Merge pull request #322 from c9s/refactor/exchange-structure

refactor: refactor binance exchange structure

pkg/exchange/binance/convert.go

@@ -7,6 +7,7 @@ import (
 	"time"
 
 	"github.com/adshao/go-binance/v2"
+	"github.com/adshao/go-binance/v2/futures"
 	"github.com/pkg/errors"
 
 	"github.com/c9s/bbgo/pkg/fixedpoint"
@@ -14,6 +15,42 @@ import (
 	"github.com/c9s/bbgo/pkg/util"
 )
 
+func toGlobalMarket(symbol binance.Symbol) types.Market {
+	market := types.Market{
+		Symbol:          symbol.Symbol,
+		LocalSymbol:     symbol.Symbol,
+		PricePrecision:  symbol.QuotePrecision,
+		VolumePrecision: symbol.BaseAssetPrecision,
+		QuoteCurrency:   symbol.QuoteAsset,
+		BaseCurrency:    symbol.BaseAsset,
+	}
+
+	if f := symbol.MinNotionalFilter(); f != nil {
+		market.MinNotional = util.MustParseFloat(f.MinNotional)
+		market.MinAmount = util.MustParseFloat(f.MinNotional)
+	}
+
+	// The LOT_SIZE filter defines the quantity (aka "lots" in auction terms) rules for a symbol.
+	// There are 3 parts:
+	// minQty defines the minimum quantity/icebergQty allowed.
+	//	maxQty defines the maximum quantity/icebergQty allowed.
+	//	stepSize defines the intervals that a quantity/icebergQty can be increased/decreased by.
+	if f := symbol.LotSizeFilter(); f != nil {
+		market.MinQuantity = util.MustParseFloat(f.MinQuantity)
+		market.MaxQuantity = util.MustParseFloat(f.MaxQuantity)
+		market.StepSize = util.MustParseFloat(f.StepSize)
+	}
+
+	if f := symbol.PriceFilter(); f != nil {
+		market.MaxPrice = util.MustParseFloat(f.MaxPrice)
+		market.MinPrice = util.MustParseFloat(f.MinPrice)
+		market.TickSize = util.MustParseFloat(f.TickSize)
+	}
+
+	return market
+}
+
+
 func toGlobalIsolatedUserAsset(userAsset binance.IsolatedUserAsset) types.IsolatedUserAsset {
 	return types.IsolatedUserAsset{
 		Asset:         userAsset.Asset,
@@ -90,8 +127,8 @@ func toGlobalMarginAccount(account *binance.MarginAccount) *types.MarginAccount
 	}
 }
 
-func toGlobalTicker(stats *binance.PriceChangeStats) types.Ticker {
-	return types.Ticker{
+func toGlobalTicker(stats *binance.PriceChangeStats) (*types.Ticker, error) {
+	return &types.Ticker{
 		Volume: util.MustParseFloat(stats.Volume),
 		Last:   util.MustParseFloat(stats.LastPrice),
 		Open:   util.MustParseFloat(stats.OpenPrice),
@@ -100,8 +137,9 @@ func toGlobalTicker(stats *binance.PriceChangeStats) types.Ticker {
 		Buy:    util.MustParseFloat(stats.BidPrice),
 		Sell:   util.MustParseFloat(stats.AskPrice),
 		Time:   time.Unix(0, stats.CloseTime*int64(time.Millisecond)),
+	},nil
 }
-}
+
 
 func toLocalOrderType(orderType types.OrderType) (binance.OrderType, error) {
 	switch orderType {
@@ -303,3 +341,27 @@ func convertSubscription(s types.Subscription) string {
 
 	return fmt.Sprintf("%s@%s", strings.ToLower(s.Symbol), s.Channel)
 }
+
+func convertPremiumIndex(index *futures.PremiumIndex) (*types.PremiumIndex, error) {
+	markPrice, err := fixedpoint.NewFromString(index.MarkPrice)
+	if err != nil {
+		return nil, err
+	}
+
+	lastFundingRate, err := fixedpoint.NewFromString(index.LastFundingRate)
+	if err != nil {
+		return nil, err
+	}
+
+	nextFundingTime := time.Unix(0, index.NextFundingTime*int64(time.Millisecond))
+	t := time.Unix(0, index.Time*int64(time.Millisecond))
+
+	return &types.PremiumIndex{
+		Symbol:          index.Symbol,
+		MarkPrice:       markPrice,
+		NextFundingTime: nextFundingTime,
+		LastFundingRate: lastFundingRate,
+		Time:            t,
+	}, nil
+}
+

pkg/exchange/binance/exchange.go

@@ -3,14 +3,14 @@ package binance
 import (
 	"context"
 	"fmt"
-	"github.com/adshao/go-binance/v2/futures"
-	"golang.org/x/time/rate"
 	"net/http"
 	"os"
 	"strconv"
 	"strings"
 	"time"
 
