package binance import ( "encoding/json" "errors" "fmt" "time" "github.com/adshao/go-binance/v2/futures" "github.com/slack-go/slack" "github.com/adshao/go-binance/v2" "github.com/valyala/fastjson" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/types" ) type EventBase struct { Event string `json:"e"` // event name Time types.MillisecondTimestamp `json:"E"` // event time } /* executionReport { "e": "executionReport", // Event type "E": 1499405658658, // Event time "s": "ETHBTC", // Symbol "c": "mUvoqJxFIILMdfAW5iGSOW", // Client order ID "S": "BUY", // Side "o": "LIMIT", // Order type "f": "GTC", // Time in force "q": "1.00000000", // Order quantity "p": "0.10264410", // Order price "P": "0.00000000", // Stop price "F": "0.00000000", // Iceberg quantity "g": -1, // OrderListId "C": null, // Original client order ID; This is the ID of the order being canceled "x": "NEW", // Current execution type "X": "NEW", // Current order status "r": "NONE", // Order reject reason; will be an error code. "i": 4293153, // Order ID "l": "0.00000000", // Last executed quantity "z": "0.00000000", // Cumulative filled quantity "L": "0.00000000", // Last executed price "n": "0", // Commission amount "N": null, // Commission asset "T": 1499405658657, // Transaction time "t": -1, // Trade ID "I": 8641984, // Ignore "w": true, // Is the order on the book? "m": false, // Is this trade the maker side? "M": false, // Ignore "O": 1499405658657, // Order creation time "Z": "0.00000000", // Cumulative quote asset transacted quantity "Y": "0.00000000", // Last quote asset transacted quantity (i.e. lastPrice * lastQty) "Q": "0.00000000" // Quote Order Quantity } */ type ExecutionReportEvent struct { EventBase Symbol string `json:"s"` Side string `json:"S"` ClientOrderID string `json:"c"` OriginalClientOrderID string `json:"C"` OrderType string `json:"o"` OrderCreationTime int64 `json:"O"` TimeInForce string `json:"f"` IcebergQuantity fixedpoint.Value `json:"F"` OrderQuantity fixedpoint.Value `json:"q"` QuoteOrderQuantity fixedpoint.Value `json:"Q"` OrderPrice fixedpoint.Value `json:"p"` StopPrice fixedpoint.Value `json:"P"` IsOnBook bool `json:"w"` WorkingTime types.MillisecondTimestamp `json:"W"` TrailingTime types.MillisecondTimestamp `json:"D"` IsMaker bool `json:"m"` Ignore bool `json:"M"` CommissionAmount fixedpoint.Value `json:"n"` CommissionAsset string `json:"N"` CurrentExecutionType string `json:"x"` CurrentOrderStatus string `json:"X"` OrderID int64 `json:"i"` Ignored int64 `json:"I"` TradeID int64 `json:"t"` TransactionTime int64 `json:"T"` LastExecutedQuantity fixedpoint.Value `json:"l"` LastExecutedPrice fixedpoint.Value `json:"L"` CumulativeFilledQuantity fixedpoint.Value `json:"z"` CumulativeQuoteAssetTransactedQuantity fixedpoint.Value `json:"Z"` LastQuoteAssetTransactedQuantity fixedpoint.Value `json:"Y"` } func (e *ExecutionReportEvent) Order() (*types.Order, error) { switch e.CurrentExecutionType { case "NEW", "CANCELED", "REJECTED", "EXPIRED": case "REPLACED": case "TRADE": // For Order FILLED status. And the order has been completed. default: return nil, errors.New("execution report type is not for order") } orderCreationTime := time.Unix(0, e.OrderCreationTime*int64(time.Millisecond)) return &types.Order{ SubmitOrder: types.SubmitOrder{ ClientOrderID: