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binance: refactor query methods

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c9s 2022-05-29 01:21:43 +08:00
parent 4c30fce917
commit f58f44ffd8
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1 changed files with 151 additions and 169 deletions
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320
pkg/exchange/binance/exchange.go
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@ -1284,145 +1284,157 @@ func (e *Exchange) QueryKLines(ctx context.Context, symbol string, interval type
return kLines, nil
}
func (e *Exchange) queryMarginTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) (trades []types.Trade, err error) {
var remoteTrades []*binance.TradeV3
req := e.client.NewListMarginTradesService().
IsIsolated(e.IsIsolatedMargin).
Symbol(symbol)
if options.Limit > 0 {
req.Limit(int(options.Limit))
} else {
req.Limit(1000)
}
// BINANCE uses inclusive last trade ID
if options.LastTradeID > 0 {
req.FromID(int64(options.LastTradeID))
}
if options.StartTime != nil && options.EndTime != nil {
if options.EndTime.Sub(*options.StartTime) < 24*time.Hour {
req.StartTime(options.StartTime.UnixMilli())
req.EndTime(options.EndTime.UnixMilli())
} else {
req.StartTime(options.StartTime.UnixMilli())
}
} else if options.StartTime != nil {
req.StartTime(options.StartTime.UnixMilli())
} else if options.EndTime != nil {
req.EndTime(options.EndTime.UnixMilli())
}
remoteTrades, err = req.Do(ctx)
if err != nil {
return nil, err
}
for _, t := range remoteTrades {
localTrade, err := toGlobalTrade(*t, e.IsMargin)
if err != nil {
log.WithError(err).Errorf("can not convert binance trade: %+v", t)
continue
}
trades = append(trades, *localTrade)
}
trades = types.SortTradesAscending(trades)
return trades, nil
}
func (e *Exchange) queryFuturesTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) (trades []types.Trade, err error) {
var remoteTrades []*futures.AccountTrade
req := e.futuresClient.NewListAccountTradeService().
Symbol(symbol)
if options.Limit > 0 {
req.Limit(int(options.Limit))
} else {
req.Limit(1000)
}
// BINANCE uses inclusive last trade ID
if options.LastTradeID > 0 {
req.FromID(int64(options.LastTradeID))
}
// The parameter fromId cannot be sent with startTime or endTime.
// Mentioned in binance futures docs
if options.LastTradeID <= 0 {
if options.StartTime != nil && options.EndTime != nil {
if options.EndTime.Sub(*options.StartTime) < 24*time.Hour {
req.StartTime(options.StartTime.UnixMilli())
req.EndTime(options.EndTime.UnixMilli())
} else {
req.StartTime(options.StartTime.UnixMilli())
}
} else if options.EndTime != nil {
req.EndTime(options.EndTime.UnixMilli())
}
}
remoteTrades, err = req.Do(ctx)
if err != nil {
return nil, err
}
for _, t := range remoteTrades {
localTrade, err := toGlobalFuturesTrade(*t)
if err != nil {
log.WithError(err).Errorf("can not convert binance futures trade: %+v", t)
continue
}
trades = append(trades, *localTrade)
}
trades = types.SortTradesAscending(trades)
return trades, nil
}
func (e *Exchange) querySpotTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) (trades []types.Trade, err error) {
var remoteTrades []*binance.TradeV3
req := e.client.NewListTradesService().
Symbol(symbol)
if options.Limit > 0 {
req.Limit(int(options.Limit))
} else {
req.Limit(1000)
}
// BINANCE uses inclusive last trade ID
if options.LastTradeID > 0 {
req.FromID(int64(options.LastTradeID))
}
if options.StartTime != nil && options.EndTime != nil {
if options.EndTime.Sub(*options.StartTime) < 24*time.Hour {
req.StartTime(options.StartTime.UnixMilli())
req.EndTime(options.EndTime.UnixMilli())
} else {
req.StartTime(options.StartTime.UnixMilli())
}
} else if options.StartTime != nil {
req.StartTime(options.StartTime.UnixMilli())
} else if options.EndTime != nil {
req.EndTime(options.EndTime.UnixMilli())
}
remoteTrades, err = req.Do(ctx)
if err != nil {
return nil, err
}
for _, t := range remoteTrades {
localTrade, err := toGlobalTrade(*t, e.IsMargin)
if err != nil {
log.WithError(err).Errorf("can not convert binance trade: %+v", t)
continue
}
trades = append(trades, *localTrade)
}
trades = types.SortTradesAscending(trades)
return trades, nil
}
func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) (trades []types.Trade, err error) {
if e.IsMargin {
var remoteTrades []*binance.TradeV3
req := e.client.NewListMarginTradesService().
IsIsolated(e.IsIsolatedMargin).
Symbol(symbol)
if options.Limit > 0 {
req.Limit(int(options.Limit))
} else {
req.Limit(1000)
}
// BINANCE uses inclusive last trade ID
if options.LastTradeID > 0 {
req.FromID(int64(options.LastTradeID))
}
if options.StartTime != nil && options.EndTime != nil {
if options.EndTime.Sub(*options.StartTime) < 24*time.Hour {
req.StartTime(options.StartTime.UnixMilli())
req.EndTime(options.EndTime.UnixMilli())
} else {
req.StartTime(options.StartTime.UnixMilli())
}
} else if options.StartTime != nil {
req.StartTime(options.StartTime.UnixMilli())
} else if options.EndTime != nil {
req.EndTime(options.EndTime.UnixMilli())
}
remoteTrades, err = req.Do(ctx)
if err != nil {
return nil, err
}
for _, t := range remoteTrades {
localTrade, err := toGlobalTrade(*t, e.IsMargin)
if err != nil {
log.WithError(err).Errorf("can not convert binance trade: %+v", t)
continue
}
trades = append(trades, *localTrade)
}
trades = types.SortTradesAscending(trades)
return trades, nil
return e.queryMarginTrades(ctx, symbol, options)
} else if e.IsFutures {
var remoteTrades []*futures.AccountTrade
req := e.futuresClient.NewListAccountTradeService().
