package binance import ( "context" "fmt" "github.com/prometheus/common/log" "strconv" "time" "github.com/adshao/go-binance" "github.com/c9s/bbgo/pkg/bbgo/types" "github.com/c9s/bbgo/pkg/util" "github.com/sirupsen/logrus" ) type Exchange struct { Client *binance.Client } func NewExchange(key, secret string) *Exchange { var client = binance.NewClient(key, secret) return &Exchange{ Client: client, } } func (e *Exchange) QueryAveragePrice(ctx context.Context, symbol string) (float64, error) { resp, err := e.Client.NewAveragePriceService().Symbol(symbol).Do(ctx) if err != nil { return 0, err } return util.MustParseFloat(resp.Price), nil } func (e *Exchange) NewPrivateStream() (*PrivateStream, error) { return &PrivateStream{ Client: e.Client, }, nil } func (e *Exchange) QueryAccountBalances(ctx context.Context) (map[string]types.Balance, error) { account, err := e.QueryAccount(ctx) if err != nil { return nil, err } return account.Balances, nil } func (e *Exchange) QueryAccount(ctx context.Context) (*types.Account, error) { account, err := e.Client.NewGetAccountService().Do(ctx) if err != nil { return nil, err } var balances = map[string]types.Balance{} for _, b := range account.Balances { balances[b.Asset] = types.Balance{ Currency: b.Asset, Available: util.MustParseFloat(b.Free), Locked: util.MustParseFloat(b.Locked), } } return &types.Account{ MakerCommission: account.MakerCommission, TakerCommission: account.TakerCommission, Balances: balances, }, nil } func (e *Exchange) SubmitOrder(ctx context.Context, order *types.Order) error { /* limit order example order, err := Client.NewCreateOrderService(). Symbol(Symbol). Side(side). Type(binance.OrderTypeLimit). TimeInForce(binance.TimeInForceTypeGTC). Quantity(volumeString). Price(priceString). Do(ctx) */ orderType, err := toLocalOrderType(order.Type) if err != nil { return err } req := e.Client.NewCreateOrderService(). Symbol(order.Symbol). Side(binance.SideType(order.Side)). Type(orderType). Quantity(order.VolumeStr) if len(order.PriceStr) > 0 { req.Price(order.PriceStr) } if len(order.TimeInForce) > 0 { req.TimeInForce(order.TimeInForce) } retOrder, err := req.Do(ctx) logrus.Infof("[binance] order created: %+v", retOrder) return err } func toLocalOrderType(orderType types.OrderType) (binance.OrderType, error) { switch orderType { case types.OrderTypeLimit: return binance.OrderTypeLimit, nil case types.OrderTypeMarket: return binance.OrderTypeMarket, nil } return "", fmt.Errorf("order type %s not supported", orderType) } func (e *Exchange) QueryKLines(ctx context.Context, symbol, interval string, options types.KLineQueryOptions) ([]types.KLine, error) { var limit = 500 if options.Limit > 0 { // default limit == 500 limit = options.Limit } logrus.Infof("[binance] querying kline %s %s %v", symbol, interval, options) req := e.Client.NewKlinesService().Symbol(symbol). Interval(interval). Limit(limit) if options.StartTime != nil { req.StartTime(options.StartTime.UnixNano() / int64(time.Millisecond)) } if options.EndTime != nil { req.EndTime(options.EndTime.UnixNano() / int64(time.Millisecond)) } resp, err := req.Do(ctx) if err != nil { return nil, err } var kLines []types.KLine for _, kline := range resp { kLines = append(kLines, types.KLine{ Symbol: symbol, Interval: interval, StartTime: kline.OpenTime, EndTime: kline.CloseTime, Open: kline.Open, Close: kline.Close, High: kline.High, Low: kline.Low, Volume: kline.Volume, QuoteVolume: kline.QuoteAssetVolume, NumberOfTrades: kline.TradeNum, }) } return kLines, nil } type TradeQueryOptions struct { StartTime *time.Time EndTime *time.Time Limit int LastTradeID int64 } func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *TradeQueryOptions) (trades []types.Trade, err error) { req := e.Client.NewListTradesService(). Limit(1000). Symbol(symbol) if options.Limit > 0 { req.Limit(options.Limit) } if options.StartTime != nil { req.StartTime(options.StartTime.UnixNano() / int64(time.Millisecond)) } if options.EndTime != nil { req.EndTime(options.EndTime.UnixNano() / int64(time.Millisecond)) } if options.LastTradeID > 0 { req.FromID(options.LastTradeID) } remoteTrades, err := req.Do(ctx) if err != nil { return nil, err } for _, t := range remoteTrades { localTrade, err := convertRemoteTrade(*t) if err != nil { logrus.WithError(err).Errorf("can not convert binance trade: %+v", t) continue } logrus.Infof("[binance] trade: %d %s % 4s price: % 13s volume: % 11s %6s % 5s %s", t.ID, t.Symbol, localTrade.Side, t.Price, t.Quantity, BuyerOrSellerLabel(t), MakerOrTakerLabel(t), localTrade.Time) trades = append(trades, *localTrade) } return trades, nil } func (e *Exchange) BatchQueryTrades(ctx context.Context, symbol string, options *TradeQueryOptions) (allTrades []types.Trade, err error) { var startTime = time.Now().Add(-7 * 24 * time.Hour) if options.StartTime != nil { startTime = *options.StartTime } logrus.Infof("[binance] querying %s trades from %s", symbol, startTime) var lastTradeID int64 = 0 for { trades, err := e.QueryTrades(ctx, symbol, &TradeQueryOptions{ StartTime: &startTime, Limit: options.Limit, LastTradeID: lastTradeID, }) if err != nil { return allTrades, err } if len(trades) <= 1 { break } for _, t := range trades { if t.ID == lastTradeID { log.Warn("duplicated trade ID") continue } allTrades = append(allTrades, t) lastTradeID = t.ID } } return allTrades, nil } func convertRemoteTrade(t binance.TradeV3) (*types.Trade, error) { // skip trade ID that is the same. however this should not happen var side string if t.IsBuyer { side = "BUY" } else { side = "SELL" } // trade time mts := time.Unix(0, t.Time*int64(time.Millisecond)) price, err := strconv.ParseFloat(t.Price, 64) if err != nil { return nil, err } quantity, err := strconv.ParseFloat(t.Quantity, 64) if err != nil { return nil, err } quoteQuantity, err := strconv.ParseFloat(t.QuoteQuantity, 64) if err != nil { return nil, err } fee, err := strconv.ParseFloat(t.Commission, 64) if err != nil { return nil, err } return &types.Trade{ ID: t.ID, Price: price, Symbol: t.Symbol, Exchange: "binance", Quantity: quantity, Side: side, IsBuyer: t.IsBuyer, IsMaker: t.IsMaker, Fee: fee, FeeCurrency: t.CommissionAsset, QuoteQuantity: quoteQuantity, Time: mts, }, nil }