mirror of
https://github.com/c9s/bbgo.git
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679 lines
22 KiB
Go
679 lines
22 KiB
Go
package binance
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import (
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"fmt"
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"strings"
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"time"
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"github.com/adshao/go-binance/v2"
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"github.com/adshao/go-binance/v2/futures"
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"github.com/pkg/errors"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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func toGlobalMarket(symbol binance.Symbol) types.Market {
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market := types.Market{
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Symbol: symbol.Symbol,
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LocalSymbol: symbol.Symbol,
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PricePrecision: symbol.QuotePrecision,
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VolumePrecision: symbol.BaseAssetPrecision,
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QuoteCurrency: symbol.QuoteAsset,
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BaseCurrency: symbol.BaseAsset,
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}
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if f := symbol.MinNotionalFilter(); f != nil {
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market.MinNotional = fixedpoint.MustNewFromString(f.MinNotional)
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market.MinAmount = fixedpoint.MustNewFromString(f.MinNotional)
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}
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// The LOT_SIZE filter defines the quantity (aka "lots" in auction terms) rules for a symbol.
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// There are 3 parts:
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// minQty defines the minimum quantity/icebergQty allowed.
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// maxQty defines the maximum quantity/icebergQty allowed.
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// stepSize defines the intervals that a quantity/icebergQty can be increased/decreased by.
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if f := symbol.LotSizeFilter(); f != nil {
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market.MinQuantity = fixedpoint.MustNewFromString(f.MinQuantity)
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market.MaxQuantity = fixedpoint.MustNewFromString(f.MaxQuantity)
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market.StepSize = fixedpoint.MustNewFromString(f.StepSize)
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}
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if f := symbol.PriceFilter(); f != nil {
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market.MaxPrice = fixedpoint.MustNewFromString(f.MaxPrice)
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market.MinPrice = fixedpoint.MustNewFromString(f.MinPrice)
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market.TickSize = fixedpoint.MustNewFromString(f.TickSize)
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}
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return market
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}
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// TODO: Cuz it returns types.Market as well, merge following to the above function
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func toGlobalFuturesMarket(symbol futures.Symbol) types.Market {
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market := types.Market{
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Symbol: symbol.Symbol,
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LocalSymbol: symbol.Symbol,
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PricePrecision: symbol.QuotePrecision,
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VolumePrecision: symbol.BaseAssetPrecision,
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QuoteCurrency: symbol.QuoteAsset,
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BaseCurrency: symbol.BaseAsset,
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}
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if f := symbol.MinNotionalFilter(); f != nil {
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market.MinNotional = fixedpoint.MustNewFromString(f.Notional)
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market.MinAmount = fixedpoint.MustNewFromString(f.Notional)
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}
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// The LOT_SIZE filter defines the quantity (aka "lots" in auction terms) rules for a symbol.
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// There are 3 parts:
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// minQty defines the minimum quantity/icebergQty allowed.
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// maxQty defines the maximum quantity/icebergQty allowed.
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// stepSize defines the intervals that a quantity/icebergQty can be increased/decreased by.
