package ftx import ( "context" "fmt" "net/http" "net/url" "sort" "strconv" "strings" "time" "golang.org/x/time/rate" "github.com/google/uuid" "github.com/sirupsen/logrus" "github.com/c9s/bbgo/pkg/exchange/ftx/ftxapi" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/types" ) const ( restEndpoint = "https://ftx.com" defaultHTTPTimeout = 15 * time.Second ) var logger = logrus.WithField("exchange", "ftx") // POST https://ftx.com/api/orders 429, Success: false, err: Do not send more than 2 orders on this market per 200ms var requestLimit = rate.NewLimiter(rate.Every(220*time.Millisecond), 2) var marketDataLimiter = rate.NewLimiter(rate.Every(500*time.Millisecond), 2) //go:generate go run generate_symbol_map.go type Exchange struct { client *ftxapi.RestClient key, secret string subAccount string restEndpoint *url.URL orderAmountReduceFactor fixedpoint.Value } type MarketTicker struct { Market types.Market Price fixedpoint.Value Ask fixedpoint.Value Bid fixedpoint.Value Last fixedpoint.Value } type MarketMap map[string]MarketTicker // FTX does not have broker ID const spotBrokerID = "BBGO" func newSpotClientOrderID(originalID string) (clientOrderID string) { prefix := "x-" + spotBrokerID 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 NewExchange(key, secret string, subAccount string) *Exchange { u, err := url.Parse(restEndpoint) if err != nil { panic(err) } client := ftxapi.NewClient() client.Auth(key, secret, subAccount) return &Exchange{ client: client, restEndpoint: u, key: key, // pragma: allowlist nextline secret secret: secret, subAccount: subAccount, orderAmountReduceFactor: fixedpoint.One, } } func (e *Exchange) newRest() *restRequest { r := newRestRequest(&http.Client{Timeout: defaultHTTPTimeout}, e.restEndpoint).Auth(e.key, e.secret) if len(e.subAccount) > 0 { r.SubAccount(e.subAccount) } return r } func (e *Exchange) Name() types.ExchangeName { return types.ExchangeFTX } func (e *Exchange) PlatformFeeCurrency() string { return toGlobalCurrency("FTT") } func (e *Exchange) NewStream() types.Stream { return NewStream(e.key, e.secret, e.subAccount, e) } func (e *Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) { markets, err := e._queryMarkets(ctx) if err != nil { return nil, err } marketMap := types.MarketMap{} for k, v := range markets { marketMap[k] = v.Market } return marketMap, nil } func (e *Exchange) _queryMarkets(ctx context.Context) (MarketMap, error) { req := e.client.NewGetMarketsRequest() ftxMarkets, err := req.Do(ctx) if err != nil { return nil, err } markets := MarketMap{} for _, m := range ftxMarkets { symbol := toGlobalSymbol(m.Name) symbolMap[symbol] = m.Name mkt2 := MarketTicker{ Market: types.Market{ Symbol: symbol, LocalSymbol: m.Name, // The max precision is length(DefaultPow). For example, currently fixedpoint.DefaultPow // is 1e8, so the max precision will be 8. PricePrecision: m.PriceIncrement.NumFractionalDigits(), VolumePrecision: m.SizeIncrement.NumFractionalDigits(), QuoteCurrency: toGlobalCurrency(m.QuoteCurrency), BaseCurrency: toGlobalCurrency(m.BaseCurrency), // FTX only limit your order by `MinProvideSize`, so I assign zero value to unsupported fields: // MinNotional, MinAmount, MaxQuantity, MinPrice and MaxPrice. MinNotional: fixedpoint.Zero, MinAmount: fixedpoint.Zero, MinQuantity: m.MinProvideSize, MaxQuantity: fixedpoint.Zero, StepSize: m.SizeIncrement, MinPrice: fixedpoint.Zero, MaxPrice: fixedpoint.Zero, TickSize: m.PriceIncrement, }, Price: m.Price, Bid: m.Bid, Ask: m.Ask, Last: m.Last, } markets[symbol] = mkt2 } return markets, nil } func (e *Exchange) QueryAccount(ctx context.Context) (*types.Account, error) { req := e.client.NewGetAccountRequest() ftxAccount, err := req.Do(ctx) if err != nil { return nil, err } a := &types.Account{ TotalAccountValue: ftxAccount.TotalAccountValue, } balances, err := e.QueryAccountBalances(ctx) if err != nil { return nil, err } a.UpdateBalances(balances) return a, nil } func (e *Exchange) QueryAccountBalances(ctx context.Context) (types.BalanceMap, error) { balanceReq := e.client.NewGetBalancesRequest() ftxBalances, err := balanceReq.Do(ctx) if err != nil { return nil, err } var balances = make(types.BalanceMap) for _, r := range ftxBalances { currency := toGlobalCurrency(r.Coin) balances[currency] = types.Balance{ Currency: currency, Available: r.Free, Locked: r.Total.Sub(r.Free), } } return balances, nil } // DefaultFeeRates returns the FTX Tier 1 fee // See also https://help.ftx.com/hc/en-us/articles/360024479432-Fees func (e *Exchange) DefaultFeeRates() types.ExchangeFee { return types.ExchangeFee{ MakerFeeRate: fixedpoint.NewFromFloat(0.01 * 0.020), // 0.020% TakerFeeRate: fixedpoint.NewFromFloat(0.01 * 0.070), // 0.070% } } // SetModifyOrderAmountForFee protects the limit buy orders by reducing amount with taker fee. // The amount is recalculated before submit: submit_amount = original_amount / (1 + taker_fee_rate) . // This prevents balance exceeding error while closing position without spot margin enabled. func (e *Exchange) SetModifyOrderAmountForFee(feeRate types.ExchangeFee) { e.orderAmountReduceFactor = fixedpoint.One.Add(feeRate.TakerFeeRate) } // resolution field in api // window length in seconds. options: 15, 60, 300, 900, 3600, 14400, 86400, or any multiple of 86400 up to 30*86400 var supportedIntervals = map[types.Interval]int{ types.Interval1m: 1 * 60, types.Interval5m: 5 * 60, types.Interval15m: 15 * 60, types.Interval1h: 60 * 60, types.Interval4h: 60 * 60 * 4, types.Interval1d: 60 * 60 * 24, types.Interval3d: 60 * 60 * 24 * 3, } func (e *Exchange) SupportedInterval() map[types.Interval]int { return supportedIntervals } func (e *Exchange) IsSupportedInterval(interval types.Interval) bool { return isIntervalSupportedInKLine(interval) } func (e *Exchange) QueryKLines(ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions) ([]types.KLine, error) { var klines []types.KLine // the fetch result is from newest to oldest // currentEnd = until // endTime := currentEnd.Add(interval.Duration()) klines, err := e._queryKLines(ctx, symbol, interval, options) if err != nil { return nil, err } klines = types.SortKLinesAscending(klines) return klines, nil } func (e *Exchange) _queryKLines(ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions) ([]types.KLine, error) { if !isIntervalSupportedInKLine(interval) { return nil, fmt.Errorf("interval %s is not supported", interval.String()) } if err := marketDataLimiter.Wait(ctx); err != nil { return nil, err } // assign limit to a default value since ftx has the limit if options.Limit == 0 { options.Limit = 500 } // if the time range exceed the ftx valid time range, we need to adjust the endTime if options.StartTime != nil && options.EndTime != nil { rangeDuration := options.EndTime.Sub(*options.StartTime) estimatedCount := rangeDuration / interval.Duration() if options.Limit != 0 && uint64(estimatedCount) > uint64(options.Limit) { endTime := options.StartTime.Add(interval.Duration() * time.Duration(options.Limit)) options.EndTime = &endTime } } resp, err := e.newRest().marketRequest.HistoricalPrices(ctx, toLocalSymbol(symbol), interval, int64(options.Limit), options.StartTime, options.EndTime) if err != nil { return nil, err } if !resp.Success { return nil, fmt.Errorf("ftx returns failure") } var klines []types.KLine for _, r := range resp.Result { globalKline, err := toGlobalKLine(symbol, interval, r) if err != nil { return nil, err } klines = append(klines, globalKline) } return klines, nil } func isIntervalSupportedInKLine(interval types.Interval) bool { _, ok := supportedIntervals[interval] return ok } func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) ([]types.Trade, error) { tradeIDs := make(map[uint64]struct{}) lastTradeID := options.LastTradeID req := e.client.NewGetFillsRequest() req.Market(toLocalSymbol(symbol)) if options.StartTime != nil { req.StartTime(*options.StartTime) } else if options.EndTime != nil { req.EndTime(*options.EndTime) } req.Order("asc") fills, err := req.Do(ctx) if err != nil { return nil, err } sort.Slice(fills, func(i, j int) bool { return fills[i].Time.Before(fills[j].Time) }) var trades []types.Trade symbol = strings.ToUpper(symbol) for _, fill := range fills { if _, ok := tradeIDs[fill.TradeId]; ok { continue } if options.StartTime != nil && fill.Time.Before(*options.StartTime) { continue } if options.EndTime != nil && fill.Time.After(*options.EndTime) { continue } if fill.TradeId <= lastTradeID { continue } tradeIDs[fill.TradeId] = struct{}{} lastTradeID = fill.TradeId t, err := toGlobalTrade(fill) if err != nil { return nil, err } trades = append(trades, t) } return trades, nil } func (e *Exchange) QueryDepositHistory(ctx context.Context, asset string, since, until time.Time) (allDeposits []types.Deposit, err error) { if until == (time.Time{}) { until = time.Now() } if since.After(until) { return nil, fmt.Errorf("invalid query deposit history time range, since: %+v, until: %+v", since, until) } asset = TrimUpperString(asset) resp, err := e.newRest().DepositHistory(ctx, since, until, 0) if err != nil { return nil, err } if !resp.Success { return nil, fmt.Errorf("ftx returns failure") } sort.Slice(resp.Result, func(i, j int) bool { return resp.Result[i].Time.Before(resp.Result[j].Time.Time) }) for _, r := range resp.Result { d, err := toGlobalDeposit(r) if err != nil { return nil, err } if d.Asset == asset && !since.After(d.Time.Time()) && !until.Before(d.Time.Time()) { allDeposits = append(allDeposits, d) } } return } func (e *Exchange) SubmitOrder(ctx context.Context, order types.SubmitOrder) (*types.Order, error) { // TODO: currently only support limit and market order // TODO: support time in force so := order if err := requestLimit.Wait(ctx); err != nil { logrus.WithError(err).Error("rate limit error") } orderType, err := toLocalOrderType(so.Type) if err != nil { logrus.WithError(err).Error("type error") } submitQuantity := so.Quantity switch orderType { case ftxapi.OrderTypeLimit, ftxapi.OrderTypeStopLimit: submitQuantity = so.Quantity.Div(e.orderAmountReduceFactor) } req := e.client.NewPlaceOrderRequest() req.Market(toLocalSymbol(TrimUpperString(so.Symbol))) req.OrderType(orderType) req.Side(ftxapi.Side(TrimLowerString(string(so.Side)))) req.Size(submitQuantity) switch so.Type { case types.OrderTypeLimit, types.OrderTypeLimitMaker: req.Price(so.Price) } if so.Type == types.OrderTypeLimitMaker { req.PostOnly(true) } if so.TimeInForce == types.TimeInForceIOC { req.Ioc(true) } req.ClientID(newSpotClientOrderID(so.ClientOrderID)) or, err := req.Do(ctx) if err != nil { return nil, fmt.Errorf("failed to place order %+v: %w", so, err) } globalOrder, err := toGlobalOrderNew(*or) return &globalOrder, err } func (e *Exchange) QueryOrder(ctx context.Context, q types.OrderQuery) (*types.Order, error) { orderID, err := strconv.ParseInt(q.OrderID, 10, 64) if err != nil { return nil, err } req := e.client.NewGetOrderStatusRequest(uint64(orderID)) ftxOrder, err := req.Do(ctx) if err != nil { return nil, err } o, err := toGlobalOrderNew(*ftxOrder) if err != nil { return nil, err } return &o, err } func (e *Exchange) QueryOpenOrders(ctx context.Context, symbol string) (orders []types.Order, err error) { // TODO: invoke open trigger orders req := e.client.NewGetOpenOrdersRequest(toLocalSymbol(symbol)) ftxOrders, err := req.Do(ctx) if