mirror of
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948 lines
27 KiB
Go
948 lines
27 KiB
Go
package binance
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import (
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"encoding/json"
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"errors"
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"fmt"
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"time"
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"github.com/adshao/go-binance/v2/futures"
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"github.com/adshao/go-binance/v2"
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"github.com/valyala/fastjson"
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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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/*
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executionReport
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{
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"e": "executionReport", // Event type
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"E": 1499405658658, // Event time
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"s": "ETHBTC", // Symbol
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"c": "mUvoqJxFIILMdfAW5iGSOW", // Client order ID
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"S": "BUY", // Side
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"o": "LIMIT", // Order type
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"f": "GTC", // Time in force
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"q": "1.00000000", // Order quantity
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"p": "0.10264410", // Order price
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"P": "0.00000000", // Stop price
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"F": "0.00000000", // Iceberg quantity
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"g": -1, // OrderListId
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"C": null, // Original client order ID; This is the ID of the order being canceled
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"x": "NEW", // Current execution type
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"X": "NEW", // Current order status
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"r": "NONE", // Order reject reason; will be an error code.
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"i": 4293153, // Order ID
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"l": "0.00000000", // Last executed quantity
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"z": "0.00000000", // Cumulative filled quantity
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"L": "0.00000000", // Last executed price
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"n": "0", // Commission amount
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"N": null, // Commission asset
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"T": 1499405658657, // Transaction time
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"t": -1, // Trade ID
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"I": 8641984, // Ignore
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"w": true, // Is the order on the book?
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"m": false, // Is this trade the maker side?
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"M": false, // Ignore
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"O": 1499405658657, // Order creation time
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"Z": "0.00000000", // Cumulative quote asset transacted quantity
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"Y": "0.00000000", // Last quote asset transacted quantity (i.e. lastPrice * lastQty)
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"Q": "0.00000000" // Quote Order Quantity
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}
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*/
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type ExecutionReportEvent struct {
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EventBase
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Symbol string `json:"s"`
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Side string `json:"S"`
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ClientOrderID string `json:"c"`
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OriginalClientOrderID string `json:"C"`
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OrderType string `json:"o"`
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OrderCreationTime int64 `json:"O"`
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TimeInForce string `json:"f"`
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IcebergQuantity fixedpoint.Value `json:"F"`
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OrderQuantity fixedpoint.Value `json:"q"`
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QuoteOrderQuantity fixedpoint.Value `json:"Q"`
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OrderPrice fixedpoint.Value `json:"p"`
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StopPrice fixedpoint.Value `json:"P"`
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IsOnBook bool `json:"w"`
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WorkingTime types.MillisecondTimestamp `json:"W"`
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TrailingTime types.MillisecondTimestamp `json:"D"`
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IsMaker bool `json:"m"`
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Ignore bool `json:"M"`
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CommissionAmount fixedpoint.Value `json:"n"`
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CommissionAsset string `json:"N"`
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CurrentExecutionType string `json:"x"`
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CurrentOrderStatus string `json:"X"`
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OrderID int64 `json:"i"`
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Ignored int64 `json:"I"`
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TradeID int64 `json:"t"`
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TransactionTime int64 `json:"T"`
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LastExecutedQuantity fixedpoint.Value `json:"l"`
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LastExecutedPrice fixedpoint.Value `json:"L"`
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CumulativeFilledQuantity fixedpoint.Value `json:"z"`
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CumulativeQuoteAssetTransactedQuantity fixedpoint.Value `json:"Z"`
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LastQuoteAssetTransactedQuantity fixedpoint.Value `json:"Y"`
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}
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func (e *ExecutionReportEvent) Order() (*types.Order, error) {
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switch e.CurrentExecutionType {
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case "NEW", "CANCELED", "REJECTED", "EXPIRED":
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case "REPLACED":
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case "TRADE": // For Order FILLED status. And the order has been completed.