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if f := symbol.LotSizeFilter(); f != nil {
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market.MinQuantity = fixedpoint.MustNewFromString(f.MinQuantity)
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market.MaxQuantity = fixedpoint.MustNewFromString(f.MaxQuantity)
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market.StepSize = fixedpoint.MustNewFromString(f.StepSize)
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}
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if f := symbol.PriceFilter(); f != nil {
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market.MaxPrice = fixedpoint.MustNewFromString(f.MaxPrice)
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market.MinPrice = fixedpoint.MustNewFromString(f.MinPrice)
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market.TickSize = fixedpoint.MustNewFromString(f.TickSize)
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}
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return market
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}
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func toGlobalIsolatedUserAsset(userAsset binance.IsolatedUserAsset) types.IsolatedUserAsset {
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return types.IsolatedUserAsset{
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Asset: userAsset.Asset,
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Borrowed: fixedpoint.MustNewFromString(userAsset.Borrowed),
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Free: fixedpoint.MustNewFromString(userAsset.Free),
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Interest: fixedpoint.MustNewFromString(userAsset.Interest),
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Locked: fixedpoint.MustNewFromString(userAsset.Locked),
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NetAsset: fixedpoint.MustNewFromString(userAsset.NetAsset),
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NetAssetOfBtc: fixedpoint.MustNewFromString(userAsset.NetAssetOfBtc),
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BorrowEnabled: userAsset.BorrowEnabled,
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RepayEnabled: userAsset.RepayEnabled,
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TotalAsset: fixedpoint.MustNewFromString(userAsset.TotalAsset),
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}
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}
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func toGlobalIsolatedMarginAsset(asset binance.IsolatedMarginAsset) types.IsolatedMarginAsset {
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return types.IsolatedMarginAsset{
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Symbol: asset.Symbol,
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QuoteAsset: toGlobalIsolatedUserAsset(asset.QuoteAsset),
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BaseAsset: toGlobalIsolatedUserAsset(asset.BaseAsset),
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IsolatedCreated: asset.IsolatedCreated,
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MarginLevel: fixedpoint.MustNewFromString(asset.MarginLevel),
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MarginLevelStatus: asset.MarginLevelStatus,
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MarginRatio: fixedpoint.MustNewFromString(asset.MarginRatio),
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IndexPrice: fixedpoint.MustNewFromString(asset.IndexPrice),
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LiquidatePrice: fixedpoint.MustNewFromString(asset.LiquidatePrice),
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LiquidateRate: fixedpoint.MustNewFromString(asset.LiquidateRate),
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TradeEnabled: false,
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}
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}
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func toGlobalIsolatedMarginAssets(assets []binance.IsolatedMarginAsset) (retAssets types.IsolatedMarginAssetMap) {
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retMarginAssets := make(types.IsolatedMarginAssetMap)
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for _, marginAsset := range assets {
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retMarginAssets[marginAsset.Symbol] = toGlobalIsolatedMarginAsset(marginAsset)
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}
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return retMarginAssets
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}
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//func toGlobalIsolatedMarginAccount(account *binance.IsolatedMarginAccount) *types.IsolatedMarginAccount {
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// return &types.IsolatedMarginAccount{
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// TotalAssetOfBTC: fixedpoint.MustNewFromString(account.TotalNetAssetOfBTC),
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// TotalLiabilityOfBTC: fixedpoint.MustNewFromString(account.TotalLiabilityOfBTC),
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// TotalNetAssetOfBTC: fixedpoint.MustNewFromString(account.TotalNetAssetOfBTC),
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// Assets: toGlobalIsolatedMarginAssets(account.Assets),
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// }
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//}
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func toGlobalMarginUserAssets(assets []binance.UserAsset) types.MarginAssetMap {
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retMarginAssets := make(types.MarginAssetMap)
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for _, marginAsset := range assets {
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retMarginAssets[marginAsset.Asset] = types.MarginUserAsset{
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Asset: marginAsset.Asset,
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Borrowed: fixedpoint.MustNewFromString(marginAsset.Borrowed),
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Free: fixedpoint.MustNewFromString(marginAsset.Free),
