binance: refactor binance exchange code for futures api

pkg/exchange/binance/exchange.go

@@ -787,22 +787,7 @@ func (e *Exchange) QueryClosedOrders(ctx context.Context, symbol string, since,
 	}
 
 	if e.IsFutures {
-		req := e.futuresClient.NewListOrdersService().Symbol(symbol)
+		return e.queryFuturesClosedOrders(ctx, symbol, since, until, lastOrderID)
-
-		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)
 	}
 
 	// 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) queryFuturesDepth(ctx context.Context, symbol string) (snapshot types.SliceOrderBook, finalUpdateID int64, err error) {
-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{
+
+	response := &binance.DepthResponse{
 		LastUpdateID: res.LastUpdateID,
 		Bids:         res.Bids,
 		Asks:         res.Asks,
 	}
-	} else {
+
-		response, err = e.client.NewDepthService().Symbol(symbol).Do(ctx)
+	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 {

pkg/exchange/binance/futures.go

@@ -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
+}