mirror of
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310 lines
8.0 KiB
Go
310 lines
8.0 KiB
Go
package service
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import (
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"strconv"
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"strings"
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"time"
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"github.com/jmoiron/sqlx"
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"github.com/pkg/errors"
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log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/types"
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)
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type TradingVolume struct {
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Year int `db:"year" json:"year"`
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Month int `db:"month" json:"month,omitempty"`
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Day int `db:"day" json:"day,omitempty"`
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Time time.Time `json:"time,omitempty"`
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Exchange string `db:"exchange" json:"exchange,omitempty"`
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Symbol string `db:"symbol" json:"symbol,omitempty"`
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QuoteVolume float64 `db:"quote_volume" json:"quoteVolume"`
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}
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type TradingVolumeQueryOptions struct {
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GroupByPeriod string
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SegmentBy string
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}
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type TradeService struct {
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DB *sqlx.DB
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}
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func NewTradeService(db *sqlx.DB) *TradeService {
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return &TradeService{db}
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}
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func (s *TradeService) QueryTradingVolume(startTime time.Time, options TradingVolumeQueryOptions) ([]TradingVolume, error) {
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args := map[string]interface{}{
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// "symbol": symbol,
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// "exchange": ex,
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// "is_margin": isMargin,
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// "is_isolated": isIsolated,
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"start_time": startTime,
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}
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sql := ""
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driverName := s.DB.DriverName()
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if driverName == "mysql" {
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sql = generateMysqlTradingVolumeQuerySQL(options)
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} else {
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sql = generateSqliteTradingVolumeSQL(options)
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}
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log.Info(sql)
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rows, err := s.DB.NamedQuery(sql, args)
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if err != nil {
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return nil, errors.Wrap(err, "query last trade error")
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}
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if rows.Err() != nil {
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return nil, rows.Err()
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}
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defer rows.Close()
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var records []TradingVolume
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for rows.Next() {
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var record TradingVolume
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err = rows.StructScan(&record)
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if err != nil {
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return records, err
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}
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record.Time = time.Date(record.Year, time.Month(record.Month), record.Day, 0, 0, 0, 0, time.UTC)
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records = append(records, record)
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}
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return records, rows.Err()
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}
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func generateSqliteTradingVolumeSQL(options TradingVolumeQueryOptions) string {
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var sel []string
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var groupBys []string
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var orderBys []string
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where := []string{"traded_at > :start_time"}
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switch options.GroupByPeriod {
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case "month":
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sel = append(sel, "strftime('%Y',traded_at) AS year", "strftime('%m',traded_at) AS month")
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groupBys = append([]string{"month", "year"}, groupBys...)
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orderBys = append(orderBys, "year ASC", "month ASC")
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case "year":
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sel = append(sel, "strftime('%Y',traded_at) AS year")
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groupBys = append([]string{"year"}, groupBys...)
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orderBys = append(orderBys, "year ASC")
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case "day":
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fallthrough
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default:
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sel = append(sel, "strftime('%Y',traded_at) AS year", "strftime('%m',traded_at) AS month", "strftime('%d',traded_at) AS day")
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groupBys = append([]string{"day", "month", "year"}, groupBys...)
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orderBys = append(orderBys, "year ASC", "month ASC", "day ASC")
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}
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switch options.SegmentBy {
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case "symbol":
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sel = append(sel, "symbol")
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groupBys = append([]string{"symbol"}, groupBys...)
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orderBys = append(orderBys, "symbol")
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case "exchange":
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sel = append(sel, "exchange")
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groupBys = append([]string{"exchange"}, groupBys...)
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orderBys = append(orderBys, "exchange")
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}
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sel = append(sel, "SUM(quantity * price) AS quote_volume")
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sql := `SELECT ` + strings.Join(sel, ", ") + ` FROM trades` +
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` WHERE ` + strings.Join(where, " AND ") +
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` GROUP BY ` + strings.Join(groupBys, ", ") +
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` ORDER BY ` + strings.Join(orderBys, ", ")
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return sql
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}
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func generateMysqlTradingVolumeQuerySQL(options TradingVolumeQueryOptions) string {
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var sel []string
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var groupBys []string
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var orderBys []string
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where := []string{"traded_at > :start_time"}
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switch options.GroupByPeriod {
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case "month":
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sel = append(sel, "YEAR(traded_at) AS year", "MONTH(traded_at) AS month")
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groupBys = append([]string{"MONTH(traded_at)", "YEAR(traded_at)"}, groupBys...)
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orderBys = append(orderBys, "year ASC", "month ASC")
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case "year":
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sel = append(sel, "YEAR(traded_at) AS year")
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groupBys = append([]string{"YEAR(traded_at)"}, groupBys...)
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orderBys = append(orderBys, "year ASC")
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case "day":
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fallthrough
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default:
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sel = append(sel, "YEAR(traded_at) AS year", "MONTH(traded_at) AS month", "DAY(traded_at) AS day")
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groupBys = append([]string{"DAY(traded_at)", "MONTH(traded_at)", "YEAR(traded_at)"}, groupBys...)
