mirror of
https://github.com/c9s/bbgo.git
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499 lines
12 KiB
Go
499 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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"strconv"
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"time"
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"github.com/adshao/go-binance"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/util"
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)
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var log = logrus.WithFields(logrus.Fields{
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"exchange": "binance",
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})
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func init() {
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_ = types.Exchange(&Exchange{})
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}
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type Exchange struct {
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Client *binance.Client
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}
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func New(key, secret string) *Exchange {
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var client = binance.NewClient(key, secret)
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return &Exchange{
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Client: client,
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}
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}
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func (e *Exchange) Name() types.ExchangeName {
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return types.ExchangeBinance
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}
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func (e *Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) {
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log.Info("querying market info...")
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exchangeInfo, err := e.Client.NewExchangeInfoService().Do(ctx)
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if err != nil {
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return nil, err
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}
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markets := types.MarketMap{}
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for _, symbol := range exchangeInfo.Symbols {
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market := types.Market{
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Symbol: symbol.Symbol,
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PricePrecision: symbol.QuotePrecision,
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VolumePrecision: symbol.BaseAssetPrecision,
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QuoteCurrency: symbol.QuoteAsset,
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BaseCurrency: symbol.BaseAsset,
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}
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if f := symbol.MinNotionalFilter() ; f != nil {
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market.MinNotional = util.MustParseFloat(f.MinNotional)
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market.MinAmount = util.MustParseFloat(f.MinNotional)
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}
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// The LOT_SIZE filter defines the quantity (aka "lots" in auction terms) rules for a symbol.
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// There are 3 parts:
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// minQty defines the minimum quantity/icebergQty allowed.
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// maxQty defines the maximum quantity/icebergQty allowed.
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// stepSize defines the intervals that a quantity/icebergQty can be increased/decreased by.
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if f := symbol.LotSizeFilter() ; f != nil {
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market.MinLot = util.MustParseFloat(f.MinQuantity)
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market.MinQuantity = util.MustParseFloat(f.MinQuantity)
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market.MaxQuantity = util.MustParseFloat(f.MaxQuantity)
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// market.StepSize = util.MustParseFloat(f.StepSize)
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}
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if f := symbol.PriceFilter() ; f != nil {
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market.MaxPrice = util.MustParseFloat(f.MaxPrice)
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market.MinPrice = util.MustParseFloat(f.MinPrice)
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market.TickSize = util.MustParseFloat(f.TickSize)
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}
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markets[symbol.Symbol] = market
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}
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return markets, nil
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}
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func (e *Exchange) QueryAveragePrice(ctx context.Context, symbol string) (float64, error) {
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resp, err := e.Client.NewAveragePriceService().Symbol(symbol).Do(ctx)
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if err != nil {
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return 0, err
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}
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return util.MustParseFloat(resp.Price), nil
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}
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func (e *Exchange) NewStream() types.Stream {
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return NewStream(e.Client)
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}
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func (e *Exchange) QueryWithdrawHistory(ctx context.Context, asset string, since, until time.Time) (allWithdraws []types.Withdraw, err error) {
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startTime := since
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txIDs := map[string]struct{}{}
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for startTime.Before(until) {
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// startTime ~ endTime must be in 90 days
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endTime := startTime.AddDate(0, 0, 60)
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if endTime.After(until) {
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endTime = until
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}
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req := e.Client.NewListWithdrawsService()
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if len(asset) > 0 {
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req.Asset(asset)
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}
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withdraws, err := req.
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StartTime(startTime.UnixNano() / int64(time.Millisecond)).
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EndTime(endTime.UnixNano() / int64(time.Millisecond)).
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Do(ctx)
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if err != nil {
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return allWithdraws, err
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}
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for _, d := range withdraws {
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if _, ok := txIDs[d.TxID]; ok {
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continue
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}
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status := ""
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switch d.Status {
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case 0:
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status = "email_sent"
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case 1:
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status = "cancelled"
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case 2:
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status = "awaiting_approval"
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case 3:
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status = "rejected"
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case 4:
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status = "processing"
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case 5:
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status = "failure"
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case 6:
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status = "completed"
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default:
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status = fmt.Sprintf("unsupported code: %d", d.Status)
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}
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txIDs[d.TxID] = struct{}{}
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allWithdraws = append(allWithdraws, types.Withdraw{
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ApplyTime: time.Unix(0, d.ApplyTime*int64(time.Millisecond)),
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Asset: d.Asset,
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Amount: d.Amount,
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Address: d.Address,
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AddressTag: d.AddressTag,
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TransactionID: d.TxID,
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TransactionFee: d.TransactionFee,
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WithdrawOrderID: d.WithdrawOrderID,
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Network: d.Network,
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Status: status,
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})
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}
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startTime = endTime
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}
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return allWithdraws, nil
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}
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func (e *Exchange) QueryDepositHistory(ctx context.Context, asset string, since, until time.Time) (allDeposits []types.Deposit, err error) {
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startTime := since
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txIDs := map[string]struct{}{}
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for startTime.Before(until) {
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// startTime ~ endTime must be in 90 days
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endTime := startTime.AddDate(0, 0, 60)
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if endTime.After(until) {
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endTime = until
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}
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req := e.Client.NewListDepositsService()
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if len(asset) > 0 {
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req.Asset(asset)
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}
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deposits, err := req.
