mirror of
https://github.com/c9s/bbgo.git
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500 lines
12 KiB
Go
500 lines
12 KiB
Go
package max
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import (
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"context"
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"fmt"
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"math"
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"os"
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"time"
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"github.com/google/uuid"
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"github.com/pkg/errors"
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"github.com/sirupsen/logrus"
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maxapi "github.com/c9s/bbgo/pkg/exchange/max/maxapi"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/util"
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)
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var log = logrus.WithField("exchange", "max")
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type Exchange struct {
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client *maxapi.RestClient
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key, secret string
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}
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func New(key, secret string) *Exchange {
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baseURL := maxapi.ProductionAPIURL
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if override := os.Getenv("MAX_API_BASE_URL"); len(override) > 0 {
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baseURL = override
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}
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client := maxapi.NewRestClient(baseURL)
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client.Auth(key, secret)
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return &Exchange{
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client: client,
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key: key,
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secret: secret,
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}
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}
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func (e *Exchange) Name() types.ExchangeName {
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return types.ExchangeMax
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}
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func (e *Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) {
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log.Info("querying market info...")
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remoteMarkets, err := e.client.PublicService.Markets()
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if err != nil {
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return nil, err
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}
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markets := types.MarketMap{}
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for _, m := range remoteMarkets {
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symbol := toGlobalSymbol(m.ID)
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market := types.Market{
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Symbol: symbol,
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PricePrecision: m.QuoteUnitPrecision,
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VolumePrecision: m.BaseUnitPrecision,
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QuoteCurrency: toGlobalCurrency(m.QuoteUnit),
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BaseCurrency: toGlobalCurrency(m.BaseUnit),
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MinNotional: m.MinQuoteAmount,
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MinAmount: m.MinQuoteAmount,
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MinLot: 1.0 / math.Pow10(m.BaseUnitPrecision), // make it like 0.0001
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MinQuantity: m.MinBaseAmount,
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MaxQuantity: 10000.0,
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MinPrice: 1.0 / math.Pow10(m.QuoteUnitPrecision), // used in the price formatter
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MaxPrice: 10000.0,
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TickSize: 1.0 / math.Pow10(m.QuoteUnitPrecision),
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}
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markets[symbol] = market
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}
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return markets, nil
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}
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func (e *Exchange) NewStream() types.Stream {
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return NewStream(e.key, e.secret)
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}
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func (e *Exchange) QueryOpenOrders(ctx context.Context, symbol string) (orders []types.Order, err error) {
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maxOrders, err := e.client.OrderService.Open(toLocalSymbol(symbol), maxapi.QueryOrderOptions{})
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if err != nil {
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return orders, err
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}
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for _, maxOrder := range maxOrders {
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order, err := toGlobalOrder(maxOrder)
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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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// lastOrderID is not supported on MAX
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func (e *Exchange) QueryClosedOrders(ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64) (orders []types.Order, err error) {
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numBatches := 5
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limit := 1000 // max limit = 1000
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offset := limit * numBatches
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orderIDs := make(map[uint64]struct{}, limit*2)
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for ; offset > 0; offset -= limit {
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log.Infof("querying %s closed orders offset %d ~ ", symbol, offset)
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maxOrders, err := e.client.OrderService.Closed(toLocalSymbol(symbol), maxapi.QueryOrderOptions{
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Offset: offset,
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Limit: limit,
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})
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if err != nil {
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return orders, err
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}
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if len(maxOrders) == 0 {
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break
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}
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for _, maxOrder := range maxOrders {
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if maxOrder.CreatedAt.Before(since) {
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continue
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}
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if maxOrder.CreatedAt.After(until) {
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return orders, err
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}
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order, err := toGlobalOrder(maxOrder)
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if err != nil {
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return orders, err
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}
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if _, ok := orderIDs[order.OrderID]; ok {
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log.Infof("skipping duplicated order: %d", order.OrderID)
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}
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orderIDs[order.OrderID] = struct{}{}
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orders = append(orders, *order)
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}
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}
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return orders, err
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}
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func (e *Exchange) CancelAllOrders(ctx context.Context) ([]types.Order, error) {
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var req = e.client.OrderService.NewOrderCancelAllRequest()
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var maxOrders, err = req.Do(ctx)
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if err != nil {
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return nil, err
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}
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return toGlobalOrders(maxOrders)
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}
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func (e *Exchange) CancelOrdersBySymbol(ctx context.Context, symbol string) ([]types.Order, error) {
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var req = e.client.OrderService.NewOrderCancelAllRequest()
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req.Market(toLocalSymbol(symbol))
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var maxOrders, err = req.Do(ctx)
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if err != nil {
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return nil, err
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}
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return toGlobalOrders(maxOrders)
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}
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func (e *Exchange) CancelOrdersByGroupID(ctx context.Context, groupID string) ([]types.Order, error) {
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var req = e.client.OrderService.NewOrderCancelAllRequest()
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req.GroupID(groupID)
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var maxOrders, err = req.Do(ctx)
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if err != nil {
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return nil, err
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}
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return toGlobalOrders(maxOrders)
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}
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func (e *Exchange) CancelOrders(ctx context.Context, orders ...types.Order) (err2 error) {
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for _, o := range orders {
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var req = e.client.OrderService.NewOrderCancelRequest()
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if o.OrderID > 0 {
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req.ID(o.OrderID)
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} else if len(o.ClientOrderID) > 0 {
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req.ClientOrderID(o.ClientOrderID)
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} else {
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return fmt.Errorf("order id or client order id is not defined, order=%+v", o)
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}
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if err := req.Do(ctx); err != nil {
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log.WithError(err).Errorf("order cancel error")
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err2 = err
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}
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}
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return err2
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}
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func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error) {
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for _, order := range orders {
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orderType, err := toLocalOrderType(order.Type)
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if err != nil {
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return createdOrders, err
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}
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req := e.client.OrderService.NewCreateOrderRequest().