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Interest: fixedpoint.MustNewFromString(marginAsset.Interest),
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Locked: fixedpoint.MustNewFromString(marginAsset.Locked),
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NetAsset: fixedpoint.MustNewFromString(marginAsset.NetAsset),
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}
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}
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return retMarginAssets
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}
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func toGlobalMarginAccountInfo(account *binance.MarginAccount) *types.MarginAccountInfo {
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return &types.MarginAccountInfo{
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BorrowEnabled: account.BorrowEnabled,
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MarginLevel: fixedpoint.MustNewFromString(account.MarginLevel),
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TotalAssetOfBTC: fixedpoint.MustNewFromString(account.TotalAssetOfBTC),
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TotalLiabilityOfBTC: fixedpoint.MustNewFromString(account.TotalLiabilityOfBTC),
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TotalNetAssetOfBTC: fixedpoint.MustNewFromString(account.TotalNetAssetOfBTC),
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TradeEnabled: account.TradeEnabled,
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TransferEnabled: account.TransferEnabled,
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Assets: toGlobalMarginUserAssets(account.UserAssets),
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}
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}
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func toGlobalIsolatedMarginAccountInfo(account *binance.IsolatedMarginAccount) *types.IsolatedMarginAccountInfo {
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return &types.IsolatedMarginAccountInfo{
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TotalAssetOfBTC: fixedpoint.MustNewFromString(account.TotalAssetOfBTC),
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TotalLiabilityOfBTC: fixedpoint.MustNewFromString(account.TotalLiabilityOfBTC),
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TotalNetAssetOfBTC: fixedpoint.MustNewFromString(account.TotalNetAssetOfBTC),
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Assets: toGlobalIsolatedMarginAssets(account.Assets),
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}
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}
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func toGlobalFuturesAccountInfo(account *futures.Account) *types.FuturesAccountInfo {
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return &types.FuturesAccountInfo{
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Assets: toGlobalFuturesUserAssets(account.Assets),
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Positions: toGlobalFuturesPositions(account.Positions),
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TotalInitialMargin: fixedpoint.MustNewFromString(account.TotalInitialMargin),
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TotalMaintMargin: fixedpoint.MustNewFromString(account.TotalMaintMargin),
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TotalMarginBalance: fixedpoint.MustNewFromString(account.TotalMarginBalance),
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TotalOpenOrderInitialMargin: fixedpoint.MustNewFromString(account.TotalOpenOrderInitialMargin),
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TotalPositionInitialMargin: fixedpoint.MustNewFromString(account.TotalPositionInitialMargin),
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TotalUnrealizedProfit: fixedpoint.MustNewFromString(account.TotalUnrealizedProfit),
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TotalWalletBalance: fixedpoint.MustNewFromString(account.TotalWalletBalance),
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UpdateTime: account.UpdateTime,
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}
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}
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func toGlobalFuturesBalance(balances []*futures.Balance) types.BalanceMap {
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retBalances := make(types.BalanceMap)
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for _, balance := range balances {
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retBalances[balance.Asset] = types.Balance{
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Currency: balance.Asset,
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Available: fixedpoint.MustNewFromString(balance.AvailableBalance),
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}
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}
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return retBalances
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}
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func toGlobalFuturesPositions(futuresPositions []*futures.AccountPosition) types.FuturesPositionMap {
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retFuturesPositions := make(types.FuturesPositionMap)
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for _, futuresPosition := range futuresPositions {
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retFuturesPositions[futuresPosition.Symbol] = types.FuturesPosition{ // TODO: types.FuturesPosition
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Isolated: futuresPosition.Isolated,
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PositionRisk: &types.PositionRisk{
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Leverage: fixedpoint.MustNewFromString(futuresPosition.Leverage),
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},
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Symbol: futuresPosition.Symbol,
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UpdateTime: futuresPosition.UpdateTime,
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}
