mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
Merge pull request #150 from c9s/fix/pnl
feature: add deposit service and withdraw service for sync
This commit is contained in:
commit
e0d7fefbf2
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@ -10,6 +10,7 @@ services:
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before_install:
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- mysql -e 'CREATE DATABASE bbgo;'
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- mysql -e 'CREATE DATABASE bbgo_dev;'
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install:
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- go get github.com/c9s/rockhopper/cmd/rockhopper
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@ -341,6 +341,7 @@ for lorca
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make embed && go run -tags web ./cmd/bbgo-lorca
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```
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## Support
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### By contributing pull requests
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28
migrations/mysql/20210301140656_add_withdraws_table.sql
Normal file
28
migrations/mysql/20210301140656_add_withdraws_table.sql
Normal file
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@ -0,0 +1,28 @@
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-- +up
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-- +begin
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CREATE TABLE `withdraws`
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(
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`gid` BIGINT UNSIGNED NOT NULL AUTO_INCREMENT,
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`exchange` VARCHAR(24) NOT NULL DEFAULT '',
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-- asset is the asset name (currency)
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`asset` VARCHAR(10) NOT NULL,
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`address` VARCHAR(128) NOT NULL,
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`network` VARCHAR(32) NOT NULL DEFAULT '',
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`amount` DECIMAL(16, 8) NOT NULL,
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`txn_id` VARCHAR(256) NOT NULL,
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`txn_fee` DECIMAL(16, 8) NOT NULL DEFAULT 0,
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`txn_fee_currency` VARCHAR(32) NOT NULL DEFAULT '',
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`time` DATETIME(3) NOT NULL,
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PRIMARY KEY (`gid`),
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UNIQUE KEY `txn_id` (`exchange`, `txn_id`)
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);
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-- +end
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-- +down
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-- +begin
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DROP TABLE IF EXISTS `withdraws`;
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-- +end
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26
migrations/mysql/20210307201830_add_deposits_table.sql
Normal file
26
migrations/mysql/20210307201830_add_deposits_table.sql
Normal file
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@ -0,0 +1,26 @@
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-- +up
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-- +begin
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CREATE TABLE `deposits`
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(
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`gid` BIGINT UNSIGNED NOT NULL AUTO_INCREMENT,
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`exchange` VARCHAR(24) NOT NULL,
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-- asset is the asset name (currency)
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`asset` VARCHAR(10) NOT NULL,
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`address` VARCHAR(128) NOT NULL DEFAULT '',
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`amount` DECIMAL(16, 8) NOT NULL,
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`txn_id` VARCHAR(256) NOT NULL,
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`time` DATETIME(3) NOT NULL,
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PRIMARY KEY (`gid`),
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UNIQUE KEY `txn_id` (`exchange`, `txn_id`)
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);
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-- +end
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-- +down
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-- +begin
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DROP TABLE IF EXISTS `deposits`;
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-- +end
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36
migrations/sqlite3/20210301140656_add_withdraws_table.sql
Normal file
36
migrations/sqlite3/20210301140656_add_withdraws_table.sql
Normal file
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@ -0,0 +1,36 @@
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-- +up
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-- +begin
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CREATE TABLE `withdraws`
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(
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`gid` INTEGER PRIMARY KEY AUTOINCREMENT,
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`exchange` VARCHAR(24) NOT NULL DEFAULT '',
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-- asset is the asset name (currency)
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`asset` VARCHAR(10) NOT NULL,
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`address` VARCHAR(128) NOT NULL,
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`network` VARCHAR(32) NOT NULL DEFAULT '',
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`amount` DECIMAL(16, 8) NOT NULL,
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`txn_id` VARCHAR(256) NOT NULL,
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`txn_fee` DECIMAL(16, 8) NOT NULL DEFAULT 0,
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`txn_fee_currency` VARCHAR(32) NOT NULL DEFAULT '',
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`time` DATETIME(3) NOT NULL
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);
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-- +end
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-- +begin
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CREATE UNIQUE INDEX `withdraws_txn_id` ON `withdraws` (`exchange`, `txn_id`);
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-- +end
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-- +down
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-- +begin
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DROP INDEX IF EXISTS `withdraws_txn_id`;
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-- +end
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-- +begin
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DROP TABLE IF EXISTS `withdraws`;
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-- +end
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|
31
migrations/sqlite3/20210307201830_add_deposits_table.sql
Normal file
31
migrations/sqlite3/20210307201830_add_deposits_table.sql
Normal file
|
@ -0,0 +1,31 @@
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-- +up
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-- +begin
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CREATE TABLE `deposits`
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(
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`gid` INTEGER PRIMARY KEY AUTOINCREMENT,
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`exchange` VARCHAR(24) NOT NULL,
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-- asset is the asset name (currency)
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`asset` VARCHAR(10) NOT NULL,
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`address` VARCHAR(128) NOT NULL DEFAULT '',
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`amount` DECIMAL(16, 8) NOT NULL,
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`txn_id` VARCHAR(256) NOT NULL,
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`time` DATETIME(3) NOT NULL
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);
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-- +end
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-- +begin
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CREATE UNIQUE INDEX `deposits_txn_id` ON `deposits` (`exchange`, `txn_id`);
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-- +end
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-- +down
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-- +begin
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DROP INDEX IF EXISTS `deposits_txn_id`;
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-- +end
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-- +begin
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DROP TABLE IF EXISTS `deposits`;
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-- +end
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@ -161,9 +161,11 @@ func (environ *Environment) ConfigureDatabaseDriver(ctx context.Context, driver
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environ.RewardService = &service.RewardService{DB: db}
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environ.SyncService = &service.SyncService{
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TradeService: environ.TradeService,
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OrderService: environ.OrderService,
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RewardService: environ.RewardService,
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TradeService: environ.TradeService,
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OrderService: environ.OrderService,
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RewardService: environ.RewardService,
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WithdrawService: &service.WithdrawService{DB: db},
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DepositService: &service.DepositService{DB: db},
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}
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return nil
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@ -2,7 +2,10 @@ package cmd
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import (
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"context"
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"fmt"
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"os"
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"strings"
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"time"
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"github.com/pkg/errors"
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log "github.com/sirupsen/logrus"
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@ -11,14 +14,14 @@ import (
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"github.com/c9s/bbgo/pkg/accounting"
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"github.com/c9s/bbgo/pkg/accounting/pnl"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/cmd/cmdutil"
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"github.com/c9s/bbgo/pkg/service"
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"github.com/c9s/bbgo/pkg/types"
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)
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func init() {
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PnLCmd.Flags().String("exchange", "", "target exchange")
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PnLCmd.Flags().String("symbol", "BTCUSDT", "trading symbol")
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PnLCmd.Flags().String("session", "", "target exchange")
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PnLCmd.Flags().String("symbol", "", "trading symbol")
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PnLCmd.Flags().Bool("include-transfer", false, "convert transfer records into trades")
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PnLCmd.Flags().Int("limit", 500, "number of trades")
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RootCmd.AddCommand(PnLCmd)
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}
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@ -30,12 +33,26 @@ var PnLCmd = &cobra.Command{
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RunE: func(cmd *cobra.Command, args []string) error {
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ctx := context.Background()
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exchangeNameStr, err := cmd.Flags().GetString("exchange")
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configFile, err := cmd.Flags().GetString("config")
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if err != nil {
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return err
