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Support binance order update execution type convertion
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391767953a
commit
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@ -306,6 +306,10 @@ func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder
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}
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clientOrderID := uuid.New().String()
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if len(order.ClientOrderID) > 0 {
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clientOrderID = order.ClientOrderID
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}
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req := e.Client.NewCreateOrderService().
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Symbol(order.Symbol).
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Side(binance.SideType(order.Side)).
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@ -75,7 +75,7 @@ type ExecutionReportEvent struct {
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CurrentExecutionType string `json:"x"`
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CurrentOrderStatus string `json:"X"`
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OrderID int `json:"i"`
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OrderID uint64 `json:"i"`
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TradeID int64 `json:"t"`
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TransactionTime int64 `json:"T"`
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@ -85,7 +85,34 @@ type ExecutionReportEvent struct {
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LastExecutedPrice string `json:"L"`
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LastQuoteAssetTransactedQuantity string `json:"Y"`
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OrderCreationTime int `json:"O"`
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OrderCreationTime int64 `json:"O"`
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}
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func (e *ExecutionReportEvent) Order() (*types.Order, error) {
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switch e.CurrentExecutionType {
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case "NEW", "CANCELED", "REJECTED", "EXPIRED":
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case "REPLACED":
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default:
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return nil, errors.New("execution report type is not for order")
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}
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orderCreationTime := time.Unix(0, e.OrderCreationTime*int64(time.Millisecond))
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return &types.Order{
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SubmitOrder: types.SubmitOrder{
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Symbol: e.Symbol,
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ClientOrderID: e.ClientOrderID,
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Side: toGlobalSideType(binance.SideType(e.Side)),
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Type: toGlobalOrderType(binance.OrderType(e.OrderType)),
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Quantity: util.MustParseFloat(e.OrderQuantity),
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Price: util.MustParseFloat(e.OrderPrice),
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TimeInForce: e.TimeInForce,
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},
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OrderID: e.OrderID,
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Status: toGlobalOrderStatus(binance.OrderStatusType(e.CurrentOrderStatus)),
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ExecutedQuantity: util.MustParseFloat(e.CumulativeFilledQuantity),
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CreationTime: orderCreationTime,
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}, nil
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}
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func (e *ExecutionReportEvent) Trade() (*types.Trade, error) {
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@ -93,14 +120,14 @@ func (e *ExecutionReportEvent) Trade() (*types.Trade, error) {
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return nil, errors.New("execution report is not a trade")
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}
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tt := time.Unix(0, e.TransactionTime * int64(time.Millisecond))
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tt := time.Unix(0, e.TransactionTime*int64(time.Millisecond))
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return &types.Trade{
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ID: e.TradeID,
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Symbol: e.Symbol,
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Side: toGlobalSideType(binance.SideType(e.Side)),
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Price: util.MustParseFloat(e.LastExecutedPrice),
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Quantity: util.MustParseFloat(e.LastExecutedQuantity),
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QuoteQuantity: util.MustParseFloat(e.LastQuoteAssetTransactedQuantity),
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Side: toGlobalSideType(binance.SideType(e.Side)),
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IsBuyer: e.Side == "BUY",
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IsMaker: e.IsMaker,
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Time: tt,
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61
pkg/exchange/binance/parse_test.go
Normal file
61
pkg/exchange/binance/parse_test.go
Normal file
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@ -0,0 +1,61 @@
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package binance
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import (
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"regexp"
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"testing"
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"github.com/stretchr/testify/assert"
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)
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var jsCommentTrimmer = regexp.MustCompile("(?m)//.*$")
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func TestParseOrderUpdate(t *testing.T) {
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payload := `{
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"e": "executionReport", // Event type
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"E": 1499405658658, // Event time
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"s": "ETHBTC", // Symbol
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"c": "mUvoqJxFIILMdfAW5iGSOW", // Client order ID
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"S": "BUY", // Side
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"o": "LIMIT", // Order type
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"f": "GTC", // Time in force
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"q": "1.00000000", // Order quantity
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"p": "0.10264410", // Order price
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"P": "0.00000000", // Stop price
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"F": "0.00000000", // Iceberg quantity
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"g": -1, // OrderListId
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"C": null, // Original client order ID; This is the ID of the order being canceled
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"x": "NEW", // Current execution type
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"X": "NEW", // Current order status
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"r": "NONE", // Order reject reason; will be an error code.
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"i": 4293153, // Order ID
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"l": "0.00000000", // Last executed quantity
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"z": "0.00000000", // Cumulative filled quantity
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"L": "0.00000000", // Last executed price
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"n": "0", // Commission amount
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"N": null, // Commission asset
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"T": 1499405658657, // Transaction time
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"t": -1, // Trade ID
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"I": 8641984, // Ignore
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"w": true, // Is the order on the book?
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"m": false, // Is this trade the maker side?
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"M": false, // Ignore
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"O": 1499405658657, // Order creation time
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"Z": "0.00000000", // Cumulative quote asset transacted quantity
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"Y": "0.00000000", // Last quote asset transacted quantity (i.e. lastPrice * lastQty)
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"Q": "0.00000000" // Quote Order Qty
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}`
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payload = jsCommentTrimmer.ReplaceAllLiteralString(payload, "")
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event, err := ParseEvent(payload)
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assert.NoError(t, err)
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assert.NotNil(t, event)
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executionReport, ok := event.(*ExecutionReportEvent)
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assert.True(t, ok)
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assert.NotNil(t, executionReport)
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orderUpdate, err := executionReport.Order()
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assert.NoError(t, err)
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assert.NotNil(t, orderUpdate)
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}
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@ -98,6 +98,10 @@ func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder
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}
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clientOrderID := uuid.New().String()
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if len(order.ClientOrderID) > 0 {
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clientOrderID = order.ClientOrderID
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}
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req := e.client.OrderService.NewCreateOrderRequest().
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Market(toLocalSymbol(order.Symbol)).
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OrderType(string(orderType)).
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@ -1,6 +1,8 @@
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package types
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import (
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"time"
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"github.com/slack-go/slack"
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)
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@ -30,18 +32,24 @@ type Order struct {
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OrderID uint64 `json:"orderID"` // order id
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Status OrderStatus `json:"status"`
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ExecutedQuantity float64 `json:"executedQuantity"`
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CreationTime time.Time
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}
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type SubmitOrder struct {
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ClientOrderID string `json:"clientOrderID"`
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Symbol string
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Side SideType
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Type OrderType
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Quantity float64
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Price float64
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StopPrice float64
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Market Market
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// TODO: we can probably remove these field
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StopPriceString string
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PriceString string
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QuantityString string
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