mirror of
https://github.com/c9s/bbgo.git
synced 2024-09-20 08:11:08 +00:00
414 lines
12 KiB
Go
414 lines
12 KiB
Go
package binance
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import (
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"context"
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"fmt"
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"time"
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"github.com/adshao/go-binance/v2"
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"github.com/adshao/go-binance/v2/futures"
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"github.com/google/uuid"
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"go.uber.org/multierr"
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"github.com/c9s/bbgo/pkg/exchange/binance/binanceapi"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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func (e *Exchange) queryFuturesClosedOrders(
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ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64,
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) (orders []types.Order, err error) {
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req := e.futuresClient.NewListOrdersService().Symbol(symbol)
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if lastOrderID > 0 {
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req.OrderID(int64(lastOrderID))
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} else {
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req.StartTime(since.UnixNano() / int64(time.Millisecond))
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if until.Sub(since) < 24*time.Hour {
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req.EndTime(until.UnixNano() / int64(time.Millisecond))
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}
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}
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binanceOrders, err := req.Do(ctx)
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if err != nil {
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return orders, err
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}
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return toGlobalFuturesOrders(binanceOrders, false)
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}
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func (e *Exchange) TransferFuturesAccountAsset(
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ctx context.Context, asset string, amount fixedpoint.Value, io types.TransferDirection,
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) error {
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req := e.client2.NewFuturesTransferRequest()
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req.Asset(asset)
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req.Amount(amount.String())
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if io == types.TransferIn {
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req.TransferType(binanceapi.FuturesTransferSpotToUsdtFutures)
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} else if io == types.TransferOut {
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req.TransferType(binanceapi.FuturesTransferUsdtFuturesToSpot)
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} else {
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return fmt.Errorf("unexpected transfer direction: %d given", io)
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}
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resp, err := req.Do(ctx)
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switch io {
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case types.TransferIn:
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log.Infof("internal transfer (spot) => (futures) %s %s, transaction = %+v, err = %+v", amount.String(), asset, resp, err)
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case types.TransferOut:
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log.Infof("internal transfer (futures) => (spot) %s %s, transaction = %+v, err = %+v", amount.String(), asset, resp, err)
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}
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return err
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}
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// QueryFuturesAccount gets the futures account balances from Binance
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// Balance.Available = Wallet Balance(in Binance UI) - Used Margin
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// Balance.Locked = Used Margin
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func (e *Exchange) QueryFuturesAccount(ctx context.Context) (*types.Account, error) {
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// account, err := e.futuresClient.NewGetAccountService().Do(ctx)
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reqAccount := e.futuresClient2.NewFuturesGetAccountRequest()
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account, err := reqAccount.Do(ctx)
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if err != nil {
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return nil, err
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}
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req := e.futuresClient2.NewFuturesGetAccountBalanceRequest()
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accountBalances, 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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var balances = map[string]types.Balance{}
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for _, b := range accountBalances {
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// The futures account balance is much different from the spot balance:
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// - Balance is the actual balance of the asset
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// - AvailableBalance is the available margin balance (can be used as notional)
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// - CrossWalletBalance (this will be meaningful when using isolated margin)
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balances[b.Asset] = types.Balance{
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Currency: b.Asset,
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Available: b.AvailableBalance, // AvailableBalance here is the available margin, like how much quantity/notional you can SHORT/LONG, not what you can withdraw
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Locked: b.Balance.Sub(b.AvailableBalance.Sub(b.CrossUnPnl)), // FIXME: AvailableBalance is the available margin balance, it could be re-calculated by the current formula.
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MaxWithdrawAmount: b.MaxWithdrawAmount,
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}
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}
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a := &types.Account{
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AccountType: types.AccountTypeFutures,
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FuturesInfo: toGlobalFuturesAccountInfo(account), // In binance GO api, Account define account info which mantain []*AccountAsset and []*AccountPosition.
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CanDeposit: account.CanDeposit, // if can transfer in asset
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CanTrade: account.CanTrade, // if can trade
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CanWithdraw: account.CanWithdraw, // if can transfer out asset
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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) cancelFuturesOrders(ctx context.Context, orders ...types.Order) (err error) {
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for _, o := range orders {
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var req = e.futuresClient.NewCancelOrderService()
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// Mandatory
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req.Symbol(o.Symbol)
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if o.OrderID > 0 {
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req.OrderID(int64(o.OrderID))
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} else {
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err = multierr.Append(err, types.NewOrderError(
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fmt.Errorf("can not cancel %s order, order does not contain orderID or clientOrderID", o.Symbol),
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o))
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continue
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}
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_, err2 := req.Do(ctx)
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if err2 != nil {
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err = multierr.Append(err, types.NewOrderError(err2, o))
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}
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}
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return err
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}
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func (e *Exchange) submitFuturesOrder(ctx context.Context, order types.SubmitOrder) (*types.Order, error) {
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orderType, err := toLocalFuturesOrderType(order.Type)
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if err != nil {
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return nil, err
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}
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req := e.futuresClient.NewCreateOrderService().