e.ClientOrderID, Symbol: e.Symbol, Side: toGlobalSideType(binance.SideType(e.Side)), Type: toGlobalOrderType(binance.OrderType(e.OrderType)), Quantity: e.OrderQuantity, Price: e.OrderPrice, StopPrice: e.StopPrice, TimeInForce: types.TimeInForce(e.TimeInForce), ReduceOnly: false, ClosePosition: false, }, Exchange: types.ExchangeBinance, IsWorking: e.IsOnBook, OrderID: uint64(e.OrderID), Status: toGlobalOrderStatus(binance.OrderStatusType(e.CurrentOrderStatus)), ExecutedQuantity: e.CumulativeFilledQuantity, CreationTime: types.Time(orderCreationTime), UpdateTime: types.Time(orderCreationTime), }, nil } func (e *ExecutionReportEvent) Trade() (*types.Trade, error) { if e.CurrentExecutionType != "TRADE" { return nil, errors.New("execution report is not a trade") } tt := time.Unix(0, e.TransactionTime*int64(time.Millisecond)) return &types.Trade{ ID: uint64(e.TradeID), Exchange: types.ExchangeBinance, Symbol: e.Symbol, OrderID: uint64(e.OrderID), Side: toGlobalSideType(binance.SideType(e.Side)), Price: e.LastExecutedPrice, Quantity: e.LastExecutedQuantity, QuoteQuantity: e.LastQuoteAssetTransactedQuantity, IsBuyer: e.Side == "BUY", IsMaker: e.IsMaker, Time: types.Time(tt), Fee: e.CommissionAmount, FeeCurrency: e.CommissionAsset, }, nil } /* event: balanceUpdate Balance Update occurs during the following: Deposits or withdrawals from the account Transfer of funds between accounts (e.g. Spot to Margin) { "e": "balanceUpdate", //KLineEvent Type "E": 1573200697110, //KLineEvent Time "a": "BTC", //Asset "d": "100.00000000", //Balance Delta "T": 1573200697068 //Clear Time } This event is only for Spot */ type BalanceUpdateEvent struct { EventBase Asset string `json:"a"` Delta fixedpoint.Value `json:"d"` ClearTime types.MillisecondTimestamp `json:"T"` } func (e *BalanceUpdateEvent) SlackAttachment() slack.Attachment { return slack.Attachment{ Title: "Binance Balance Update Event", Color: "warning", Fields: []slack.AttachmentField{ { Title: "Asset", Value: e.Asset, Short: true, }, { Title: "Delta", Value: e.Delta.String(), Short: true, }, { Title: "Time", Value: e.ClearTime.String(), Short: true, }, }, } } /* outboundAccountInfo { "e": "outboundAccountInfo", // KLineEvent type "E": 1499405658849, // KLineEvent time "m": 0, // Maker commission rate (bips) "t": 0, // Taker commission rate (bips) "b": 0, // Buyer commission rate (bips) "s": 0, // Seller commission rate (bips) "T": true, // Can trade? "W": true, // Can withdraw? "D": true, // Can deposit? "u": 1499405658848, // Time of last account update "B": [ // AccountBalances array { "a": "LTC", // Asset "f": "17366.18538083", // Free amount "l": "0.00000000" // Locked amount }, { "a": "BTC", "f": "10537.85314051", "l": "2.19464093" }, { "a": "ETH", "f": "17902.35190619", "l": "0.00000000" }, { "a": "BNC", "f": "1114503.29769312", "l": "0.00000000" }, { "a": "NEO", "f": "0.00000000", "l": "0.00000000" } ], "P": [ // Account Permissions "SPOT" ] } */ type Balance struct { Asset string `json:"a"` Free fixedpoint.Value `json:"f"` Locked fixedpoint.Value `json:"l"` } type OutboundAccountPositionEvent struct { EventBase LastAccountUpdateTime int `json:"u"` Balances []Balance `json:"B,omitempty"` } type OutboundAccountInfoEvent struct { EventBase MakerCommissionRate int `json:"m"` TakerCommissionRate int `json:"t"` BuyerCommissionRate int `json:"b"` SellerCommissionRate int `json:"s"` CanTrade bool `json:"T"` CanWithdraw bool `json:"W"` CanDeposit bool `json:"D"` LastAccountUpdateTime int `json:"u"` Balances []Balance `json:"B,omitempty"` Permissions []string `json:"P,omitempty"` } type ResultEvent struct { Result interface{} `json:"result,omitempty"` ID int `json:"id"` } func parseWebSocketEvent(message []byte) (interface{}, error) { val, err := fastjson.ParseBytes(message) if err != nil { return nil, err } // res, err := json.MarshalIndent(message, "", " ") // if err != nil { // log.Fatal(err) // } // str := strings.ReplaceAll(string(res), "\\", "") // fmt.Println(str) eventType := string(val.GetStringBytes("e")) if eventType == "" && IsBookTicker(val) { eventType = "bookTicker" } switch eventType { case "kline": var event KLineEvent err := json.Unmarshal([]byte(message), &event) return &event, err case "bookTicker": var event BookTickerEvent err := json.Unmarshal([]byte(message), &event) event.Event = eventType return &event, err case "outboundAccountPosition": var event OutboundAccountPositionEvent err = json.Unmarshal([]byte(message), &event) return &event, err case "outboundAccountInfo": var event OutboundAccountInfoEvent err = json.Unmarshal([]byte(message), &event) return &event, err case "balanceUpdate": var event BalanceUpdateEvent err = json.Unmarshal([]byte(message), &event) return &event, err case "executionReport": var event ExecutionReportEvent err = json.Unmarshal([]byte(message), &event) return &event, err case "depthUpdate": return parseDepthEvent(val) case "listenKeyExpired": var event ListenKeyExpired err = json.Unmarshal([]byte(message), &event) return &event, err case "trade": var event MarketTradeEvent err = json.Unmarshal([]byte(message), &event) return &event, err case "aggTrade": var event AggTradeEvent err = json.Unmarshal([]byte(message), &event) return &event, err } // futures stream switch eventType { // futures market data stream // ======================================================== case "continuousKline": var event ContinuousKLineEvent err = json.Unmarshal([]byte(message), &event) return &event, err case "markPriceUpdate": var event MarkPriceUpdateEvent err = json.Unmarshal([]byte(message), &event) return &event, err // futures user data stream // ======================================================== case "ORDER_TRADE_UPDATE": var event OrderTradeUpdateEvent err = json.Unmarshal([]byte(message), &event) return &event, err // Event: Balance and Position Update case "ACCOUNT_UPDATE": var event AccountUpdateEvent err = json.Unmarshal([]byte(message), &event) return &event, err // Event: Order Update case "ACCOUNT_CONFIG_UPDATE": var event AccountConfigUpdateEvent err = json.Unmarshal([]byte(message), &event) return &event, err case "MARGIN_CALL": var event MarginCallEvent err = json.Unmarshal([]byte(message), &event) return &event, err default: id := val.GetInt("id") if id > 0 { return &ResultEvent{ID: id}, nil } } return nil, fmt.Errorf("unsupported message: %s", message) } // IsBookTicker document ref :https://binance-docs.github.io/apidocs/spot/en/#individual-symbol-book-ticker-streams // use key recognition because there's no identify in the content. func IsBookTicker(val *fastjson.Value) bool { return !val.Exists("e") && val.Exists("u") && val.Exists("s") && val.Exists("b") && val.Exists("B") && val.Exists("a") && val.Exists("A") } type DepthEntry struct { PriceLevel fixedpoint.Value Quantity fixedpoint.Value } type DepthEvent struct { EventBase Symbol string `json:"s"` FirstUpdateID int64 `json:"U"` FinalUpdateID int64 `json:"u"` Bids types.PriceVolumeSlice `json:"b"` Asks types.PriceVolumeSlice `json:"a"` } func (e *DepthEvent) String() (o string) { o += fmt.Sprintf("Depth %s bid/ask = ", e.Symbol) if len(e.Bids) == 0 { o += "empty" } else { o += e.Bids[0].Price.String() } o += "/" if len(e.Asks) == 0 { o += "empty" } else { o += e.Asks[0].Price.String() } o += fmt.Sprintf(" %d ~ %d", e.FirstUpdateID, e.FinalUpdateID) return o } func (e *DepthEvent) OrderBook() (book types.SliceOrderBook, err error) { book.Symbol = e.Symbol book.Time = e.EventBase.Time.Time() // already in descending order book.Bids = e.Bids book.Asks = e.Asks return book, err } func parseDepthEntry(val *fastjson.Value) (*types.PriceVolume, error) { arr, err := val.Array() if err != nil { return nil, err } if len(arr) < 2 { return nil, errors.New("incorrect depth entry element length") } price, err := fixedpoint.NewFromString(string(arr[0].GetStringBytes())) if err != nil { return nil, err } quantity, err := fixedpoint.NewFromString(string(arr[1].GetStringBytes())) if err != nil { return nil, err } return &types.PriceVolume{ Price: price, Volume: quantity, }, nil } func parseDepthEvent(val *fastjson.Value) (*DepthEvent, error) { var err error var depth = &DepthEvent{ EventBase: EventBase{ Event: string(val.GetStringBytes("e")), Time: types.NewMillisecondTimestampFromInt(val.GetInt64("E")), }, Symbol: string(val.GetStringBytes("s")), FirstUpdateID: val.GetInt64("U"), FinalUpdateID: val.GetInt64("u"), } for _, ev := range val.GetArray("b") { entry, err2 := parseDepthEntry(ev) if err2 != nil { err = err2 continue } depth.Bids = append(depth.Bids, *entry) } for _, ev := range val.GetArray("a") { entry, err2 := parseDepthEntry(ev) if err2 != nil { err = err2 continue } depth.Asks = append(depth.Asks, *entry) } return depth, err } type MarketTradeEvent struct { EventBase Symbol string `json:"s"` Quantity fixedpoint.Value `json:"q"` Price fixedpoint.Value `json:"p"` BuyerOrderId int64 `json:"b"` SellerOrderId int64 `json:"a"` OrderTradeTime int64 `json:"T"` TradeId int64 `json:"t"` IsMaker bool `json:"m"` Dummy bool `json:"M"` } /* market trade { "e": "trade", // Event type "E": 123456789, // Event time "s": "BNBBTC", // Symbol "t": 12345, // Trade ID "p": "0.001", // Price "q": "100", // Quantity "b": 88, // Buyer order ID "a": 50, // Seller order ID "T": 123456785, // Trade time "m": true, // Is the buyer the market maker? "M": true // Ignore } */ func (e *MarketTradeEvent) Trade() types.Trade { tt := time.Unix(0, e.OrderTradeTime*int64(time.Millisecond)) var orderId int64 var side types.SideType var isBuyer bool if e.IsMaker { orderId = e.SellerOrderId // seller is taker side = types.SideTypeSell isBuyer = false } else { orderId = e.BuyerOrderId // buyer is taker side = types.SideTypeBuy isBuyer = true } return types.Trade{ ID: uint64(e.TradeId), Exchange: types.ExchangeBinance, Symbol: e.Symbol, OrderID: uint64(orderId), Side: side, Price: e.Price, Quantity: e.Quantity, QuoteQuantity: e.Quantity.Mul(e.Price), IsBuyer: isBuyer, IsMaker: e.IsMaker, Time: types.Time(tt), Fee: fixedpoint.Zero, FeeCurrency: "", } } type AggTradeEvent struct { EventBase Symbol string `json:"s"` Quantity fixedpoint.Value `json:"q"` Price fixedpoint.Value `json:"p"` FirstTradeId int64 `json:"f"` LastTradeId int64 `json:"l"` OrderTradeTime int64 `json:"T"` IsMaker bool `json:"m"` Dummy bool `json:"M"` } /* aggregate trade { "e": "aggTrade", // Event type "E": 123456789, // Event time "s": "BNBBTC", // Symbol "a": 12345, // Aggregate trade ID "p": "0.001", // Price "q": "100", // Quantity "f": 100, // First trade ID "l": 105, // Last trade ID "T": 123456785, // Trade time "m": true, // Is the buyer the market maker? "M": true // Ignore } */ func (e *AggTradeEvent) Trade() types.Trade { tt := time.Unix(0, e.OrderTradeTime*int64(time.Millisecond)) var side types.SideType var isBuyer bool if e.IsMaker { side = types.SideTypeSell isBuyer = false } else { side = types.SideTypeBuy isBuyer = true } return types.Trade{ ID: uint64(e.LastTradeId), Exchange: types.ExchangeBinance, Symbol: e.Symbol, OrderID: 0, Side: side, Price: e.Price, Quantity: e.Quantity, QuoteQuantity: e.Quantity.Mul(e.Price), IsBuyer: isBuyer, IsMaker: e.IsMaker, Time: types.Time(tt), Fee: fixedpoint.Zero, FeeCurrency: "", } } type KLine struct { StartTime int64 `json:"t"` EndTime int64 `json:"T"` Symbol string `json:"s"` Interval string `json:"i"` Open fixedpoint.Value `json:"o"` Close fixedpoint.Value `json:"c"` High fixedpoint.Value `json:"h"` Low fixedpoint.Value `json:"l"` Volume fixedpoint.Value `json:"v"` // base asset volume (like 10 BTC) QuoteVolume fixedpoint.Value `json:"q"` // quote asset volume TakerBuyBaseAssetVolume fixedpoint.Value `json:"V"` // taker buy base asset volume (like 10 BTC) TakerBuyQuoteAssetVolume fixedpoint.Value `json:"Q"` // taker buy quote asset volume (like 1000USDT) LastTradeID int `json:"L"` NumberOfTrades int64 `json:"n"` Closed bool `json:"x"` } /* kline { "e": "kline", // KLineEvent type "E": 123456789, // KLineEvent time "s": "BNBBTC", // Symbol "k": { "t": 123400000, // Kline start time "T": 123460000, // Kline close time "s": "BNBBTC", // Symbol "i": "1m", // Interval "f": 100, // First trade ID "L": 200, // Last trade ID "o": "0.0010", // Open price "c": "0.0020", // Close price "h": "0.0025", // High price "l": "0.0015", // Low price "v": "1000", // Base asset volume "n": 100, // Number of trades "x": false, // Is this kline closed? "q": "1.0000", // Quote asset volume "V": "500", // Taker buy base asset volume "Q": "0.500", // Taker buy quote asset volume "B": "123456" // Ignore } } */ type KLineEvent struct { EventBase Symbol string `json:"s"` KLine KLine `json:"k,omitempty"` } func (k *KLine) KLine() types.KLine { return types.KLine{ Exchange: types.ExchangeBinance, Symbol: k.Symbol, Interval: types.Interval(k.Interval), StartTime: types.NewTimeFromUnix(0, k.StartTime*int64(time.Millisecond)), EndTime: types.NewTimeFromUnix(0, k.EndTime*int64(time.Millisecond)), Open: k.Open, Close: k.Close, High: k.High, Low: k.Low, Volume: k.Volume, QuoteVolume: k.QuoteVolume, TakerBuyBaseAssetVolume: k.TakerBuyBaseAssetVolume, TakerBuyQuoteAssetVolume: k.TakerBuyQuoteAssetVolume, LastTradeID: uint64(k.LastTradeID), NumberOfTrades: uint64(k.NumberOfTrades), Closed: k.Closed, } } type ListenKeyExpired struct { EventBase } type MarkPriceUpdateEvent struct { EventBase Symbol string `json:"s"` MarkPrice fixedpoint.Value `json:"p"` IndexPrice fixedpoint.Value `json:"i"` EstimatedPrice fixedpoint.Value `json:"P"` FundingRate fixedpoint.Value `json:"r"` NextFundingTime int64 `json:"T"` } /* { "e": "markPriceUpdate", // Event type "E": 1562305380000, // Event time "s": "BTCUSDT", // Symbol "p": "11794.15000000", // Mark price "i": "11784.62659091", // Index price "P": "11784.25641265", // Estimated Settle Price, only useful in the last hour before the settlement starts "r": "0.00038167", // Funding rate "T": 1562306400000 // Next funding time } */ type ContinuousKLineEvent struct { EventBase Symbol string `json:"ps"` ct string `json:"ct"` KLine KLine `json:"k,omitempty"` } /* { "e":"continuous_kline", // Event type "E":1607443058651, // Event time "ps":"BTCUSDT", // Pair "ct":"PERPETUAL" // Contract type "k":{ "t":1607443020000, // Kline start time "T":1607443079999, // Kline close time "i":"1m", // Interval "f":116467658886, // First trade ID "L":116468012423, // Last trade ID "o":"18787.00", // Open price "c":"18804.04", // Close price "h":"18804.04", // High price "l":"18786.54", // Low price "v":"197.664", // volume "n": 543, // Number of trades "x":false, // Is this kline closed? "q":"3715253.19494", // Quote asset volume "V":"184.769", // Taker buy volume "Q":"3472925.84746", //Taker buy quote asset volume "B":"0" // Ignore } } */ // Similar to the ExecutionReportEvent's fields. But with totally different json key. // e.g., Stop price. So that, we can not merge them. type OrderTrade struct { Symbol string `json:"s"` ClientOrderID string `json:"c"` Side string `json:"S"` OrderType string `json:"o"` TimeInForce string `json:"f"` OriginalQuantity fixedpoint.Value `json:"q"` OriginalPrice fixedpoint.Value `json:"p"` AveragePrice fixedpoint.Value `json:"ap"` StopPrice fixedpoint.Value `json:"sp"` CurrentExecutionType string `json:"x"` CurrentOrderStatus string `json:"X"` OrderId int64 `json:"i"` OrderLastFilledQuantity fixedpoint.Value `json:"l"` OrderFilledAccumulatedQuantity fixedpoint.Value `json:"z"` LastFilledPrice fixedpoint.Value `json:"L"` CommissionAmount fixedpoint.Value `json:"n"` CommissionAsset string `json:"N"` OrderTradeTime types.MillisecondTimestamp `json:"T"` TradeId int64 `json:"t"` BidsNotional string `json:"b"` AskNotional string `json:"a"` IsMaker bool `json:"m"` IsReduceOnly bool ` json:"r"` StopPriceWorkingType string `json:"wt"` OriginalOrderType string `json:"ot"` PositionSide string `json:"ps"` RealizedProfit string `json:"rp"` } type OrderTradeUpdateEvent struct { EventBase Transaction int64 `json:"T"` OrderTrade OrderTrade `json:"o"` } // { // "e":"ORDER_TRADE_UPDATE", // Event Type // "E":1568879465651, // Event Time // "T":1568879465650, // Transaction Time // "o":{ // "s":"BTCUSDT", // Symbol // "c":"TEST", // Client Order Id // // special client order id: // // starts with "autoclose-": liquidation order // // "adl_autoclose": ADL auto close order // "S":"SELL", // Side // "o":"TRAILING_STOP_MARKET", // Order Type // "f":"GTC", // Time in Force // "q":"0.001", // Original Quantity // "p":"0", // Original Price // "ap":"0", // Average Price // "sp":"7103.04", // Stop Price. Please ignore with TRAILING_STOP_MARKET order // "x":"NEW", // Execution