package max import ( "fmt" "strings" "time" max "github.com/c9s/bbgo/pkg/exchange/max/maxapi" v3 "github.com/c9s/bbgo/pkg/exchange/max/maxapi/v3" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/types" ) func toGlobalCurrency(currency string) string { return strings.ToUpper(currency) } func toLocalCurrency(currency string) string { return strings.ToLower(currency) } func toLocalSymbol(symbol string) string { return strings.ToLower(symbol) } func toGlobalSymbol(symbol string) string { return strings.ToUpper(symbol) } func toLocalSideType(side types.SideType) string { return strings.ToLower(string(side)) } func toGlobalSideType(v string) types.SideType { switch strings.ToLower(v) { case "bid", "buy": return types.SideTypeBuy case "ask", "sell": return types.SideTypeSell case "self-trade": return types.SideTypeSelf } return types.SideType(v) } func toGlobalRewards(maxRewards []max.Reward) ([]types.Reward, error) { // convert to global reward var rewards []types.Reward for _, r := range maxRewards { // ignore "accepted" if r.State != "done" { continue } reward, err := r.Reward() if err != nil { return nil, err } rewards = append(rewards, *reward) } return rewards, nil } func toGlobalOrderStatus(orderState max.OrderState, executedVolume, remainingVolume fixedpoint.Value) types.OrderStatus { switch orderState { case max.OrderStateCancel: return types.OrderStatusCanceled case max.OrderStateFinalizing, max.OrderStateDone: if executedVolume.IsZero() { return types.OrderStatusCanceled } else if remainingVolume.IsZero() { return types.OrderStatusFilled } return types.OrderStatusFilled case max.OrderStateWait: if executedVolume.Sign() > 0 && remainingVolume.Sign() > 0 { return types.OrderStatusPartiallyFilled } return types.OrderStatusNew case max.OrderStateConvert: if executedVolume.Sign() > 0 && remainingVolume.Sign() > 0 { return types.OrderStatusPartiallyFilled } return types.OrderStatusNew case max.OrderStateFailed: return types.OrderStatusRejected } log.Errorf("can not convert MAX exchange order status, unknown order state: %q", orderState) return types.OrderStatus(orderState) } func toGlobalOrderType(orderType max.OrderType) types.OrderType { switch orderType { case max.OrderTypeLimit: return types.OrderTypeLimit case max.OrderTypeMarket: return types.OrderTypeMarket case max.OrderTypeStopLimit: return types.OrderTypeStopLimit case max.OrderTypeStopMarket: return types.OrderTypeStopMarket case max.OrderTypeIOCLimit: return types.OrderTypeLimit case max.OrderTypePostOnly: return types.OrderTypeLimitMaker } log.Errorf("order convert error, unknown order type: %v", orderType) return types.OrderType(orderType) } func toLocalOrderType(orderType types.OrderType) (max.OrderType, error) { switch orderType { case types.OrderTypeStopLimit: return max.OrderTypeStopLimit, nil case types.OrderTypeStopMarket: return max.OrderTypeStopMarket, nil case types.OrderTypeLimitMaker: return max.OrderTypePostOnly, nil case types.OrderTypeLimit: return max.OrderTypeLimit, nil case types.OrderTypeMarket: return max.OrderTypeMarket, nil } return "", fmt.Errorf("order type %s not supported", orderType) } func toGlobalOrders(maxOrders []max.Order) (orders []types.Order, err error) { for _, localOrder := range maxOrders { o, err := toGlobalOrder(localOrder) if err != nil { log.WithError(err).Error("order convert error") } else { orders = append(orders, *o) } } return orders, err } func toGlobalOrder(maxOrder max.Order) (*types.Order, error) { executedVolume := maxOrder.ExecutedVolume remainingVolume := maxOrder.RemainingVolume isMargin := maxOrder.WalletType == max.WalletTypeMargin return &types.Order{ SubmitOrder: types.SubmitOrder{ ClientOrderID: maxOrder.ClientOID, Symbol: toGlobalSymbol(maxOrder.Market), Side: toGlobalSideType(maxOrder.Side), Type: toGlobalOrderType(maxOrder.OrderType), Quantity: maxOrder.Volume, Price: maxOrder.Price, TimeInForce: types.TimeInForceGTC, // MAX only supports