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Symbol(order.Symbol).
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Type(orderType).
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Side(futures.SideType(order.Side))
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if order.ReduceOnly {
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req.ReduceOnly(order.ReduceOnly)
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} else if order.ClosePosition {
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req.ClosePosition(order.ClosePosition)
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}
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clientOrderID := newFuturesClientOrderID(order.ClientOrderID)
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if len(clientOrderID) > 0 {
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req.NewClientOrderID(clientOrderID)
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}
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// use response result format
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req.NewOrderResponseType(futures.NewOrderRespTypeRESULT)
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if !order.ClosePosition {
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if order.Market.Symbol != "" {
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req.Quantity(order.Market.FormatQuantity(order.Quantity))
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} else {
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// TODO report error
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req.Quantity(order.Quantity.FormatString(8))
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}
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}
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// set price field for limit orders
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switch order.Type {
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case types.OrderTypeStopLimit, types.OrderTypeLimit, types.OrderTypeLimitMaker:
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if order.Market.Symbol != "" {
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req.Price(order.Market.FormatPrice(order.Price))
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} else {
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// TODO report error
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req.Price(order.Price.FormatString(8))
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}
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}
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// set stop price
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switch order.Type {
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case types.OrderTypeStopLimit, types.OrderTypeStopMarket:
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if order.Market.Symbol != "" {
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req.StopPrice(order.Market.FormatPrice(order.StopPrice))
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} else {
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// TODO report error
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req.StopPrice(order.StopPrice.FormatString(8))
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}
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}
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// could be IOC or FOK
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if len(order.TimeInForce) > 0 {
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// TODO: check the TimeInForce value
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req.TimeInForce(futures.TimeInForceType(order.TimeInForce))
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} else {
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switch order.Type {
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case types.OrderTypeLimit, types.OrderTypeLimitMaker, types.OrderTypeStopLimit:
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req.TimeInForce(futures.TimeInForceTypeGTC)
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}
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}
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response, 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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log.Infof("futures order creation response: %+v", response)
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createdOrder, err := toGlobalFuturesOrder(&futures.Order{
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Symbol: response.Symbol,
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OrderID: response.OrderID,
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ClientOrderID: response.ClientOrderID,
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Price: response.Price,
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OrigQuantity: response.OrigQuantity,
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ExecutedQuantity: response.ExecutedQuantity,
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Status: response.Status,
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TimeInForce: response.TimeInForce,
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Type: response.Type,
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Side: response.Side,
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ReduceOnly: response.ReduceOnly,
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}, false)
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return createdOrder, err
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}
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func (e *Exchange) QueryFuturesKLines(
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ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions,
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) ([]types.KLine, error) {
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var limit = 1000
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if options.Limit > 0 {
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// default limit == 1000
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limit = options.Limit
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}
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log.Infof("querying kline %s %s %v", symbol, interval, options)
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req := e.futuresClient.NewKlinesService().
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Symbol(symbol).
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Interval(string(interval)).
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Limit(limit)
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if options.StartTime != nil {
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req.StartTime(options.StartTime.UnixMilli())
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}
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if options.EndTime != nil {
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req.EndTime(options.EndTime.UnixMilli())
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}
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resp, 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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var kLines []types.KLine
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for _, k := range resp {
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kLines = append(kLines, types.KLine{
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Exchange: types.ExchangeBinance,
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Symbol: symbol,
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Interval: interval,
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StartTime: types.NewTimeFromUnix(0, k.OpenTime*int64(time.Millisecond)),
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EndTime: types.NewTimeFromUnix(0, k.CloseTime*int64(time.Millisecond)),
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Open: fixedpoint.MustNewFromString(k.Open),
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Close: fixedpoint.MustNewFromString(k.Close),
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High: fixedpoint.MustNewFromString(k.High),
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Low: fixedpoint.MustNewFromString(k.Low),
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Volume: fixedpoint.MustNewFromString(k.Volume),
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QuoteVolume: fixedpoint.MustNewFromString(k.QuoteAssetVolume),
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TakerBuyBaseAssetVolume: fixedpoint.MustNewFromString(k.TakerBuyBaseAssetVolume),
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TakerBuyQuoteAssetVolume: fixedpoint.MustNewFromString(k.TakerBuyQuoteAssetVolume),
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LastTradeID: 0,
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NumberOfTrades: uint64(k.TradeNum),
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Closed: true,
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})
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}
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kLines = types.SortKLinesAscending(kLines)
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return kLines, nil
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}
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func (e *Exchange) queryFuturesTrades(
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ctx context.Context, symbol string, options *types.TradeQueryOptions,
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) (trades []types.Trade, err error) {
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var remoteTrades []*futures.AccountTrade
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req := e.futuresClient.NewListAccountTradeService().