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orderBys = append(orderBys, "year ASC", "month ASC", "day ASC")
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}
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switch options.SegmentBy {
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case "symbol":
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sel = append(sel, "symbol")
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groupBys = append([]string{"symbol"}, groupBys...)
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orderBys = append(orderBys, "symbol")
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case "exchange":
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sel = append(sel, "exchange")
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groupBys = append([]string{"exchange"}, groupBys...)
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orderBys = append(orderBys, "exchange")
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}
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sel = append(sel, "SUM(quantity * price) AS quote_volume")
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sql := `SELECT ` + strings.Join(sel, ", ") + ` FROM trades` +
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` WHERE ` + strings.Join(where, " AND ") +
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` GROUP BY ` + strings.Join(groupBys, ", ") +
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` ORDER BY ` + strings.Join(orderBys, ", ")
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return sql
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}
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// QueryLast queries the last trade from the database
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func (s *TradeService) QueryLast(ex types.ExchangeName, symbol string, isMargin bool, isIsolated bool) (*types.Trade, error) {
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log.Infof("querying last trade exchange = %s AND symbol = %s AND is_margin = %v AND is_isolated = %v", ex, symbol, isMargin, isIsolated)
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rows, err := s.DB.NamedQuery(`SELECT * FROM trades WHERE exchange = :exchange AND symbol = :symbol AND is_margin = :is_margin AND is_isolated = :is_isolated ORDER BY gid DESC LIMIT 1`, map[string]interface{}{
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"symbol": symbol,
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"exchange": ex,
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"is_margin": isMargin,
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"is_isolated": isIsolated,
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})
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if err != nil {
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return nil, errors.Wrap(err, "query last trade error")
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}
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if rows.Err() != nil {
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return nil, rows.Err()
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}
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defer rows.Close()
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if rows.Next() {
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var trade types.Trade
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err = rows.StructScan(&trade)
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return &trade, err
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}
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return nil, rows.Err()
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}
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func (s *TradeService) QueryForTradingFeeCurrency(ex types.ExchangeName, symbol string, feeCurrency string) ([]types.Trade, error) {
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rows, err := s.DB.NamedQuery(`SELECT * FROM trades WHERE exchange = :exchange AND (symbol = :symbol OR fee_currency = :fee_currency) ORDER BY traded_at ASC`, map[string]interface{}{
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"exchange": ex,
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"symbol": symbol,
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"fee_currency": feeCurrency,
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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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defer rows.Close()
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return s.scanRows(rows)
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}
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type QueryTradesOptions struct {
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Exchange types.ExchangeName
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Symbol string
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LastGID int64
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// ASC or DESC
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Ordering string
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Limit int
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}
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func (s *TradeService) Query(options QueryTradesOptions) ([]types.Trade, error) {
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sql := queryTradesSQL(options)
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log.Info(sql)
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args := map[string]interface{}{
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"exchange": options.Exchange,
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"symbol": options.Symbol,
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}
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rows, err := s.DB.NamedQuery(sql, args)
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if err != nil {
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return nil, err
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}
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defer rows.Close()
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return s.scanRows(rows)
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}
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func queryTradesSQL(options QueryTradesOptions) string {
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ordering := "ASC"
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switch v := strings.ToUpper(options.Ordering); v {
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case "DESC", "ASC":
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ordering = v
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}
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var where []string
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if len(options.Exchange) > 0 {
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where = append(where, `exchange = :exchange`)
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}
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if len(options.Symbol) > 0 {
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where = append(where, `symbol = :symbol`)
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}
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if options.LastGID > 0 {
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switch ordering {
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case "ASC":
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where = append(where, "gid > :gid")
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case "DESC":
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where = append(where, "gid < :gid")
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}
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}
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sql := `SELECT * FROM trades`
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if len(where) > 0 {
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sql += ` WHERE ` + strings.Join(where, " AND ")
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}
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sql += ` ORDER BY gid ` + ordering
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sql += ` LIMIT ` + strconv.Itoa(options.Limit)
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return sql
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}
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func (s *TradeService) scanRows(rows *sqlx.Rows) (trades []types.Trade, err error) {
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for rows.Next() {
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var trade types.Trade
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if err := rows.StructScan(&trade); err != nil {
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return trades, err
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}
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trades = append(trades, trade)
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}
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return trades, rows.Err()
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}
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func (s *TradeService) Insert(trade types.Trade) error {
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_, err := s.DB.NamedExec(`
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INSERT INTO trades (id, exchange, order_id, symbol, price, quantity, quote_quantity, side, is_buyer, is_maker, fee, fee_currency, traded_at, is_margin, is_isolated)
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VALUES (:id, :exchange, :order_id, :symbol, :price, :quantity, :quote_quantity, :side, :is_buyer, :is_maker, :fee, :fee_currency, :traded_at, :is_margin, :is_isolated)`,
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trade)
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return err
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}
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