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}
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exchangeName, err := types.ValidExchangeName(exchangeNameStr)
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if len(configFile) == 0 {
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return errors.New("--config option is required")
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}
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if _, err := os.Stat(configFile); os.IsNotExist(err) {
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return err
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}
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userConfig, err := bbgo.Load(configFile, false)
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if err != nil {
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return err
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}
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sessionName, err := cmd.Flags().GetString("session")
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if err != nil {
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return err
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}
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@ -45,23 +62,73 @@ var PnLCmd = &cobra.Command{
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return err
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}
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if len(symbol) == 0 {
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return errors.New("--symbol [SYMBOL] is required")
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}
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limit, err := cmd.Flags().GetInt("limit")
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if err != nil {
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return err
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}
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exchange, err := cmdutil.NewExchange(exchangeName)
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environ := bbgo.NewEnvironment()
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if err := environ.ConfigureDatabase(ctx); err != nil {
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return err
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}
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if err := environ.ConfigureExchangeSessions(userConfig); err != nil {
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return err
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}
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session, ok := environ.Session(sessionName)
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if !ok {
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return fmt.Errorf("session %s not found", sessionName)
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}
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if err := environ.Sync(ctx) ; err != nil {
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return err
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}
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exchange := session.Exchange
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market, ok := session.Market(symbol)
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if !ok {
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return fmt.Errorf("market config %s not found", symbol)
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}
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since := time.Now().AddDate(-1, 0, 0)
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until := time.Now()
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includeTransfer, err := cmd.Flags().GetBool("include-transfer")
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if err != nil {
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return err
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}
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if includeTransfer {
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transferService, ok := exchange.(types.ExchangeTransferService)
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if !ok {
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return fmt.Errorf("session exchange %s does not implement transfer service", sessionName)
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}
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environ := bbgo.NewEnvironment()
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if err := environ.ConfigureDatabase(ctx) ; err != nil {
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return err
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deposits, err := transferService.QueryDepositHistory(ctx, market.BaseCurrency, since, until)
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if err != nil {
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return err
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}
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_ = deposits
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withdrawals, err := transferService.QueryWithdrawHistory(ctx, market.BaseCurrency, since, until)
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if err != nil {
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return err
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}
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_ = withdrawals
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// we need the backtest klines for the daily prices
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backtestService := &service.BacktestService{DB: environ.DatabaseService.DB}
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if err := backtestService.SyncKLineByInterval(ctx, exchange, symbol, types.Interval1d, since, until); err != nil {
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return err
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}
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}
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var trades []types.Trade
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tradingFeeCurrency := exchange.PlatformFeeCurrency()
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if strings.HasPrefix(symbol, tradingFeeCurrency) {
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|
@ -71,7 +138,7 @@ var PnLCmd = &cobra.Command{
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trades, err = environ.TradeService.Query(service.QueryTradesOptions{
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Exchange: exchange.Name(),
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Symbol: symbol,
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Limit: limit,
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Limit: limit,
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})
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}
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|
|
|
@ -101,7 +101,11 @@ var TransferHistoryCmd = &cobra.Command{
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|
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var records timeSlice
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|
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exchange := session.Exchange
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exchange, ok := session.Exchange.(types.ExchangeTransferService)
|
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if !ok {
|
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return fmt.Errorf("exchange session %s does not implement transfer service", sessionName)
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}
|
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|
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deposits, err := exchange.QueryDepositHistory(ctx, asset, since, until)
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if err != nil {
|
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return err
|
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|
|
|
@ -48,7 +48,6 @@ func (e ClosedOrderBatchQuery) Query(ctx context.Context, symbol string, startTi
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|||
|
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for _, o := range orders {
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if _, ok := orderIDs[o.OrderID]; ok {
|
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logrus.Infof("skipping duplicated order id: %d", o.OrderID)
|
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continue
|
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}
|
||||
|
||||
|
@ -224,7 +223,6 @@ func (q *RewardBatchQuery) Query(ctx context.Context, startTime, endTime time.Ti
|
|||
|
||||
for _, o := range rewards {
|
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if _, ok := rewardKeys[o.UUID]; ok {
|
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logrus.Debugf("skipping duplicated order id: %s", o.UUID)
|
||||
continue
|
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}
|
||||
|
||||
|
|
|
@ -14,6 +14,7 @@ import (
|
|||
|
||||
"github.com/sirupsen/logrus"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/datatype"
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
"github.com/c9s/bbgo/pkg/util"
|
||||
|
@ -193,9 +194,27 @@ func (e *Exchange) QueryIsolatedMarginAccount(ctx context.Context, symbols ...st
|
|||
return toGlobalIsolatedMarginAccount(account), nil
|
||||
}
|
||||
|
||||
func (e *Exchange) QueryWithdrawHistory(ctx context.Context, asset string, since, until time.Time) (allWithdraws []types.Withdraw, err error) {
|
||||
func (e *Exchange) getLaunchDate() (time.Time, error) {
|
||||
// binance launch date 12:00 July 14th, 2017
|
||||
loc, err := time.LoadLocation("Asia/Shanghai")
|
||||
if err != nil {
|
||||
return time.Time{}, err
|
||||
}
|
||||
|
||||
return time.Date(2017, time.July, 14, 0, 0, 0, 0, loc), nil
|
||||
}
|
||||
|
||||
func (e *Exchange) QueryWithdrawHistory(ctx context.Context, asset string, since, until time.Time) (allWithdraws []types.Withdraw, err error) {
|
||||
startTime := since
|
||||
|
||||
var emptyTime = time.Time{}
|
||||
if startTime == emptyTime {
|
||||
startTime, err = e.getLaunchDate()
|
||||
if err != nil {
|
||||
return nil, err
|
||||
}
|
||||
}
|
||||
|
||||
txIDs := map[string]struct{}{}
|
||||
|
||||
for startTime.Before(until) {
|
||||
|
@ -247,7 +266,8 @@ func (e *Exchange) QueryWithdrawHistory(ctx context.Context, asset string, since
|
|||
|
||||
txIDs[d.TxID] = struct{}{}
|
||||
allWithdraws = append(allWithdraws, types.Withdraw{
|
||||
ApplyTime: time.Unix(0, d.ApplyTime*int64(time.Millisecond)),
|
||||
Exchange: types.ExchangeBinance,
|
||||
ApplyTime: datatype.Time(time.Unix(0, d.ApplyTime*int64(time.Millisecond))),
|
||||
Asset: d.Asset,
|
||||
Amount: d.Amount,
|
||||
Address: d.Address,
|
||||
|
@ -311,7 +331,8 @@ func (e *Exchange) QueryDepositHistory(ctx context.Context, asset string, since,
|
|||
|
||||
txIDs[d.TxID] = struct{}{}
|
||||
allDeposits = append(allDeposits, types.Deposit{
|
||||
Time: time.Unix(0, d.InsertTime*int64(time.Millisecond)),
|
||||
Exchange: types.ExchangeBinance,
|
||||
Time: datatype.Time(time.Unix(0, d.InsertTime*int64(time.Millisecond))),
|
||||
Asset: d.Asset,
|
||||
Amount: d.Amount,
|
||||
Address: d.Address,
|
||||
|
|
|
@ -14,6 +14,7 @@ import (
|
|||
"github.com/sirupsen/logrus"
|
||||
"golang.org/x/time/rate"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/datatype"
|
||||
maxapi "github.com/c9s/bbgo/pkg/exchange/max/maxapi"
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
|
@ -376,6 +377,16 @@ func (e *Exchange) PlatformFeeCurrency() string {
|
|||
return toGlobalCurrency("max")
|
||||
}
|
||||
|
||||
func (e *Exchange) getLaunchDate() (time.Time, error) {
|
||||
// MAX launch date June 21th, 2018
|
||||
loc, err := time.LoadLocation("Asia/Taipei")
|
||||
if err != nil {
|
||||
return time.Time{}, err
|
||||
}
|
||||
|
||||
return time.Date(2018, time.June, 21, 0, 0, 0, 0, loc), nil
|
||||
}
|
||||
|
||||
func (e *Exchange) QueryAccount(ctx context.Context) (*types.Account, error) {
|
||||
if err := accountQueryLimiter.Wait(ctx); err != nil {
|
||||
return nil, err
|
||||
|
@ -406,10 +417,19 @@ func (e *Exchange) QueryAccount(ctx context.Context) (*types.Account, error) {
|
|||
|
||||
func (e *Exchange) QueryWithdrawHistory(ctx context.Context, asset string, since, until time.Time) (allWithdraws []types.Withdraw, err error) {
|
||||
startTime := since
|
||||
limit := 1000
|
||||
txIDs := map[string]struct{}{}
|
||||
|
||||
emptyTime := time.Time{}
|
||||
if startTime == emptyTime {
|
||||
startTime, err = e.getLaunchDate()
|
||||
if err != nil {
|
||||
return nil, err
|
||||
}
|
||||
}
|
||||
|
||||
for startTime.Before(until) {
|
||||
// startTime ~ endTime must be in 90 days
|
||||
// startTime ~ endTime must be in 60 days
|
||||
endTime := startTime.AddDate(0, 0, 60)
|
||||
if endTime.After(until) {
|
||||
endTime = until
|
||||
|
@ -424,13 +444,20 @@ func (e *Exchange) QueryWithdrawHistory(ctx context.Context, asset string, since
|
|||
withdraws, err := req.
|
||||
From(startTime.Unix()).
|
||||
To(endTime.Unix()).
|
||||
Limit(limit).