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}
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return retFuturesPositions
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}
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func toGlobalFuturesUserAssets(assets []*futures.AccountAsset) (retAssets types.FuturesAssetMap) {
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retFuturesAssets := make(types.FuturesAssetMap)
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for _, futuresAsset := range assets {
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retFuturesAssets[futuresAsset.Asset] = types.FuturesUserAsset{
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Asset: futuresAsset.Asset,
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InitialMargin: fixedpoint.MustNewFromString(futuresAsset.InitialMargin),
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MaintMargin: fixedpoint.MustNewFromString(futuresAsset.MaintMargin),
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MarginBalance: fixedpoint.MustNewFromString(futuresAsset.MarginBalance),
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MaxWithdrawAmount: fixedpoint.MustNewFromString(futuresAsset.MaxWithdrawAmount),
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OpenOrderInitialMargin: fixedpoint.MustNewFromString(futuresAsset.OpenOrderInitialMargin),
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PositionInitialMargin: fixedpoint.MustNewFromString(futuresAsset.PositionInitialMargin),
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UnrealizedProfit: fixedpoint.MustNewFromString(futuresAsset.UnrealizedProfit),
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WalletBalance: fixedpoint.MustNewFromString(futuresAsset.WalletBalance),
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}
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}
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return retFuturesAssets
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}
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func toGlobalTicker(stats *binance.PriceChangeStats) (*types.Ticker, error) {
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return &types.Ticker{
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Volume: fixedpoint.MustNewFromString(stats.Volume),
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Last: fixedpoint.MustNewFromString(stats.LastPrice),
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Open: fixedpoint.MustNewFromString(stats.OpenPrice),
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High: fixedpoint.MustNewFromString(stats.HighPrice),
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Low: fixedpoint.MustNewFromString(stats.LowPrice),
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Buy: fixedpoint.MustNewFromString(stats.BidPrice),
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Sell: fixedpoint.MustNewFromString(stats.AskPrice),
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Time: time.Unix(0, stats.CloseTime*int64(time.Millisecond)),
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}, nil
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}
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func toLocalOrderType(orderType types.OrderType) (binance.OrderType, error) {
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switch orderType {
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case types.OrderTypeLimitMaker:
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return binance.OrderTypeLimitMaker, nil
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case types.OrderTypeLimit:
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return binance.OrderTypeLimit, nil
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case types.OrderTypeStopLimit:
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return binance.OrderTypeStopLossLimit, nil
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case types.OrderTypeStopMarket:
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return binance.OrderTypeStopLoss, nil
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case types.OrderTypeMarket:
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return binance.OrderTypeMarket, nil
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}
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return "", fmt.Errorf("can not convert to local order, order type %s not supported", orderType)
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}
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func toLocalFuturesOrderType(orderType types.OrderType) (futures.OrderType, error) {
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switch orderType {
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// case types.OrderTypeLimitMaker:
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// return futures.OrderTypeLimitMaker, nil //TODO
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case types.OrderTypeLimit, types.OrderTypeLimitMaker:
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return futures.OrderTypeLimit, nil
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// case types.OrderTypeStopLimit:
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// return futures.OrderTypeStopLossLimit, nil //TODO
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// case types.OrderTypeStopMarket:
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// return futures.OrderTypeStopLoss, nil //TODO
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case types.OrderTypeMarket:
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return futures.OrderTypeMarket, nil
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}
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return "", fmt.Errorf("can not convert to local order, order type %s not supported", orderType)
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}
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func toGlobalOrders(binanceOrders []*binance.Order) (orders []types.Order, err error) {
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for _, binanceOrder := range binanceOrders {
