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FEATURE: make MAX QueryTrades support start_time, end_time

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This commit is contained in:
chiahung 2023-03-14 15:13:34 +08:00
parent ee4388406e
commit e0b445f1c1
1 changed files with 31 additions and 2 deletions
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33
pkg/exchange/max/exchange.go
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@ -780,6 +780,18 @@ func (e *Exchange) QueryDepositHistory(ctx context.Context, asset string, since,
return allDeposits, err
}
// QueryTrades
// For MAX API spec
// start_time and end_time need to be within 3 days
// without any parameters -> return trades within 24 hours
// give start_time or end_time -> ignore parameter from_id
// give start_time or from_id -> order by time asc
// give end_time -> order by time desc
// limit should b1 1~1000
// For this QueryTrades spec (to be compatible with batch.TradeBatchQuery)
// give LastTradeID -> ignore start_time (but still can filter the end_time)
// give only end_time -> start_time will be set as end_time - 3 days
// without any parameters -> return trades within 24 hours
func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) (trades []types.Trade, err error) {
if err := tradeQueryLimiter.Wait(ctx); err != nil {
return nil, err
@ -800,11 +812,24 @@ func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *type
req.Limit(1000)
}
// MAX uses exclusive last trade ID
// the timestamp parameter is used for reverse order, we can't use it.
// If we use start_time as parameter, MAX will ignore from_id.
// However, we want to use from_id as main parameter for batch.TradeBatchQuery
if options.LastTradeID > 0 {
// MAX uses inclusive last trade ID
req.From(options.LastTradeID)
} else {
if options.StartTime != nil {
req.StartTime(*options.StartTime)
} else if options.EndTime != nil {
// if only give end_time, we automatically add start_time within 3 days limit
endTime := *options.EndTime
req.StartTime(endTime.Add(-72 * time.Hour))
req.EndTime(endTime)
}
}
// option's start_time and end_time need to be within 3 days
// so if the start_time and end_time is over 3 days, we only give start_time as parameter and then filter the time > end_time
maxTrades, err := req.Do(ctx)
if err != nil {
@ -812,6 +837,10 @@ func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *type
}
for _, t := range maxTrades {
if options.EndTime != nil && t.CreatedAt.Time().After(*options.EndTime) {
continue
}
localTrades, err := toGlobalTradeV3(t)
if err != nil {
log.WithError(err).Errorf("can not convert trade: %+v", t)