FEATURE: split self trades when use MAX RESTful API to query trades

pkg/exchange/max/convert.go

@@ -5,7 +5,8 @@ import (
 	"strings"
 	"time"
 
-	"github.com/c9s/bbgo/pkg/exchange/max/maxapi"
+	max "github.com/c9s/bbgo/pkg/exchange/max/maxapi"
+	v3 "github.com/c9s/bbgo/pkg/exchange/max/maxapi/v3"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
 )
@@ -193,7 +194,50 @@ func toGlobalOrder(maxOrder max.Order) (*types.Order, error) {
 	}, nil
 }
 
-func toGlobalTrade(t max.Trade) (*types.Trade, error) {
+func toGlobalTradeV3(t v3.Trade) ([]types.Trade, error) {
+	var trades []types.Trade
+	isMargin := t.WalletType == max.WalletTypeMargin
+	side := toGlobalSideType(t.Side)
+
+	trade := types.Trade{
+		ID:            t.ID,
+		OrderID:       t.OrderID,
+		Price:         t.Price,
+		Symbol:        toGlobalSymbol(t.Market),
+		Exchange:      types.ExchangeMax,
+		Quantity:      t.Volume,
+		Side:          side,
+		IsBuyer:       t.IsBuyer(),
+		IsMaker:       t.IsMaker(),
+		Fee:           t.Fee,
+		FeeCurrency:   toGlobalCurrency(t.FeeCurrency),
+		QuoteQuantity: t.Funds,
+		Time:          types.Time(t.CreatedAt),
+		IsMargin:      isMargin,
+		IsIsolated:    false,
+		IsFutures:     false,
+	}
+
+	if t.Side == "self-trade" {
+		trade.Side = types.SideTypeSell
+
+		// create trade for bid
+		bidTrade := trade
+		bidTrade.Side = types.SideTypeBuy
+		bidTrade.OrderID = t.SelfTradeBidOrderID
+		bidTrade.Fee = t.SelfTradeBidFee
+		bidTrade.FeeCurrency = t.SelfTradeBidFeeCurrency
+		bidTrade.IsBuyer = !trade.IsBuyer
+		bidTrade.IsMaker = !trade.IsMaker
+		trades = append(trades, bidTrade)
+	}
+
+	trades = append(trades, trade)
+
+	return trades, nil
+}
+
+func toGlobalTradeV2(t max.Trade) (*types.Trade, error) {
 	isMargin := t.WalletType == max.WalletTypeMargin
 	side := toGlobalSideType(t.Side)
 	return &types.Trade{

pkg/exchange/max/convert_test.go

@@ -0,0 +1,116 @@
+package max
+
+import (
+	"encoding/json"
+	"testing"
+
+	v3 "github.com/c9s/bbgo/pkg/exchange/max/maxapi/v3"
+	"github.com/c9s/bbgo/pkg/types"
+	"github.com/stretchr/testify/assert"
+)
+
+func Test_toGlobalTradeV3(t *testing.T) {
+	assert := assert.New(t)
+
+	t.Run("ask trade", func(t *testing.T) {
+		str := `
+		{
+			"id": 68444,
+			"order_id": 87,
+			"wallet_type": "spot",
+			"price": "21499.0",
+			"volume": "0.2658",
+			"funds": "5714.4",
+			"market": "ethtwd",
+			"market_name": "ETH/TWD",
+			"side": "bid",
+			"fee": "0.00001",
+			"fee_currency": "usdt",
+			"self_trade_bid_fee": "0.00001",
+			"self_trade_bid_fee_currency": "eth",
+			"self_trade_bid_order_id": 86,
+			"liquidity": "maker",
+			"created_at": 1521726960357
+		}
+		`
+
+		var trade v3.Trade
+		assert.NoError(json.Unmarshal([]byte(str), &trade))
+
+		trades, err := toGlobalTradeV3(trade)
+		assert.NoError(err)
+		assert.Len(trades, 1)
+
+		assert.Equal(uint64(87), trades[0].OrderID)
+		assert.Equal(types.SideTypeBuy, trades[0].Side)
+	})
+
+	t.Run("bid trade", func(t *testing.T) {
+		str := `
+		{
+			"id": 68444,
+			"order_id": 87,
+			"wallet_type": "spot",
+			"price": "21499.0",
+			"volume": "0.2658",
+			"funds": "5714.4",
+			"market": "ethtwd",
+			"market_name": "ETH/TWD",
+			"side": "ask",
+			"fee": "0.00001",
+			"fee_currency": "usdt",
+			"self_trade_bid_fee": "0.00001",
+			"self_trade_bid_fee_currency": "eth",
+			"self_trade_bid_order_id": 86,
+			"liquidity": "maker",
+			"created_at": 1521726960357
+		}
+		`
+
+		var trade v3.Trade
+		assert.NoError(json.Unmarshal([]byte(str), &trade))
+
+		trades, err := toGlobalTradeV3(trade)
+		assert.NoError(err)
+		assert.Len(trades, 1)
+
+		assert.Equal(uint64(87), trades[0].OrderID)
+		assert.Equal(types.SideTypeSell, trades[0].Side)
+	})
+
+	t.Run("self trade", func(t *testing.T) {
+		str := `
+		{
+			"id": 68444,
+			"order_id": 87,
+			"wallet_type": "spot",
+			"price": "21499.0",
+			"volume": "0.2658",
+			"funds": "5714.4",
+			"market": "ethtwd",
+			"market_name": "ETH/TWD",
+			"side": "self-trade",
+			"fee": "0.00001",
+			"fee_currency": "usdt",
+			"self_trade_bid_fee": "0.00001",
+			"self_trade_bid_fee_currency": "eth",
+			"self_trade_bid_order_id": 86,
+			"liquidity": "maker",
+			"created_at": 1521726960357
+		}
+		`
+
+		var trade v3.Trade
+		assert.NoError(json.Unmarshal([]byte(str), &trade))
+
+		trades, err := toGlobalTradeV3(trade)
+		assert.NoError(err)
+		assert.Len(trades, 2)
+
+		assert.Equal(uint64(86), trades[0].OrderID)
+		assert.Equal(types.SideTypeBuy, trades[0].Side)
+
+		assert.Equal(uint64(87), trades[1].OrderID)
+		assert.Equal(types.SideTypeSell, trades[1].Side)
+	})
+}

