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

feature: integrate binance future types

README.md

@@ -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

migrations/mysql/20211205162043_add_is_futures_column.sql

@@ -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

migrations/sqlite3/20211205162302_add_is_futures_column.sql

@@ -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

pkg/service/order.go

@@ -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) {
+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_isolated = %v", ex, symbol, isMargin, isIsolated)
+	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)
+			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_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)
+			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_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

pkg/service/trade.go

@@ -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) {
+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_isolated = %v", ex, symbol, isMargin, isIsolated)
+	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)
+			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_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
 }

pkg/types/order.go

@@ -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 {

pkg/types/trade.go

@@ -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"`