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StartTime(startTime.UnixNano() / int64(time.Millisecond)).
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EndTime(endTime.UnixNano() / int64(time.Millisecond)).
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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 _, d := range deposits {
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if _, ok := txIDs[d.TxID]; ok {
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continue
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}
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// 0(0:pending,6: credited but cannot withdraw, 1:success)
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status := types.DepositStatus(fmt.Sprintf("code: %d", d.Status))
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switch d.Status {
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case 0:
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status = types.DepositPending
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case 6:
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// https://www.binance.com/en/support/faq/115003736451
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status = types.DepositCredited
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case 1:
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status = types.DepositSuccess
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}
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txIDs[d.TxID] = struct{}{}
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allDeposits = append(allDeposits, types.Deposit{
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Time: time.Unix(0, d.InsertTime*int64(time.Millisecond)),
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Asset: d.Asset,
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Amount: d.Amount,
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Address: d.Address,
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AddressTag: d.AddressTag,
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TransactionID: d.TxID,
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Status: status,
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})
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}
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startTime = endTime
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}
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return allDeposits, nil
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}
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func (e *Exchange) QueryAccountBalances(ctx context.Context) (types.BalanceMap, error) {
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account, err := e.QueryAccount(ctx)
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if err != nil {
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return nil, err
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}
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return account.Balances(), nil
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}
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// PlatformFeeCurrency
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func (e *Exchange) PlatformFeeCurrency() string {
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return "BNB"
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}
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func (e *Exchange) QueryAccount(ctx context.Context) (*types.Account, error) {
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account, err := e.Client.NewGetAccountService().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 account.Balances {
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balances[b.Asset] = types.Balance{
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Currency: b.Asset,
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Available: util.MustParseFloat(b.Free),
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Locked: util.MustParseFloat(b.Locked),
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}
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}
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a := &types.Account{
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MakerCommission: account.MakerCommission,
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TakerCommission: account.TakerCommission,
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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) SubmitOrder(ctx context.Context, order types.SubmitOrder) error {
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/*
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limit order example
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order, err := Client.NewCreateOrderService().
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Symbol(Symbol).
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Side(side).
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Type(binance.OrderTypeLimit).
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TimeInForce(binance.TimeInForceTypeGTC).
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Quantity(volumeString).
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Price(priceString).
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Do(ctx)
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*/
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orderType, err := toLocalOrderType(order.Type)
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if err != nil {
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return err
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}
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req := e.Client.NewCreateOrderService().
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Symbol(order.Symbol).
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Side(binance.SideType(order.Side)).
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Type(orderType).
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Quantity(order.QuantityString)
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if len(order.PriceString) > 0 {
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req.Price(order.PriceString)
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}
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if len(order.TimeInForce) > 0 {
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req.TimeInForce(order.TimeInForce)
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}
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retOrder, err := req.Do(ctx)
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log.Infof("order created: %+v", retOrder)
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return err
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}
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func toLocalOrderType(orderType types.OrderType) (binance.OrderType, error) {
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switch orderType {
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case types.OrderTypeLimit:
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return binance.OrderTypeLimit, nil
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case types.OrderTypeMarket:
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return binance.OrderTypeMarket, nil
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}
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return "", fmt.Errorf("order type %s not supported", orderType)
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}
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func (e *Exchange) QueryKLines(ctx context.Context, symbol, interval string, options types.KLineQueryOptions) ([]types.KLine, error) {
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var limit = 500
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if options.Limit > 0 {
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// default limit == 500
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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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// avoid rate limit
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time.Sleep(100 * time.Millisecond)
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req := e.Client.NewKlinesService().
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Symbol(symbol).
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Interval(interval).
