bbgo_origin/doc/development/new-exchange.md

Adding New Exchange

Open an issue and paste the following checklist to that issue.

You should send multiple small pull request to implement them.

Please avoid sending a pull request with huge changes

Checklist

Exchange Interface (minimum)

• QueryMarkets
• QueryKLines
• QueryTickers
• QueryOrders
• QueryTrades
• SubmitOrders

Convert functions:

• MarketData convert functions
  • toGlobalMarket
  • toGlobalTicker
  • toGlobalKLine
• UserData convert functions
  • toGlobalOrder
  • toGlobalTrade
  • toGlobalAccount
  • toGlobalBalance

Stream

• UserDataStream
  • Trade message parser
  • Order message parser
  • Account message parser
  • Balance message parser
• MarketDataStream
  • OrderBook message parser (or depth)
  • KLine message parser (required for backtesting)
  • Public trade message parser (optional)
  • Ticker message parser (optional)
• ping/pong handling.
• heart-beat hanlding or keep-alive handling.
• handling reconnect

Database

• Add a new kline table for the exchange (this is required for back-testing)
  • Add MySQL migration SQL
  • Add SQLite migration SQL

Exchange Factory

• Add the exchange constructor to the exchange instance factory function.
• Add extended fields to the ExchangeSession struct. (optional)

Implementation

Go to pkg/types/exchange.go and add your exchange type:

const (
	ExchangeMax      = ExchangeName("max")
	ExchangeBinance  = ExchangeName("binance")
	ExchangeFTX      = ExchangeName("ftx")
	ExchangeOKEx     = ExchangeName("okex")
    ExchangeKucoin   = ExchangeName("kucoin")
    ExchangeBacktest = ExchangeName("backtest")
)

Go to pkg/cmd/cmdutil/exchange.go and add your exchange to the factory

func NewExchangeStandard(n types.ExchangeName, key, secret, passphrase, subAccount string) (types.Exchange, error) {
	switch n {

	case types.ExchangeFTX:
		return ftx.NewExchange(key, secret, subAccount), nil

	case types.ExchangeBinance:
		return binance.New(key, secret), nil

	case types.ExchangeOKEx:
		return okex.New(key, secret, passphrase), nil

    // ...
	}
}

Testing user data stream

go run ./cmd/bbgo   --config config/bbgo.yaml userdatastream --session kucoin