mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
Merge pull request #1024 from c9s/fix/binance-my-trades-api
fix: binance my trades api
This commit is contained in:
commit
d3dea2870b
2
.github/workflows/go.yml
vendored
2
.github/workflows/go.yml
vendored
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@ -27,7 +27,7 @@ jobs:
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- uses: actions/checkout@v2
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with:
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lfs: 'true'
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# lfs: 'true'
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ssh-key: ${{ secrets.git_ssh_key }}
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- uses: actions/cache@v2
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2
go.mod
2
go.mod
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@ -7,7 +7,7 @@ go 1.17
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require (
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github.com/DATA-DOG/go-sqlmock v1.5.0
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github.com/Masterminds/squirrel v1.5.3
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github.com/adshao/go-binance/v2 v2.3.8
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github.com/adshao/go-binance/v2 v2.3.10
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github.com/c-bata/goptuna v0.8.1
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github.com/c9s/requestgen v1.3.0
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github.com/c9s/rockhopper v1.2.2-0.20220617053729-ffdc87df194b
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2
go.sum
2
go.sum
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@ -53,6 +53,8 @@ github.com/adshao/go-binance/v2 v2.3.5 h1:WVYZecm0w8l14YoWlnKZj6xxZT2AKMTHpMQSqI
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github.com/adshao/go-binance/v2 v2.3.5/go.mod h1:8Pg/FGTLyAhq8QXA0IkoReKyRpoxJcK3LVujKDAZV/c=
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github.com/adshao/go-binance/v2 v2.3.8 h1:9VsAX4jUopnIOlzrvnKUFUf9SWB/nwPgJtUsM2dkj6A=
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github.com/adshao/go-binance/v2 v2.3.8/go.mod h1:Z3MCnWI0gHC4Rea8TWiF3aN1t4nV9z3CaU/TeHcKsLM=
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github.com/adshao/go-binance/v2 v2.3.10 h1:iWtHD/sQ8GK6r+cSMMdOynpGI/4Q6P5LZtiEHdWOjag=
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github.com/adshao/go-binance/v2 v2.3.10/go.mod h1:Z3MCnWI0gHC4Rea8TWiF3aN1t4nV9z3CaU/TeHcKsLM=
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github.com/ajstarks/svgo v0.0.0-20180226025133-644b8db467af/go.mod h1:K08gAheRH3/J6wwsYMMT4xOr94bZjxIelGM0+d/wbFw=
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github.com/alecthomas/template v0.0.0-20160405071501-a0175ee3bccc/go.mod h1:LOuyumcjzFXgccqObfd/Ljyb9UuFJ6TxHnclSeseNhc=
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github.com/alecthomas/template v0.0.0-20190718012654-fb15b899a751/go.mod h1:LOuyumcjzFXgccqObfd/Ljyb9UuFJ6TxHnclSeseNhc=
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27
pkg/exchange/binance/binanceapi/get_my_trades_request.go
Normal file
27
pkg/exchange/binance/binanceapi/get_my_trades_request.go
Normal file
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@ -0,0 +1,27 @@
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package binanceapi
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import (
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"time"
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"github.com/c9s/requestgen"
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"github.com/adshao/go-binance/v2"
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)
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type Trade = binance.TradeV3
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//go:generate requestgen -method GET -url "/api/v3/myTrades" -type GetMyTradesRequest -responseType []Trade
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type GetMyTradesRequest struct {
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client requestgen.AuthenticatedAPIClient
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symbol string `param:"symbol"`
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orderID *uint64 `param:"orderId"`
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startTime *time.Time `param:"startTime,milliseconds"`
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endTime *time.Time `param:"endTime,milliseconds"`
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fromID *uint64 `param:"fromId"`
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limit *uint64 `param:"limit"`
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}
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func (c *RestClient) NewGetMyTradesRequest() *GetMyTradesRequest {
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return &GetMyTradesRequest{client: c}
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}
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@ -0,0 +1,218 @@
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// Code generated by "requestgen -method GET -url /api/v3/myTrades -type GetMyTradesRequest -responseType []Trade"; DO NOT EDIT.