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order, err := toGlobalOrder(binanceOrder, false)
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if err != nil {
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return orders, err
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}
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orders = append(orders, *order)
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}
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return orders, err
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}
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func toGlobalFuturesOrders(futuresOrders []*futures.Order) (orders []types.Order, err error) {
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for _, futuresOrder := range futuresOrders {
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order, err := toGlobalFuturesOrder(futuresOrder, false)
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if err != nil {
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return orders, err
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}
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orders = append(orders, *order)
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}
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return orders, err
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}
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func toGlobalOrder(binanceOrder *binance.Order, isMargin bool) (*types.Order, error) {
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return &types.Order{
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SubmitOrder: types.SubmitOrder{
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ClientOrderID: binanceOrder.ClientOrderID,
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Symbol: binanceOrder.Symbol,
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Side: toGlobalSideType(binanceOrder.Side),
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Type: toGlobalOrderType(binanceOrder.Type),
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Quantity: fixedpoint.MustNewFromString(binanceOrder.OrigQuantity),
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Price: fixedpoint.MustNewFromString(binanceOrder.Price),
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TimeInForce: types.TimeInForce(binanceOrder.TimeInForce),
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},
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Exchange: types.ExchangeBinance,
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IsWorking: binanceOrder.IsWorking,
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OrderID: uint64(binanceOrder.OrderID),
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Status: toGlobalOrderStatus(binanceOrder.Status),
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ExecutedQuantity: fixedpoint.MustNewFromString(binanceOrder.ExecutedQuantity),
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CreationTime: types.Time(millisecondTime(binanceOrder.Time)),
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UpdateTime: types.Time(millisecondTime(binanceOrder.UpdateTime)),
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IsMargin: isMargin,
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IsIsolated: binanceOrder.IsIsolated,
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}, nil
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}
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func toGlobalFuturesOrder(futuresOrder *futures.Order, isMargin bool) (*types.Order, error) {
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return &types.Order{
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SubmitOrder: types.SubmitOrder{
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ClientOrderID: futuresOrder.ClientOrderID,
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Symbol: futuresOrder.Symbol,
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Side: toGlobalFuturesSideType(futuresOrder.Side),
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Type: toGlobalFuturesOrderType(futuresOrder.Type),
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ReduceOnly: futuresOrder.ReduceOnly,
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ClosePosition: futuresOrder.ClosePosition,
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Quantity: fixedpoint.MustNewFromString(futuresOrder.OrigQuantity),
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Price: fixedpoint.MustNewFromString(futuresOrder.Price),
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TimeInForce: types.TimeInForce(futuresOrder.TimeInForce),
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},
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Exchange: types.ExchangeBinance,
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OrderID: uint64(futuresOrder.OrderID),
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Status: toGlobalFuturesOrderStatus(futuresOrder.Status),
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ExecutedQuantity: fixedpoint.MustNewFromString(futuresOrder.ExecutedQuantity),
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CreationTime: types.Time(millisecondTime(futuresOrder.Time)),
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UpdateTime: types.Time(millisecondTime(futuresOrder.UpdateTime)),
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IsMargin: isMargin,
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}, nil
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}
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func millisecondTime(t int64) time.Time {
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return time.Unix(0, t*int64(time.Millisecond))
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}
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func toGlobalTrade(t binance.TradeV3, isMargin bool) (*types.Trade, error) {
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// skip trade ID that is the same. however this should not happen
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var side types.SideType
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if t.IsBuyer {
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side = types.SideTypeBuy
