Merge pull request #1024 from c9s/fix/binance-my-trades-api

fix: binance my trades api
This commit is contained in:
Yo-An Lin 2022-12-09 17:43:40 +08:00 committed by GitHub
commit d3dea2870b
7 changed files with 290 additions and 36 deletions

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@ -27,7 +27,7 @@ jobs:
- uses: actions/checkout@v2
with:
lfs: 'true'
# lfs: 'true'
ssh-key: ${{ secrets.git_ssh_key }}
- uses: actions/cache@v2

2
go.mod
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@ -7,7 +7,7 @@ go 1.17
require (
github.com/DATA-DOG/go-sqlmock v1.5.0
github.com/Masterminds/squirrel v1.5.3
github.com/adshao/go-binance/v2 v2.3.8
github.com/adshao/go-binance/v2 v2.3.10
github.com/c-bata/goptuna v0.8.1
github.com/c9s/requestgen v1.3.0
github.com/c9s/rockhopper v1.2.2-0.20220617053729-ffdc87df194b

2
go.sum
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@ -53,6 +53,8 @@ github.com/adshao/go-binance/v2 v2.3.5 h1:WVYZecm0w8l14YoWlnKZj6xxZT2AKMTHpMQSqI
github.com/adshao/go-binance/v2 v2.3.5/go.mod h1:8Pg/FGTLyAhq8QXA0IkoReKyRpoxJcK3LVujKDAZV/c=
github.com/adshao/go-binance/v2 v2.3.8 h1:9VsAX4jUopnIOlzrvnKUFUf9SWB/nwPgJtUsM2dkj6A=
github.com/adshao/go-binance/v2 v2.3.8/go.mod h1:Z3MCnWI0gHC4Rea8TWiF3aN1t4nV9z3CaU/TeHcKsLM=
github.com/adshao/go-binance/v2 v2.3.10 h1:iWtHD/sQ8GK6r+cSMMdOynpGI/4Q6P5LZtiEHdWOjag=
github.com/adshao/go-binance/v2 v2.3.10/go.mod h1:Z3MCnWI0gHC4Rea8TWiF3aN1t4nV9z3CaU/TeHcKsLM=
github.com/ajstarks/svgo v0.0.0-20180226025133-644b8db467af/go.mod h1:K08gAheRH3/J6wwsYMMT4xOr94bZjxIelGM0+d/wbFw=
github.com/alecthomas/template v0.0.0-20160405071501-a0175ee3bccc/go.mod h1:LOuyumcjzFXgccqObfd/Ljyb9UuFJ6TxHnclSeseNhc=
github.com/alecthomas/template v0.0.0-20190718012654-fb15b899a751/go.mod h1:LOuyumcjzFXgccqObfd/Ljyb9UuFJ6TxHnclSeseNhc=

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@ -0,0 +1,27 @@
package binanceapi
import (
"time"
"github.com/c9s/requestgen"
"github.com/adshao/go-binance/v2"
)
type Trade = binance.TradeV3
//go:generate requestgen -method GET -url "/api/v3/myTrades" -type GetMyTradesRequest -responseType []Trade
type GetMyTradesRequest struct {
client requestgen.AuthenticatedAPIClient
symbol string `param:"symbol"`
orderID *uint64 `param:"orderId"`
startTime *time.Time `param:"startTime,milliseconds"`
endTime *time.Time `param:"endTime,milliseconds"`
fromID *uint64 `param:"fromId"`
limit *uint64 `param:"limit"`
}
func (c *RestClient) NewGetMyTradesRequest() *GetMyTradesRequest {
return &GetMyTradesRequest{client: c}
}