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Market(toLocalSymbol(order.Symbol)).
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OrderType(string(orderType)).
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Side(toLocalSideType(order.Side)).
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Volume(order.QuantityString)
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if len(order.ClientOrderID) > 0 {
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req.ClientOrderID(order.ClientOrderID)
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} else {
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clientOrderID := uuid.New().String()
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req.ClientOrderID(clientOrderID)
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}
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switch order.Type {
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case types.OrderTypeStopLimit, types.OrderTypeStopMarket:
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if len(order.StopPriceString) == 0 {
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return createdOrders, fmt.Errorf("stop price string can not be empty")
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}
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req.StopPrice(order.StopPriceString)
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}
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if len(order.PriceString) > 0 {
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req.Price(order.PriceString)
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}
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retOrder, err := req.Do(ctx)
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if err != nil {
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return createdOrders, err
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}
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if retOrder == nil {
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return createdOrders, errors.New("returned nil order")
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}
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createdOrder, err := toGlobalOrder(*retOrder)
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if err != nil {
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return createdOrders, err
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}
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createdOrders = append(createdOrders, *createdOrder)
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}
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return createdOrders, err
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}
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// PlatformFeeCurrency
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func (e *Exchange) PlatformFeeCurrency() string {
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return toGlobalCurrency("max")
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}
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func (e *Exchange) QueryAccount(ctx context.Context) (*types.Account, error) {
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userInfo, err := e.client.AccountService.Me()
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if err != nil {
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return nil, err
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}
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var balances = make(types.BalanceMap)
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for _, a := range userInfo.Accounts {
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balances[toGlobalCurrency(a.Currency)] = types.Balance{
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Currency: toGlobalCurrency(a.Currency),
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Available: fixedpoint.Must(fixedpoint.NewFromString(a.Balance)),
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Locked: fixedpoint.Must(fixedpoint.NewFromString(a.Locked)),
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}
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}
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a := &types.Account{
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MakerCommission: 15, // 0.15%
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TakerCommission: 15, // 0.15%
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}
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a.UpdateBalances(balances)
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return a, nil
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}
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func (e *Exchange) QueryWithdrawHistory(ctx context.Context, asset string, since, until time.Time) (allWithdraws []types.Withdraw, err error) {
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startTime := since
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txIDs := map[string]struct{}{}
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for startTime.Before(until) {
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// startTime ~ endTime must be in 90 days
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endTime := startTime.AddDate(0, 0, 60)
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if endTime.After(until) {
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endTime = until
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}
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log.Infof("querying withdraw %s: %s <=> %s", asset, startTime, endTime)
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req := e.client.AccountService.NewGetWithdrawalHistoryRequest()
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if len(asset) > 0 {
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req.Currency(toLocalCurrency(asset))
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}
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withdraws, err := req.
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From(startTime.Unix()).
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To(endTime.Unix()).