+	"golang.org/x/time/rate"
+
 	"github.com/adshao/go-binance/v2"
 	"github.com/google/uuid"
 	"github.com/pkg/errors"
@@ -36,6 +36,7 @@ func init() {
 	_ = types.Exchange(&Exchange{})
 	_ = types.MarginExchange(&Exchange{})
 
+	// FIXME: this is not effected since dotenv is loaded in the rootCmd, not in the init function
 	if ok, _ := strconv.ParseBool(os.Getenv("DEBUG_BINANCE_STREAM")); ok {
 		log.Level = logrus.DebugLevel
 	}
@@ -74,8 +75,7 @@ func (e *Exchange) QueryTicker(ctx context.Context, symbol string) (*types.Ticke
 		return nil, err
 	}
 
-	ticker := toGlobalTicker(stats[0])
-	return &ticker, nil
+	return toGlobalTicker(stats[0])
 }
 
 func (e *Exchange) QueryTickers(ctx context.Context, symbol ...string) (map[string]types.Ticker, error) {
@@ -136,38 +136,7 @@ func (e *Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) {
 
 	markets := types.MarketMap{}
 	for _, symbol := range exchangeInfo.Symbols {
-		market := types.Market{
-			Symbol:          symbol.Symbol,
-			LocalSymbol:     symbol.Symbol,
-			PricePrecision:  symbol.QuotePrecision,
-			VolumePrecision: symbol.BaseAssetPrecision,
-			QuoteCurrency:   symbol.QuoteAsset,
-			BaseCurrency:    symbol.BaseAsset,
-		}
-
-		if f := symbol.MinNotionalFilter(); f != nil {
-			market.MinNotional = util.MustParseFloat(f.MinNotional)
-			market.MinAmount = util.MustParseFloat(f.MinNotional)
-		}
-
-		// The LOT_SIZE filter defines the quantity (aka "lots" in auction terms) rules for a symbol.
-		// There are 3 parts:
-		// minQty defines the minimum quantity/icebergQty allowed.
-		//	maxQty defines the maximum quantity/icebergQty allowed.
-		//	stepSize defines the intervals that a quantity/icebergQty can be increased/decreased by.
-		if f := symbol.LotSizeFilter(); f != nil {
-			market.MinQuantity = util.MustParseFloat(f.MinQuantity)
-			market.MaxQuantity = util.MustParseFloat(f.MaxQuantity)
-			market.StepSize = util.MustParseFloat(f.StepSize)
-		}
-
-		if f := symbol.PriceFilter(); f != nil {
-			market.MaxPrice = util.MustParseFloat(f.MaxPrice)
-			market.MinPrice = util.MustParseFloat(f.MinPrice)
-			market.TickSize = util.MustParseFloat(f.TickSize)
-		}
-
-		markets[symbol.Symbol] = market
+		markets[symbol.Symbol] = toGlobalMarket(symbol)
 	}
 
 	return markets, nil
@@ -211,15 +180,6 @@ func (e *Exchange) QueryIsolatedMarginAccount(ctx context.Context, symbols ...st
 	return toGlobalIsolatedMarginAccount(account), nil
 }
 
-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) Withdrawal(ctx context.Context, asset string, amount fixedpoint.Value, address string, options *types.WithdrawalOptions) error {
 	req := e.Client.NewCreateWithdrawService()
@@ -250,7 +210,7 @@ func (e *Exchange) QueryWithdrawHistory(ctx context.Context, asset string, since
 
 	var emptyTime = time.Time{}
 	if startTime == emptyTime {
-		startTime, err = e.getLaunchDate()
+		startTime, err = getLaunchDate()
 		if err != nil {
 			return nil, err
 		}
@@ -338,7 +298,7 @@ func (e *Exchange) QueryDepositHistory(ctx context.Context, asset string, since,
 
 	var emptyTime = time.Time{}
 	if startTime == emptyTime {
-		startTime, err = e.getLaunchDate()
+		startTime, err = getLaunchDate()
 		if err != nil {
 			return nil, err
 		}
@@ -925,44 +885,7 @@ func (e *Exchange) BatchQueryKLines(ctx context.Context, symbol string, interval
 	return allKLines, nil
 }
 