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package binanceapi
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import (
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"context"
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"encoding/json"
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"fmt"
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"github.com/adshao/go-binance/v2"
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"net/url"
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"reflect"
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"regexp"
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"strconv"
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"time"
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)
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func (g *GetMyTradesRequest) Symbol(symbol string) *GetMyTradesRequest {
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g.symbol = symbol
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return g
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}
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func (g *GetMyTradesRequest) OrderID(orderID uint64) *GetMyTradesRequest {
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g.orderID = &orderID
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return g
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}
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func (g *GetMyTradesRequest) StartTime(startTime time.Time) *GetMyTradesRequest {
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g.startTime = &startTime
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return g
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}
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func (g *GetMyTradesRequest) EndTime(endTime time.Time) *GetMyTradesRequest {
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g.endTime = &endTime
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return g
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}
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func (g *GetMyTradesRequest) FromID(fromID uint64) *GetMyTradesRequest {
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g.fromID = &fromID
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return g
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}
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func (g *GetMyTradesRequest) Limit(limit uint64) *GetMyTradesRequest {
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g.limit = &limit
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return g
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}
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// GetQueryParameters builds and checks the query parameters and returns url.Values
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func (g *GetMyTradesRequest) GetQueryParameters() (url.Values, error) {
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var params = map[string]interface{}{}
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query := url.Values{}
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for _k, _v := range params {
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query.Add(_k, fmt.Sprintf("%v", _v))
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}
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return query, nil
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}
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// GetParameters builds and checks the parameters and return the result in a map object
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func (g *GetMyTradesRequest) GetParameters() (map[string]interface{}, error) {
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var params = map[string]interface{}{}
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// check symbol field -> json key symbol
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symbol := g.symbol
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// assign parameter of symbol
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params["symbol"] = symbol
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// check orderID field -> json key orderId
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if g.orderID != nil {
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orderID := *g.orderID
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// assign parameter of orderID
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params["orderId"] = orderID
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} else {
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}
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// check startTime field -> json key startTime
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if g.startTime != nil {
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startTime := *g.startTime
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// assign parameter of startTime
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// convert time.Time to milliseconds time stamp
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params["startTime"] = strconv.FormatInt(startTime.UnixNano()/int64(time.Millisecond), 10)
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} else {
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}
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// check endTime field -> json key endTime
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if g.endTime != nil {
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endTime := *g.endTime
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// assign parameter of endTime
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// convert time.Time to milliseconds time stamp
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params["endTime"] = strconv.FormatInt(endTime.UnixNano()/int64(time.Millisecond), 10)
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} else {
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}
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// check fromID field -> json key fromId
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if g.fromID != nil {
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fromID := *g.fromID
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// assign parameter of fromID
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params["fromId"] = fromID
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} else {
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}
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// check limit field -> json key limit
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if g.limit != nil {
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limit := *g.limit
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// assign parameter of limit
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params["limit"] = limit
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} else {
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}
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return params, nil
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}
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// GetParametersQuery converts the parameters from GetParameters into the url.Values format
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func (g *GetMyTradesRequest) GetParametersQuery() (url.Values, error) {
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query := url.Values{}
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params, err := g.GetParameters()
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if err != nil {
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return query, err
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}
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for _k, _v := range params {
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if g.isVarSlice(_v) {
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g.iterateSlice(_v, func(it interface{}) {
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query.Add(_k+"[]", fmt.Sprintf("%v", it))
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})
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} else {
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query.Add(_k, fmt.Sprintf("%v", _v))
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}
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}
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return query, nil
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}
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// GetParametersJSON converts the parameters from GetParameters into the JSON format
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func (g *GetMyTradesRequest) GetParametersJSON() ([]byte, error) {
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params, err := g.GetParameters()
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if err != nil {
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return nil, err
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}
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return json.Marshal(params)
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}
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// GetSlugParameters builds and checks the slug parameters and return the result in a map object
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func (g *GetMyTradesRequest) GetSlugParameters() (map[string]interface{}, error) {
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var params = map[string]interface{}{}
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return params, nil
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}
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func (g *GetMyTradesRequest) applySlugsToUrl(url string, slugs map[string]string) string {
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for _k, _v := range slugs {
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needleRE := regexp.MustCompile(":" + _k + "\\b")
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url = needleRE.ReplaceAllString(url, _v)
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}
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return url
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}
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func (g *GetMyTradesRequest) iterateSlice(slice interface{}, _f func(it interface{})) {
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sliceValue := reflect.ValueOf(slice)
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for _i := 0; _i < sliceValue.Len(); _i++ {
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it := sliceValue.Index(_i).Interface()
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_f(it)
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}
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}
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func (g *GetMyTradesRequest) isVarSlice(_v interface{}) bool {
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rt := reflect.TypeOf(_v)
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switch rt.Kind() {
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case reflect.Slice:
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return true
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}
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return false
