bbgo_origin/exchange/binance/exchange.go
2020-07-11 13:13:41 +08:00

180 lines
4.1 KiB
Go

package binance
import (
"context"
"github.com/adshao/go-binance"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
"github.com/sirupsen/logrus"
"strconv"
"time"
)
type Exchange struct {
Client *binance.Client
}
func NewExchange(key, secret string) *Exchange {
var client = binance.NewClient(key, secret)
return &Exchange{
Client: client,
}
}
func (e *Exchange) QueryAveragePrice(ctx context.Context, symbol string) (float64, error) {
resp, err := e.Client.NewAveragePriceService().Symbol(symbol).Do(ctx)
if err != nil {
return 0, err
}
return util.MustParseFloat(resp.Price), nil
}
func (e *Exchange) NewPrivateStream(ctx context.Context) (*PrivateStream, error) {
logrus.Infof("[binance] creating user data stream...")
listenKey, err := e.Client.NewStartUserStreamService().Do(ctx)
if err != nil {
return nil, err
}
logrus.Infof("[binance] user data stream created. listenKey: %s", listenKey)
return &PrivateStream{
Client: e.Client,
ListenKey: listenKey,
}, nil
}
func (e *Exchange) SubmitOrder(ctx context.Context, order *types.Order) error {
/*
limit order example
order, err := Client.NewCreateOrderService().
Symbol(Symbol).
Side(side).
Type(binance.OrderTypeLimit).
TimeInForce(binance.TimeInForceTypeGTC).
Quantity(volumeString).
Price(priceString).
Do(ctx)
*/
req := e.Client.NewCreateOrderService().
Symbol(order.Symbol).
Side(order.Side).
Type(order.Type).
Quantity(order.VolumeStr)
if len(order.PriceStr) > 0 {
req.Price(order.PriceStr)
}
if len(order.TimeInForce) > 0 {
req.TimeInForce(order.TimeInForce)
}
retOrder, err := req.Do(ctx)
logrus.Infof("[binance] order created: %+v", retOrder)
return err
}
func (e *Exchange) QueryKLines(ctx context.Context, symbol, interval string, limit int) ([]types.KLine, error) {
logrus.Infof("[binance] querying kline %s %s limit %d", symbol, interval, limit)
resp, err := e.Client.NewKlinesService().Symbol(symbol).Interval(interval).Limit(limit).Do(ctx)
if err != nil {
return nil, err
}
var kLines []types.KLine
for _, kline := range resp {
kLines = append(kLines, types.KLine{
Symbol: symbol,
Interval: interval,
StartTime: kline.OpenTime,
EndTime: kline.CloseTime,
Open: kline.Open,
Close: kline.Close,
High: kline.High,
Low: kline.Low,
Volume: kline.Volume,
QuoteVolume: kline.QuoteAssetVolume,
NumberOfTrades: kline.TradeNum,
})
}
return kLines, nil
}
func (e *Exchange) QueryTrades(ctx context.Context, symbol string, startTime time.Time) (trades []types.Trade, err error) {
logrus.Infof("[binance] querying %s trades from %s", symbol, startTime)
var lastTradeID int64 = 0
for {
req := e.Client.NewListTradesService().
Limit(1000).
Symbol(symbol).
StartTime(startTime.UnixNano() / 1000000)
if lastTradeID > 0 {
req.FromID(lastTradeID)
}
bnTrades, err := req.Do(ctx)
if err != nil {
return nil, err
}
if len(bnTrades) <= 1 {
break
}
for _, t := range bnTrades {
// skip trade ID that is the same. however this should not happen
if t.ID == lastTradeID {
continue
}
var side string
if t.IsBuyer {
side = "BUY"
} else {
side = "SELL"
}
// trade time
tt := time.Unix(0, t.Time*1000000)
logrus.Infof("[binance] trade: %d %s % 4s price: % 13s volume: % 11s %6s % 5s %s", t.ID, t.Symbol, side, t.Price, t.Quantity, BuyerOrSellerLabel(t), MakerOrTakerLabel(t), tt)
price, err := strconv.ParseFloat(t.Price, 64)
if err != nil {
return nil, err
}
quantity, err := strconv.ParseFloat(t.Quantity, 64)
if err != nil {
return nil, err
}
fee, err := strconv.ParseFloat(t.Commission, 64)
if err != nil {
return nil, err
}
trades = append(trades, types.Trade{
ID: t.ID,
Price: price,
Volume: quantity,
Side: side,
IsBuyer: t.IsBuyer,
IsMaker: t.IsMaker,
Fee: fee,
FeeCurrency: t.CommissionAsset,
Time: tt,
})
lastTradeID = t.ID
}
}
return trades, nil
}