-type FundingRate struct {
-	FundingRate fixedpoint.Value
-	FundingTime time.Time
-	Time        time.Time
-}
-
-type PremiumIndex struct {
-	Symbol          string           `json:"symbol"`
-	MarkPrice       fixedpoint.Value `json:"markPrice"`
-	LastFundingRate fixedpoint.Value `json:"lastFundingRate"`
-	NextFundingTime time.Time        `json:"nextFundingTime"`
-	Time            time.Time        `json:"time"`
-}
-
-func convertPremiumIndex(index *futures.PremiumIndex) (*PremiumIndex, error) {
-	markPrice, err := fixedpoint.NewFromString(index.MarkPrice)
-	if err != nil {
-		return nil, err
-	}
-
-	lastFundingRate, err := fixedpoint.NewFromString(index.LastFundingRate)
-	if err != nil {
-		return nil, err
-	}
-
-	nextFundingTime := time.Unix(0, index.NextFundingTime*int64(time.Millisecond))
-	t := time.Unix(0, index.Time*int64(time.Millisecond))
-
-	return &PremiumIndex{
-		Symbol:          index.Symbol,
-		MarkPrice:       markPrice,
-		NextFundingTime: nextFundingTime,
-		LastFundingRate: lastFundingRate,
-		Time:            t,
-	}, nil
-}
-
-func (e *Exchange) QueryPremiumIndex(ctx context.Context, symbol string) (*PremiumIndex, error) {
+func (e *Exchange) QueryPremiumIndex(ctx context.Context, symbol string) (*types.PremiumIndex, error) {
 	futuresClient := binance.NewFuturesClient(e.key, e.secret)
 
 	// when symbol is set, only one index will be returned.
@@ -974,7 +897,7 @@ func (e *Exchange) QueryPremiumIndex(ctx context.Context, symbol string) (*Premi
 	return convertPremiumIndex(indexes[0])
 }
 
-func (e *Exchange) QueryFundingRateHistory(ctx context.Context, symbol string) (*FundingRate, error) {
+func (e *Exchange) QueryFundingRateHistory(ctx context.Context, symbol string) (*types.FundingRate, error) {
 	futuresClient := binance.NewFuturesClient(e.key, e.secret)
 	rates, err := futuresClient.NewFundingRateService().
 		Symbol(symbol).
@@ -994,9 +917,19 @@ func (e *Exchange) QueryFundingRateHistory(ctx context.Context, symbol string) (
 		return nil, err
 	}
 
-	return &FundingRate{
+	return &types.FundingRate{
 		FundingRate: fundingRate,
 		FundingTime: time.Unix(0, rate.FundingTime*int64(time.Millisecond)),
 		Time:        time.Unix(0, rate.Time*int64(time.Millisecond)),
 	}, nil
 }
+
+func 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
+}

pkg/strategy/techsignal/strategy.go

@@ -4,13 +4,14 @@ import (
 	"context"
 	"errors"
 	"fmt"
-	"github.com/c9s/bbgo/pkg/exchange/binance"
-	"github.com/c9s/bbgo/pkg/fixedpoint"
-	"github.com/sirupsen/logrus"
 	"math"
 	"strings"
 	"time"
 
+	"github.com/c9s/bbgo/pkg/exchange/binance"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/sirupsen/logrus"
+
 	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/types"
 )
@@ -87,7 +88,7 @@ func (s *Strategy) Validate() error {
 }
 
 func (s *Strategy) listenToFundingRate(ctx context.Context, exchange *binance.Exchange) {
-	var previousIndex, fundingRate24HoursLowIndex *binance.PremiumIndex
+	var previousIndex, fundingRate24HoursLowIndex *types.PremiumIndex
 
 	fundingRateTicker := time.NewTicker(1 * time.Hour)
 	defer fundingRateTicker.Stop()

pkg/types/fundingrate.go

@@ -0,0 +1,13 @@
+package types
+
+import (
+	"time"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+)
+
+type FundingRate struct {
+	FundingRate fixedpoint.Value
+	FundingTime time.Time
+	Time        time.Time
+}

pkg/types/premiumindex.go

@@ -0,0 +1,15 @@
+package types
+
+import (
+	"time"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+)
+
+type PremiumIndex struct {
+	Symbol          string           `json:"symbol"`
+	MarkPrice       fixedpoint.Value `json:"markPrice"`
+	LastFundingRate fixedpoint.Value `json:"lastFundingRate"`
+	NextFundingTime time.Time        `json:"nextFundingTime"`
+	Time            time.Time        `json:"time"`
+}