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@ -0,0 +1,218 @@
// Code generated by "requestgen -method GET -url /api/v3/myTrades -type GetMyTradesRequest -responseType []Trade"; DO NOT EDIT.
package binanceapi
import (
"context"
"encoding/json"
"fmt"
"github.com/adshao/go-binance/v2"
"net/url"
"reflect"
"regexp"
"strconv"
"time"
)
func (g *GetMyTradesRequest) Symbol(symbol string) *GetMyTradesRequest {
g.symbol = symbol
return g
}
func (g *GetMyTradesRequest) OrderID(orderID uint64) *GetMyTradesRequest {
g.orderID = &orderID
return g
}
func (g *GetMyTradesRequest) StartTime(startTime time.Time) *GetMyTradesRequest {
g.startTime = &startTime
return g
}
func (g *GetMyTradesRequest) EndTime(endTime time.Time) *GetMyTradesRequest {
g.endTime = &endTime
return g
}
func (g *GetMyTradesRequest) FromID(fromID uint64) *GetMyTradesRequest {
g.fromID = &fromID
return g
}
func (g *GetMyTradesRequest) Limit(limit uint64) *GetMyTradesRequest {
g.limit = &limit
return g
}
// GetQueryParameters builds and checks the query parameters and returns url.Values
func (g *GetMyTradesRequest) GetQueryParameters() (url.Values, error) {
var params = map[string]interface{}{}
query := url.Values{}
for _k, _v := range params {
query.Add(_k, fmt.Sprintf("%v", _v))
}
return query, nil
}
// GetParameters builds and checks the parameters and return the result in a map object
func (g *GetMyTradesRequest) GetParameters() (map[string]interface{}, error) {
var params = map[string]interface{}{}
// check symbol field -> json key symbol
symbol := g.symbol
// assign parameter of symbol
params["symbol"] = symbol
// check orderID field -> json key orderId
if g.orderID != nil {
orderID := *g.orderID
// assign parameter of orderID
params["orderId"] = orderID
} else {
}
// check startTime field -> json key startTime
if g.startTime != nil {
startTime := *g.startTime
// assign parameter of startTime
// convert time.Time to milliseconds time stamp
params["startTime"] = strconv.FormatInt(startTime.UnixNano()/int64(time.Millisecond), 10)
} else {
}
// check endTime field -> json key endTime
if g.endTime != nil {
endTime := *g.endTime
// assign parameter of endTime
// convert time.Time to milliseconds time stamp
params["endTime"] = strconv.FormatInt(endTime.UnixNano()/int64(time.Millisecond), 10)
} else {
}
// check fromID field -> json key fromId
if g.fromID != nil {
fromID := *g.fromID
// assign parameter of fromID
params["fromId"] = fromID
} else {
}
// check limit field -> json key limit
if g.limit != nil {
limit := *g.limit
// assign parameter of limit
params["limit"] = limit
} else {
}
return params, nil
}
// GetParametersQuery converts the parameters from GetParameters into the url.Values format
func (g *GetMyTradesRequest) GetParametersQuery() (url.Values, error) {
query := url.Values{}
params, err := g.GetParameters()
if err != nil {
return query, err
}
for _k, _v := range params {
if g.isVarSlice(_v) {
g.iterateSlice(_v, func(it interface{}) {
query.Add(_k+"[]", fmt.Sprintf("%v", it))
})
} else {
query.Add(_k, fmt.Sprintf("%v", _v))
}
}
return query, nil
}
// GetParametersJSON converts the parameters from GetParameters into the JSON format
func (g *GetMyTradesRequest) GetParametersJSON() ([]byte, error) {
params, err := g.GetParameters()
if err != nil {
return nil, err
}
return json.Marshal(params)
}
// GetSlugParameters builds and checks the slug parameters and return the result in a map object
func (g *GetMyTradesRequest) GetSlugParameters() (map[string]interface{}, error) {
var params = map[string]interface{}{}
return params, nil
}
func (g *GetMyTradesRequest) applySlugsToUrl(url string, slugs map[string]string) string {
for _k, _v := range slugs {
needleRE := regexp.MustCompile(":" + _k + "\\b")
url = needleRE.ReplaceAllString(url, _v)
}
return url
}
func (g *GetMyTradesRequest) iterateSlice(slice interface{}, _f func(it interface{})) {
sliceValue := reflect.ValueOf(slice)
for _i := 0; _i < sliceValue.Len(); _i++ {
it := sliceValue.Index(_i).Interface()
_f(it)
}
}
func (g *GetMyTradesRequest) isVarSlice(_v interface{}) bool {
rt := reflect.TypeOf(_v)
switch rt.Kind() {
case reflect.Slice:
return true
}
return false
}
func (g *GetMyTradesRequest) GetSlugsMap() (map[string]string, error) {
slugs := map[string]string{}
params, err := g.GetSlugParameters()
if err != nil {
return slugs, nil
}
for _k, _v := range params {
slugs[_k] = fmt.Sprintf("%v", _v)
}
return slugs, nil
}
func (g *GetMyTradesRequest) Do(ctx context.Context) ([]binance.TradeV3, error) {
// empty params for GET operation
var params interface{}
query, err := g.GetParametersQuery()
if err != nil {
return nil, err
}
apiURL := "/api/v3/myTrades"
req, err := g.client.NewAuthenticatedRequest(ctx, "GET", apiURL, query, params)
if err != nil {
return nil, err
}
response, err := g.client.SendRequest(req)
if err != nil {
return nil, err
}
var apiResponse []binance.TradeV3
if err := response.DecodeJSON(&apiResponse); err != nil {
return nil, err
}
return apiResponse, nil
}