|
||||
Do(ctx)
|
||||
|
||||
if err != nil {
|
||||
return allWithdraws, err
|
||||
}
|
||||
|
||||
for _, d := range withdraws {
|
||||
if len(withdraws) == 0 {
|
||||
startTime = endTime
|
||||
continue
|
||||
}
|
||||
|
||||
for i := len(withdraws) - 1; i >= 0; i-- {
|
||||
d := withdraws[i]
|
||||
if _, ok := txIDs[d.TxID]; ok {
|
||||
continue
|
||||
}
|
||||
|
@ -455,21 +482,30 @@ func (e *Exchange) QueryWithdrawHistory(ctx context.Context, asset string, since
|
|||
}
|
||||
|
||||
txIDs[d.TxID] = struct{}{}
|
||||
allWithdraws = append(allWithdraws, types.Withdraw{
|
||||
ApplyTime: time.Unix(d.CreatedAt, 0),
|
||||
Asset: toGlobalCurrency(d.Currency),
|
||||
Amount: util.MustParseFloat(d.Amount),
|
||||
Address: "",
|
||||
AddressTag: "",
|
||||
TransactionID: d.TxID,
|
||||
TransactionFee: util.MustParseFloat(d.Fee),
|
||||
withdraw := types.Withdraw{
|
||||
Exchange: types.ExchangeMax,
|
||||
ApplyTime: datatype.Time(time.Unix(d.CreatedAt, 0)),
|
||||
Asset: toGlobalCurrency(d.Currency),
|
||||
Amount: util.MustParseFloat(d.Amount),
|
||||
Address: "",
|
||||
AddressTag: "",
|
||||
TransactionID: d.TxID,
|
||||
TransactionFee: util.MustParseFloat(d.Fee),
|
||||
TransactionFeeCurrency: d.FeeCurrency,
|
||||
// WithdrawOrderID: d.WithdrawOrderID,
|
||||
// Network: d.Network,
|
||||
Status: status,
|
||||
})
|
||||
}
|
||||
allWithdraws = append(allWithdraws, withdraw)
|
||||
}
|
||||
|
||||
startTime = endTime
|
||||
// go next time frame
|
||||
if len(withdraws) < limit {
|
||||
startTime = endTime
|
||||
} else {
|
||||
// its in descending order, so we get the first record
|
||||
startTime = time.Unix(withdraws[0].CreatedAt, 0)
|
||||
}
|
||||
}
|
||||
|
||||
return allWithdraws, nil
|
||||
|
@ -477,7 +513,17 @@ func (e *Exchange) QueryWithdrawHistory(ctx context.Context, asset string, since
|
|||
|
||||
func (e *Exchange) QueryDepositHistory(ctx context.Context, asset string, since, until time.Time) (allDeposits []types.Deposit, err error) {
|
||||
startTime := since
|
||||
limit := 1000
|
||||
txIDs := map[string]struct{}{}
|
||||
|
||||
emptyTime := time.Time{}
|
||||
if startTime == emptyTime {
|
||||
startTime, err = e.getLaunchDate()
|
||||
if err != nil {
|
||||
return nil, err
|
||||
}
|
||||
}
|
||||
|
||||
for startTime.Before(until) {
|
||||
// startTime ~ endTime must be in 90 days
|
||||
endTime := startTime.AddDate(0, 0, 60)
|
||||
|
@ -486,6 +532,7 @@ func (e *Exchange) QueryDepositHistory(ctx context.Context, asset string, since,
|
|||
}
|
||||
|
||||
log.Infof("querying deposit history %s: %s <=> %s", asset, startTime, endTime)
|
||||
|
||||
req := e.client.AccountService.NewGetDepositHistoryRequest()
|
||||
if len(asset) > 0 {
|
||||
req.Currency(toLocalCurrency(asset))
|
||||
|
@ -493,19 +540,23 @@ func (e *Exchange) QueryDepositHistory(ctx context.Context, asset string, since,
|
|||
|
||||
deposits, err := req.
|
||||
From(startTime.Unix()).
|
||||
To(endTime.Unix()).Do(ctx)
|
||||
To(endTime.Unix()).
|
||||
Limit(limit).
|
||||
Do(ctx)
|
||||
|
||||
if err != nil {
|
||||
return nil, err
|
||||
}
|
||||
|
||||
for _, d := range deposits {
|
||||
for i := len(deposits) - 1; i >= 0; i-- {
|
||||
d := deposits[i]
|
||||
if _, ok := txIDs[d.TxID]; ok {
|
||||
continue
|
||||
}
|
||||
|
||||
allDeposits = append(allDeposits, types.Deposit{
|
||||
Time: time.Unix(d.CreatedAt, 0),
|
||||
Exchange: types.ExchangeMax,
|
||||
Time: datatype.Time(time.Unix(d.CreatedAt, 0)),
|
||||
Amount: util.MustParseFloat(d.Amount),
|
||||
Asset: toGlobalCurrency(d.Currency),
|
||||
Address: "", // not supported
|
||||
|
@ -515,7 +566,11 @@ func (e *Exchange) QueryDepositHistory(ctx context.Context, asset string, since,
|
|||
})
|
||||
}
|
||||
|
||||
startTime = endTime
|
||||
if len(deposits) < limit {
|
||||
startTime = endTime
|
||||
} else {
|
||||
startTime = time.Unix(deposits[0].CreatedAt, 0)
|
||||
}
|
||||
}
|
||||
|
||||
return allDeposits, err
|
||||
|
|
|
@ -118,7 +118,7 @@ type Deposit struct {
|
|||
Fee string `json:"fee"`
|
||||
TxID string `json:"txid"`
|
||||
State string `json:"state"`
|
||||
Confirmations string `json:"confirmations"`
|
||||
Confirmations string `json:"confirmations"`
|
||||
CreatedAt int64 `json:"created_at"`
|
||||
UpdatedAt int64 `json:"updated_at"`
|
||||
}
|
||||
|
@ -187,14 +187,13 @@ func (s *AccountService) NewGetDepositHistoryRequest() *GetDepositHistoryRequest
|
|||
}
|
||||
}
|
||||
|
||||
|
||||
|
||||
type Withdraw struct {
|
||||
UUID string `json:"uuid"`
|
||||
UUID string `json:"uuid"`
|
||||
Currency string `json:"currency"`
|
||||
CurrencyVersion string `json:"currency_version"` // "eth"
|
||||
Amount string `json:"amount"`
|
||||
Fee string `json:"fee"`
|
||||
FeeCurrency string `json:"fee_currency"`
|
||||
TxID string `json:"txid"`
|
||||
|
||||
// State can be "submitting", "submitted",
|
||||
|
@ -203,10 +202,10 @@ type Withdraw struct {
|
|||
// "failed", "pending", "confirmed",
|
||||
// "kgi_manually_processing", "kgi_manually_confirmed", "kgi_possible_failed",
|
||||
// "sygna_verifying"
|
||||
State string `json:"state"`
|
||||
Confirmations int `json:"confirmations"`
|
||||
CreatedAt int64 `json:"created_at"`
|
||||
UpdatedAt int64 `json:"updated_at"`
|
||||
State string `json:"state"`
|
||||
Confirmations int `json:"confirmations"`
|
||||
CreatedAt int64 `json:"created_at"`
|
||||
UpdatedAt int64 `json:"updated_at"`
|
||||
}
|
||||
|
||||
type GetWithdrawHistoryRequestParams struct {
|
||||
|
|
34
pkg/migrations/mysql/20210301140656_add_withdraws_table.go
Normal file
34
pkg/migrations/mysql/20210301140656_add_withdraws_table.go
Normal file
|
@ -0,0 +1,34 @@
|
|||
package mysql
|
||||
|
||||
import (
|
||||
"context"
|
||||
|
||||
"github.com/c9s/rockhopper"
|
||||
)
|
||||
|
||||
func init() {
|
||||
AddMigration(upAddWithdrawsTable, downAddWithdrawsTable)
|
||||
|
||||
}
|
||||
|
||||
func upAddWithdrawsTable(ctx context.Context, tx rockhopper.SQLExecutor) (err error) {
|
||||
// This code is executed when the migration is applied.
|
||||
|
||||
_, err = tx.ExecContext(ctx, "CREATE TABLE `withdraws`\n(\n `gid` BIGINT UNSIGNED NOT NULL AUTO_INCREMENT,\n `exchange` VARCHAR(24) NOT NULL DEFAULT '',\n -- asset is the asset name (currency)\n `asset` VARCHAR(10) NOT NULL,\n `address` VARCHAR(128) NOT NULL,\n `network` VARCHAR(32) NOT NULL DEFAULT '',\n `amount` DECIMAL(16, 8) NOT NULL,\n `txn_id` VARCHAR(256) NOT NULL,\n `txn_fee` DECIMAL(16, 8) NOT NULL DEFAULT 0,\n `txn_fee_currency` VARCHAR(32) NOT NULL DEFAULT '',\n `time` DATETIME(3) NOT NULL,\n PRIMARY KEY (`gid`),\n UNIQUE KEY `txn_id` (`exchange`, `txn_id`)\n);")
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
return err
|
||||
}
|
||||
|
||||
func downAddWithdrawsTable(ctx context.Context, tx rockhopper.SQLExecutor) (err error) {
|
||||
// This code is executed when the migration is rolled back.