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}
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func (g *GetMyTradesRequest) GetSlugsMap() (map[string]string, error) {
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slugs := map[string]string{}
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params, err := g.GetSlugParameters()
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if err != nil {
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return slugs, nil
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}
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for _k, _v := range params {
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slugs[_k] = fmt.Sprintf("%v", _v)
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}
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return slugs, nil
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}
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func (g *GetMyTradesRequest) Do(ctx context.Context) ([]binance.TradeV3, error) {
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// empty params for GET operation
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var params interface{}
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query, err := g.GetParametersQuery()
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if err != nil {
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return nil, err
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}
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apiURL := "/api/v3/myTrades"
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req, err := g.client.NewAuthenticatedRequest(ctx, "GET", apiURL, query, params)
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if err != nil {
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return nil, err
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}
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response, err := g.client.SendRequest(req)
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if err != nil {
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return nil, err
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}
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var apiResponse []binance.TradeV3
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if err := response.DecodeJSON(&apiResponse); err != nil {
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return nil, err
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}
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return apiResponse, nil
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}
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@ -1413,22 +1413,23 @@ func (e *Exchange) queryMarginTrades(ctx context.Context, symbol string, options
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req.Limit(1000)
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}
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// BINANCE seems to have an API bug, we can't use both fromId and the start time/end time
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// BINANCE uses inclusive last trade ID
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if options.LastTradeID > 0 {
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req.FromID(int64(options.LastTradeID))
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}
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if options.StartTime != nil && options.EndTime != nil {
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if options.EndTime.Sub(*options.StartTime) < 24*time.Hour {
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} else {
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if options.StartTime != nil && options.EndTime != nil {
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if options.EndTime.Sub(*options.StartTime) < 24*time.Hour {
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req.StartTime(options.StartTime.UnixMilli())
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req.EndTime(options.EndTime.UnixMilli())
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} else {
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req.StartTime(options.StartTime.UnixMilli())
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}
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} else if options.StartTime != nil {
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req.StartTime(options.StartTime.UnixMilli())
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} else if options.EndTime != nil {
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req.EndTime(options.EndTime.UnixMilli())
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} else {
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req.StartTime(options.StartTime.UnixMilli())
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}
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} else if options.StartTime != nil {
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req.StartTime(options.StartTime.UnixMilli())
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} else if options.EndTime != nil {
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req.EndTime(options.EndTime.UnixMilli())
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}
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remoteTrades, err = req.Do(ctx)
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@ -1499,40 +1500,40 @@ func (e *Exchange) queryFuturesTrades(ctx context.Context, symbol string, option
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}
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func (e *Exchange) querySpotTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) (trades []types.Trade, err error) {
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var remoteTrades []*binance.TradeV3
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req := e.client.NewListTradesService().
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Symbol(symbol)
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req := e.client2.NewGetMyTradesRequest()
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req.Symbol(symbol)
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// BINANCE uses inclusive last trade ID
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if options.LastTradeID > 0 {
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req.FromID(options.LastTradeID)
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} else {
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if options.StartTime != nil && options.EndTime != nil {
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if options.EndTime.Sub(*options.StartTime) < 24*time.Hour {
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req.StartTime(*options.StartTime)
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req.EndTime(*options.EndTime)
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} else {
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req.StartTime(*options.StartTime)
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}
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} else if options.StartTime != nil {
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req.StartTime(*options.StartTime)
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} else if options.EndTime != nil {
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req.EndTime(*options.EndTime)
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}
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}
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if options.Limit > 0 {
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req.Limit(int(options.Limit))
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req.Limit(uint64(options.Limit))
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} else {
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req.Limit(1000)
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}
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// BINANCE uses inclusive last trade ID
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if options.LastTradeID > 0 {
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req.FromID(int64(options.LastTradeID))
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}
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if options.StartTime != nil && options.EndTime != nil {
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if options.EndTime.Sub(*options.StartTime) < 24*time.Hour {
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req.StartTime(options.StartTime.UnixMilli())
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req.EndTime(options.EndTime.UnixMilli())
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} else {
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req.StartTime(options.StartTime.UnixMilli())
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}
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} else if options.StartTime != nil {
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req.StartTime(options.StartTime.UnixMilli())
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} else if options.EndTime != nil {
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req.EndTime(options.EndTime.UnixMilli())
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}
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remoteTrades, err = req.Do(ctx)
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remoteTrades, err := req.Do(ctx)
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if err != nil {
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return nil, err
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}
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for _, t := range remoteTrades {
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localTrade, err := toGlobalTrade(*t, e.IsMargin)
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localTrade, err := toGlobalTrade(t, e.IsMargin)
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if err != nil {
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log.WithError(err).Errorf("can not convert binance trade: %+v", t)
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continue
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|
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|
@ -15,6 +15,7 @@ import (
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/types/mocks"
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"github.com/c9s/bbgo/pkg/util"
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gridmocks "github.com/c9s/bbgo/pkg/strategy/grid2/mocks"
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)
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|
@ -816,6 +817,11 @@ func TestStrategy_checkMinimalQuoteInvestment(t *testing.T) {
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}
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func TestBacktestStrategy(t *testing.T) {
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if v, ok := util.GetEnvVarBool("TEST_BACKTEST"); !ok || !v {
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t.Skip("backtest flag is required")
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return
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}
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market := types.Market{
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BaseCurrency: "BTC",
|
||||
QuoteCurrency: "USDT",
|
||||
|
|
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