mirror of
https://github.com/c9s/bbgo.git
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294 lines
8.8 KiB
Go
294 lines
8.8 KiB
Go
package ftxapi
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//go:generate -command GetRequest requestgen -method GET -responseType .APIResponse -responseDataField Result
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//go:generate -command PostRequest requestgen -method POST -responseType .APIResponse -responseDataField Result
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//go:generate -command DeleteRequest requestgen -method DELETE -responseType .APIResponse -responseDataField Result
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import (
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"bytes"
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"context"
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"crypto/hmac"
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"crypto/sha256"
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"encoding/base64"
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"encoding/json"
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"fmt"
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"net/http"
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"net/url"
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"strconv"
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"time"
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"github.com/c9s/requestgen"
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"github.com/pkg/errors"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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)
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const defaultHTTPTimeout = time.Second * 15
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const RestBaseURL = "https://ftx.com/api"
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type APIResponse struct {
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Success bool `json:"success"`
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Result json.RawMessage `json:"result,omitempty"`
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}
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type RestClient struct {
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BaseURL *url.URL
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client *http.Client
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Key, Secret, subAccount string
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/*
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AccountService *AccountService
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MarketDataService *MarketDataService
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TradeService *TradeService
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BulletService *BulletService
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*/
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}
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func NewClient() *RestClient {
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u, err := url.Parse(RestBaseURL)
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if err != nil {
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panic(err)
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}
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client := &RestClient{
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BaseURL: u,
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client: &http.Client{
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Timeout: defaultHTTPTimeout,
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},
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}
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/*
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client.AccountService = &AccountService{client: client}
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client.MarketDataService = &MarketDataService{client: client}
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client.TradeService = &TradeService{client: client}
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client.BulletService = &BulletService{client: client}
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*/
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return client
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}
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func (c *RestClient) Auth(key, secret, subAccount string) {
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c.Key = key
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c.Secret = secret
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c.subAccount = subAccount
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}
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// NewRequest create new API request. Relative url can be provided in refURL.
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func (c *RestClient) NewRequest(ctx context.Context, method, refURL string, params url.Values, payload interface{}) (*http.Request, error) {
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rel, err := url.Parse(refURL)
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if err != nil {
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return nil, err
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}
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if params != nil {
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rel.RawQuery = params.Encode()
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}
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body, err := castPayload(payload)
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if err != nil {
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return nil, err
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}
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pathURL := c.BaseURL.ResolveReference(rel)
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return http.NewRequestWithContext(ctx, method, pathURL.String(), bytes.NewReader(body))
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}
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// sendRequest sends the request to the API server and handle the response
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func (c *RestClient) SendRequest(req *http.Request) (*requestgen.Response, error) {
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resp, err := c.client.Do(req)
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if err != nil {
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return nil, err
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}
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// newResponse reads the response body and return a new Response object
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response, err := requestgen.NewResponse(resp)
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if err != nil {
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return response, err
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}
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// Check error, if there is an error, return the ErrorResponse struct type
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if response.IsError() {
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return response, errors.New(string(response.Body))
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}
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return response, nil
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}
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// newAuthenticatedRequest creates new http request for authenticated routes.
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func (c *RestClient) NewAuthenticatedRequest(ctx context.Context, method, refURL string, params url.Values, payload interface{}) (*http.Request, error) {
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if len(c.Key) == 0 {
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return nil, errors.New("empty api key")
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}
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if len(c.Secret) == 0 {
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return nil, errors.New("empty api secret")
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}
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rel, err := url.Parse(refURL)
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if err != nil {
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return nil, err
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}
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if params != nil {
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rel.RawQuery = params.Encode()
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}
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pathURL := c.BaseURL.ResolveReference(rel)
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path := pathURL.Path
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if rel.RawQuery != "" {
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path += "?" + rel.RawQuery
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}
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body, err := castPayload(payload)
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if err != nil {
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return nil, err
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}
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req, err := http.NewRequestWithContext(ctx, method, pathURL.String(), bytes.NewReader(body))
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if err != nil {
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return nil, err
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}
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req.Header.Add("Content-Type", "application/json")
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req.Header.Add("Accept", "application/json")
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// Build authentication headers
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c.attachAuthHeaders(req, method, path, body)
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return req, nil
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}
