mirror of
https://github.com/c9s/bbgo.git
synced 2024-09-20 16:21:09 +00:00
321 lines
9.6 KiB
Go
321 lines
9.6 KiB
Go
package binance
|
|
|
|
import (
|
|
"fmt"
|
|
"strings"
|
|
"time"
|
|
|
|
"github.com/adshao/go-binance/v2"
|
|
"github.com/adshao/go-binance/v2/futures"
|
|
"github.com/pkg/errors"
|
|
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
func toGlobalMarket(symbol binance.Symbol) types.Market {
|
|
market := types.Market{
|
|
Symbol: symbol.Symbol,
|
|
LocalSymbol: symbol.Symbol,
|
|
PricePrecision: symbol.QuotePrecision,
|
|
VolumePrecision: symbol.BaseAssetPrecision,
|
|
QuoteCurrency: symbol.QuoteAsset,
|
|
BaseCurrency: symbol.BaseAsset,
|
|
}
|
|
|
|
if f := symbol.MinNotionalFilter(); f != nil {
|
|
market.MinNotional = fixedpoint.MustNewFromString(f.MinNotional)
|
|
market.MinAmount = fixedpoint.MustNewFromString(f.MinNotional)
|
|
}
|
|
|
|
// The LOT_SIZE filter defines the quantity (aka "lots" in auction terms) rules for a symbol.
|
|
// There are 3 parts:
|
|
// minQty defines the minimum quantity/icebergQty allowed.
|
|
// maxQty defines the maximum quantity/icebergQty allowed.
|
|
// stepSize defines the intervals that a quantity/icebergQty can be increased/decreased by.
|
|
if f := symbol.LotSizeFilter(); f != nil {
|
|
market.MinQuantity = fixedpoint.MustNewFromString(f.MinQuantity)
|
|
market.MaxQuantity = fixedpoint.MustNewFromString(f.MaxQuantity)
|
|
market.StepSize = fixedpoint.MustNewFromString(f.StepSize)
|
|
}
|
|
|
|
if f := symbol.PriceFilter(); f != nil {
|
|
market.MaxPrice = fixedpoint.MustNewFromString(f.MaxPrice)
|
|
market.MinPrice = fixedpoint.MustNewFromString(f.MinPrice)
|
|
market.TickSize = fixedpoint.MustNewFromString(f.TickSize)
|
|
}
|
|
|
|
return market
|
|
}
|
|
|
|
// TODO: Cuz it returns types.Market as well, merge following to the above function
|
|
func toGlobalFuturesMarket(symbol futures.Symbol) types.Market {
|
|
market := types.Market{
|
|
Symbol: symbol.Symbol,
|
|
LocalSymbol: symbol.Symbol,
|
|
PricePrecision: symbol.QuotePrecision,
|
|
VolumePrecision: symbol.BaseAssetPrecision,
|
|
QuoteCurrency: symbol.QuoteAsset,
|
|
BaseCurrency: symbol.BaseAsset,
|
|
}
|
|
|
|
if f := symbol.MinNotionalFilter(); f != nil {
|
|
market.MinNotional = fixedpoint.MustNewFromString(f.Notional)
|
|
market.MinAmount = fixedpoint.MustNewFromString(f.Notional)
|
|
}
|
|
|
|
// The LOT_SIZE filter defines the quantity (aka "lots" in auction terms) rules for a symbol.
|
|
// There are 3 parts:
|
|
// minQty defines the minimum quantity/icebergQty allowed.
|
|
// maxQty defines the maximum quantity/icebergQty allowed.
|
|
// stepSize defines the intervals that a quantity/icebergQty can be increased/decreased by.