|
||||
|
||||
_, err = tx.ExecContext(ctx, "DROP TABLE IF EXISTS `withdraws`;")
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
return err
|
||||
}
|
34
pkg/migrations/mysql/20210307201830_add_deposits_table.go
Normal file
34
pkg/migrations/mysql/20210307201830_add_deposits_table.go
Normal file
|
@ -0,0 +1,34 @@
|
|||
package mysql
|
||||
|
||||
import (
|
||||
"context"
|
||||
|
||||
"github.com/c9s/rockhopper"
|
||||
)
|
||||
|
||||
func init() {
|
||||
AddMigration(upAddDepositsTable, downAddDepositsTable)
|
||||
|
||||
}
|
||||
|
||||
func upAddDepositsTable(ctx context.Context, tx rockhopper.SQLExecutor) (err error) {
|
||||
// This code is executed when the migration is applied.
|
||||
|
||||
_, err = tx.ExecContext(ctx, "CREATE TABLE `deposits`\n(\n `gid` BIGINT UNSIGNED NOT NULL AUTO_INCREMENT,\n `exchange` VARCHAR(24) NOT NULL,\n -- asset is the asset name (currency)\n `asset` VARCHAR(10) NOT NULL,\n `address` VARCHAR(128) NOT NULL DEFAULT '',\n `amount` DECIMAL(16, 8) NOT NULL,\n `txn_id` VARCHAR(256) NOT NULL,\n `time` DATETIME(3) NOT NULL,\n PRIMARY KEY (`gid`),\n UNIQUE KEY `txn_id` (`exchange`, `txn_id`)\n);")
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
return err
|
||||
}
|
||||
|
||||
func downAddDepositsTable(ctx context.Context, tx rockhopper.SQLExecutor) (err error) {
|
||||
// This code is executed when the migration is rolled back.
|
||||
|
||||
_, err = tx.ExecContext(ctx, "DROP TABLE IF EXISTS `deposits`;")
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
return err
|
||||
}
|
44
pkg/migrations/sqlite3/20210301140656_add_withdraws_table.go
Normal file
44
pkg/migrations/sqlite3/20210301140656_add_withdraws_table.go
Normal file
|
@ -0,0 +1,44 @@
|
|||
package sqlite3
|
||||
|
||||
import (
|
||||
"context"
|
||||
|
||||
"github.com/c9s/rockhopper"
|
||||
)
|
||||
|
||||
func init() {
|
||||
AddMigration(upAddWithdrawsTable, downAddWithdrawsTable)
|
||||
|
||||
}
|
||||
|
||||
func upAddWithdrawsTable(ctx context.Context, tx rockhopper.SQLExecutor) (err error) {
|
||||
// This code is executed when the migration is applied.
|
||||
|
||||
_, err = tx.ExecContext(ctx, "CREATE TABLE `withdraws`\n(\n `gid` INTEGER PRIMARY KEY AUTOINCREMENT,\n `exchange` VARCHAR(24) NOT NULL DEFAULT '',\n -- asset is the asset name (currency)\n `asset` VARCHAR(10) NOT NULL,\n `address` VARCHAR(128) NOT NULL,\n `network` VARCHAR(32) NOT NULL DEFAULT '',\n `amount` DECIMAL(16, 8) NOT NULL,\n `txn_id` VARCHAR(256) NOT NULL,\n `txn_fee` DECIMAL(16, 8) NOT NULL DEFAULT 0,\n `txn_fee_currency` VARCHAR(32) NOT NULL DEFAULT '',\n `time` DATETIME(3) NOT NULL\n);")
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
_, err = tx.ExecContext(ctx, "CREATE UNIQUE INDEX `withdraws_txn_id` ON `withdraws` (`exchange`, `txn_id`);")
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
return err
|
||||
}
|
||||
|
||||
func downAddWithdrawsTable(ctx context.Context, tx rockhopper.SQLExecutor) (err error) {
|
||||
// This code is executed when the migration is rolled back.
|
||||
|
||||
_, err = tx.ExecContext(ctx, "DROP INDEX IF EXISTS `withdraws_txn_id`;")
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
_, err = tx.ExecContext(ctx, "DROP TABLE IF EXISTS `withdraws`;")
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
return err
|
||||
}
|
44
pkg/migrations/sqlite3/20210307201830_add_deposits_table.go
Normal file
44
pkg/migrations/sqlite3/20210307201830_add_deposits_table.go
Normal file
|
@ -0,0 +1,44 @@
|
|||
package sqlite3
|
||||
|
||||
import (
|
||||
"context"
|
||||
|
||||
"github.com/c9s/rockhopper"
|
||||
)
|
||||
|
||||
func init() {
|
||||
AddMigration(upAddDepositsTable, downAddDepositsTable)
|
||||
|
||||
}
|
||||
|
||||
func upAddDepositsTable(ctx context.Context, tx rockhopper.SQLExecutor) (err error) {
|
||||
// This code is executed when the migration is applied.
|
||||
|
||||
_, err = tx.ExecContext(ctx, "CREATE TABLE `deposits`\n(\n `gid` INTEGER PRIMARY KEY AUTOINCREMENT,\n `exchange` VARCHAR(24) NOT NULL,\n -- asset is the asset name (currency)\n `asset` VARCHAR(10) NOT NULL,\n `address` VARCHAR(128) NOT NULL DEFAULT '',\n `amount` DECIMAL(16, 8) NOT NULL,\n `txn_id` VARCHAR(256) NOT NULL,\n `time` DATETIME(3) NOT NULL\n);")
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
_, err = tx.ExecContext(ctx, "CREATE UNIQUE INDEX `deposits_txn_id` ON `deposits` (`exchange`, `txn_id`);")
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
return err
|
||||
}
|
||||
|
||||
func downAddDepositsTable(ctx context.Context, tx rockhopper.SQLExecutor) (err error) {
|
||||
// This code is executed when the migration is rolled back.