err != nil { return nil, err } for _, ftxOrder := range ftxOrders { o, err := toGlobalOrderNew(ftxOrder) if err != nil { return orders, err } orders = append(orders, o) } return orders, nil } // symbol, since and until are all optional. FTX can only query by order created time, not updated time. // FTX doesn't support lastOrderID, so we will query by the time range first, and filter by the lastOrderID. func (e *Exchange) QueryClosedOrders(ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64) (orders []types.Order, err error) { symbol = TrimUpperString(symbol) req := e.client.NewGetOrderHistoryRequest(toLocalSymbol(symbol)) if since != (time.Time{}) { req.StartTime(since) } else if until != (time.Time{}) { req.EndTime(until) } ftxOrders, err := req.Do(ctx) if err != nil { return nil, err } sort.Slice(ftxOrders, func(i, j int) bool { return ftxOrders[i].CreatedAt.Before(ftxOrders[j].CreatedAt) }) for _, ftxOrder := range ftxOrders { switch ftxOrder.Status { case ftxapi.OrderStatusOpen, ftxapi.OrderStatusNew: continue } o, err := toGlobalOrderNew(ftxOrder) if err != nil { return orders, err } orders = append(orders, o) } return orders, nil } func (e *Exchange) CancelOrders(ctx context.Context, orders ...types.Order) error { for _, o := range orders { if err := requestLimit.Wait(ctx); err != nil { logrus.WithError(err).Error("rate limit error") } var resp *ftxapi.APIResponse var err error if len(o.ClientOrderID) > 0 { req := e.client.NewCancelOrderByClientOrderIdRequest(o.ClientOrderID) resp, err = req.Do(ctx) } else { req := e.client.NewCancelOrderRequest(strconv.FormatUint(o.OrderID, 10)) resp, err = req.Do(ctx) } if err != nil { return err } if !resp.Success { return fmt.Errorf("cancel order failed: %s", resp.Result) } } return nil } func (e *Exchange) QueryTicker(ctx context.Context, symbol string) (*types.Ticker, error) { ticketMap, err := e.QueryTickers(ctx, symbol) if err != nil { return nil, err } if ticker, ok := ticketMap[symbol]; ok { return &ticker, nil } return nil, fmt.Errorf("ticker %s not found", symbol) } func (e *Exchange) QueryTickers(ctx context.Context, symbol ...string) (map[string]types.Ticker, error) { var tickers = make(map[string]types.Ticker) markets, err := e._queryMarkets(ctx) if err != nil { return nil, err } m := make(map[string]struct{}) for _, s := range symbol { m[toGlobalSymbol(s)] = struct{}{} } rest := e.newRest() for k, v := range markets { // if we provide symbol as condition then we only query the gieven symbol , // or we should query "ALL" symbol in the market. if _, ok := m[toGlobalSymbol(k)]; len(symbol) != 0 && !ok { continue } if err := requestLimit.Wait(ctx); err != nil { logrus.WithError(err).Errorf("order rate limiter wait error") } // ctx context.Context, market string, interval types.Interval, limit int64, start, end time.Time now := time.Now() since := now.Add(time.Duration(-1) * time.Hour) until := now prices, err := rest.marketRequest.HistoricalPrices(ctx, v.Market.LocalSymbol, types.Interval1h, 1, &since, &until) if err != nil || !prices.Success || len(prices.Result) == 0 { continue } lastCandle := prices.Result[0] tickers[toGlobalSymbol(k)] = types.Ticker{ Time: lastCandle.StartTime.Time, Volume: lastCandle.Volume, Last: v.Last, Open: lastCandle.Open, High: lastCandle.High, Low: lastCandle.Low, Buy: v.Bid, Sell: v.Ask, } } return tickers, nil } func (e *Exchange) Transfer(ctx context.Context, coin string, size float64, destination string) (string, error) { payload := TransferPayload{ Coin: coin, Size: size, Source: e.subAccount, Destination: destination, } resp, err := e.newRest().Transfer(ctx, payload) if err != nil { return "", err } if !resp.Success { return "", fmt.Errorf("ftx returns transfer failure") } return resp.Result.String(), nil }