GTC GroupID: maxOrder.GroupID, }, Exchange: types.ExchangeMax, IsWorking: maxOrder.State == max.OrderStateWait, OrderID: maxOrder.ID, Status: toGlobalOrderStatus(maxOrder.State, executedVolume, remainingVolume), ExecutedQuantity: executedVolume, CreationTime: types.Time(maxOrder.CreatedAt.Time()), UpdateTime: types.Time(maxOrder.UpdatedAt.Time()), IsMargin: isMargin, IsIsolated: false, // isolated margin is not supported }, nil } func toGlobalTradeV3(t v3.Trade) ([]types.Trade, error) { var trades []types.Trade isMargin := t.WalletType == max.WalletTypeMargin side := toGlobalSideType(t.Side) trade := types.Trade{ ID: t.ID, OrderID: t.OrderID, Price: t.Price, Symbol: toGlobalSymbol(t.Market), Exchange: types.ExchangeMax, Quantity: t.Volume, Side: side, IsBuyer: t.IsBuyer(), IsMaker: t.IsMaker(), Fee: t.Fee, FeeCurrency: toGlobalCurrency(t.FeeCurrency), FeeDiscounted: t.FeeDiscounted, QuoteQuantity: t.Funds, Time: types.Time(t.CreatedAt), IsMargin: isMargin, IsIsolated: false, IsFutures: false, } if t.Side == "self-trade" { trade.Side = types.SideTypeSell // create trade for bid bidTrade := trade bidTrade.Side = types.SideTypeBuy bidTrade.OrderID = t.SelfTradeBidOrderID bidTrade.Fee = t.SelfTradeBidFee bidTrade.FeeCurrency = toGlobalCurrency(t.SelfTradeBidFeeCurrency) bidTrade.FeeDiscounted = t.SelfTradeBidFeeDiscounted bidTrade.IsBuyer = !trade.IsBuyer bidTrade.IsMaker = !trade.IsMaker trades = append(trades, bidTrade) } trades = append(trades, trade) return trades, nil } func toGlobalTradeV2(t max.Trade) (*types.Trade, error) { isMargin := t.WalletType == max.WalletTypeMargin side := toGlobalSideType(t.Side) return &types.Trade{ ID: t.ID, OrderID: t.OrderID, Price: t.Price, Symbol: toGlobalSymbol(t.Market), Exchange: types.ExchangeMax, Quantity: t.Volume, Side: side, IsBuyer: t.IsBuyer(), IsMaker: t.IsMaker(), Fee: t.Fee, FeeCurrency: toGlobalCurrency(t.FeeCurrency), QuoteQuantity: t.Funds, Time: types.Time(t.CreatedAt), IsMargin: isMargin, IsIsolated: false, IsFutures: false, }, nil } func toGlobalDepositStatus(a max.DepositState) types.DepositStatus { switch a { case max.DepositStateSubmitting, max.DepositStateSubmitted, max.DepositStatePending, max.DepositStateChecking: return types.DepositPending case max.DepositStateRejected: return types.DepositRejected case max.DepositStateCancelled: return types.DepositCancelled case max.DepositStateAccepted: return types.DepositSuccess } // other states goes to this // max.DepositStateSuspect, max.DepositStateSuspended return types.DepositStatus(a) } func convertWebSocketTrade(t max.TradeUpdate) (*types.Trade, error) { // skip trade ID that is the same. however this should not happen var side = toGlobalSideType(t.Side) return &types.Trade{ ID: t.ID, OrderID: t.OrderID, Symbol: toGlobalSymbol(t.Market), Exchange: types.ExchangeMax, Price: t.Price, Quantity: t.Volume, Side: side, IsBuyer: side == types.SideTypeBuy, IsMaker: t.Maker, Fee: t.Fee, FeeCurrency: toGlobalCurrency(t.FeeCurrency), FeeDiscounted: t.FeeDiscounted, QuoteQuantity: t.Price.Mul(t.Volume), Time: types.Time(t.Timestamp.Time()), }, nil } func convertWebSocketOrderUpdate(u max.OrderUpdate) (*types.Order, error) { timeInForce := types.TimeInForceGTC if u.OrderType == max.OrderTypeIOCLimit { timeInForce = types.TimeInForceIOC } return &types.Order{ SubmitOrder: types.SubmitOrder{ ClientOrderID: u.ClientOID, Symbol: toGlobalSymbol(u.Market), Side: toGlobalSideType(u.Side), Type: toGlobalOrderType(u.OrderType), Quantity: u.Volume, Price: u.Price, StopPrice: u.StopPrice, TimeInForce: timeInForce, // MAX only supports GTC GroupID: u.GroupID, }, Exchange: types.ExchangeMax, OrderID: u.ID, Status: toGlobalOrderStatus(u.State, u.ExecutedVolume, u.RemainingVolume), ExecutedQuantity: u.ExecutedVolume, CreationTime: types.Time(time.Unix(0, u.CreatedAtMs*int64(time.Millisecond))), UpdateTime: types.Time(time.Unix(0, u.CreatedAtMs*int64(time.Millisecond))), }, nil }