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@ -1413,22 +1413,23 @@ func (e *Exchange) queryMarginTrades(ctx context.Context, symbol string, options
req.Limit(1000)
}
// BINANCE seems to have an API bug, we can't use both fromId and the start time/end time
// BINANCE uses inclusive last trade ID
if options.LastTradeID > 0 {
req.FromID(int64(options.LastTradeID))
}
if options.StartTime != nil && options.EndTime != nil {
if options.EndTime.Sub(*options.StartTime) < 24*time.Hour {
} else {
if options.StartTime != nil && options.EndTime != nil {
if options.EndTime.Sub(*options.StartTime) < 24*time.Hour {
req.StartTime(options.StartTime.UnixMilli())
req.EndTime(options.EndTime.UnixMilli())
} else {
req.StartTime(options.StartTime.UnixMilli())
}
} else if options.StartTime != nil {
req.StartTime(options.StartTime.UnixMilli())
} else if options.EndTime != nil {
req.EndTime(options.EndTime.UnixMilli())
} else {
req.StartTime(options.StartTime.UnixMilli())
}
} else if options.StartTime != nil {
req.StartTime(options.StartTime.UnixMilli())
} else if options.EndTime != nil {
req.EndTime(options.EndTime.UnixMilli())
}
remoteTrades, err = req.Do(ctx)
@ -1499,40 +1500,40 @@ func (e *Exchange) queryFuturesTrades(ctx context.Context, symbol string, option
}
func (e *Exchange) querySpotTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) (trades []types.Trade, err error) {
var remoteTrades []*binance.TradeV3
req := e.client.NewListTradesService().
Symbol(symbol)
req := e.client2.NewGetMyTradesRequest()
req.Symbol(symbol)
// BINANCE uses inclusive last trade ID
if options.LastTradeID > 0 {
req.FromID(options.LastTradeID)
} else {
if options.StartTime != nil && options.EndTime != nil {
if options.EndTime.Sub(*options.StartTime) < 24*time.Hour {
req.StartTime(*options.StartTime)
req.EndTime(*options.EndTime)
} else {
req.StartTime(*options.StartTime)
}
} else if options.StartTime != nil {
req.StartTime(*options.StartTime)
} else if options.EndTime != nil {
req.EndTime(*options.EndTime)
}
}
if options.Limit > 0 {
req.Limit(int(options.Limit))
req.Limit(uint64(options.Limit))
} else {
req.Limit(1000)
}
// BINANCE uses inclusive last trade ID
if options.LastTradeID > 0 {
req.FromID(int64(options.LastTradeID))
}
if options.StartTime != nil && options.EndTime != nil {
if options.EndTime.Sub(*options.StartTime) < 24*time.Hour {
req.StartTime(options.StartTime.UnixMilli())
req.EndTime(options.EndTime.UnixMilli())
} else {
req.StartTime(options.StartTime.UnixMilli())
}
} else if options.StartTime != nil {
req.StartTime(options.StartTime.UnixMilli())
} else if options.EndTime != nil {
req.EndTime(options.EndTime.UnixMilli())
}
remoteTrades, err = req.Do(ctx)
remoteTrades, err := req.Do(ctx)
if err != nil {
return nil, err
}
for _, t := range remoteTrades {
localTrade, err := toGlobalTrade(*t, e.IsMargin)
localTrade, err := toGlobalTrade(t, e.IsMargin)
if err != nil {
log.WithError(err).Errorf("can not convert binance trade: %+v", t)
continue

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@ -15,6 +15,7 @@ import (
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/types/mocks"
"github.com/c9s/bbgo/pkg/util"
gridmocks "github.com/c9s/bbgo/pkg/strategy/grid2/mocks"
)
@ -816,6 +817,11 @@ func TestStrategy_checkMinimalQuoteInvestment(t *testing.T) {
}
func TestBacktestStrategy(t *testing.T) {
if v, ok := util.GetEnvVarBool("TEST_BACKTEST"); !ok || !v {
t.Skip("backtest flag is required")
return
}
market := types.Market{
BaseCurrency: "BTC",
QuoteCurrency: "USDT",