package service import ( "context" "fmt" "strconv" "strings" "time" "github.com/jmoiron/sqlx" "github.com/pkg/errors" log "github.com/sirupsen/logrus" "github.com/c9s/bbgo/pkg/exchange/batch" "github.com/c9s/bbgo/pkg/types" ) var ErrTradeNotFound = errors.New("trade not found") type QueryTradesOptions struct { Exchange types.ExchangeName Symbol string LastGID int64 // ASC or DESC Ordering string Limit int } type TradingVolume struct { Year int `db:"year" json:"year"` Month int `db:"month" json:"month,omitempty"` Day int `db:"day" json:"day,omitempty"` Time time.Time `json:"time,omitempty"` Exchange string `db:"exchange" json:"exchange,omitempty"` Symbol string `db:"symbol" json:"symbol,omitempty"` QuoteVolume float64 `db:"quote_volume" json:"quoteVolume"` } type TradingVolumeQueryOptions struct { GroupByPeriod string SegmentBy string } type TradeService struct { DB *sqlx.DB } func NewTradeService(db *sqlx.DB) *TradeService { return &TradeService{db} } func (s *TradeService) Sync(ctx context.Context, exchange types.Exchange, symbol string) error { isMargin := false isIsolated := false if marginExchange, ok := exchange.(types.MarginExchange); ok { marginSettings := marginExchange.GetMarginSettings() isMargin = marginSettings.IsMargin isIsolated = marginSettings.IsIsolatedMargin if marginSettings.IsIsolatedMargin { symbol = marginSettings.IsolatedMarginSymbol } } // records descending ordered records, err := s.QueryLast(exchange.Name(), symbol, isMargin, isIsolated, 50) if err != nil { return err } var tradeKeys = map[types.TradeKey]struct{}{} var lastTradeID int64 = 1 if len(records) > 0 { for _, record := range records { tradeKeys[record.Key()] = struct{}{} } lastTradeID = records[0].ID } b := &batch.TradeBatchQuery{Exchange: exchange} tradeC, errC := b.Query(ctx, symbol, &types.TradeQueryOptions{ LastTradeID: lastTradeID, }) for trade := range tradeC { select { case <-ctx.Done(): return ctx.Err() case err := <-errC: if err != nil { return err } default: } key := trade.Key() if _, exists := tradeKeys[key]; exists { continue } tradeKeys[key] = struct{}{} log.Infof("inserting trade: %s %d %s %-4s price: %-13f volume: %-11f %5s %s", trade.Exchange, trade.ID, trade.Symbol, trade.Side, trade.Price, trade.Quantity, trade.MakerOrTakerLabel(), trade.Time.String()) if err := s.Insert(trade); err != nil { return err } } return <-errC } func (s *TradeService) QueryTradingVolume(startTime time.Time, options TradingVolumeQueryOptions) ([]TradingVolume, error) { args := map[string]interface{}{ // "symbol": symbol, // "exchange": ex, // "is_margin": isMargin, // "is_isolated": isIsolated, "start_time": startTime, } sql := "" driverName := s.DB.DriverName() if driverName == "mysql" { sql = generateMysqlTradingVolumeQuerySQL(options) } else { sql = generateSqliteTradingVolumeSQL(options) } log.Info(sql) rows, err := s.DB.NamedQuery(sql, args) if err != nil { return nil, errors.Wrap(err, "query last trade error") } if rows.Err() != nil { return nil, rows.Err() } defer rows.Close() var records []TradingVolume for rows.Next() { var record TradingVolume err = rows.StructScan(&record) if err != nil { return records, err } record.Time = time.Date(record.Year, time.Month(record.Month), record.Day, 0, 0, 0, 0, time.UTC) records = append(records, record) } return records, rows.Err() } func generateSqliteTradingVolumeSQL(options TradingVolumeQueryOptions) string { timeRangeColumn := "traded_at" sel, groupBys, orderBys := generateSqlite3TimeRangeClauses(timeRangeColumn, options.GroupByPeriod) switch options.SegmentBy { case "symbol": sel = append(sel, "symbol") groupBys = append([]string{"symbol"}, groupBys...) orderBys = append(orderBys, "symbol") case "exchange": sel = append(sel, "exchange") groupBys = append([]string{"exchange"}, groupBys...) orderBys = append(orderBys, "exchange") } sel = append(sel, "SUM(quantity * price) AS quote_volume") where := []string{timeRangeColumn + " > :start_time"} sql := `SELECT ` + strings.Join(sel, ", ") + ` FROM trades` + ` WHERE ` + strings.Join(where, " AND ") + ` GROUP BY ` + strings.Join(groupBys, ", ") + ` ORDER BY ` + strings.Join(orderBys, ", ") return sql } func generateSqlite3TimeRangeClauses(timeRangeColumn, period string) (selectors []string, groupBys []string, orderBys []string) { switch period { case "month": selectors = append(selectors, "strftime('%Y',"+timeRangeColumn+") AS year", "strftime('%m',"+timeRangeColumn+") AS month") groupBys = append([]string{"month", "year"}, groupBys...) orderBys = append(orderBys, "year ASC", "month ASC") case "year": selectors = append(selectors, "strftime('%Y',"+timeRangeColumn+") AS year") groupBys = append([]string{"year"}, groupBys...) orderBys = append(orderBys, "year ASC") case "day": fallthrough default: selectors = append(selectors, "strftime('%Y',"+timeRangeColumn+") AS year", "strftime('%m',"+timeRangeColumn+") AS month", "strftime('%d',"+timeRangeColumn+") AS day") groupBys = append([]string{"day", "month", "year"}, groupBys...) orderBys = append(orderBys, "year ASC", "month ASC", "day ASC") } return } func generateMysqlTimeRangeClauses(timeRangeColumn, period string) (selectors []string, groupBys []string, orderBys []string) { switch period { case "month": selectors = append(selectors, "YEAR("+timeRangeColumn+") AS year", "MONTH("+timeRangeColumn+") AS month") groupBys = append([]string{"MONTH(" + timeRangeColumn + ")", "YEAR(" + timeRangeColumn + ")"}, groupBys...) orderBys = append(orderBys, "year ASC", "month ASC") case "year": selectors = append(selectors, "YEAR("+timeRangeColumn+") AS year") groupBys = append([]string{"YEAR(" + timeRangeColumn + ")"}, groupBys...) orderBys = append(orderBys, "year ASC") case "day": fallthrough default: selectors = append(selectors, "YEAR("+timeRangeColumn+") AS year", "MONTH("+timeRangeColumn+") AS month", "DAY("+timeRangeColumn+") AS day") groupBys = append([]string{"DAY(" + timeRangeColumn + ")", "MONTH(" + timeRangeColumn + ")", "YEAR(" + timeRangeColumn + ")"}, groupBys...) orderBys = append(orderBys, "year ASC", "month ASC", "day ASC") } return } func generateMysqlTradingVolumeQuerySQL(options TradingVolumeQueryOptions) string { timeRangeColumn := "traded_at" sel, groupBys, orderBys := generateMysqlTimeRangeClauses(timeRangeColumn, options.GroupByPeriod) switch options.SegmentBy { case "symbol": sel = append(sel, "symbol") groupBys = append([]string{"symbol"}, groupBys...) orderBys = append(orderBys, "symbol") case "exchange": sel = append(sel, "exchange") groupBys = append([]string{"exchange"}, groupBys...) orderBys = append(orderBys, "exchange") } sel = append(sel, "SUM(quantity * price) AS quote_volume") where := []string{timeRangeColumn + " > :start_time"} sql := `SELECT ` + strings.Join(sel, ", ") + ` FROM trades` + ` WHERE ` + strings.Join(where, " AND ") + ` GROUP BY ` + strings.Join(groupBys, ", ") + ` ORDER BY ` + strings.Join(orderBys, ", ") return sql } // QueryLast queries the last trade from the database func (s *TradeService) QueryLast(ex types.ExchangeName, symbol string, isMargin, isIsolated bool, limit int) ([]types.Trade, error) { log.Debugf("querying last trade exchange = %s AND symbol = %s AND is_margin = %v AND is_isolated = %v", ex, symbol, isMargin, isIsolated) sql := "SELECT * FROM trades WHERE exchange = :exchange AND symbol = :symbol AND is_margin = :is_margin AND is_isolated = :is_isolated ORDER BY gid DESC LIMIT :limit" rows, err := s.DB.NamedQuery(sql, map[string]interface{}{ "symbol": symbol, "exchange": ex, "is_margin": isMargin, "is_isolated": isIsolated, "limit": limit, }) if err != nil { return nil, errors.Wrap(err, "query last trade error") } defer rows.Close() return s.scanRows(rows) } func (s *TradeService) QueryForTradingFeeCurrency(ex types.ExchangeName, symbol string, feeCurrency string) ([]types.Trade, error) { sql := "SELECT * FROM trades WHERE exchange = :exchange AND (symbol = :symbol OR fee_currency = :fee_currency) ORDER BY traded_at ASC" rows, err := s.DB.NamedQuery(sql, map[string]interface{}{ "exchange": ex, "symbol": symbol, "fee_currency": feeCurrency, }) if err != nil { return nil, err } defer rows.Close() return s.scanRows(rows) } func (s *TradeService) Query(options QueryTradesOptions) ([]types.Trade, error) { sql := queryTradesSQL(options) log.Info(sql) args := map[string]interface{}{ "exchange": options.Exchange, "symbol": options.Symbol, } rows, err := s.DB.NamedQuery(sql, args) if err != nil { return nil, err } defer rows.Close() return s.scanRows(rows) } func (s *TradeService) Load(ctx context.Context, id int64) (*types.Trade, error) { var trade types.Trade rows, err := s.DB.NamedQuery("SELECT * FROM trades WHERE id = :id", map[string]interface{}{ "id": id, }) if err != nil { return nil, err } defer rows.Close() if rows.Next() { err = rows.StructScan(&trade) return &trade, err } return nil, errors.Wrapf(ErrTradeNotFound, "trade id:%d not found", id) } func (s *TradeService) MarkStrategyID(ctx context.Context, id int64, strategyID string) error { result, err := s.DB.NamedExecContext(ctx, "UPDATE `trades` SET `strategy` = :strategy WHERE `id` = :id", map[string]interface{}{ "id": id, "strategy": strategyID, }) if err != nil { return err } cnt, err := result.RowsAffected() if err != nil { return err } if cnt == 0 { return fmt.Errorf("trade id:%d not found", id) } return nil } func (s *TradeService) UpdatePnL(ctx context.Context, id int64, pnl float64) error { result, err := s.DB.NamedExecContext(ctx, "UPDATE `trades` SET `pnl` = :pnl WHERE `id` = :id", map[string]interface{}{ "id": id, "pnl": pnl, }) if err != nil { return err } cnt, err := result.RowsAffected() if err != nil { return err } if cnt == 0 { return fmt.Errorf("trade id:%d not found", id) } return nil } func queryTradesSQL(options QueryTradesOptions) string { ordering := "ASC" switch v := strings.ToUpper(options.Ordering); v { case "DESC", "ASC": ordering = v } var where []string if len(options.Exchange) > 0 { where = append(where, `exchange = :exchange`) } if len(options.Symbol) > 0 { where = append(where, `symbol = :symbol`) } if options.LastGID > 0 { switch ordering { case "ASC": where = append(where, "gid > :gid") case "DESC": where = append(where, "gid < :gid") } } sql := `SELECT * FROM trades` if len(where) > 0 { sql += ` WHERE ` + strings.Join(where, " AND ") } sql += ` ORDER BY gid ` + ordering if options.Limit > 0 { sql += ` LIMIT ` + strconv.Itoa(options.Limit) } return sql } func (s *TradeService) scanRows(rows *sqlx.Rows) (trades []types.Trade, err error) { for rows.Next() { var trade types.Trade if err := rows.StructScan(&trade); err != nil { return trades, err } trades = append(trades, trade) } return trades, rows.Err() } func (s *TradeService) Insert(trade types.Trade) error { _, err := s.DB.NamedExec(` INSERT INTO trades (id, exchange, order_id, symbol, price, quantity, quote_quantity, side, is_buyer, is_maker, fee, fee_currency, traded_at, is_margin, is_isolated) VALUES (:id, :exchange, :order_id, :symbol, :price, :quantity, :quote_quantity, :side, :is_buyer, :is_maker, :fee, :fee_currency, :traded_at, :is_margin, :is_isolated)`, trade) return err }