|
||||
|
||||
_, err = tx.ExecContext(ctx, "DROP INDEX IF EXISTS `deposits_txn_id`;")
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
_, err = tx.ExecContext(ctx, "DROP TABLE IF EXISTS `deposits`;")
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
return err
|
||||
}
|
|
@ -17,33 +17,41 @@ type BacktestService struct {
|
|||
DB *sqlx.DB
|
||||
}
|
||||
|
||||
func (s *BacktestService) Sync(ctx context.Context, exchange types.Exchange, symbol string, startTime time.Time) error {
|
||||
now := time.Now()
|
||||
for interval := range types.SupportedIntervals {
|
||||
log.Infof("synchronizing lastKLine for interval %s from exchange %s", interval, exchange.Name())
|
||||
func (s *BacktestService) SyncKLineByInterval(ctx context.Context, exchange types.Exchange, symbol string, interval types.Interval, startTime, endTime time.Time) error {
|
||||
log.Infof("synchronizing lastKLine for interval %s from exchange %s", interval, exchange.Name())
|
||||
|
||||
lastKLine, err := s.QueryLast(exchange.Name(), symbol, interval)
|
||||
if err != nil {
|
||||
lastKLine, err := s.QueryLast(exchange.Name(), symbol, interval)
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
if lastKLine != nil {
|
||||
log.Infof("found last checkpoint %s", lastKLine.EndTime)
|
||||
startTime = lastKLine.StartTime.Add(time.Minute)
|
||||
}
|
||||
|
||||
batch := &batch2.KLineBatchQuery{Exchange: exchange}
|
||||
|
||||
// should use channel here
|
||||
klineC, errC := batch.Query(ctx, symbol, interval, startTime, endTime)
|
||||
// var previousKLine types.KLine
|
||||
for k := range klineC {
|
||||
if err := s.Insert(k); err != nil {
|
||||
return err
|
||||
}
|
||||
}
|
||||
|
||||
if lastKLine != nil {
|
||||
log.Infof("found last checkpoint %s", lastKLine.EndTime)
|
||||
startTime = lastKLine.StartTime.Add(time.Minute)
|
||||
}
|
||||
if err := <-errC; err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
batch := &batch2.KLineBatchQuery{Exchange: exchange}
|
||||
return nil
|
||||
}
|
||||
|
||||
// should use channel here
|
||||
klineC, errC := batch.Query(ctx, symbol, interval, startTime, now)
|
||||
// var previousKLine types.KLine
|
||||
for k := range klineC {
|
||||
if err := s.Insert(k); err != nil {
|
||||
return err
|
||||
}
|
||||
}
|
||||
|
||||
if err := <-errC; err != nil {
|
||||
func (s *BacktestService) Sync(ctx context.Context, exchange types.Exchange, symbol string, startTime time.Time) error {
|
||||
endTime := time.Now()
|
||||
for interval := range types.SupportedIntervals {
|
||||
if err := s.SyncKLineByInterval(ctx, exchange, symbol, interval, startTime, endTime) ; err != nil {
|
||||
return err
|
||||
}
|
||||
}
|
||||
|
|
107
pkg/service/deposit.go
Normal file
107
pkg/service/deposit.go
Normal file
|
@ -0,0 +1,107 @@
|
|||
package service
|
||||
|
||||
import (
|
||||
"context"
|
||||
"time"
|
||||
|
||||
"github.com/jmoiron/sqlx"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
type DepositService struct {
|
||||
DB *sqlx.DB
|
||||
}
|
||||
|
||||
// Sync syncs the withdraw records into db
|
||||
func (s *DepositService) Sync(ctx context.Context, ex types.Exchange) error {
|
||||
txnIDs := map[string]struct{}{}
|
||||
|
||||
// query descending
|
||||
records, err := s.QueryLast(ex.Name(), 100)
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
for _, record := range records {
|
||||
txnIDs[record.TransactionID] = struct{}{}
|
||||
}
|
||||
|
||||
transferApi, ok := ex.(types.ExchangeTransferService)
|
||||
if !ok {
|
||||
return ErrNotImplemented
|
||||
}
|
||||
|
||||
since := time.Time{}
|
||||
if len(records) > 0 {
|
||||
since = records[len(records)-1].Time.Time()
|
||||
}
|
||||
|
||||
// asset "" means all assets
|
||||
deposits, err := transferApi.QueryDepositHistory(ctx, "", since, time.Now())
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
for _, deposit := range deposits {
|
||||
if _, exists := txnIDs[deposit.TransactionID]; exists {
|
||||
continue
|
||||
}
|
||||
|
||||
if err := s.Insert(deposit); err != nil {
|
||||
return err
|
||||
}
|
||||
}
|
||||
|
||||
return nil
|
||||
}
|
||||
|
||||
|
||||
func (s *DepositService) QueryLast(ex types.ExchangeName, limit int) ([]types.Deposit, error) {
|
||||
sql := "SELECT * FROM `deposits` WHERE `exchange` = :exchange ORDER BY `time` DESC LIMIT :limit"
|
||||
rows, err := s.DB.NamedQuery(sql, map[string]interface{}{
|
||||
"exchange": ex,
|
||||
"limit": limit,
|
||||
})
|
||||
if err != nil {
|
||||
return nil, err
|
||||
}
|
||||
|
||||
defer rows.Close()
|
||||
return s.scanRows(rows)
|
||||
}
|
||||
|
||||
func (s *DepositService) Query(exchangeName types.ExchangeName) ([]types.Deposit, error) {
|
||||
args := map[string]interface{}{
|
||||
"exchange": exchangeName,
|
||||
}
|
||||
sql := "SELECT * FROM `deposits` WHERE `exchange` = :exchange ORDER BY `time` ASC"
|
||||
rows, err := s.DB.NamedQuery(sql, args)
|
||||
if err != nil {
|
||||
return nil, err
|
||||
}
|
||||
|
||||
defer rows.Close()
|
||||
|
||||
return s.scanRows(rows)
|
||||
}
|
||||
|
||||
func (s *DepositService) scanRows(rows *sqlx.Rows) (deposits []types.Deposit, err error) {
|
||||
for rows.Next() {
|
||||
var deposit types.Deposit
|
||||
if err := rows.StructScan(&deposit); err != nil {
|
||||
return deposits, err
|
||||
}
|
||||
|
||||
deposits = append(deposits, deposit)
|
||||
}
|
||||
|
||||
return deposits, rows.Err()
|
||||
}
|
||||
|
||||
func (s *DepositService) Insert(deposit types.Deposit) error {
|
||||
sql := `INSERT INTO deposits (exchange, asset, address, amount, txn_id, time)
|
||||
VALUES (:exchange, :asset, :address, :amount, :txn_id, :time)`
|
||||
_, err := s.DB.NamedExec(sql, deposit)
|
||||
return err
|
||||
}
|
39
pkg/service/deposit_test.go
Normal file
39
pkg/service/deposit_test.go
Normal file
|
@ -0,0 +1,39 @@
|
|||
package service
|
||||
|
||||
import (
|
||||
"testing"
|
||||
"time"
|
||||
|
||||
"github.com/jmoiron/sqlx"
|
||||
"github.com/stretchr/testify/assert"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/datatype"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
func TestDepositService(t *testing.T) {
|
||||
db, err := prepareDB(t)
|
||||
if err != nil {
|
||||
t.Fatal(err)
|
||||
}
|
||||
|
||||
defer db.Close()
|
||||
|
||||
xdb := sqlx.NewDb(db.DB, "sqlite3")
|
||||
service := &DepositService{DB: xdb}
|
||||
|
||||
err = service.Insert(types.Deposit{
|
||||
Exchange: types.ExchangeMax,
|
||||
Time: datatype.Time(time.Now()),
|
||||
Amount: 0.001,
|
||||
Asset: "BTC",
|
||||
Address: "test",
|
||||
TransactionID: "02",
|
||||
Status: types.DepositSuccess,
|
||||
})
|
||||
assert.NoError(t, err)
|
||||
|
||||
deposits, err := service.Query(types.ExchangeMax)
|
||||
assert.NoError(t, err)
|
||||
assert.NotEmpty(t, deposits)
|
||||
}
|
|
@ -1,13 +1,16 @@
|
|||
package service
|
||||
|
||||
import (
|
||||
"context"
|
||||
"strconv"
|
||||
"strings"
|
||||
"time"
|
||||
|
||||
"github.com/jmoiron/sqlx"
|
||||
"github.com/pkg/errors"
|
||||
log "github.com/sirupsen/logrus"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/exchange/batch"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
|
@ -15,6 +18,65 @@ type OrderService struct {
|
|||
DB *sqlx.DB
|
||||
}
|
||||
|
||||
func (s *OrderService) Sync(ctx context.Context, exchange types.Exchange, symbol string, startTime time.Time) error {
|
||||
isMargin := false
|
||||
isIsolated := false
|
||||
if marginExchange, ok := exchange.(types.MarginExchange); ok {
|
||||
marginSettings := marginExchange.GetMarginSettings()
|
||||
isMargin = marginSettings.IsMargin
|
||||
isIsolated = marginSettings.IsIsolatedMargin
|
||||
if marginSettings.IsIsolatedMargin {
|
||||
symbol = marginSettings.IsolatedMarginSymbol
|
||||
}
|
||||
}
|
||||
|
||||
records, err := s.QueryLast(exchange.Name(), symbol, isMargin, isIsolated, 50)
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
orderKeys := make(map[uint64]struct{})
|
||||
|
||||
var lastID uint64 = 0
|
||||
if len(records) > 0 {
|
||||
for _, record := range records {
|
||||
orderKeys[record.OrderID] = struct{}{}
|
||||
}
|
||||
|
||||
lastID = records[0].OrderID
|
||||
startTime = records[0].CreationTime.Time()
|
||||
}
|
||||
|
||||
b := &batch.ClosedOrderBatchQuery{Exchange: exchange}
|
||||
ordersC, errC := b.Query(ctx, symbol, startTime, time.Now(), lastID)
|
||||
for order := range ordersC {
|
||||
select {
|
||||
|
||||
case <-ctx.Done():
|
||||
return ctx.Err()
|
||||
|
||||
case err := <-errC:
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
default:
|
||||
|
||||
}
|
||||
|
||||
if _, exists := orderKeys[order.OrderID]; exists {
|
||||
continue
|
||||
}
|
||||
|
||||
if err := s.Insert(order); err != nil {
|
||||
return err
|
||||
}
|
||||
}
|
||||
|
||||
return <-errC
|
||||
}
|
||||
|
||||
|
||||
// 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) {
|
||||
log.Infof("querying last order exchange = %s AND symbol = %s AND is_margin = %v AND is_isolated = %v", ex, symbol, isMargin, isIsolated)
|
||||
|
|
|
@ -8,11 +8,17 @@ import (
|
|||
"time"
|
||||
|
||||
"github.com/jmoiron/sqlx"
|
||||
"github.com/sirupsen/logrus"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/exchange/batch"
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
// RewardService collects the reward records from the exchange,
|
||||
// currently it's only available for MAX exchange.