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Symbol(symbol)
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if options.Limit > 0 {
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req.Limit(int(options.Limit))
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} else {
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req.Limit(1000)
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}
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// BINANCE uses inclusive last trade ID
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if options.LastTradeID > 0 {
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req.FromID(int64(options.LastTradeID))
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}
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// The parameter fromId cannot be sent with startTime or endTime.
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// Mentioned in binance futures docs
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if options.LastTradeID <= 0 {
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if options.StartTime != nil && options.EndTime != nil {
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if options.EndTime.Sub(*options.StartTime) < 24*time.Hour {
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req.StartTime(options.StartTime.UnixMilli())
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req.EndTime(options.EndTime.UnixMilli())
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} else {
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req.StartTime(options.StartTime.UnixMilli())
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}
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} else if options.EndTime != nil {
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req.EndTime(options.EndTime.UnixMilli())
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}
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}
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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 := toGlobalFuturesTrade(*t)
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if err != nil {
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log.WithError(err).Errorf("can not convert binance futures trade: %+v", t)
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continue
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}
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trades = append(trades, *localTrade)
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}
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trades = types.SortTradesAscending(trades)
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return trades, nil
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}
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func (e *Exchange) QueryFuturesPositionRisks(ctx context.Context, symbol string) error {
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req := e.futuresClient.NewGetPositionRiskService()
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req.Symbol(symbol)
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res, err := req.Do(ctx)
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if err != nil {
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return err
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}
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_ = res
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return nil
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}
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// BBGO is a futures broker on Binance
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const futuresBrokerID = "gBhMvywy"
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func newFuturesClientOrderID(originalID string) (clientOrderID string) {
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if originalID == types.NoClientOrderID {
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return ""
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}
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prefix := "x-" + futuresBrokerID
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prefixLen := len(prefix)
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if originalID != "" {
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// try to keep the whole original client order ID if user specifies it.
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if prefixLen+len(originalID) > 32 {
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return originalID
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}
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clientOrderID = prefix + originalID
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return clientOrderID
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}
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clientOrderID = uuid.New().String()
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clientOrderID = prefix + clientOrderID
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if len(clientOrderID) > 32 {
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return clientOrderID[0:32]
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}
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return clientOrderID
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}
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func (e *Exchange) queryFuturesDepth(ctx context.Context, symbol string) (snapshot types.SliceOrderBook, finalUpdateID int64, err error) {
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res, err := e.futuresClient.NewDepthService().Symbol(symbol).Do(ctx)
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if err != nil {
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return snapshot, finalUpdateID, err
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}
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response := &binance.DepthResponse{
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LastUpdateID: res.LastUpdateID,
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Bids: res.Bids,
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Asks: res.Asks,
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}
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return convertDepthLegacy(snapshot, symbol, finalUpdateID, response)
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}
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func (e *Exchange) GetFuturesClient() *binanceapi.FuturesRestClient {
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return e.futuresClient2
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}
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// QueryFuturesIncomeHistory queries the income history on the binance futures account
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// This is more binance futures specific API, the convert function is not designed yet.
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// TODO: consider other futures platforms and design the common data structure for this
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func (e *Exchange) QueryFuturesIncomeHistory(
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ctx context.Context, symbol string, incomeType binanceapi.FuturesIncomeType, startTime, endTime *time.Time,
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) ([]binanceapi.FuturesIncome, error) {
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req := e.futuresClient2.NewFuturesGetIncomeHistoryRequest()
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req.Symbol(symbol)
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req.IncomeType(incomeType)
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if startTime != nil {
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req.StartTime(*startTime)
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}
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if endTime != nil {
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req.EndTime(*endTime)
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}
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resp, err := req.Do(ctx)
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return resp, err
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}
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