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} else {
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side = types.SideTypeSell
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}
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price, err := fixedpoint.NewFromString(t.Price)
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if err != nil {
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return nil, errors.Wrapf(err, "price parse error, price: %+v", t.Price)
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}
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quantity, err := fixedpoint.NewFromString(t.Quantity)
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if err != nil {
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return nil, errors.Wrapf(err, "quantity parse error, quantity: %+v", t.Quantity)
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}
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var quoteQuantity fixedpoint.Value
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if len(t.QuoteQuantity) > 0 {
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quoteQuantity, err = fixedpoint.NewFromString(t.QuoteQuantity)
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if err != nil {
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return nil, errors.Wrapf(err, "quote quantity parse error, quoteQuantity: %+v", t.QuoteQuantity)
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}
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} else {
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quoteQuantity = price.Mul(quantity)
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}
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fee, err := fixedpoint.NewFromString(t.Commission)
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if err != nil {
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return nil, errors.Wrapf(err, "commission parse error, commission: %+v", t.Commission)
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}
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return &types.Trade{
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ID: uint64(t.ID),
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OrderID: uint64(t.OrderID),
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Price: price,
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Symbol: t.Symbol,
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Exchange: "binance",
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Quantity: quantity,
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QuoteQuantity: quoteQuantity,
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Side: side,
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IsBuyer: t.IsBuyer,
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IsMaker: t.IsMaker,
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Fee: fee,
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FeeCurrency: t.CommissionAsset,
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Time: types.Time(millisecondTime(t.Time)),
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IsMargin: isMargin,
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IsIsolated: t.IsIsolated,
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}, nil
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}
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func toGlobalFuturesTrade(t futures.AccountTrade) (*types.Trade, error) {
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// skip trade ID that is the same. however this should not happen
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var side types.SideType
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if t.Buyer {
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side = types.SideTypeBuy
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} else {
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side = types.SideTypeSell
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}
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price, err := fixedpoint.NewFromString(t.Price)
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if err != nil {
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return nil, errors.Wrapf(err, "price parse error, price: %+v", t.Price)
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}
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quantity, err := fixedpoint.NewFromString(t.Quantity)
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if err != nil {
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return nil, errors.Wrapf(err, "quantity parse error, quantity: %+v", t.Quantity)
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}
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var quoteQuantity fixedpoint.Value
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if len(t.QuoteQuantity) > 0 {
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quoteQuantity, err = fixedpoint.NewFromString(t.QuoteQuantity)
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if err != nil {
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return nil, errors.Wrapf(err, "quote quantity parse error, quoteQuantity: %+v", t.QuoteQuantity)
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}
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} else {
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quoteQuantity = price.Mul(quantity)
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}
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fee, err := fixedpoint.NewFromString(t.Commission)
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if err != nil {
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return nil, errors.Wrapf(err, "commission parse error, commission: %+v", t.Commission)
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}
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return &types.Trade{
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ID: uint64(t.ID),
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OrderID: uint64(t.OrderID),
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Price: price,
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Symbol: t.Symbol,