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default:
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return nil, errors.New("execution report type is not for order")
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}
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orderCreationTime := time.Unix(0, e.OrderCreationTime*int64(time.Millisecond))
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return &types.Order{
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SubmitOrder: types.SubmitOrder{
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ClientOrderID: e.ClientOrderID,
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Symbol: e.Symbol,
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Side: toGlobalSideType(binance.SideType(e.Side)),
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Type: toGlobalOrderType(binance.OrderType(e.OrderType)),
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Quantity: e.OrderQuantity,
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Price: e.OrderPrice,
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StopPrice: e.StopPrice,
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TimeInForce: types.TimeInForce(e.TimeInForce),
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ReduceOnly: false,
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ClosePosition: false,
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},
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Exchange: types.ExchangeBinance,
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IsWorking: e.IsOnBook,
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OrderID: uint64(e.OrderID),
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Status: toGlobalOrderStatus(binance.OrderStatusType(e.CurrentOrderStatus)),
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ExecutedQuantity: e.CumulativeFilledQuantity,
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CreationTime: types.Time(orderCreationTime),
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UpdateTime: types.Time(orderCreationTime),
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}, nil
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}
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func (e *ExecutionReportEvent) Trade() (*types.Trade, error) {
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if e.CurrentExecutionType != "TRADE" {
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return nil, errors.New("execution report is not a trade")
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}
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tt := time.Unix(0, e.TransactionTime*int64(time.Millisecond))
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return &types.Trade{
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ID: uint64(e.TradeID),
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Exchange: types.ExchangeBinance,
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Symbol: e.Symbol,
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OrderID: uint64(e.OrderID),
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Side: toGlobalSideType(binance.SideType(e.Side)),
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Price: e.LastExecutedPrice,
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Quantity: e.LastExecutedQuantity,
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QuoteQuantity: e.LastQuoteAssetTransactedQuantity,
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IsBuyer: e.Side == "BUY",
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IsMaker: e.IsMaker,
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Time: types.Time(tt),
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Fee: e.CommissionAmount,
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FeeCurrency: e.CommissionAsset,
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}, nil
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}
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/*
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balanceUpdate
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{
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"e": "balanceUpdate", //KLineEvent Type
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"E": 1573200697110, //KLineEvent Time
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"a": "BTC", //Asset
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"d": "100.00000000", //Balance Delta
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"T": 1573200697068 //Clear Time
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}
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*/
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type BalanceUpdateEvent struct {
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EventBase
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Asset string `json:"a"`
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Delta string `json:"d"`
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ClearTime int64 `json:"T"`
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}
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/*
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outboundAccountInfo
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{
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"e": "outboundAccountInfo", // KLineEvent type
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"E": 1499405658849, // KLineEvent time
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"m": 0, // Maker commission rate (bips)
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"t": 0, // Taker commission rate (bips)
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"b": 0, // Buyer commission rate (bips)
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"s": 0, // Seller commission rate (bips)
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"T": true, // Can trade?
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"W": true, // Can withdraw?
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"D": true, // Can deposit?
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"u": 1499405658848, // Time of last account update
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"B": [ // AccountBalances array
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{
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"a": "LTC", // Asset
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"f": "17366.18538083", // Free amount
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"l": "0.00000000" // Locked amount
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},
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{
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"a": "BTC",
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"f": "10537.85314051",
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"l": "2.19464093"
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},
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{
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"a": "ETH",
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"f": "17902.35190619",
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"l": "0.00000000"
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},
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{
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"a": "BNC",
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"f": "1114503.29769312",
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"l": "0.00000000"
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},
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{
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"a": "NEO",
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"f": "0.00000000",
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"l": "0.00000000"
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}
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],
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"P": [ // Account Permissions
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"SPOT"
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]
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}
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*/
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type Balance struct {
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Asset string `json:"a"`
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Free fixedpoint.Value `json:"f"`
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Locked fixedpoint.Value `json:"l"`
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}
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type OutboundAccountPositionEvent struct {
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EventBase
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LastAccountUpdateTime int `json:"u"`
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Balances []Balance `json:"B,omitempty"`
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}
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type OutboundAccountInfoEvent struct {
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EventBase
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MakerCommissionRate int `json:"m"`
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TakerCommissionRate int `json:"t"`
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BuyerCommissionRate int `json:"b"`
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SellerCommissionRate int `json:"s"`
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CanTrade bool `json:"T"`
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CanWithdraw bool `json:"W"`
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CanDeposit bool `json:"D"`
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LastAccountUpdateTime int `json:"u"`
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Balances []Balance `json:"B,omitempty"`
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Permissions []string `json:"P,omitempty"`
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}
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type ResultEvent struct {
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Result interface{} `json:"result,omitempty"`
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ID int `json:"id"`