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Do(ctx)
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if err != nil {
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return allWithdraws, err
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}
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for _, d := range withdraws {
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if _, ok := txIDs[d.TxID]; ok {
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continue
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}
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// we can convert this later
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status := d.State
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switch d.State {
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case "confirmed":
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status = "completed" // make it compatible with binance
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case "submitting", "submitted", "accepted",
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"rejected", "suspect", "approved", "delisted_processing",
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"processing", "retryable", "sent", "canceled",
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"failed", "pending",
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"kgi_manually_processing", "kgi_manually_confirmed", "kgi_possible_failed",
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"sygna_verifying":
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default:
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status = d.State
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}
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txIDs[d.TxID] = struct{}{}
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allWithdraws = append(allWithdraws, types.Withdraw{
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ApplyTime: time.Unix(d.CreatedAt, 0),
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Asset: toGlobalCurrency(d.Currency),
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Amount: util.MustParseFloat(d.Amount),
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Address: "",
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AddressTag: "",
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TransactionID: d.TxID,
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TransactionFee: util.MustParseFloat(d.Fee),
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// WithdrawOrderID: d.WithdrawOrderID,
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// Network: d.Network,
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Status: status,
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})
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}
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startTime = endTime
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}
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return allWithdraws, nil
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}
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func (e *Exchange) QueryDepositHistory(ctx context.Context, asset string, since, until time.Time) (allDeposits []types.Deposit, err error) {
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startTime := since
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txIDs := map[string]struct{}{}
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for startTime.Before(until) {
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// startTime ~ endTime must be in 90 days
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endTime := startTime.AddDate(0, 0, 60)
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if endTime.After(until) {
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endTime = until
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}
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log.Infof("querying deposit history %s: %s <=> %s", asset, startTime, endTime)
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req := e.client.AccountService.NewGetDepositHistoryRequest()
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if len(asset) > 0 {
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req.Currency(toLocalCurrency(asset))
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}
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deposits, err := req.
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From(startTime.Unix()).
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To(endTime.Unix()).Do(ctx)
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if err != nil {
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return nil, err
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}
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for _, d := range deposits {
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if _, ok := txIDs[d.TxID]; ok {
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continue
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}
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allDeposits = append(allDeposits, types.Deposit{
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Time: time.Unix(d.CreatedAt, 0),
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Amount: util.MustParseFloat(d.Amount),
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Asset: toGlobalCurrency(d.Currency),
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Address: "", // not supported
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AddressTag: "", // not supported
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TransactionID: d.TxID,
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Status: toGlobalDepositStatus(d.State),
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})
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}
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startTime = endTime
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}
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return allDeposits, err
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}
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func (e *Exchange) QueryAccountBalances(ctx context.Context) (types.BalanceMap, error) {
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accounts, err := e.client.AccountService.Accounts()
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if err != nil {
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return nil, err
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}
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var balances = make(types.BalanceMap)
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for _, a := range accounts {
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balances[toGlobalCurrency(a.Currency)] = types.Balance{
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Currency: toGlobalCurrency(a.Currency),
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Available: fixedpoint.Must(fixedpoint.NewFromString(a.Balance)),
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Locked: fixedpoint.Must(fixedpoint.NewFromString(a.Locked)),
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}
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}
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return balances, nil
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}
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func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) (trades []types.Trade, err error) {
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req := e.client.TradeService.NewPrivateTradeRequest()
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req.Market(toLocalSymbol(symbol))
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if options.Limit > 0 {
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req.Limit(options.Limit)
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}
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if options.LastTradeID > 0 {
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req.From(options.LastTradeID)
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}
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// make it compatible with binance, we need the last trade id for the next page.
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req.OrderBy("asc")
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remoteTrades, err := req.Do(ctx)
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if err != nil {
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return nil, err
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}
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for _, t := range remoteTrades {
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localTrade, err := toGlobalTrade(t)
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if err != nil {
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logger.WithError(err).Errorf("can not convert trade: %+v", t)
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continue
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}
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logger.Infof("T: id=%d % 4s %s P=%f Q=%f %s", localTrade.ID, localTrade.Symbol, localTrade.Side, localTrade.Price, localTrade.Quantity, localTrade.Time)
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trades = append(trades, *localTrade)
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}
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return trades, nil
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}
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func (e *Exchange) QueryKLines(ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions) ([]types.KLine, error) {
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var limit = 5000
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if options.Limit > 0 {
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// default limit == 500
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limit = options.Limit
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}
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// workaround for the kline query, because MAX does not support query by end time
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// so we need to use the given end time and the limit number to calculate the start time
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if options.EndTime != nil && options.StartTime == nil {
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startTime := options.EndTime.Add(- time.Duration(limit) * interval.Duration())
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options.StartTime = &startTime
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}
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if options.StartTime == nil {
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return nil, errors.New("start time can not be empty")
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}
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log.Infof("querying kline %s %s %+v", symbol, interval, options)
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// avoid rate limit
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time.Sleep(100 * time.Millisecond)
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localKLines, err := e.client.PublicService.KLines(toLocalSymbol(symbol), string(interval), *options.StartTime, limit)
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if err != nil {
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return nil, err
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}
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var kLines []types.KLine
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for _, k := range localKLines {
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kLines = append(kLines, k.KLine())
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}
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return kLines, nil
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}
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func (e *Exchange) QueryAveragePrice(ctx context.Context, symbol string) (float64, error) {
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ticker, err := e.client.PublicService.Ticker(toLocalSymbol(symbol))
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if err != nil {
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return 0, err
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}
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return (util.MustParseFloat(ticker.Sell) + util.MustParseFloat(ticker.Buy)) / 2, nil
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}
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