Type // "X":"NEW", // Order Status // "i":8886774, // Order Id // "l":"0", // Order Last Filled Quantity // "z":"0", // Order Filled Accumulated Quantity // "L":"0", // Last Filled Price // "N":"USDT", // Commission Asset, will not push if no commission // "n":"0", // Commission, will not push if no commission // "T":1568879465651, // Order Trade Time // "t":0, // Trade Id // "b":"0", // Bids Notional // "a":"9.91", // Ask Notional // "m":false, // Is this trade the maker side? // "R":false, // Is this reduce only // "wt":"CONTRACT_PRICE", // Stop Price Working Type // "ot":"TRAILING_STOP_MARKET", // Original Order Type // "ps":"LONG", // Position Side // "cp":false, // If Close-All, pushed with conditional order // "AP":"7476.89", // Activation Price, only puhed with TRAILING_STOP_MARKET order // "cr":"5.0", // Callback Rate, only puhed with TRAILING_STOP_MARKET order // "rp":"0" // Realized Profit of the trade // } // } func (e *OrderTradeUpdateEvent) OrderFutures() (*types.Order, error) { switch e.OrderTrade.CurrentExecutionType { case "NEW", "CANCELED", "EXPIRED": case "CALCULATED - Liquidation Execution": case "TRADE": // For Order FILLED status. And the order has been completed. default: return nil, errors.New("execution report type is not for futures order") } return &types.Order{ Exchange: types.ExchangeBinance, SubmitOrder: types.SubmitOrder{ Symbol: e.OrderTrade.Symbol, ClientOrderID: e.OrderTrade.ClientOrderID, Side: toGlobalFuturesSideType(futures.SideType(e.OrderTrade.Side)), Type: toGlobalFuturesOrderType(futures.OrderType(e.OrderTrade.OrderType)), Quantity: e.OrderTrade.OriginalQuantity, Price: e.OrderTrade.OriginalPrice, TimeInForce: types.TimeInForce(e.OrderTrade.TimeInForce), }, OrderID: uint64(e.OrderTrade.OrderId), Status: toGlobalFuturesOrderStatus(futures.OrderStatusType(e.OrderTrade.CurrentOrderStatus)), ExecutedQuantity: e.OrderTrade.OrderFilledAccumulatedQuantity, CreationTime: types.Time(e.OrderTrade.OrderTradeTime.Time()), // FIXME: find the correct field for creation time UpdateTime: types.Time(e.OrderTrade.OrderTradeTime.Time()), }, nil } func (e *OrderTradeUpdateEvent) TradeFutures() (*types.Trade, error) { if e.OrderTrade.CurrentExecutionType != "TRADE" { return nil, errors.New("execution report is not a futures trade") } return &types.Trade{ ID: uint64(e.OrderTrade.TradeId), Exchange: types.ExchangeBinance, Symbol: e.OrderTrade.Symbol, OrderID: uint64(e.OrderTrade.OrderId), Side: toGlobalSideType(binance.SideType(e.OrderTrade.Side)), Price: e.OrderTrade.LastFilledPrice, Quantity: e.OrderTrade.OrderLastFilledQuantity, QuoteQuantity: e.OrderTrade.LastFilledPrice.Mul(e.OrderTrade.OrderLastFilledQuantity), IsBuyer: e.OrderTrade.Side == "BUY", IsMaker: e.OrderTrade.IsMaker, Time: types.Time(e.OrderTrade.OrderTradeTime.Time()), Fee: e.OrderTrade.CommissionAmount, FeeCurrency: e.OrderTrade.CommissionAsset, }, nil } type FuturesStreamBalance struct { Asset string `json:"a"` WalletBalance fixedpoint.Value `json:"wb"` CrossWalletBalance fixedpoint.Value `json:"cw"` BalanceChange fixedpoint.Value `json:"bc"` } type FuturesStreamPosition struct { Symbol string `json:"s"` PositionAmount fixedpoint.Value `json:"pa"` EntryPrice fixedpoint.Value `json:"ep"` AccumulatedRealizedPnL fixedpoint.Value `json:"cr"` // (Pre-fee) Accumulated Realized