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}
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func parseWebSocketEvent(message []byte) (interface{}, error) {
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val, err := fastjson.ParseBytes(message)
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if err != nil {
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return nil, err
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}
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// res, err := json.MarshalIndent(message, "", " ")
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// if err != nil {
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// log.Fatal(err)
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// }
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// str := strings.ReplaceAll(string(res), "\\", "")
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// fmt.Println(str)
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eventType := string(val.GetStringBytes("e"))
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if eventType == "" && IsBookTicker(val) {
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eventType = "bookTicker"
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}
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switch eventType {
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case "kline":
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var event KLineEvent
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err := json.Unmarshal([]byte(message), &event)
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return &event, err
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case "bookTicker":
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var event BookTickerEvent
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err := json.Unmarshal([]byte(message), &event)
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event.Event = eventType
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return &event, err
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case "outboundAccountPosition":
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var event OutboundAccountPositionEvent
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err = json.Unmarshal([]byte(message), &event)
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return &event, err
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case "outboundAccountInfo":
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var event OutboundAccountInfoEvent
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err = json.Unmarshal([]byte(message), &event)
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return &event, err
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case "balanceUpdate":
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var event BalanceUpdateEvent
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err = json.Unmarshal([]byte(message), &event)
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return &event, err
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case "executionReport":
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var event ExecutionReportEvent
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err = json.Unmarshal([]byte(message), &event)
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return &event, err
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case "depthUpdate":
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return parseDepthEvent(val)
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case "markPriceUpdate":
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var event MarkPriceUpdateEvent
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err = json.Unmarshal([]byte(message), &event)
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return &event, err
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case "listenKeyExpired":
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var event ListenKeyExpired
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err = json.Unmarshal([]byte(message), &event)
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return &event, err
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// Binance futures data --------------
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case "continuousKline":
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var event ContinuousKLineEvent
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err = json.Unmarshal([]byte(message), &event)
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return &event, err
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case "ORDER_TRADE_UPDATE":
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var event OrderTradeUpdateEvent
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err = json.Unmarshal([]byte(message), &event)
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return &event, err
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// Event: Balance and Position Update
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case "ACCOUNT_UPDATE":
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var event AccountUpdateEvent
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err = json.Unmarshal([]byte(message), &event)
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return &event, err
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// Event: Order Update
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case "ACCOUNT_CONFIG_UPDATE":
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var event AccountConfigUpdateEvent
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err = json.Unmarshal([]byte(message), &event)
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return &event, err
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case "trade":
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var event MarketTradeEvent
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err = json.Unmarshal([]byte(message), &event)
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return &event, err
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case "aggTrade":
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var event AggTradeEvent
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err = json.Unmarshal([]byte(message), &event)
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return &event, err
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default:
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id := val.GetInt("id")
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if id > 0 {
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return &ResultEvent{ID: id}, nil
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}
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}
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return nil, fmt.Errorf("unsupported message: %s", message)
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}
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// IsBookTicker document ref :https://binance-docs.github.io/apidocs/spot/en/#individual-symbol-book-ticker-streams
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// use key recognition because there's no identify in the content.
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func IsBookTicker(val *fastjson.Value) bool {
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return !val.Exists("e") && val.Exists("u") &&
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val.Exists("s") && val.Exists("b") &&
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val.Exists("B") && val.Exists("a") && val.Exists("A")
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}
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type DepthEntry struct {
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PriceLevel fixedpoint.Value
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Quantity fixedpoint.Value
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}
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type DepthEvent struct {
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EventBase
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Symbol string `json:"s"`
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FirstUpdateID int64 `json:"U"`
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FinalUpdateID int64 `json:"u"`
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Bids types.PriceVolumeSlice `json:"b"`
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Asks types.PriceVolumeSlice `json:"a"`
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}
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func (e *DepthEvent) String() (o string) {
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o += fmt.Sprintf("Depth %s bid/ask = ", e.Symbol)
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if len(e.Bids) == 0 {
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o += "empty"
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} else {
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o += e.Bids[0].Price.String()
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}
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o += "/"
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if len(e.Asks) == 0 {
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o += "empty"
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} else {
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o += e.Asks[0].Price.String()
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}
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o += fmt.Sprintf(" %d ~ %d", e.FirstUpdateID, e.FinalUpdateID)
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return o
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}
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func (e *DepthEvent) OrderBook() (book types.SliceOrderBook, err error) {
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book.Symbol = e.Symbol
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// already in descending order
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book.Bids = e.Bids
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book.Asks = e.Asks
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return book, err
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}
