLast(ex types.ExchangeName, symbol string, isMargin, isFutures, isIsolated bool, limit int) ([]types.Trade, error) {
log.Debugf("querying last trade exchange = %s AND symbol = %s AND is_margin = %v AND is_futures = %v AND is_isolated = %v", ex, symbol, isMargin, isFutures, isIsolated)
sql := "SELECT * FROM trades WHERE exchange = :exchange AND symbol = :symbol AND is_margin = :is_margin AND is_isolated = :is_isolated ORDER BY gid DESC LIMIT :limit"
sql := "SELECT * FROM trades WHERE exchange = :exchange AND symbol = :symbol AND is_margin = :is_margin AND is_futures = :is_futures AND is_isolated = :is_isolated ORDER BY gid DESC LIMIT :limit"
rows, err := s.DB.NamedQuery(sql, map[string]interface{}{
"symbol": symbol,
"exchange": ex,
"is_margin": isMargin,
"is_futures": isFutures,
"is_isolated": isIsolated,
"limit": limit,
})
@ -439,8 +452,8 @@ func (s *TradeService) scanRows(rows *sqlx.Rows) (trades []types.Trade, err erro
func (s *TradeService) Insert(trade types.Trade) error {
_, err := s.DB.NamedExec(`
INSERT INTO trades (id, exchange, order_id, symbol, price, quantity, quote_quantity, side, is_buyer, is_maker, fee, fee_currency, traded_at, is_margin, is_isolated)
VALUES (:id, :exchange, :order_id, :symbol, :price, :quantity, :quote_quantity, :side, :is_buyer, :is_maker, :fee, :fee_currency, :traded_at, :is_margin, :is_isolated)`,
INSERT INTO trades (id, exchange, order_id, symbol, price, quantity, quote_quantity, side, is_buyer, is_maker, fee, fee_currency, traded_at, is_margin, is_futures, is_isolated)
VALUES (:id, :exchange, :order_id, :symbol, :price, :quantity, :quote_quantity, :side, :is_buyer, :is_maker, :fee, :fee_currency, :traded_at, :is_margin, :is_futures, :is_isolated)`,
trade)
return err
}

4
pkg/types/order.go
View File

@ -114,6 +114,10 @@ type SubmitOrder struct {
GroupID uint32 `json:"groupID,omitempty"`
MarginSideEffect MarginOrderSideEffectType `json:"marginSideEffect,omitempty"` // AUTO_REPAY = repay, MARGIN_BUY = borrow, defaults to NO_SIDE_EFFECT
// futures order fields
ReduceOnly bool `json:"reduceOnly" db:"reduce_only"`
ClosePosition bool `json:"closePosition" db:"close_position"`
}
func (o *SubmitOrder) String() string {

1
pkg/types/trade.go
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@ -66,6 +66,7 @@ type Trade struct {
FeeCurrency string `json:"feeCurrency" db:"fee_currency"`
IsMargin bool `json:"isMargin" db:"is_margin"`
IsFutures bool `json:"isFutures" db:"is_futures"`
IsIsolated bool `json:"isIsolated" db:"is_isolated"`
StrategyID sql.NullString `json:"strategyID" db:"strategy"`