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Exchange: "binance",
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Quantity: quantity,
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QuoteQuantity: quoteQuantity,
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Side: side,
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|
IsBuyer: t.Buyer,
|
|
IsMaker: t.Maker,
|
|
Fee: fee,
|
|
FeeCurrency: t.CommissionAsset,
|
|
Time: types.Time(millisecondTime(t.Time)),
|
|
IsFutures: true,
|
|
}, nil
|
|
}
|
|
|
|
func toGlobalSideType(side binance.SideType) types.SideType {
|
|
switch side {
|
|
case binance.SideTypeBuy:
|
|
return types.SideTypeBuy
|
|
|
|
case binance.SideTypeSell:
|
|
return types.SideTypeSell
|
|
|
|
default:
|
|
log.Errorf("can not convert binance side type, unknown side type: %q", side)
|
|
return ""
|
|
}
|
|
}
|
|
|
|
func toGlobalFuturesSideType(side futures.SideType) types.SideType {
|
|
switch side {
|
|
case futures.SideTypeBuy:
|
|
return types.SideTypeBuy
|
|
|
|
case futures.SideTypeSell:
|
|
return types.SideTypeSell
|
|
|
|
default:
|
|
log.Errorf("can not convert futures side type, unknown side type: %q", side)
|
|
return ""
|
|
}
|
|
}
|
|
|
|
func toGlobalOrderType(orderType binance.OrderType) types.OrderType {
|
|
switch orderType {
|
|
|
|
case binance.OrderTypeLimit,
|
|
binance.OrderTypeLimitMaker, binance.OrderTypeTakeProfitLimit:
|
|
return types.OrderTypeLimit
|
|
|
|
case binance.OrderTypeMarket:
|
|
return types.OrderTypeMarket
|
|
|
|
case binance.OrderTypeStopLossLimit:
|
|
return types.OrderTypeStopLimit
|
|
|
|
case binance.OrderTypeStopLoss:
|
|
return types.OrderTypeStopMarket
|
|
|
|
default:
|
|
log.Errorf("unsupported order type: %v", orderType)
|
|
return ""
|
|
}
|
|
}
|
|
|
|
func toGlobalFuturesOrderType(orderType futures.OrderType) types.OrderType {
|
|
switch orderType {
|
|
// TODO
|
|
case futures.OrderTypeLimit: // , futures.OrderTypeLimitMaker, futures.OrderTypeTakeProfitLimit:
|
|
return types.OrderTypeLimit
|
|
|
|
case futures.OrderTypeMarket:
|
|
return types.OrderTypeMarket
|
|
// TODO
|
|
// case futures.OrderTypeStopLossLimit:
|
|
// return types.OrderTypeStopLimit
|
|
// TODO
|
|
// case futures.OrderTypeStopLoss:
|
|
// return types.OrderTypeStopMarket
|
|
|
|
default:
|
|
log.Errorf("unsupported order type: %v", orderType)
|
|
return ""
|
|
}
|
|
}
|
|
|
|
func toGlobalOrderStatus(orderStatus binance.OrderStatusType) types.OrderStatus {
|
|
switch orderStatus {
|
|
case binance.OrderStatusTypeNew:
|
|
return types.OrderStatusNew
|
|
|
|
case binance.OrderStatusTypeRejected:
|
|
return types.OrderStatusRejected
|
|
|
|
case binance.OrderStatusTypeCanceled:
|
|
return types.OrderStatusCanceled
|
|
|
|
case binance.OrderStatusTypePartiallyFilled:
|
|
return types.OrderStatusPartiallyFilled
|
|
|
|
case binance.OrderStatusTypeFilled:
|
|
return types.OrderStatusFilled
|
|
}
|
|
|
|
return types.OrderStatus(orderStatus)
|
|
}
|
|
|
|
func toGlobalFuturesOrderStatus(orderStatus futures.OrderStatusType) types.OrderStatus {
|
|
switch orderStatus {
|
|
case futures.OrderStatusTypeNew:
|
|
return types.OrderStatusNew
|
|
|
|
case futures.OrderStatusTypeRejected:
|
|
return types.OrderStatusRejected
|
|
|
|
case futures.OrderStatusTypeCanceled:
|
|
return types.OrderStatusCanceled
|
|
|
|
case futures.OrderStatusTypePartiallyFilled:
|
|
return types.OrderStatusPartiallyFilled
|
|
|
|
case futures.OrderStatusTypeFilled:
|
|
return types.OrderStatusFilled
|
|
}
|
|
|
|
return types.OrderStatus(orderStatus)
|
|
}
|
|
|
|
// ConvertTrades converts the binance v3 trade into the global trade type
|
|
func ConvertTrades(remoteTrades []*binance.TradeV3) (trades []types.Trade, err error) {
|
|
for _, t := range remoteTrades {
|
|
trade, err := toGlobalTrade(*t, false)
|
|
if err != nil {
|
|
return nil, errors.Wrapf(err, "binance v3 trade parse error, trade: %+v", *t)
|
|
}
|
|
|
|
trades = append(trades, *trade)
|
|
}
|
|
|
|
return trades, err
|
|
}
|
|
|
|
func convertSubscription(s types.Subscription) string {
|
|
// binance uses lower case symbol name,
|
|
// for kline, it's "<symbol>@kline_<interval>"
|
|
// for depth, it's "<symbol>@depth OR <symbol>@depth@100ms"
|
|
switch s.Channel {
|
|
case types.KLineChannel:
|
|
return fmt.Sprintf("%s@%s_%s", strings.ToLower(s.Symbol), s.Channel, s.Options.String())
|
|
case types.BookChannel:
|
|
// depth values: 5, 10, 20
|
|
// Stream Names: <symbol>@depth<levels> OR <symbol>@depth<levels>@100ms.
|
|
// Update speed: 1000ms or 100ms
|
|
n := strings.ToLower(s.Symbol) + "@depth"
|
|
switch s.Options.Depth {
|
|
case types.DepthLevel5:
|
|
n += "5"
|
|
|
|
case types.DepthLevelMedium:
|
|
n += "20"
|
|
|
|
case types.DepthLevelFull:
|
|
default:
|
|
|
|
}
|
|
|
|
switch s.Options.Speed {
|
|
case types.SpeedHigh:
|
|
n += "@100ms"
|
|
|
|
case types.SpeedLow:
|
|
n += "@1000ms"
|
|
|
|
}
|
|
return n
|
|
case types.BookTickerChannel:
|
|
return fmt.Sprintf("%s@bookTicker", strings.ToLower(s.Symbol))
|
|
}
|
|
|
|
return fmt.Sprintf("%s@%s", strings.ToLower(s.Symbol), s.Channel)
|
|
}
|
|
|
|
func convertPremiumIndex(index *futures.PremiumIndex) (*types.PremiumIndex, error) {
|
|
markPrice, err := fixedpoint.NewFromString(index.MarkPrice)
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
lastFundingRate, err := fixedpoint.NewFromString(index.LastFundingRate)
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
nextFundingTime := time.Unix(0, index.NextFundingTime*int64(time.Millisecond))
|
|
t := time.Unix(0, index.Time*int64(time.Millisecond))
|
|
|
|
return &types.PremiumIndex{
|
|
Symbol: index.Symbol,
|
|
MarkPrice: markPrice,
|
|
NextFundingTime: nextFundingTime,
|
|
LastFundingRate: lastFundingRate,
|
|
Time: t,
|
|
}, nil
|
|
}
|
|
|
|
func convertPositionRisk(risk *futures.PositionRisk) (*types.PositionRisk, error) {
|
|
leverage, err := fixedpoint.NewFromString(risk.Leverage)
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
liquidationPrice, err := fixedpoint.NewFromString(risk.LiquidationPrice)
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
return &types.PositionRisk{
|
|
Leverage: leverage,
|
|
LiquidationPrice: liquidationPrice,
|
|
}, nil
|
|
}
|