|
||||
// TODO: add summary query for calculating the reward amounts
|
||||
// CREATE VIEW reward_summary_by_years AS SELECT YEAR(created_at) as year, reward_type, currency, SUM(quantity) FROM rewards WHERE reward_type != 'airdrop' GROUP BY YEAR(created_at), reward_type, currency ORDER BY year DESC;
|
||||
type RewardService struct {
|
||||
DB *sqlx.DB
|
||||
}
|
||||
|
@ -31,6 +37,64 @@ func (s *RewardService) QueryLast(ex types.ExchangeName, limit int) ([]types.Rew
|
|||
return s.scanRows(rows)
|
||||
}
|
||||
|
||||
func (s *RewardService) Sync(ctx context.Context, exchange types.Exchange) error {
|
||||
service, ok := exchange.(types.ExchangeRewardService)
|
||||
if !ok {
|
||||
return ErrExchangeRewardServiceNotImplemented
|
||||
}
|
||||
|
||||
var rewardKeys = map[string]struct{}{}
|
||||
|
||||
var startTime time.Time
|
||||
|
||||
records, err := s.QueryLast(exchange.Name(), 50)
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
if len(records) > 0 {
|
||||
lastRecord := records[0]
|
||||
startTime = lastRecord.CreatedAt.Time()
|
||||
|
||||
for _, record := range records {
|
||||
rewardKeys[record.UUID] = struct{}{}
|
||||
}
|
||||
}
|
||||
|
||||
batchQuery := &batch.RewardBatchQuery{Service: service}
|
||||
rewardsC, errC := batchQuery.Query(ctx, startTime, time.Now())
|
||||
|
||||
for reward := range rewardsC {
|
||||
select {
|
||||
|
||||
case <-ctx.Done():
|
||||
return ctx.Err()
|
||||
|
||||
case err := <-errC:
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
default:
|
||||
|
||||
}
|
||||
|
||||
if _, ok := rewardKeys[reward.UUID]; ok {
|
||||
continue
|
||||
}
|
||||
|
||||
logrus.Infof("inserting reward: %s %s %s %f %s", reward.Exchange, reward.Type, reward.Currency, reward.Quantity.Float64(), reward.CreatedAt)
|
||||
|
||||
if err := s.Insert(reward); err != nil {
|
||||
return err
|
||||
}
|
||||
}
|
||||
|
||||
return <-errC
|
||||
}
|
||||
|
||||
|
||||
|
||||
type CurrencyPositionMap map[string]fixedpoint.Value
|
||||
|
||||
func (s *RewardService) AggregateUnspentCurrencyPosition(ctx context.Context, ex types.ExchangeName, since time.Time) (CurrencyPositionMap, error) {
|
||||
|
|
|
@ -5,221 +5,46 @@ import (
|
|||
"errors"
|
||||
"time"
|
||||
|
||||
"github.com/sirupsen/logrus"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/exchange/batch"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
var ErrNotImplemented = errors.New("exchange does not implement ExchangeRewardService interface")
|
||||
var ErrNotImplemented = errors.New("not implemented")
|
||||
var ErrExchangeRewardServiceNotImplemented = errors.New("exchange does not implement ExchangeRewardService interface")
|
||||
|
||||
type SyncService struct {
|
||||
TradeService *TradeService
|
||||
OrderService *OrderService
|
||||
RewardService *RewardService
|
||||
}
|
||||
|
||||
func (s *SyncService) SyncRewards(ctx context.Context, exchange types.Exchange) error {
|
||||
service, ok := exchange.(types.ExchangeRewardService)
|
||||
if !ok {
|
||||
return ErrNotImplemented
|
||||
}
|
||||
|
||||
var rewardKeys = map[string]struct{}{}
|
||||
|
||||
var startTime time.Time
|
||||
|
||||
records, err := s.RewardService.QueryLast(exchange.Name(), 50)
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
if len(records) > 0 {
|
||||
lastRecord := records[0]
|
||||
startTime = lastRecord.CreatedAt.Time()
|
||||
|
||||
for _, record := range records {
|
||||
rewardKeys[record.UUID] = struct{}{}
|
||||
}
|
||||
}
|
||||
|
||||
batchQuery := &batch.RewardBatchQuery{Service: service}
|
||||
rewardsC, errC := batchQuery.Query(ctx, startTime, time.Now())
|
||||
|
||||
for reward := range rewardsC {
|
||||
select {
|
||||
|
||||
case <-ctx.Done():
|
||||
return ctx.Err()
|
||||
|
||||
case err := <-errC:
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
default:
|
||||
|
||||
}
|
||||
|
||||
if _, ok := rewardKeys[reward.UUID]; ok {
|
||||
continue
|
||||
}
|
||||
|
||||
logrus.Infof("inserting reward: %s %s %s %f %s", reward.Exchange, reward.Type, reward.Currency, reward.Quantity.Float64(), reward.CreatedAt)
|
||||
|
||||
if err := s.RewardService.Insert(reward); err != nil {
|
||||
return err
|
||||
}
|
||||
}
|
||||
|
||||
return <-errC
|
||||
}
|
||||
|
||||
func (s *SyncService) SyncOrders(ctx context.Context, exchange types.Exchange, symbol string, startTime time.Time) error {
|
||||
isMargin := false
|
||||
isIsolated := false
|
||||
if marginExchange, ok := exchange.(types.MarginExchange); ok {
|
||||
marginSettings := marginExchange.GetMarginSettings()
|
||||
isMargin = marginSettings.IsMargin
|
||||
isIsolated = marginSettings.IsIsolatedMargin
|
||||
if marginSettings.IsIsolatedMargin {
|
||||
symbol = marginSettings.IsolatedMarginSymbol
|
||||
}
|
||||
}
|
||||
|
||||
records, err := s.OrderService.QueryLast(exchange.Name(), symbol, isMargin, isIsolated, 50)
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
orderKeys := make(map[uint64]struct{})
|
||||
|
||||
var lastID uint64 = 0
|
||||
if len(records) > 0 {
|
||||
for _, record := range records {
|
||||
orderKeys[record.OrderID] = struct{}{}
|
||||
}
|
||||
|
||||
lastID = records[0].OrderID
|
||||
startTime = records[0].CreationTime.Time()
|
||||
}
|
||||
|
||||
b := &batch.ClosedOrderBatchQuery{Exchange: exchange}
|
||||
ordersC, errC := b.Query(ctx, symbol, startTime, time.Now(), lastID)
|
||||
for order := range ordersC {
|
||||
select {
|
||||
|
||||
case <-ctx.Done():
|
||||
return ctx.Err()
|
||||
|
||||
case err := <-errC:
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
default:
|
||||
|
||||
}
|
||||
|
||||
if _, exists := orderKeys[order.OrderID]; exists {
|
||||
continue
|
||||
}
|
||||
|
||||
if err := s.OrderService.Insert(order); err != nil {
|
||||
return err
|
||||
}
|
||||
}
|
||||
|
||||
return <-errC
|
||||
}
|
||||
|
||||
func (s *SyncService) SyncTrades(ctx context.Context, exchange types.Exchange, symbol string) error {
|
||||
isMargin := false
|
||||
isIsolated := false
|
||||
if marginExchange, ok := exchange.(types.MarginExchange); ok {
|
||||
marginSettings := marginExchange.GetMarginSettings()
|
||||
isMargin = marginSettings.IsMargin
|
||||
isIsolated = marginSettings.IsIsolatedMargin
|
||||
if marginSettings.IsIsolatedMargin {
|
||||
symbol = marginSettings.IsolatedMarginSymbol
|
||||
}
|
||||
}
|
||||
|
||||
// records descending ordered
|
||||
records, err := s.TradeService.QueryLast(exchange.Name(), symbol, isMargin, isIsolated, 50)
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
var tradeKeys = map[types.TradeKey]struct{}{}
|
||||
var lastTradeID int64 = 1
|
||||
if len(records) > 0 {
|
||||
for _, record := range records {
|
||||
tradeKeys[record.Key()] = struct{}{}
|
||||
}
|
||||
|
||||
lastTradeID = records[0].ID
|
||||
}
|
||||
|
||||
b := &batch.TradeBatchQuery{Exchange: exchange}
|
||||
tradeC, errC := b.Query(ctx, symbol, &types.TradeQueryOptions{
|
||||
LastTradeID: lastTradeID,
|
||||
})
|
||||
|
||||