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Limit(limit)
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if options.StartTime != nil {
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req.StartTime(options.StartTime.UnixNano() / int64(time.Millisecond))
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}
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if options.EndTime != nil {
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req.EndTime(options.EndTime.UnixNano() / int64(time.Millisecond))
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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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Symbol: symbol,
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Interval: interval,
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StartTime: time.Unix(0, k.OpenTime*int64(time.Millisecond)),
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EndTime: time.Unix(0, k.CloseTime*int64(time.Millisecond)),
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Open: util.MustParseFloat(k.Open),
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Close: util.MustParseFloat(k.Close),
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High: util.MustParseFloat(k.High),
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Low: util.MustParseFloat(k.Low),
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Volume: util.MustParseFloat(k.Volume),
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QuoteVolume: util.MustParseFloat(k.QuoteAssetVolume),
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LastTradeID: 0,
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NumberOfTrades: k.TradeNum,
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Closed: true,
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})
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}
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return kLines, nil
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}
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func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) (trades []types.Trade, err error) {
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req := e.Client.NewListTradesService().
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Limit(1000).
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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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}
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if options.StartTime != nil {
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req.StartTime(options.StartTime.UnixNano() / int64(time.Millisecond))
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}
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if options.EndTime != nil {
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req.EndTime(options.EndTime.UnixNano() / int64(time.Millisecond))
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}
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if options.LastTradeID > 0 {
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req.FromID(options.LastTradeID)
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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 := convertRemoteTrade(*t)
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if err != nil {
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log.WithError(err).Errorf("can not convert binance trade: %+v", t)
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continue
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}
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log.Infof("trade: %d %s % 4s price: % 13s volume: % 11s %6s % 5s %s", t.ID, t.Symbol, localTrade.Side, t.Price, t.Quantity, BuyerOrSellerLabel(t), MakerOrTakerLabel(t), localTrade.Time)
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trades = append(trades, *localTrade)
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}
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return trades, nil
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}
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func convertRemoteTrade(t binance.TradeV3) (*types.Trade, error) {
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// skip trade ID that is the same. however this should not happen
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var side string
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if t.IsBuyer {
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side = "BUY"
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} else {
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side = "SELL"
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}
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// trade time
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mts := time.Unix(0, t.Time*int64(time.Millisecond))
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price, err := strconv.ParseFloat(t.Price, 64)
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if err != nil {
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return nil, err
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}
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quantity, err := strconv.ParseFloat(t.Quantity, 64)
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if err != nil {
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return nil, err
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}
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quoteQuantity, err := strconv.ParseFloat(t.QuoteQuantity, 64)
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if err != nil {
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return nil, err
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}
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fee, err := strconv.ParseFloat(t.Commission, 64)
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if err != nil {
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return nil, err
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}
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return &types.Trade{
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ID: t.ID,
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Price: price,
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Symbol: t.Symbol,
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Exchange: "binance",
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Quantity: quantity,
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Side: side,
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IsBuyer: t.IsBuyer,
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IsMaker: t.IsMaker,
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Fee: fee,
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FeeCurrency: t.CommissionAsset,
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QuoteQuantity: quoteQuantity,
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Time: mts,
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}, nil
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}
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func (e *Exchange) BatchQueryKLines(ctx context.Context, symbol, interval string, startTime, endTime time.Time) ([]types.KLine, error) {
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var allKLines []types.KLine
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for startTime.Before(endTime) {
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klines, err := e.QueryKLines(ctx, symbol, interval, types.KLineQueryOptions{
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StartTime: &startTime,
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Limit: 1000,
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})
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if err != nil {
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return nil, err
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}
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for _, kline := range klines {
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if kline.EndTime.After(endTime) {
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return allKLines, nil
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}
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allKLines = append(allKLines, kline)
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startTime = kline.EndTime
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}
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// avoid rate limit
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time.Sleep(100 * time.Millisecond)
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}
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return allKLines, nil
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}
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func (e *Exchange) BatchQueryKLineWindows(ctx context.Context, symbol string, intervals []string, startTime, endTime time.Time) (map[string]types.KLineWindow, error) {
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batch := &types.ExchangeBatchProcessor{Exchange: e}
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klineWindows := map[string]types.KLineWindow{}
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for _, interval := range intervals {
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klines, err := batch.BatchQueryKLines(ctx, symbol, interval, startTime, endTime)
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if err != nil {
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return klineWindows, err
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}
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klineWindows[interval] = klines
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}
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return klineWindows, nil
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}
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