pkg/exchange/max/exchange.go

@@ -186,13 +186,13 @@ func (e *Exchange) QueryOrderTrades(ctx context.Context, q types.OrderQuery) ([]
 
 	var trades []types.Trade
 	for _, t := range maxTrades {
-		localTrade, err := toGlobalTrade(t)
+		localTrades, err := toGlobalTradeV3(t)
 		if err != nil {
 			log.WithError(err).Errorf("can not convert trade: %+v", t)
 			continue
 		}
 
-		trades = append(trades, *localTrade)
+		trades = append(trades, localTrades...)
 	}
 
 	// ensure everything is sorted ascending
@@ -806,13 +806,13 @@ func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *type
 	}
 
 	for _, t := range maxTrades {
-		localTrade, err := toGlobalTrade(t)
+		localTrades, err := toGlobalTradeV3(t)
 		if err != nil {
 			log.WithError(err).Errorf("can not convert trade: %+v", t)
 			continue
 		}
 
-		trades = append(trades, *localTrade)
+		trades = append(trades, localTrades...)
 	}
 
 	// ensure everything is sorted ascending

pkg/exchange/max/maxapi/v3/get_order_trades_request_requestgen.go

@@ -6,7 +6,6 @@ import (
 	"context"
 	"encoding/json"
 	"fmt"
-	"github.com/c9s/bbgo/pkg/exchange/max/maxapi"
 	"net/url"
 	"reflect"
 	"regexp"
@@ -136,7 +135,7 @@ func (g *GetOrderTradesRequest) GetSlugsMap() (map[string]string, error) {
 	return slugs, nil
 }
 
-func (g *GetOrderTradesRequest) Do(ctx context.Context) ([]max.Trade, error) {
+func (g *GetOrderTradesRequest) Do(ctx context.Context) ([]Trade, error) {
 
 	// empty params for GET operation
 	var params interface{}
@@ -157,7 +156,7 @@ func (g *GetOrderTradesRequest) Do(ctx context.Context) ([]max.Trade, error) {
 		return nil, err
 	}
 
-	var apiResponse []max.Trade
+	var apiResponse []Trade
 	if err := response.DecodeJSON(&apiResponse); err != nil {
 		return nil, err
 	}

pkg/exchange/max/maxapi/v3/get_wallet_trades_request_requestgen.go

@@ -198,7 +198,7 @@ func (g *GetWalletTradesRequest) GetSlugsMap() (map[string]string, error) {
 	return slugs, nil
 }
 
-func (g *GetWalletTradesRequest) Do(ctx context.Context) ([]max.Trade, error) {
+func (g *GetWalletTradesRequest) Do(ctx context.Context) ([]Trade, error) {
 
 	// empty params for GET operation
 	var params interface{}
@@ -225,7 +225,7 @@ func (g *GetWalletTradesRequest) Do(ctx context.Context) ([]max.Trade, error) {
 		return nil, err
 	}
 
-	var apiResponse []max.Trade
+	var apiResponse []Trade
 	if err := response.DecodeJSON(&apiResponse); err != nil {
 		return nil, err
 	}

pkg/exchange/max/maxapi/v3/order.go

@@ -15,7 +15,6 @@ type WalletType = maxapi.WalletType
 type OrderType = maxapi.OrderType
 
 type Order = maxapi.Order
-type Trade = maxapi.Trade
 type Account = maxapi.Account
 
 // OrderService manages the Order endpoint.

pkg/exchange/max/maxapi/v3/trade.go

@@ -0,0 +1,33 @@
+package v3
+
+import (
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type Trade struct {
+	ID                      uint64                     `json:"id" db:"exchange_id"`
+	WalletType              WalletType                 `json:"wallet_type,omitempty"`
+	Price                   fixedpoint.Value           `json:"price"`
+	Volume                  fixedpoint.Value           `json:"volume"`
+	Funds                   fixedpoint.Value           `json:"funds"`
+	Market                  string                     `json:"market"`
+	MarketName              string                     `json:"market_name"`
+	CreatedAt               types.MillisecondTimestamp `json:"created_at"`
+	Side                    string                     `json:"side"`
+	OrderID                 uint64                     `json:"order_id"`
+	Fee                     fixedpoint.Value           `json:"fee"` // float number as string
+	FeeCurrency             string                     `json:"fee_currency"`
+	Liquidity               string                     `json:"liquidity"`
+	SelfTradeBidFee         fixedpoint.Value           `json:"self_trade_bid_fee"`
+	SelfTradeBidFeeCurrency string                     `json:"self_trade_bid_fee_currency"`
+	SelfTradeBidOrderID     uint64                     `json:"self_trade_bid_order_id"`
+}
+
+func (t Trade) IsBuyer() bool {
+	return t.Side == "bid"
+}
+
+func (t Trade) IsMaker() bool {
+	return t.Liquidity == "maker"
+}