|
|
if f := symbol.LotSizeFilter(); f != nil {
|
|
market.MinQuantity = fixedpoint.MustNewFromString(f.MinQuantity)
|
|
market.MaxQuantity = fixedpoint.MustNewFromString(f.MaxQuantity)
|
|
market.StepSize = fixedpoint.MustNewFromString(f.StepSize)
|
|
}
|
|
|
|
if f := symbol.PriceFilter(); f != nil {
|
|
market.MaxPrice = fixedpoint.MustNewFromString(f.MaxPrice)
|
|
market.MinPrice = fixedpoint.MustNewFromString(f.MinPrice)
|
|
market.TickSize = fixedpoint.MustNewFromString(f.TickSize)
|
|
}
|
|
|
|
return market
|
|
}
|
|
|
|
//func toGlobalIsolatedMarginAccount(account *binance.IsolatedMarginAccount) *types.IsolatedMarginAccount {
|
|
// return &types.IsolatedMarginAccount{
|
|
// TotalAssetOfBTC: fixedpoint.MustNewFromString(account.TotalNetAssetOfBTC),
|
|
// TotalLiabilityOfBTC: fixedpoint.MustNewFromString(account.TotalLiabilityOfBTC),
|
|
// TotalNetAssetOfBTC: fixedpoint.MustNewFromString(account.TotalNetAssetOfBTC),
|
|
// Assets: toGlobalIsolatedMarginAssets(account.Assets),
|
|
// }
|
|
//}
|
|
|
|
func toGlobalTicker(stats *binance.PriceChangeStats) (*types.Ticker, error) {
|
|
return &types.Ticker{
|
|
Volume: fixedpoint.MustNewFromString(stats.Volume),
|
|
Last: fixedpoint.MustNewFromString(stats.LastPrice),
|
|
Open: fixedpoint.MustNewFromString(stats.OpenPrice),
|
|
High: fixedpoint.MustNewFromString(stats.HighPrice),
|
|
Low: fixedpoint.MustNewFromString(stats.LowPrice),
|
|
Buy: fixedpoint.MustNewFromString(stats.BidPrice),
|
|
Sell: fixedpoint.MustNewFromString(stats.AskPrice),
|
|
Time: time.Unix(0, stats.CloseTime*int64(time.Millisecond)),
|
|
}, nil
|
|
}
|
|
|
|
func toLocalOrderType(orderType types.OrderType) (binance.OrderType, error) {
|
|
switch orderType {
|
|
|
|
case types.OrderTypeLimitMaker:
|
|
return binance.OrderTypeLimitMaker, nil
|
|
|
|
case types.OrderTypeLimit:
|
|
return binance.OrderTypeLimit, nil
|
|
|
|
case types.OrderTypeStopLimit:
|
|
return binance.OrderTypeStopLossLimit, nil
|
|
|
|
case types.OrderTypeStopMarket:
|
|
return binance.OrderTypeStopLoss, nil
|
|
|
|
case types.OrderTypeMarket:
|
|
return binance.OrderTypeMarket, nil
|
|
}
|
|
|
|
return "", fmt.Errorf("can not convert to local order, order type %s not supported", orderType)
|
|
}
|
|
|
|
func toGlobalOrders(binanceOrders []*binance.Order) (orders []types.Order, err error) {
|
|
for _, binanceOrder := range binanceOrders {
|
|
order, err := toGlobalOrder(binanceOrder, false)
|
|
if err != nil {
|
|
return orders, err
|
|
}
|
|
|
|
orders = append(orders, *order)
|
|
}
|
|
|
|
return orders, err
|
|
}
|
|
|
|
func toGlobalOrder(binanceOrder *binance.Order, isMargin bool) (*types.Order, error) {
|
|
return &types.Order{
|
|
SubmitOrder: types.SubmitOrder{
|
|
ClientOrderID: binanceOrder.ClientOrderID,
|
|
Symbol: binanceOrder.Symbol,
|
|
Side: toGlobalSideType(binanceOrder.Side),
|
|
Type: toGlobalOrderType(binanceOrder.Type),
|
|
Quantity: fixedpoint.MustNewFromString(binanceOrder.OrigQuantity),
|
|
Price: fixedpoint.MustNewFromString(binanceOrder.Price),
|
|
TimeInForce: types.TimeInForce(binanceOrder.TimeInForce),
|
|
},
|
|
Exchange: types.ExchangeBinance,
|
|
IsWorking: binanceOrder.IsWorking,
|
|
OrderID: uint64(binanceOrder.OrderID),
|
|
Status: toGlobalOrderStatus(binanceOrder.Status),
|
|
ExecutedQuantity: fixedpoint.MustNewFromString(binanceOrder.ExecutedQuantity),
|
|
CreationTime: types.Time(millisecondTime(binanceOrder.Time)),
|
|
UpdateTime: types.Time(millisecondTime(binanceOrder.UpdateTime)),
|
|
IsMargin: isMargin,
|
|
IsIsolated: binanceOrder.IsIsolated,
|
|
}, nil
|
|
}
|
|
|
|
func millisecondTime(t int64) time.Time {
|
|
return time.Unix(0, t*int64(time.Millisecond))
|
|
}
|
|
|
|
func toGlobalTrade(t binance.TradeV3, isMargin bool) (*types.Trade, error) {
|
|
// skip trade ID that is the same. however this should not happen
|
|
var side types.SideType
|
|
if t.IsBuyer {
|
|
side = types.SideTypeBuy
|
|
