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284 lines
7.3 KiB
Go
284 lines
7.3 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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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/util"
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"github.com/valyala/fastjson"
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"time"
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)
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/*
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executionReport
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{
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"e": "executionReport", // KLineEvent type
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"E": 1499405658658, // KLineEvent 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 Qty
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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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ClientOrderID string `json:"c"`
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Side string `json:"S"`
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OrderType string `json:"o"`
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TimeInForce string `json:"f"`
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OrderQuantity string `json:"q"`
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OrderPrice string `json:"p"`
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StopPrice string `json:"P"`
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IsOnBook bool `json:"w"`
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IsMaker bool `json:"m"`
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CommissionAmount string `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 int `json:"i"`
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TradeID int64 `json:"t"`
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TransactionTime int64 `json:"T"`
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LastExecutedQuantity string `json:"l"`
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CumulativeFilledQuantity string `json:"z"`
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LastExecutedPrice string `json:"L"`
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OrderCreationTime int `json:"O"`
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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/1000000)
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return &types.Trade{
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ID: e.TradeID,
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Symbol: e.Symbol,
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Price: util.MustParseFloat(e.LastExecutedPrice),
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Volume: util.MustParseFloat(e.LastExecutedQuantity),
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IsBuyer: e.Side == "BUY",
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IsMaker: e.IsMaker,
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Time: tt,
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Fee: util.MustParseFloat(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": [ // Balances 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 string `json:"f"`
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Locked string `json:"l"`
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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 ParseEvent(message string) (interface{}, error) {
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val, err := fastjson.Parse(message)
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if err != nil {
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return nil, err
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}
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eventType := string(val.GetStringBytes("e"))
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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 "outboundAccountInfo", "outboundAccountPosition":
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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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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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type KLineEvent struct {
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EventBase
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Symbol string `json:"s"`
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KLine *types.KLine `json:"k,omitempty"`
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}
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/*
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kline
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{
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"e": "kline", // KLineEvent type
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"E": 123456789, // KLineEvent time
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"s": "BNBBTC", // Symbol
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"k": {
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"t": 123400000, // Kline start time
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"T": 123460000, // Kline close time
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"s": "BNBBTC", // Symbol
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"i": "1m", // Interval
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"f": 100, // First trade ID
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"L": 200, // Last trade ID
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"o": "0.0010", // Open price
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"c": "0.0020", // Close price
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"h": "0.0025", // High price
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"l": "0.0015", // Low price
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"v": "1000", // Base asset volume
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"n": 100, // Number of trades
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"x": false, // Is this kline closed?
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"q": "1.0000", // Quote asset volume
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"V": "500", // Taker buy base asset volume
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"Q": "0.500", // Taker buy quote asset volume
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"B": "123456" // Ignore
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}
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}
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*/
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type EventBase struct {
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Event string `json:"e"` // event
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Time int64 `json:"E"`
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}
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