package ftx import ( "context" "fmt" "net/http" "net/url" "sort" "time" "github.com/sirupsen/logrus" "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") type Exchange struct { key, secret string subAccount string restEndpoint *url.URL } func NewExchange(key, secret string, subAccount string) *Exchange { u, err := url.Parse(restEndpoint) if err != nil { panic(err) } return &Exchange{ restEndpoint: u, key: key, secret: secret, subAccount: subAccount, } } 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) } func (e *Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) { resp, err := e.newRest().Markets(ctx) if err != nil { return nil, err } if !resp.Success { return nil, fmt.Errorf("ftx returns querying markets failure") } markets := types.MarketMap{} for _, m := range resp.Result { symbol := toGlobalSymbol(m.Name) market := types.Market{ Symbol: symbol, // The max precision is length(DefaultPow). For example, currently fixedpoint.DefaultPow // is 1e8, so the max precision will be 8. PricePrecision: fixedpoint.NumFractionalDigits(fixedpoint.NewFromFloat(m.PriceIncrement)), VolumePrecision: fixedpoint.NumFractionalDigits(fixedpoint.NewFromFloat(m.SizeIncrement)), 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: 0, MinAmount: 0, MinQuantity: m.MinProvideSize, MaxQuantity: 0, StepSize: m.SizeIncrement, MinPrice: 0, MaxPrice: 0, TickSize: m.PriceIncrement, } markets[symbol] = market } return markets, nil } func (e *Exchange) QueryAccount(ctx context.Context) (*types.Account, error) { resp, err := e.newRest().Account(ctx) if err != nil { return nil, err } if !resp.Success { return nil, fmt.Errorf("ftx returns querying balances failure") } a := &types.Account{ MakerCommission: fixedpoint.NewFromFloat(resp.Result.MakerFee), TakerCommission: fixedpoint.NewFromFloat(resp.Result.TakerFee), } 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) { resp, err := e.newRest().Balances(ctx) if err != nil { return nil, err } if !resp.Success { return nil, fmt.Errorf("ftx returns querying balances failure") } var balances = make(types.BalanceMap) for _, r := range resp.Result { balances[toGlobalCurrency(r.Coin)] = types.Balance{ Currency: toGlobalCurrency(r.Coin), Available: fixedpoint.NewFromFloat(r.Free), Locked: fixedpoint.NewFromFloat(r.Total).Sub(fixedpoint.NewFromFloat(r.Free)), } } return balances, nil } func (e *Exchange) QueryKLines(ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions) ([]types.KLine, error) { panic("implement me") } func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) ([]types.Trade, error) { panic("implement me") } func (e *Exchange) QueryDepositHistory(ctx context.Context, asset string, since, until time.Time) (allDeposits []types.Deposit, err error) { if err = verifySinceUntil(since, until); err != nil { return nil, err } asset = TrimUpperString(asset) resp, err := e.newRest().DepositHistory(ctx, since, until, 0) if err != nil { return nil, err } sort.Slice(resp.Result, func(i, j int) bool { return resp.Result[i].Time.Before(resp.Result[j].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) QueryWithdrawHistory(ctx context.Context, asset string, since, until time.Time) (allWithdraws []types.Withdraw, err error) { panic("implement me") } func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (types.OrderSlice, error) { var createdOrders types.OrderSlice // TODO: currently only support limit and market order // TODO: support time in force for _, so := range orders { if so.TimeInForce != "GTC" { return createdOrders, fmt.Errorf("unsupported TimeInForce %s. only support GTC", so.TimeInForce) } or, err := e.newRest().PlaceOrder(ctx, PlaceOrderPayload{ Market: TrimUpperString(so.Symbol), Side: TrimLowerString(string(so.Side)), Price: so.Price, Type: TrimLowerString(string(so.Type)), Size: so.Quantity, ReduceOnly: false, IOC: false, PostOnly: false, ClientID: so.ClientOrderID, }) if err != nil { return createdOrders, fmt.Errorf("failed to place order %+v: %w", so, err) } if !or.Success { return createdOrders, fmt.Errorf("ftx returns placing order failure") } globalOrder, err := toGlobalOrder(or.Result) if err != nil { return createdOrders, fmt.Errorf("failed to convert response to global order") } createdOrders = append(createdOrders, globalOrder) } return createdOrders, nil } func (e *Exchange) QueryOpenOrders(ctx context.Context, symbol string) (orders []types.Order, err error) { // TODO: invoke open trigger orders resp, err := e.newRest().OpenOrders(ctx, symbol) if err != nil { return nil, err } if !resp.Success { return nil, fmt.Errorf("ftx returns querying open orders failure") } for _, r := range resp.Result { o, err := toGlobalOrder(r) if err != nil { return nil, 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) { if err := verifySinceUntil(since, until); err != nil { return nil, err } symbol = TrimUpperString(symbol) limit := int64(100) hasMoreData := true s := since var lastOrder order for hasMoreData { resp, err := e.newRest().OrdersHistory(ctx, symbol, s, until, limit) if err != nil { return nil, err } if !resp.Success { return nil, fmt.Errorf("ftx returns querying orders history failure") } sortByCreatedASC(resp.Result) for _, r := range resp.Result { // There may be more than one orders at the same time, so also have to check the ID if r.CreatedAt.Before(lastOrder.CreatedAt) || r.ID == lastOrder.ID || r.Status != "closed" || r.ID < int64(lastOrderID) { continue } lastOrder = r o, err := toGlobalOrder(r) if err != nil { return nil, err } orders = append(orders, o) } hasMoreData = resp.HasMoreData // the start_time and end_time precision is second. There might be more than one orders within one second. s = lastOrder.CreatedAt.Add(-1 * time.Second) } return orders, nil } func sortByCreatedASC(orders []order) { sort.Slice(orders, func(i, j int) bool { return orders[i].CreatedAt.Before(orders[j].CreatedAt) }) } func (e *Exchange) CancelOrders(ctx context.Context, orders ...types.Order) error { for _, o := range orders { rest := e.newRest() if len(o.ClientOrderID) > 0 { if _, err := rest.CancelOrderByClientID(ctx, o.ClientOrderID); err != nil { return err } continue } if _, err := rest.CancelOrderByOrderID(ctx, o.OrderID); err != nil { return err } } return nil } func (e *Exchange) QueryTicker(ctx context.Context, symbol string) (*types.Ticker, error) { panic("implement me") } func (e *Exchange) QueryTickers(ctx context.Context, symbol ...string) (map[string]types.Ticker, error) { panic("implement me") } func verifySinceUntil(since, until time.Time) error { if since.After(until) { return fmt.Errorf("since can't be greater than until") } if since == (time.Time{}) { return fmt.Errorf("since not found") } if until == (time.Time{}) { return fmt.Errorf("until not found") } return nil }