Symbol(symbol)
if options.Limit > 0 {
req.Limit(int(options.Limit))
} else {
req.Limit(1000)
}
// BINANCE uses inclusive last trade ID
if options.LastTradeID > 0 {
req.FromID(int64(options.LastTradeID))
}
// The parameter fromId cannot be sent with startTime or endTime.
// Mentioned in binance futures docs
if options.LastTradeID <= 0 {
if options.StartTime != nil && options.EndTime != nil {
if options.EndTime.Sub(*options.StartTime) < 24*time.Hour {
req.StartTime(options.StartTime.UnixMilli())
req.EndTime(options.EndTime.UnixMilli())
} else {
req.StartTime(options.StartTime.UnixMilli())
}
} else if options.EndTime != nil {
req.EndTime(options.EndTime.UnixMilli())
}
}
remoteTrades, err = req.Do(ctx)
if err != nil {
return nil, err
}
for _, t := range remoteTrades {
localTrade, err := toGlobalFuturesTrade(*t)
if err != nil {
log.WithError(err).Errorf("can not convert binance futures trade: %+v", t)
continue
}
trades = append(trades, *localTrade)
}
trades = types.SortTradesAscending(trades)
return trades, nil
return e.queryFuturesTrades(ctx, symbol, options)
} else {
var remoteTrades []*binance.TradeV3
req := e.client.NewListTradesService().
Symbol(symbol)
if options.Limit > 0 {
req.Limit(int(options.Limit))
} else {
req.Limit(1000)
}
// BINANCE uses inclusive last trade ID
if options.LastTradeID > 0 {
req.FromID(int64(options.LastTradeID))
}
if options.StartTime != nil && options.EndTime != nil {
if options.EndTime.Sub(*options.StartTime) < 24*time.Hour {
req.StartTime(options.StartTime.UnixMilli())
req.EndTime(options.EndTime.UnixMilli())
} else {
req.StartTime(options.StartTime.UnixMilli())
}
} else if options.StartTime != nil {
req.StartTime(options.StartTime.UnixMilli())
} else if options.EndTime != nil {
req.EndTime(options.EndTime.UnixMilli())
}
remoteTrades, err = req.Do(ctx)
if err != nil {
return nil, err
}
for _, t := range remoteTrades {
localTrade, err := toGlobalTrade(*t, e.IsMargin)
if err != nil {
log.WithError(err).Errorf("can not convert binance trade: %+v", t)
continue
}
trades = append(trades, *localTrade)
}
trades = types.SortTradesAscending(trades)
return trades, nil
return e.querySpotTrades(ctx, symbol, options)
}
}
@ -1480,37 +1492,10 @@ func (e *Exchange) QueryDepth(ctx context.Context, symbol string) (snapshot type
return snapshot, finalUpdateID, nil
}
func (e *Exchange) BatchQueryKLines(ctx context.Context, symbol string, interval types.Interval, startTime, endTime time.Time) ([]types.KLine, error) {
var allKLines []types.KLine
for startTime.Before(endTime) {
klines, err := e.QueryKLines(ctx, symbol, interval, types.KLineQueryOptions{
StartTime: &startTime,
Limit: 1000,
})
if err != nil {
return nil, err
}
for _, kline := range klines {
if kline.EndTime.After(endTime) {
return allKLines, nil
}
allKLines = append(allKLines, kline)
startTime = kline.EndTime.Time()
}
}
return allKLines, nil
}
// QueryPremiumIndex is only for futures
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.
indexes, err := futuresClient.NewPremiumIndexService().Symbol(symbol).Do(ctx)
indexes, err := e.futuresClient.NewPremiumIndexService().Symbol(symbol).Do(ctx)
if err != nil {
return nil, err
}
@ -1519,8 +1504,7 @@ func (e *Exchange) QueryPremiumIndex(ctx context.Context, symbol string) (*types
}
func (e *Exchange) QueryFundingRateHistory(ctx context.Context, symbol string) (*types.FundingRate, error) {
futuresClient := binance.NewFuturesClient(e.key, e.secret)
rates, err := futuresClient.NewFundingRateService().
rates, err := e.futuresClient.NewFundingRateService().
Symbol(symbol).
Limit(1).
Do(ctx)
@ -1546,10 +1530,8 @@ func (e *Exchange) QueryFundingRateHistory(ctx context.Context, symbol string) (
}
func (e *Exchange) QueryPositionRisk(ctx context.Context, symbol string) (*types.PositionRisk, error) {
futuresClient := binance.NewFuturesClient(e.key, e.secret)
// when symbol is set, only one position risk will be returned.
risks, err := futuresClient.NewGetPositionRiskService().Symbol(symbol).Do(ctx)
risks, err := e.futuresClient.NewGetPositionRiskService().Symbol(symbol).Do(ctx)
if err != nil {
return nil, err
}