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func (c *RestClient) attachAuthHeaders(req *http.Request, method string, path string, body []byte) {
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millisecondTs := time.Now().UnixNano() / int64(time.Millisecond)
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ts := strconv.FormatInt(millisecondTs, 10)
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p := fmt.Sprintf("%s%s%s", ts, method, path)
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p += string(body)
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signature := sign(c.Secret, p)
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req.Header.Set("FTX-KEY", c.Key)
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req.Header.Set("FTX-SIGN", signature)
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req.Header.Set("FTX-TS", ts)
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if c.subAccount != "" {
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req.Header.Set("FTX-SUBACCOUNT", c.subAccount)
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}
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}
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// sign uses sha256 to sign the payload with the given secret
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func sign(secret, payload string) string {
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var sig = hmac.New(sha256.New, []byte(secret))
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_, err := sig.Write([]byte(payload))
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if err != nil {
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return ""
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}
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return base64.StdEncoding.EncodeToString(sig.Sum(nil))
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}
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func castPayload(payload interface{}) ([]byte, error) {
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if payload != nil {
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switch v := payload.(type) {
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case string:
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return []byte(v), nil
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case []byte:
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return v, nil
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default:
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body, err := json.Marshal(v)
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return body, err
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}
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}
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return nil, nil
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}
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type Position struct {
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Cost fixedpoint.Value `json:"cost"`
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EntryPrice fixedpoint.Value `json:"entryPrice"`
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Future string `json:"future"`
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InitialMarginRequirement fixedpoint.Value `json:"initialMarginRequirement"`
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LongOrderSize fixedpoint.Value `json:"longOrderSize"`
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MaintenanceMarginRequirement fixedpoint.Value `json:"maintenanceMarginRequirement"`
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NetSize fixedpoint.Value `json:"netSize"`
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OpenSize fixedpoint.Value `json:"openSize"`
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ShortOrderSize fixedpoint.Value `json:"shortOrderSize"`
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Side string `json:"side"`
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Size fixedpoint.Value `json:"size"`
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RealizedPnl fixedpoint.Value `json:"realizedPnl"`
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UnrealizedPnl fixedpoint.Value `json:"unrealizedPnl"`
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}
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type Account struct {
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BackstopProvider bool `json:"backstopProvider"`
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Collateral fixedpoint.Value `json:"collateral"`
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FreeCollateral fixedpoint.Value `json:"freeCollateral"`
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Leverage int `json:"leverage"`
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InitialMarginRequirement fixedpoint.Value `json:"initialMarginRequirement"`
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MaintenanceMarginRequirement fixedpoint.Value `json:"maintenanceMarginRequirement"`
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Liquidating bool `json:"liquidating"`
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MakerFee fixedpoint.Value `json:"makerFee"`
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MarginFraction fixedpoint.Value `json:"marginFraction"`
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OpenMarginFraction fixedpoint.Value `json:"openMarginFraction"`
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TakerFee fixedpoint.Value `json:"takerFee"`
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TotalAccountValue fixedpoint.Value `json:"totalAccountValue"`
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TotalPositionSize fixedpoint.Value `json:"totalPositionSize"`
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Username string `json:"username"`
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Positions []Position `json:"positions"`
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}
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//go:generate GetRequest -url /api/account -type GetAccountRequest -responseDataType .Account
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type GetAccountRequest struct {
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client requestgen.AuthenticatedAPIClient
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}
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func (c *RestClient) NewGetAccountRequest() *GetAccountRequest {
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return &GetAccountRequest{
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client: c,
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}
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}
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//go:generate GetRequest -url /api/positions -type GetPositionsRequest -responseDataType []Position
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type GetPositionsRequest struct {
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client requestgen.AuthenticatedAPIClient
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}
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func (c *RestClient) NewGetPositionsRequest() *GetPositionsRequest {
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return &GetPositionsRequest{
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client: c,
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}
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}
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type Market struct {
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Name string `json:"name"`
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BaseCurrency string `json:"baseCurrency"`
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QuoteCurrency string `json:"quoteCurrency"`
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QuoteVolume24H fixedpoint.Value `json:"quoteVolume24h"`
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Change1H fixedpoint.Value `json:"change1h"`
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Change24H fixedpoint.Value `json:"change24h"`
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ChangeBod fixedpoint.Value `json:"changeBod"`
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VolumeUsd24H fixedpoint.Value `json:"volumeUsd24h"`
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HighLeverageFeeExempt bool `json:"highLeverageFeeExempt"`
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MinProvideSize fixedpoint.Value `json:"minProvideSize"`
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Type string `json:"type"`
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Underlying string `json:"underlying"`
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Enabled bool `json:"enabled"`
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Ask fixedpoint.Value `json:"ask"`
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Bid int `json:"bid"`
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Last fixedpoint.Value `json:"last"`
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PostOnly bool `json:"postOnly"`
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Price fixedpoint.Value `json:"price"`
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PriceIncrement fixedpoint.Value `json:"priceIncrement"`
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SizeIncrement fixedpoint.Value `json:"sizeIncrement"`
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Restricted bool `json:"restricted"`
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}
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//go:generate GetRequest -url /api/markets -type GetMarketsRequest -responseDataType []Market
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type GetMarketsRequest struct {
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client requestgen.AuthenticatedAPIClient
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}
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func (c *RestClient) NewGetMarketsRequest() *GetMarketsRequest {
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return &GetMarketsRequest{
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client: c,
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}
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}
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