for trade := range tradeC {
|
||||
select {
|
||||
case <-ctx.Done():
|
||||
return ctx.Err()
|
||||
|
||||
case err := <-errC:
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
default:
|
||||
}
|
||||
|
||||
key := trade.Key()
|
||||
if _, exists := tradeKeys[key]; exists {
|
||||
continue
|
||||
}
|
||||
|
||||
tradeKeys[key] = struct{}{}
|
||||
|
||||
logrus.Infof("inserting trade: %s %d %s %-4s price: %-13f volume: %-11f %5s %s",
|
||||
trade.Exchange,
|
||||
trade.ID,
|
||||
trade.Symbol,
|
||||
trade.Side,
|
||||
trade.Price,
|
||||
trade.Quantity,
|
||||
trade.MakerOrTakerLabel(),
|
||||
trade.Time.String())
|
||||
|
||||
if err := s.TradeService.Insert(trade); err != nil {
|
||||
return err
|
||||
}
|
||||
}
|
||||
|
||||
return <-errC
|
||||
TradeService *TradeService
|
||||
OrderService *OrderService
|
||||
RewardService *RewardService
|
||||
WithdrawService *WithdrawService
|
||||
DepositService *DepositService
|
||||
}
|
||||
|
||||
// SyncSessionSymbols syncs the trades from the given exchange session
|
||||
func (s *SyncService) SyncSessionSymbols(ctx context.Context, exchange types.Exchange, startTime time.Time, symbols ...string) error {
|
||||
for _, symbol := range symbols {
|
||||
if err := s.SyncTrades(ctx, exchange, symbol); err != nil {
|
||||
if err := s.TradeService.Sync(ctx, exchange, symbol); err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
if err := s.SyncOrders(ctx, exchange, symbol, startTime); err != nil {
|
||||
if err := s.OrderService.Sync(ctx, exchange, symbol, startTime); err != nil {
|
||||
return err
|
||||
}
|
||||
}
|
||||
|
||||
if err := s.SyncRewards(ctx, exchange); err != nil {
|
||||
if err == ErrNotImplemented {
|
||||
continue
|
||||
}
|
||||
if err := s.DepositService.Sync(ctx, exchange); err != nil {
|
||||
if err != ErrNotImplemented {
|
||||
return err
|
||||
}
|
||||
}
|
||||
|
||||
if err := s.WithdrawService.Sync(ctx, exchange); err != nil {
|
||||
if err != ErrNotImplemented {
|
||||
return err
|
||||
}
|
||||
}
|
||||
|
||||
if err := s.RewardService.Sync(ctx, exchange); err != nil {
|
||||
if err != ErrExchangeRewardServiceNotImplemented {
|
||||
return err
|
||||
}
|
||||
}
|
||||
|
|
|
@ -11,6 +11,7 @@ import (
|
|||
"github.com/pkg/errors"
|
||||
log "github.com/sirupsen/logrus"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/exchange/batch"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
|
@ -49,6 +50,78 @@ func NewTradeService(db *sqlx.DB) *TradeService {
|
|||
return &TradeService{db}
|
||||
}
|
||||
|
||||
func (s *TradeService) Sync(ctx context.Context, exchange types.Exchange, symbol string) error {
|
||||
isMargin := false
|
||||
isIsolated := false
|
||||
if marginExchange, ok := exchange.(types.MarginExchange); ok {
|
||||
marginSettings := marginExchange.GetMarginSettings()
|
||||
isMargin = marginSettings.IsMargin
|
||||
isIsolated = marginSettings.IsIsolatedMargin
|
||||
if marginSettings.IsIsolatedMargin {
|
||||
symbol = marginSettings.IsolatedMarginSymbol
|
||||
}
|
||||
}
|
||||
|
||||
// records descending ordered
|
||||
records, err := s.QueryLast(exchange.Name(), symbol, isMargin, isIsolated, 50)
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
var tradeKeys = map[types.TradeKey]struct{}{}
|
||||
var lastTradeID int64 = 1
|
||||
if len(records) > 0 {
|
||||
for _, record := range records {
|
||||
tradeKeys[record.Key()] = struct{}{}
|
||||
}
|
||||
|
||||
lastTradeID = records[0].ID
|
||||
}
|
||||
|
||||
b := &batch.TradeBatchQuery{Exchange: exchange}
|
||||
tradeC, errC := b.Query(ctx, symbol, &types.TradeQueryOptions{
|
||||
LastTradeID: lastTradeID,
|
||||
})
|
||||
|
||||
for trade := range tradeC {
|
||||
select {
|
||||
case <-ctx.Done():
|
||||
return ctx.Err()
|
||||
|
||||
case err := <-errC:
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
default:
|
||||
}
|
||||
|
||||
key := trade.Key()
|
||||
if _, exists := tradeKeys[key]; exists {
|
||||
continue
|
||||
}
|
||||
|
||||
tradeKeys[key] = struct{}{}
|
||||
|
||||
log.Infof("inserting trade: %s %d %s %-4s price: %-13f volume: %-11f %5s %s",
|
||||
trade.Exchange,
|
||||
trade.ID,
|
||||
trade.Symbol,
|
||||
trade.Side,
|
||||
trade.Price,
|
||||
trade.Quantity,
|
||||
trade.MakerOrTakerLabel(),
|
||||
trade.Time.String())
|
||||
|
||||
if err := s.Insert(trade); err != nil {
|
||||
return err
|
||||
}
|
||||
}
|
||||
|
||||
return <-errC
|
||||
}
|
||||
|
||||
|
||||
func (s *TradeService) QueryTradingVolume(startTime time.Time, options TradingVolumeQueryOptions) ([]TradingVolume, error) {
|
||||
args := map[string]interface{}{
|
||||
// "symbol": symbol,
|
||||
|
|
106
pkg/service/withdraw.go
Normal file
106
pkg/service/withdraw.go
Normal file
|
@ -0,0 +1,106 @@
|
|||
package service
|
||||
|
||||
import (
|
||||
"context"
|
||||
"time"
|
||||
|
||||
"github.com/jmoiron/sqlx"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
type WithdrawService struct {
|
||||
DB *sqlx.DB
|
||||
}
|
||||
|
||||
// Sync syncs the withdraw records into db
|
||||
func (s *WithdrawService) Sync(ctx context.Context, ex types.Exchange) error {
|
||||
txnIDs := map[string]struct{}{}
|
||||
|
||||
// query descending
|
||||
records, err := s.QueryLast(ex.Name(), 100)
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
for _, record := range records {
|
||||
txnIDs[record.TransactionID] = struct{}{}
|
||||
}
|
||||
|
||||
transferApi, ok := ex.(types.ExchangeTransferService)
|
||||
if !ok {
|
||||
return ErrNotImplemented
|
||||
}
|
||||
|
||||
since := time.Time{}
|
||||
if len(records) > 0 {
|
||||
since = records[len(records)-1].ApplyTime.Time()
|
||||
}
|
||||
|
||||
// asset "" means all assets
|
||||
withdraws, err := transferApi.QueryWithdrawHistory(ctx, "", since, time.Now())
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
for _, withdraw := range withdraws {
|
||||
if _, exists := txnIDs[withdraw.TransactionID]; exists {
|
||||
continue
|
||||
}
|
||||
|
||||
if err := s.Insert(withdraw); err != nil {
|
||||
return err
|
||||
}
|
||||
}
|
||||
|
||||
return nil
|
||||
}
|
||||
|
||||
func (s *WithdrawService) QueryLast(ex types.ExchangeName, limit int) ([]types.Withdraw, error) {
|
||||
sql := "SELECT * FROM `withdraws` WHERE `exchange` = :exchange ORDER BY `time` DESC LIMIT :limit"
|
||||
rows, err := s.DB.NamedQuery(sql, map[string]interface{}{
|
||||
"exchange": ex,
|
||||
"limit": limit,
|
||||
})
|
||||
if err != nil {
|
||||
return nil, err
|
||||
}
|
||||
|
||||
defer rows.Close()
|
||||
return s.scanRows(rows)
|
||||
}
|
||||
|
||||
func (s *WithdrawService) Query(exchangeName types.ExchangeName) ([]types.Withdraw, error) {
|
||||
args := map[string]interface{}{
|
||||
"exchange": exchangeName,
|
||||
}
|
||||
sql := "SELECT * FROM `withdraws` WHERE `exchange` = :exchange ORDER BY `time` ASC"
|
||||
rows, err := s.DB.NamedQuery(sql, args)
|
||||
if err != nil {
|
||||
return nil, err
|
||||
}
|
||||
|
||||
defer rows.Close()
|
||||
|
