lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-11-26 16:55:15 +00:00
Code Issues Actions Packages Projects Releases Wiki Activity

binance: add futures parser

Browse Source
This commit is contained in:
austin362667 2021-12-28 06:26:27 +08:00
parent f78a7d37a2
commit d691bfa106
2 changed files with 241 additions and 2 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

47
pkg/exchange/binance/parse.go
View File

@ -88,10 +88,10 @@ type ExecutionReportEvent struct {
CurrentOrderStatus string `json:"X"` CurrentOrderStatus string `json:"X"`
OrderID int64 `json:"i"` OrderID int64 `json:"i"`
Ignored int64 `json:"I"` Ignored int64 `json:"I"`
TradeID int64 `json:"t"` TradeID int64 `json:"t"`
TransactionTime int64 `json:"T"` TransactionTime int64 `json:"T"`
LastExecutedQuantity string `json:"l"` LastExecutedQuantity string `json:"l"`
LastExecutedPrice string `json:"L"` LastExecutedPrice string `json:"L"`
@ -264,6 +264,12 @@ func ParseEvent(message string) (interface{}, error) {
return nil, err return nil, err
} }
//res, err := json.MarshalIndent(message, "", " ")
//if err != nil {
// log.Fatal(err)
//}
//str := strings.ReplaceAll(string(res), "\\", "")
//fmt.Println(str)
eventType := string(val.GetStringBytes("e")) eventType := string(val.GetStringBytes("e"))
if eventType == "" && IsBookTicker(val) { if eventType == "" && IsBookTicker(val) {
eventType = "bookticker" eventType = "bookticker"
@ -319,6 +325,18 @@ func ParseEvent(message string) (interface{}, error) {
err := json.Unmarshal([]byte(message), &event) err := json.Unmarshal([]byte(message), &event)
return &event, err return &event, err
// Event: Balance and Position Update
case "ACCOUNT_UPDATE":
var event AccountUpdateEvent
err := json.Unmarshal([]byte(message), &event)
return &event, err
// Event: Order Update
case "ACCOUNT_CONFIG_UPDATE":
var event AccountConfigUpdateEvent
err := json.Unmarshal([]byte(message), &event)
return &event, err
default: default:
id := val.GetInt("id") id := val.GetInt("id")
if id > 0 { if id > 0 {
@ -702,6 +720,31 @@ func (e *OrderTradeUpdateEvent) OrderFutures() (*types.Order, error) {
}, nil }, nil
} }
type AccountUpdate struct {
EventReasonType string `json:"m"`
Balances []*futures.Balance `json:"B,omitempty"`
Positions []*futures.AccountPosition `json:"P,omitempty"`
}
type AccountUpdateEvent struct {
EventBase
Transaction int64 `json:"T"`
AccountUpdate AccountUpdate `json:"a"`
}
type AccountConfig struct {
Symbol string `json:"s"`
Leverage fixedpoint.Value `json:"l"`
}
type AccountConfigUpdateEvent struct {
EventBase
Transaction int64 `json:"T"`
AccountConfig AccountConfig `json:"ac"`
}
type EventBase struct { type EventBase struct {
Event string `json:"e"` // event Event string `json:"e"` // event
Time int64 `json:"E"` Time int64 `json:"E"`