} else {
|
|
side = types.SideTypeSell
|
|
}
|
|
|
|
price, err := fixedpoint.NewFromString(t.Price)
|
|
if err != nil {
|
|
return nil, errors.Wrapf(err, "price parse error, price: %+v", t.Price)
|
|
}
|
|
|
|
quantity, err := fixedpoint.NewFromString(t.Quantity)
|
|
if err != nil {
|
|
return nil, errors.Wrapf(err, "quantity parse error, quantity: %+v", t.Quantity)
|
|
}
|
|
|
|
var quoteQuantity fixedpoint.Value
|
|
if len(t.QuoteQuantity) > 0 {
|
|
quoteQuantity, err = fixedpoint.NewFromString(t.QuoteQuantity)
|
|
if err != nil {
|
|
return nil, errors.Wrapf(err, "quote quantity parse error, quoteQuantity: %+v", t.QuoteQuantity)
|
|
}
|
|
} else {
|
|
quoteQuantity = price.Mul(quantity)
|
|
}
|
|
|
|
fee, err := fixedpoint.NewFromString(t.Commission)
|
|
if err != nil {
|
|
return nil, errors.Wrapf(err, "commission parse error, commission: %+v", t.Commission)
|
|
}
|
|
|
|
return &types.Trade{
|
|
ID: uint64(t.ID),
|
|
OrderID: uint64(t.OrderID),
|
|
Price: price,
|
|
Symbol: t.Symbol,
|
|
Exchange: "binance",
|
|
Quantity: quantity,
|
|
QuoteQuantity: quoteQuantity,
|
|
Side: side,
|
|
IsBuyer: t.IsBuyer,
|
|
IsMaker: t.IsMaker,
|
|
Fee: fee,
|
|
FeeCurrency: t.CommissionAsset,
|
|
Time: types.Time(millisecondTime(t.Time)),
|
|
IsMargin: isMargin,
|
|
IsIsolated: t.IsIsolated,
|
|
}, nil
|
|
}
|
|
|
|
func toGlobalSideType(side binance.SideType) types.SideType {
|
|
switch side {
|
|
case binance.SideTypeBuy:
|
|
return types.SideTypeBuy
|
|
|
|
case binance.SideTypeSell:
|
|
return types.SideTypeSell
|
|
|
|
default:
|
|
log.Errorf("can not convert binance side type, unknown side type: %q", side)
|
|
return ""
|
|
}
|
|
}
|
|
|
|
func toGlobalOrderType(orderType binance.OrderType) types.OrderType {
|
|
switch orderType {
|
|
|
|
case binance.OrderTypeLimit,
|
|
binance.OrderTypeLimitMaker, binance.OrderTypeTakeProfitLimit:
|
|
return types.OrderTypeLimit
|
|
|
|
case binance.OrderTypeMarket:
|
|
return types.OrderTypeMarket
|
|
|
|
case binance.OrderTypeStopLossLimit:
|
|
return types.OrderTypeStopLimit
|
|
|
|
case binance.OrderTypeStopLoss:
|
|
return types.OrderTypeStopMarket
|
|
|
|
default:
|
|
log.Errorf("unsupported order type: %v", orderType)
|
|
return ""
|
|
}
|
|
}
|
|
|
|
func toGlobalOrderStatus(orderStatus binance.OrderStatusType) types.OrderStatus {
|
|
switch orderStatus {
|
|
case binance.OrderStatusTypeNew:
|
|
return types.OrderStatusNew
|
|
|
|
case binance.OrderStatusTypeRejected:
|
|
return types.OrderStatusRejected
|
|
|
|
case binance.OrderStatusTypeCanceled:
|
|
return types.OrderStatusCanceled
|
|
|
|
case binance.OrderStatusTypePartiallyFilled:
|
|
return types.OrderStatusPartiallyFilled
|
|
|
|
case binance.OrderStatusTypeFilled:
|
|
return types.OrderStatusFilled
|
|
}
|
|
|
|
return types.OrderStatus(orderStatus)
|
|
}
|
|
|
|
func convertSubscription(s types.Subscription) string {
|
|
// binance uses lower case symbol name,
|
|
// for kline, it's "<symbol>@kline_<interval>"
|
|
// for depth, it's "<symbol>@depth OR <symbol>@depth@100ms"
|
|
switch s.Channel {
|
|
case types.KLineChannel:
|
|
return fmt.Sprintf("%s@%s_%s", strings.ToLower(s.Symbol), s.Channel, s.Options.String())
|
|
case types.BookChannel:
|
|
// depth values: 5, 10, 20
|
|
// Stream Names: <symbol>@depth<levels> OR <symbol>@depth<levels>@100ms.
|
|
// Update speed: 1000ms or 100ms
|
|
n := strings.ToLower(s.Symbol) + "@depth"
|
|
switch s.Options.Depth {
|
|
case types.DepthLevel5:
|
|
n += "5"
|
|
|
|
case types.DepthLevelMedium:
|
|
n += "20"
|
|
|
|
case types.DepthLevelFull:
|
|
default:
|
|
|
|
}
|
|
|
|
switch s.Options.Speed {
|
|
case types.SpeedHigh:
|
|
n += "@100ms"
|
|
|
|
case types.SpeedLow:
|
|
n += "@1000ms"
|
|
|
|
}
|
|
return n
|
|
case types.BookTickerChannel:
|
|
return fmt.Sprintf("%s@bookTicker", strings.ToLower(s.Symbol))
|
|
}
|
|
|
|
return fmt.Sprintf("%s@%s", strings.ToLower(s.Symbol), s.Channel)
|
|
}
|
|
|