PnL UnrealizedPnL fixedpoint.Value `json:"up"` MarginType string `json:"mt"` IsolatedWallet fixedpoint.Value `json:"iw"` PositionSide string `json:"ps"` } type AccountUpdateEventReasonType string const ( AccountUpdateEventReasonDeposit AccountUpdateEventReasonType = "DEPOSIT" AccountUpdateEventReasonWithdraw AccountUpdateEventReasonType = "WITHDRAW" AccountUpdateEventReasonOrder AccountUpdateEventReasonType = "ORDER" AccountUpdateEventReasonFundingFee AccountUpdateEventReasonType = "FUNDING_FEE" AccountUpdateEventReasonMarginTransfer AccountUpdateEventReasonType = "MARGIN_TRANSFER" AccountUpdateEventReasonMarginTypeChange AccountUpdateEventReasonType = "MARGIN_TYPE_CHANGE" AccountUpdateEventReasonAssetTransfer AccountUpdateEventReasonType = "ASSET_TRANSFER" AccountUpdateEventReasonAdminDeposit AccountUpdateEventReasonType = "ADMIN_DEPOSIT" AccountUpdateEventReasonAdminWithdraw AccountUpdateEventReasonType = "ADMIN_WITHDRAW" ) type AccountUpdate struct { // m: DEPOSIT WITHDRAW // ORDER FUNDING_FEE // WITHDRAW_REJECT ADJUSTMENT // INSURANCE_CLEAR // ADMIN_DEPOSIT ADMIN_WITHDRAW // MARGIN_TRANSFER MARGIN_TYPE_CHANGE // ASSET_TRANSFER // OPTIONS_PREMIUM_FEE OPTIONS_SETTLE_PROFIT // AUTO_EXCHANGE // COIN_SWAP_DEPOSIT COIN_SWAP_WITHDRAW EventReasonType AccountUpdateEventReasonType `json:"m"` Balances []FuturesStreamBalance `json:"B,omitempty"` Positions []FuturesStreamPosition `json:"P,omitempty"` } type MarginCallEvent struct { EventBase CrossWalletBalance fixedpoint.Value `json:"cw"` P []struct { Symbol string `json:"s"` PositionSide string `json:"ps"` PositionAmount fixedpoint.Value `json:"pa"` MarginType string `json:"mt"` IsolatedWallet fixedpoint.Value `json:"iw"` MarkPrice fixedpoint.Value `json:"mp"` UnrealizedPnL fixedpoint.Value `json:"up"` MaintenanceMarginRequired fixedpoint.Value `json:"mm"` } `json:"p"` // Position(s) of Margin Call } // AccountUpdateEvent is only used in the futures user data stream type AccountUpdateEvent struct { EventBase Transaction int64 `json:"T"` AccountUpdate AccountUpdate `json:"a"` } type AccountConfigUpdateEvent struct { EventBase Transaction int64 `json:"T"` // When the leverage of a trade pair changes, // the payload will contain the object ac to represent the account configuration of the trade pair, // where s represents the specific trade pair and l represents the leverage AccountConfig struct { Symbol string `json:"s"` Leverage fixedpoint.Value `json:"l"` } `json:"ac"` // When the user Multi-Assets margin mode changes the payload will contain the object ai representing the user account configuration, // where j represents the user Multi-Assets margin mode MarginModeConfig struct { MultiAssetsMode bool `json:"j"` } `json:"ai"` } type BookTickerEvent struct { EventBase Symbol string `json:"s"` Buy fixedpoint.Value `json:"b"` BuySize fixedpoint.Value `json:"B"` Sell fixedpoint.Value `json:"a"` SellSize fixedpoint.Value `json:"A"` // "u":400900217, // order book updateId // "s":"BNBUSDT", // symbol // "b":"25.35190000", // best bid price // "B":"31.21000000", // best bid qty // "a":"25.36520000", // best ask price // "A":"40.66000000" // best ask qty } func (k *BookTickerEvent) BookTicker() types.BookTicker { return types.BookTicker{ Symbol: k.Symbol, Buy: k.Buy, BuySize: k.BuySize, Sell: k.Sell, SellSize: k.SellSize, } }