||||
return s.scanRows(rows)
|
||||
}
|
||||
|
||||
func (s *WithdrawService) scanRows(rows *sqlx.Rows) (withdraws []types.Withdraw, err error) {
|
||||
for rows.Next() {
|
||||
var withdraw types.Withdraw
|
||||
if err := rows.StructScan(&withdraw); err != nil {
|
||||
return withdraws, err
|
||||
}
|
||||
|
||||
withdraws = append(withdraws, withdraw)
|
||||
}
|
||||
|
||||
return withdraws, rows.Err()
|
||||
}
|
||||
|
||||
func (s *WithdrawService) Insert(withdrawal types.Withdraw) error {
|
||||
sql := `INSERT INTO withdraws (exchange, asset, network, address, amount, txn_id, txn_fee, time)
|
||||
VALUES (:exchange, :asset, :network, :address, :amount, :txn_id, :txn_fee, :time)`
|
||||
_, err := s.DB.NamedExec(sql, withdrawal)
|
||||
return err
|
||||
}
|
41
pkg/service/withdraw_test.go
Normal file
41
pkg/service/withdraw_test.go
Normal file
|
@ -0,0 +1,41 @@
|
|||
package service
|
||||
|
||||
import (
|
||||
"testing"
|
||||
"time"
|
||||
|
||||
"github.com/jmoiron/sqlx"
|
||||
"github.com/stretchr/testify/assert"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/datatype"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
func TestWithdrawService(t *testing.T) {
|
||||
db, err := prepareDB(t)
|
||||
if err != nil {
|
||||
t.Fatal(err)
|
||||
}
|
||||
|
||||
defer db.Close()
|
||||
|
||||
xdb := sqlx.NewDb(db.DB, "sqlite3")
|
||||
service := &WithdrawService{DB: xdb}
|
||||
|
||||
err = service.Insert(types.Withdraw{
|
||||
Exchange: types.ExchangeMax,
|
||||
Asset: "BTC",
|
||||
Amount: 0.0001,
|
||||
Address: "test",
|
||||
TransactionID: "01",
|
||||
TransactionFee: 0.0001,
|
||||
Network: "omni",
|
||||
ApplyTime: datatype.Time(time.Now()),
|
||||
})
|
||||
assert.NoError(t, err)
|
||||
|
||||
withdraws, err := service.Query(types.ExchangeMax)
|
||||
assert.NoError(t, err)
|
||||
assert.NotEmpty(t, withdraws)
|
||||
assert.Equal(t, types.ExchangeMax, withdraws[0].Exchange)
|
||||
}
|
|
@ -1,6 +1,10 @@
|
|||
package types
|
||||
|
||||
import "time"
|
||||
import (
|
||||
"time"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/datatype"
|
||||
)
|
||||
|
||||
type DepositStatus string
|
||||
|
||||
|
@ -20,15 +24,17 @@ const (
|
|||
)
|
||||
|
||||
type Deposit struct {
|
||||
Time time.Time `json:"time"`
|
||||
Amount float64 `json:"amount"`
|
||||
Asset string `json:"asset"`
|
||||
Address string `json:"address"`
|
||||
GID int64 `json:"gid" db:"gid"`
|
||||
Exchange ExchangeName `json:"exchange" db:"exchange"`
|
||||
Time datatype.Time `json:"time" db:"time"`
|
||||
Amount float64 `json:"amount" db:"amount"`
|
||||
Asset string `json:"asset" db:"asset"`
|
||||
Address string `json:"address" db:"address"`
|
||||
AddressTag string `json:"addressTag"`
|
||||
TransactionID string `json:"txId"`
|
||||
TransactionID string `json:"transactionID" db:"txn_id"`
|
||||
Status DepositStatus `json:"status"`
|
||||
}
|
||||
|
||||
func (d Deposit) EffectiveTime() time.Time {
|
||||
return d.Time
|
||||
return d.Time.Time()
|
||||
}
|
||||
|
|
|
@ -2,6 +2,7 @@ package types
|
|||
|
||||
import (
|
||||
"context"
|
||||
"database/sql/driver"
|
||||
"encoding/json"
|
||||
"fmt"
|
||||
"strings"
|
||||
|
@ -14,9 +15,13 @@ const DateFormat = "2006-01-02"
|
|||
|
||||
type ExchangeName string
|
||||
|
||||
func (n *ExchangeName) Value() (driver.Value, error) {
|
||||
return n.String(), nil
|
||||
}
|
||||
|
||||
func (n *ExchangeName) UnmarshalJSON(data []byte) error {
|
||||
var s string
|
||||
if err := json.Unmarshal(data, &s) ; err != nil {
|
||||
if err := json.Unmarshal(data, &s); err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
|
@ -72,10 +77,6 @@ type Exchange interface {
|
|||
|
||||
QueryTrades(ctx context.Context, symbol string, options *TradeQueryOptions) ([]Trade, error)
|
||||
|
||||
QueryDepositHistory(ctx context.Context, asset string, since, until time.Time) (allDeposits []Deposit, err error)
|
||||
|
||||
QueryWithdrawHistory(ctx context.Context, asset string, since, until time.Time) (allWithdraws []Withdraw, err error)
|
||||
|
||||
SubmitOrders(ctx context.Context, orders ...SubmitOrder) (createdOrders OrderSlice, err error)
|
||||
|
||||
QueryOpenOrders(ctx context.Context, symbol string) (orders []Order, err error)
|
||||
|
@ -85,6 +86,11 @@ type Exchange interface {
|
|||
CancelOrders(ctx context.Context, orders ...Order) error
|
||||
}
|
||||
|
||||
type ExchangeTransferService interface {
|
||||
QueryDepositHistory(ctx context.Context, asset string, since, until time.Time) (allDeposits []Deposit, err error)
|
||||
QueryWithdrawHistory(ctx context.Context, asset string, since, until time.Time) (allWithdraws []Withdraw, err error)
|
||||
}
|
||||
|
||||
type ExchangeRewardService interface {
|
||||
QueryRewards(ctx context.Context, startTime time.Time) ([]Reward, error)
|
||||
}
|
||||
|
|
|
@ -1,22 +1,33 @@
|
|||
package types
|
||||
|
||||
import "time"
|
||||
import (
|
||||
"fmt"
|
||||
"time"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/datatype"
|
||||
)
|
||||
|
||||
type Withdraw struct {
|
||||
ID string `json:"id"`
|
||||
Asset string `json:"asset"`
|
||||
Amount float64 `json:"amount"`
|
||||
Address string `json:"address"`
|
||||
AddressTag string `json:"addressTag"`
|
||||
Status string `json:"status"`
|
||||
GID int64 `json:"gid" db:"gid"`
|
||||
Exchange ExchangeName `json:"exchange" db:"exchange"`
|
||||
Asset string `json:"asset" db:"asset"`
|
||||
Amount float64 `json:"amount" db:"amount"`
|
||||
Address string `json:"address" db:"address"`
|
||||
AddressTag string `json:"addressTag"`
|
||||
Status string `json:"status"`
|
||||
|
||||
TransactionID string `json:"txId"`
|
||||
TransactionFee float64 `json:"transactionFee"`
|
||||
WithdrawOrderID string `json:"withdrawOrderId"`
|
||||
ApplyTime time.Time `json:"applyTime"`
|
||||
Network string `json:"network"`
|
||||
TransactionID string `json:"transactionID" db:"txn_id"`
|
||||
TransactionFee float64 `json:"transactionFee" db:"txn_fee"`
|
||||
TransactionFeeCurrency string `json:"transactionFeeCurrency" db:"txn_fee_currency"`
|
||||
WithdrawOrderID string `json:"withdrawOrderId"`
|
||||
ApplyTime datatype.Time `json:"applyTime" db:"time"`
|
||||
Network string `json:"network" db:"network"`
|
||||
}
|
||||
|
||||
func (w Withdraw) String() string {
|
||||
return fmt.Sprintf("withdraw %s %f to %s at %s", w.Asset, w.Amount, w.Address, w.ApplyTime.Time())
|
||||
}
|
||||
|
||||
func (w Withdraw) EffectiveTime() time.Time {
|
||||
return w.ApplyTime
|
||||
return w.ApplyTime.Time()
|
||||
}
|
||||
|
|
|
@ -1,5 +1,5 @@
|
|||
---
|
||||
driver: mysql
|
||||
dialect: mysql
|
||||
dsn: "root@tcp(localhost:3306)/bbgo?parseTime=true"
|
||||
dsn: "root@tcp(localhost:3306)/bbgo_dev?parseTime=true"
|
||||
migrationsDir: migrations/mysql
|
||||
|
|
0
scripts/test-mysql-migrations.sh
Normal file → Executable file
0
scripts/test-mysql-migrations.sh
Normal file → Executable file
Loading…
Reference in New Issue
Block a user