Support binance order update execution type convertion

pkg/exchange/binance/exchange.go

@@ -306,6 +306,10 @@ func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder
 		}
 
 		clientOrderID := uuid.New().String()
+		if len(order.ClientOrderID) > 0 {
+			clientOrderID = order.ClientOrderID
+		}
+
 		req := e.Client.NewCreateOrderService().
 			Symbol(order.Symbol).
 			Side(binance.SideType(order.Side)).

pkg/exchange/binance/parse.go

@@ -75,7 +75,7 @@ type ExecutionReportEvent struct {
 	CurrentExecutionType string `json:"x"`
 	CurrentOrderStatus   string `json:"X"`
 
-	OrderID int `json:"i"`
+	OrderID uint64 `json:"i"`
 
 	TradeID         int64 `json:"t"`
 	TransactionTime int64 `json:"T"`
@@ -85,7 +85,34 @@ type ExecutionReportEvent struct {
 	LastExecutedPrice                string `json:"L"`
 	LastQuoteAssetTransactedQuantity string `json:"Y"`
 
-	OrderCreationTime int `json:"O"`
+	OrderCreationTime int64 `json:"O"`
+}
+
+func (e *ExecutionReportEvent) Order() (*types.Order, error) {
+
+	switch e.CurrentExecutionType {
+	case "NEW", "CANCELED", "REJECTED", "EXPIRED":
+	case "REPLACED":
+	default:
+		return nil, errors.New("execution report type is not for order")
+	}
+
+	orderCreationTime := time.Unix(0, e.OrderCreationTime*int64(time.Millisecond))
+	return &types.Order{
+		SubmitOrder: types.SubmitOrder{
+			Symbol:        e.Symbol,
+			ClientOrderID: e.ClientOrderID,
+			Side:          toGlobalSideType(binance.SideType(e.Side)),
+			Type:          toGlobalOrderType(binance.OrderType(e.OrderType)),
+			Quantity:      util.MustParseFloat(e.OrderQuantity),
+			Price:         util.MustParseFloat(e.OrderPrice),
+			TimeInForce:   e.TimeInForce,
+		},
+		OrderID:          e.OrderID,
+		Status:           toGlobalOrderStatus(binance.OrderStatusType(e.CurrentOrderStatus)),
+		ExecutedQuantity: util.MustParseFloat(e.CumulativeFilledQuantity),
+		CreationTime:     orderCreationTime,
+	}, nil
 }
 
 func (e *ExecutionReportEvent) Trade() (*types.Trade, error) {
@@ -97,10 +124,10 @@ func (e *ExecutionReportEvent) Trade() (*types.Trade, error) {
 	return &types.Trade{
 		ID:            e.TradeID,
 		Symbol:        e.Symbol,
+		Side:          toGlobalSideType(binance.SideType(e.Side)),
 		Price:         util.MustParseFloat(e.LastExecutedPrice),
 		Quantity:      util.MustParseFloat(e.LastExecutedQuantity),
 		QuoteQuantity: util.MustParseFloat(e.LastQuoteAssetTransactedQuantity),
-		Side:          toGlobalSideType(binance.SideType(e.Side)),
 		IsBuyer:       e.Side == "BUY",
 		IsMaker:       e.IsMaker,
 		Time:          tt,

pkg/exchange/binance/parse_test.go

@@ -0,0 +1,61 @@
+package binance
+
+import (
+	"regexp"
+	"testing"
+
+	"github.com/stretchr/testify/assert"
+)
+
+var jsCommentTrimmer = regexp.MustCompile("(?m)//.*$")
+
+func TestParseOrderUpdate(t *testing.T) {
+	payload := `{
+  "e": "executionReport",        // Event type
+  "E": 1499405658658,            // Event time
+  "s": "ETHBTC",                 // Symbol
+  "c": "mUvoqJxFIILMdfAW5iGSOW", // Client order ID
+  "S": "BUY",                    // Side
+  "o": "LIMIT",                  // Order type
+  "f": "GTC",                    // Time in force
+  "q": "1.00000000",             // Order quantity
+  "p": "0.10264410",             // Order price
+  "P": "0.00000000",             // Stop price
+  "F": "0.00000000",             // Iceberg quantity
+  "g": -1,                       // OrderListId
+  "C": null,                     // Original client order ID; This is the ID of the order being canceled
+  "x": "NEW",                    // Current execution type
+  "X": "NEW",                    // Current order status
+  "r": "NONE",                   // Order reject reason; will be an error code.
+  "i": 4293153,                  // Order ID
+  "l": "0.00000000",             // Last executed quantity
+  "z": "0.00000000",             // Cumulative filled quantity
+  "L": "0.00000000",             // Last executed price
+  "n": "0",                      // Commission amount
+  "N": null,                     // Commission asset
+  "T": 1499405658657,            // Transaction time
+  "t": -1,                       // Trade ID
+  "I": 8641984,                  // Ignore
+  "w": true,                     // Is the order on the book?
+  "m": false,                    // Is this trade the maker side?
+  "M": false,                    // Ignore
+  "O": 1499405658657,            // Order creation time
+  "Z": "0.00000000",             // Cumulative quote asset transacted quantity
+  "Y": "0.00000000",              // Last quote asset transacted quantity (i.e. lastPrice * lastQty)
+  "Q": "0.00000000"              // Quote Order Qty
+}`
+
+	payload = jsCommentTrimmer.ReplaceAllLiteralString(payload, "")
+
+	event, err := ParseEvent(payload)
+	assert.NoError(t, err)
+	assert.NotNil(t, event)
+
+	executionReport, ok := event.(*ExecutionReportEvent)
+	assert.True(t, ok)
+	assert.NotNil(t, executionReport)
+
+	orderUpdate, err := executionReport.Order()
+	assert.NoError(t, err)
+	assert.NotNil(t, orderUpdate)
+}

pkg/exchange/max/exchange.go

@@ -98,6 +98,10 @@ func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder
 		}
 
 		clientOrderID := uuid.New().String()
+		if len(order.ClientOrderID) > 0 {
+			clientOrderID = order.ClientOrderID
+		}
+
 		req := e.client.OrderService.NewCreateOrderRequest().
 			Market(toLocalSymbol(order.Symbol)).
 			OrderType(string(orderType)).

pkg/types/order.go

@@ -1,6 +1,8 @@
 package types
 
 import (
+	"time"
+
 	"github.com/slack-go/slack"
 )
 
@@ -30,18 +32,24 @@ type Order struct {
 	OrderID          uint64       `json:"orderID"` // order id
 	Status           OrderStatus `json:"status"`
 	ExecutedQuantity float64     `json:"executedQuantity"`
+	CreationTime time.Time
 }
 
 type SubmitOrder struct {
+	ClientOrderID string `json:"clientOrderID"`
+
 	Symbol string
 	Side   SideType
 	Type   OrderType
 
 	Quantity float64
 	Price    float64
+	StopPrice float64
 
 	Market Market
 
+	// TODO: we can probably remove these field
+	StopPriceString string
 	PriceString    string
 	QuantityString string