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func parseDepthEntry(val *fastjson.Value) (*types.PriceVolume, error) {
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arr, err := val.Array()
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if err != nil {
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return nil, err
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}
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if len(arr) < 2 {
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return nil, errors.New("incorrect depth entry element length")
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}
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price, err := fixedpoint.NewFromString(string(arr[0].GetStringBytes()))
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if err != nil {
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return nil, err
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}
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quantity, err := fixedpoint.NewFromString(string(arr[1].GetStringBytes()))
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if err != nil {
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return nil, err
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}
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return &types.PriceVolume{
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Price: price,
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Volume: quantity,
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}, nil
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}
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func parseDepthEvent(val *fastjson.Value) (*DepthEvent, error) {
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var err error
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var depth = &DepthEvent{
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EventBase: EventBase{
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Event: string(val.GetStringBytes("e")),
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Time: val.GetInt64("E"),
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},
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Symbol: string(val.GetStringBytes("s")),
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FirstUpdateID: val.GetInt64("U"),
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FinalUpdateID: val.GetInt64("u"),
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}
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for _, ev := range val.GetArray("b") {
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entry, err2 := parseDepthEntry(ev)
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if err2 != nil {
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err = err2
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continue
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}
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depth.Bids = append(depth.Bids, *entry)
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}
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for _, ev := range val.GetArray("a") {
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entry, err2 := parseDepthEntry(ev)
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if err2 != nil {
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err = err2
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continue
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}
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depth.Asks = append(depth.Asks, *entry)
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}
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return depth, err
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}
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type MarketTradeEvent struct {
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EventBase
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Symbol string `json:"s"`
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Quantity fixedpoint.Value `json:"q"`
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Price fixedpoint.Value `json:"p"`
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BuyerOrderId int64 `json:"b"`
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SellerOrderId int64 `json:"a"`
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OrderTradeTime int64 `json:"T"`
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TradeId int64 `json:"t"`
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IsMaker bool `json:"m"`
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Dummy bool `json:"M"`
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}
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/*
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market trade
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{
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"e": "trade", // Event type
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"E": 123456789, // Event time
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"s": "BNBBTC", // Symbol
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"t": 12345, // Trade ID
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"p": "0.001", // Price
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"q": "100", // Quantity
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"b": 88, // Buyer order ID
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"a": 50, // Seller order ID
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"T": 123456785, // Trade time
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"m": true, // Is the buyer the market maker?
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"M": true // Ignore
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}
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*/
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func (e *MarketTradeEvent) Trade() types.Trade {
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tt := time.Unix(0, e.OrderTradeTime*int64(time.Millisecond))
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var orderId int64
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var side types.SideType
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var isBuyer bool
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if e.IsMaker {
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orderId = e.SellerOrderId // seller is taker
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side = types.SideTypeSell
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isBuyer = false
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} else {
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orderId = e.BuyerOrderId // buyer is taker
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side = types.SideTypeBuy
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isBuyer = true
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}
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return types.Trade{
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ID: uint64(e.TradeId),
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Exchange: types.ExchangeBinance,
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Symbol: e.Symbol,
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OrderID: uint64(orderId),
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Side: side,
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Price: e.Price,
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Quantity: e.Quantity,
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QuoteQuantity: e.Quantity.Mul(e.Price),
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IsBuyer: isBuyer,
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IsMaker: e.IsMaker,
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Time: types.Time(tt),
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Fee: fixedpoint.Zero,
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FeeCurrency: "",
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}
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}
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|
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type AggTradeEvent struct {
|
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EventBase
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Symbol string `json:"s"`
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Quantity fixedpoint.Value `json:"q"`
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Price fixedpoint.Value `json:"p"`
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FirstTradeId int64 `json:"f"`
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LastTradeId int64 `json:"l"`
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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 int64 `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")
|
|
}
|
|
|
|
orderCreationTime := time.Unix(0, e.OrderTrade.OrderTradeTime*int64(time.Millisecond))
|
|
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(orderCreationTime),
|
|
}, nil
|
|
}
|
|
|
|
func (e *OrderTradeUpdateEvent) TradeFutures() (*types.Trade, error) {
|
|
if e.OrderTrade.CurrentExecutionType != "TRADE" {
|
|
return nil, errors.New("execution report is not a futures trade")
|
|
}
|
|
|
|
tt := time.Unix(0, e.OrderTrade.OrderTradeTime*int64(time.Millisecond))
|
|
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(tt),
|
|
Fee: e.OrderTrade.CommissionAmount,
|
|
FeeCurrency: e.OrderTrade.CommissionAsset,
|
|
}, nil
|
|
}
|
|
|
|
type AccountUpdate struct {
|
|
EventReasonType string `json:"m"`
|
|
Balances []*futures.Balance `json:"B,omitempty"`
|
|
Positions []*futures.AccountPosition `json:"P,omitempty"`
|
|
}
|
|
|
|
type AccountUpdateEvent struct {
|
|
EventBase
|
|
Transaction int64 `json:"T"`
|
|
|
|
AccountUpdate AccountUpdate `json:"a"`
|
|
}
|
|
|
|
type AccountConfig struct {
|
|
Symbol string `json:"s"`
|
|
Leverage fixedpoint.Value `json:"l"`
|
|
}
|
|
|
|
type AccountConfigUpdateEvent struct {
|
|
EventBase
|
|
Transaction int64 `json:"T"`
|
|
|
|
AccountConfig AccountConfig `json:"ac"`
|
|
}
|
|
|
|
type EventBase struct {
|
|
Event string `json:"e"` // event
|
|
Time int64 `json:"E"`
|
|
}
|
|
|
|
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,
|
|
}
|
|
}
|