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binance: refactor binance exchange code for futures api

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c9s 2023-03-24 18:06:40 +08:00
parent 071825e982
commit ed4d32c59a
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GPG Key ID: 7385E7E464CB0A54
2 changed files with 79 additions and 64 deletions
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93
pkg/exchange/binance/exchange.go
View File

@ -787,22 +787,7 @@ func (e *Exchange) QueryClosedOrders(ctx context.Context, symbol string, since,
}
if e.IsFutures {
req := e.futuresClient.NewListOrdersService().Symbol(symbol)
if lastOrderID > 0 {
req.OrderID(int64(lastOrderID))
} else {
req.StartTime(since.UnixNano() / int64(time.Millisecond))
if until.Sub(since) < 24*time.Hour {
req.EndTime(until.UnixNano() / int64(time.Millisecond))
}
}
binanceOrders, err := req.Do(ctx)
if err != nil {
return orders, err
}
return toGlobalFuturesOrders(binanceOrders, false)
return e.queryFuturesClosedOrders(ctx, symbol, since, until, lastOrderID)
}
// If orderId is set, it will get orders >= that orderId. Otherwise most recent orders are returned.
@ -1012,36 +997,6 @@ func newSpotClientOrderID(originalID string) (clientOrderID string) {
return clientOrderID
}
// BBGO is a futures broker on Binance
const futuresBrokerID = "gBhMvywy"
func newFuturesClientOrderID(originalID string) (clientOrderID string) {
if originalID == types.NoClientOrderID {
return ""
}
prefix := "x-" + futuresBrokerID
prefixLen := len(prefix)
if originalID != "" {
// try to keep the whole original client order ID if user specifies it.
if prefixLen+len(originalID) > 32 {
return originalID
}
clientOrderID = prefix + originalID
return clientOrderID
}
clientOrderID = uuid.New().String()
clientOrderID = prefix + clientOrderID
if len(clientOrderID) > 32 {
return clientOrderID[0:32]
}
return clientOrderID
}
func (e *Exchange) submitSpotOrder(ctx context.Context, order types.SubmitOrder) (*types.Order, error) {
orderType, err := toLocalOrderType(order.Type)
if err != nil {
@ -1326,26 +1281,36 @@ func (e *Exchange) DefaultFeeRates() types.ExchangeFee {
}
}
// QueryDepth query the order book depth of a symbol
func (e *Exchange) QueryDepth(ctx context.Context, symbol string) (snapshot types.SliceOrderBook, finalUpdateID int64, err error) {
var response *binance.DepthResponse
if e.IsFutures {
res, err := e.futuresClient.NewDepthService().Symbol(symbol).Do(ctx)
if err != nil {
return snapshot, finalUpdateID, err
}
response = &binance.DepthResponse{
LastUpdateID: res.LastUpdateID,
Bids: res.Bids,
Asks: res.Asks,
}
} else {
response, err = e.client.NewDepthService().Symbol(symbol).Do(ctx)
if err != nil {
return snapshot, finalUpdateID, err
}
func (e *Exchange) queryFuturesDepth(ctx context.Context, symbol string) (snapshot types.SliceOrderBook, finalUpdateID int64, err error) {
res, err := e.futuresClient.NewDepthService().Symbol(symbol).Do(ctx)
if err != nil {
return snapshot, finalUpdateID, err
}
response := &binance.DepthResponse{
LastUpdateID: res.LastUpdateID,
Bids: res.Bids,
Asks: res.Asks,
}
return convertDepth(snapshot, symbol, finalUpdateID, response)
}
// QueryDepth query the order book depth of a symbol
func (e *Exchange) QueryDepth(ctx context.Context, symbol string) (snapshot types.SliceOrderBook, finalUpdateID int64, err error) {
if e.IsFutures {
return e.queryFuturesDepth(ctx, symbol)
}
response, err := e.client.NewDepthService().Symbol(symbol).Do(ctx)
if err != nil {
return snapshot, finalUpdateID, err
}
return convertDepth(snapshot, symbol, finalUpdateID, response)
}
func convertDepth(snapshot types.SliceOrderBook, symbol string, finalUpdateID int64, response *binance.DepthResponse) (types.SliceOrderBook, int64, error) {
snapshot.Symbol = symbol
finalUpdateID = response.LastUpdateID
for _, entry := range response.Bids {

50
pkg/exchange/binance/futures.go
View File

@ -6,6 +6,7 @@ import (
"time"
"github.com/adshao/go-binance/v2/futures"
"github.com/google/uuid"
"go.uber.org/multierr"
"github.com/c9s/bbgo/pkg/exchange/binance/binanceapi"
@ -13,6 +14,25 @@ import (
"github.com/c9s/bbgo/pkg/types"
)
func (e *Exchange) queryFuturesClosedOrders(ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64) (orders []types.Order, err error) {
req := e.futuresClient.NewListOrdersService().Symbol(symbol)
if lastOrderID > 0 {
req.OrderID(int64(lastOrderID))
} else {
req.StartTime(since.UnixNano() / int64(time.Millisecond))
if until.Sub(since) < 24*time.Hour {
req.EndTime(until.UnixNano() / int64(time.Millisecond))
}
}
binanceOrders, err := req.Do(ctx)
if err != nil {
return orders, err
}
return toGlobalFuturesOrders(binanceOrders, false)
}
func (e *Exchange) TransferFuturesAccountAsset(ctx context.Context, asset string, amount fixedpoint.Value, io types.TransferDirection) error {
req := e.client2.NewFuturesTransferRequest()
req.Asset(asset)
@ -286,3 +306,33 @@ func (e *Exchange) queryFuturesTrades(ctx context.Context, symbol string, option
trades = types.SortTradesAscending(trades)
return trades, nil
}
// BBGO is a futures broker on Binance
const futuresBrokerID = "gBhMvywy"
func newFuturesClientOrderID(originalID string) (clientOrderID string) {
if originalID == types.NoClientOrderID {
return ""
}
prefix := "x-" + futuresBrokerID
prefixLen := len(prefix)
if originalID != "" {
// try to keep the whole original client order ID if user specifies it.
if prefixLen+len(originalID) > 32 {
return originalID
}
clientOrderID = prefix + originalID
return clientOrderID
}
clientOrderID = uuid.New().String()
clientOrderID = prefix + clientOrderID
if len(clientOrderID) > 32 {
return clientOrderID[0:32]
}
return clientOrderID
}