196
pkg/exchange/binance/parse_test.go
View File

@ -212,3 +212,199 @@ func TestParseOrderUpdate(t *testing.T) {
assert.NoError(t, err) assert.NoError(t, err)
assert.NotNil(t, orderUpdate) assert.NotNil(t, orderUpdate)
} }
func TestFuturesResponseParsing(t *testing.T) {
type testcase struct {
input string
}
var testcases = []testcase{
{
input: `{
"e": "ORDER_TRADE_UPDATE",
"T": 1639933384755,
"E": 1639933384763,
"o": {
"s": "BTCUSDT",
"c": "x-NSUYEBKMe60cf610-f5c7-49a4-9c1",
"S": "SELL",
"o": "MARKET",
"f": "GTC",
"q": "0.001",
"p": "0",
"ap": "0",
"sp": "0",
"x": "NEW",
"X": "NEW",
"i": 38541728873,
"l": "0",
"z": "0",
"L": "0",
"T": 1639933384755,
"t": 0,
"b": "0",
"a": "0",
"m": false,
"R": false,
"wt": "CONTRACT_PRICE",
"ot": "MARKET",
"ps": "BOTH",
"cp": false,
"rp": "0",
"pP": false,
"si": 0,
"ss": 0
}
}`,
},
{
input: `{
"e": "ACCOUNT_UPDATE",
"T": 1639933384755,
"E": 1639933384763,
"a": {
"B": [
{
"a": "USDT",
"wb": "86.94966888",
"cw": "86.94966888",
"bc": "0"
}
],
"P": [
{
"s": "BTCUSDT",
"pa": "-0.001",
"ep": "47202.40000",
"cr": "7.78107001",
"up": "-0.00233523",
"mt": "cross",
"iw": "0",
"ps": "BOTH",
"ma": "USDT"
}
],
"m": "ORDER"
}
}`,
},
{
input: `{
"e": "ORDER_TRADE_UPDATE",
"T": 1639933384755,
"E": 1639933384763,
"o": {
"s": "BTCUSDT",
"c": "x-NSUYEBKMe60cf610-f5c7-49a4-9c1",
"S": "SELL",
"o": "MARKET",
"f": "GTC",
"q": "0.001",
"p": "0",
"ap": "47202.40000",
"sp": "0",
"x": "TRADE",
"X": "FILLED",
"i": 38541728873,
"l": "0.001",
"z": "0.001",
"L": "47202.40",
"n": "0.01888095",
"N": "USDT",
"T": 1639933384755,
"t": 1741505949,
"b": "0",
"a": "0",
"m": false,
"R": false,
"wt": "CONTRACT_PRICE",
"ot": "MARKET",
"ps": "BOTH",
"cp": false,
"rp": "0",
"pP": false,
"si": 0,
"ss": 0
}
}`,
},
}
for _, testcase := range testcases {
payload := testcase.input
payload = jsCommentTrimmer.ReplaceAllLiteralString(payload, "")
event, err := ParseEvent(payload)
assert.NoError(t, err)
assert.NotNil(t, event)
}
}
func TestParseOrderFuturesUpdate(t *testing.T) {
payload := `{
"e": "ORDER_TRADE_UPDATE",
"T": 1639933384755,
"E": 1639933384763,
"o": {
"s": "BTCUSDT",
"c": "x-NSUYEBKMe60cf610-f5c7-49a4-9c1",
"S": "SELL",
"o": "MARKET",
"f": "GTC",
"q": "0.001",
"p": "0",
"ap": "47202.40000",
"sp": "0",
"x": "TRADE",
"X": "FILLED",
"i": 38541728873,
"l": "0.001",
"z": "0.001",
"L": "47202.40",
"n": "0.01888095",
"N": "USDT",
"T": 1639933384755,
"t": 1741505949,
"b": "0",
"a": "0",
"m": false,
"R": false,
"wt": "CONTRACT_PRICE",
"ot": "MARKET",
"ps": "BOTH",
"cp": false,
"rp": "0",
"pP": false,
"si": 0,
"ss": 0
}
}`
payload = jsCommentTrimmer.ReplaceAllLiteralString(payload, "")
event, err := ParseEvent(payload)
assert.NoError(t, err)
assert.NotNil(t, event)
orderTradeEvent, ok := event.(*OrderTradeUpdateEvent)
assert.True(t, ok)
assert.NotNil(t, orderTradeEvent)
assert.Equal(t, orderTradeEvent.OrderTrade.Symbol, "BTCUSDT")
assert.Equal(t, orderTradeEvent.OrderTrade.Side, "SELL")
assert.Equal(t, orderTradeEvent.OrderTrade.ClientOrderID, "x-NSUYEBKMe60cf610-f5c7-49a4-9c1")
assert.Equal(t, orderTradeEvent.OrderTrade.OrderType, "MARKET")
assert.Equal(t, orderTradeEvent.Time, int64(1639933384763))
assert.Equal(t, orderTradeEvent.OrderTrade.OrderTradeTime, int64(1639933384755))
assert.Equal(t, orderTradeEvent.OrderTrade.OriginalQuantity, "0.001")
assert.Equal(t, orderTradeEvent.OrderTrade.OrderLastFilledQuantity, "0.001")
assert.Equal(t, orderTradeEvent.OrderTrade.OrderFilledAccumulatedQuantity, "0.001")
assert.Equal(t, orderTradeEvent.OrderTrade.CurrentExecutionType, "TRADE")
assert.Equal(t, orderTradeEvent.OrderTrade.CurrentOrderStatus, "FILLED")
assert.Equal(t, orderTradeEvent.OrderTrade.LastFilledPrice, "47202.40")
assert.Equal(t, orderTradeEvent.OrderTrade.OrderId, int64(38541728873))
assert.Equal(t, orderTradeEvent.OrderTrade.TradeId, int64(1741505949))
orderUpdate, err := orderTradeEvent.OrderFutures()
assert.NoError(t, err)
assert.NotNil(t, orderUpdate)
}