mirror of
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280 lines
8.8 KiB
Go
280 lines
8.8 KiB
Go
package binance
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import (
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"fmt"
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"time"
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"github.com/adshao/go-binance/v2/futures"
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"github.com/pkg/errors"
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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 toGlobalFuturesAccountInfo(account *futures.Account) *types.FuturesAccountInfo {
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return &types.FuturesAccountInfo{
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Assets: toGlobalFuturesUserAssets(account.Assets),
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Positions: toGlobalFuturesPositions(account.Positions),
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TotalInitialMargin: fixedpoint.MustNewFromString(account.TotalInitialMargin),
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TotalMaintMargin: fixedpoint.MustNewFromString(account.TotalMaintMargin),
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TotalMarginBalance: fixedpoint.MustNewFromString(account.TotalMarginBalance),
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TotalOpenOrderInitialMargin: fixedpoint.MustNewFromString(account.TotalOpenOrderInitialMargin),
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TotalPositionInitialMargin: fixedpoint.MustNewFromString(account.TotalPositionInitialMargin),
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TotalUnrealizedProfit: fixedpoint.MustNewFromString(account.TotalUnrealizedProfit),
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TotalWalletBalance: fixedpoint.MustNewFromString(account.TotalWalletBalance),
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UpdateTime: account.UpdateTime,
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}
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}
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func toGlobalFuturesBalance(balances []*futures.Balance) types.BalanceMap {
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retBalances := make(types.BalanceMap)
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for _, balance := range balances {
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retBalances[balance.Asset] = types.Balance{
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Currency: balance.Asset,
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Available: fixedpoint.MustNewFromString(balance.AvailableBalance),
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}
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}
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return retBalances
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}
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func toGlobalFuturesPositions(futuresPositions []*futures.AccountPosition) types.FuturesPositionMap {
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retFuturesPositions := make(types.FuturesPositionMap)
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for _, futuresPosition := range futuresPositions {
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retFuturesPositions[futuresPosition.Symbol] = types.FuturesPosition{ // TODO: types.FuturesPosition
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Isolated: futuresPosition.Isolated,
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PositionRisk: &types.PositionRisk{
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Leverage: fixedpoint.MustNewFromString(futuresPosition.Leverage),
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},
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Symbol: futuresPosition.Symbol,
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UpdateTime: futuresPosition.UpdateTime,
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}
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}
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return retFuturesPositions
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}
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func toGlobalFuturesUserAssets(assets []*futures.AccountAsset) (retAssets types.FuturesAssetMap) {
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retFuturesAssets := make(types.FuturesAssetMap)
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for _, futuresAsset := range assets {
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retFuturesAssets[futuresAsset.Asset] = types.FuturesUserAsset{
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Asset: futuresAsset.Asset,
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InitialMargin: fixedpoint.MustNewFromString(futuresAsset.InitialMargin),
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MaintMargin: fixedpoint.MustNewFromString(futuresAsset.MaintMargin),
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MarginBalance: fixedpoint.MustNewFromString(futuresAsset.MarginBalance),
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MaxWithdrawAmount: fixedpoint.MustNewFromString(futuresAsset.MaxWithdrawAmount),
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OpenOrderInitialMargin: fixedpoint.MustNewFromString(futuresAsset.OpenOrderInitialMargin),
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PositionInitialMargin: fixedpoint.MustNewFromString(futuresAsset.PositionInitialMargin),
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UnrealizedProfit: fixedpoint.MustNewFromString(futuresAsset.UnrealizedProfit),
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WalletBalance: fixedpoint.MustNewFromString(futuresAsset.WalletBalance),
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}
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}
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return retFuturesAssets
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}
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func toLocalFuturesOrderType(orderType types.OrderType) (futures.OrderType, error) {
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switch orderType {
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// case types.OrderTypeLimitMaker:
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// return futures.OrderTypeLimitMaker, nil //TODO
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case types.OrderTypeLimit, types.OrderTypeLimitMaker:
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return futures.OrderTypeLimit, nil
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// case types.OrderTypeStopLimit:
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// return futures.OrderTypeStopLossLimit, nil //TODO
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// case types.OrderTypeStopMarket:
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// return futures.OrderTypeStopLoss, nil //TODO
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case types.OrderTypeMarket:
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return futures.OrderTypeMarket, nil
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}
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return "", fmt.Errorf("can not convert to local order, order type %s not supported", orderType)
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}
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func toGlobalFuturesOrders(futuresOrders []*futures.Order) (orders []types.Order, err error) {
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for _, futuresOrder := range futuresOrders {
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order, err := toGlobalFuturesOrder(futuresOrder, false)
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if err != nil {
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return orders, err
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}
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orders = append(orders, *order)
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}
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return orders, err
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}
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func toGlobalFuturesOrder(futuresOrder *futures.Order, isMargin bool) (*types.Order, error) {
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return &types.Order{
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SubmitOrder: types.SubmitOrder{
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ClientOrderID: futuresOrder.ClientOrderID,
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Symbol: futuresOrder.Symbol,
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Side: toGlobalFuturesSideType(futuresOrder.Side),
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Type: toGlobalFuturesOrderType(futuresOrder.Type),
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ReduceOnly: futuresOrder.ReduceOnly,
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ClosePosition: futuresOrder.ClosePosition,
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Quantity: fixedpoint.MustNewFromString(futuresOrder.OrigQuantity),
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Price: fixedpoint.MustNewFromString(futuresOrder.Price),
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TimeInForce: types.TimeInForce(futuresOrder.TimeInForce),
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},
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Exchange: types.ExchangeBinance,
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OrderID: uint64(futuresOrder.OrderID),
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Status: toGlobalFuturesOrderStatus(futuresOrder.Status),
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ExecutedQuantity: fixedpoint.MustNewFromString(futuresOrder.ExecutedQuantity),
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CreationTime: types.Time(millisecondTime(futuresOrder.Time)),
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UpdateTime: types.Time(millisecondTime(futuresOrder.UpdateTime)),
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IsMargin: isMargin,
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}, nil
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}
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func toGlobalFuturesTrade(t futures.AccountTrade) (*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 types.SideType
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if t.Buyer {
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side = types.SideTypeBuy
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} else {
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side = types.SideTypeSell
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}
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price, err := fixedpoint.NewFromString(t.Price)
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if err != nil {
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return nil, errors.Wrapf(err, "price parse error, price: %+v", t.Price)
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}
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quantity, err := fixedpoint.NewFromString(t.Quantity)
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if err != nil {
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return nil, errors.Wrapf(err, "quantity parse error, quantity: %+v", t.Quantity)
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}
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var quoteQuantity fixedpoint.Value
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if len(t.QuoteQuantity) > 0 {
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quoteQuantity, err = fixedpoint.NewFromString(t.QuoteQuantity)
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if err != nil {
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return nil, errors.Wrapf(err, "quote quantity parse error, quoteQuantity: %+v", t.QuoteQuantity)
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}
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} else {
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quoteQuantity = price.Mul(quantity)
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}
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fee, err := fixedpoint.NewFromString(t.Commission)
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if err != nil {
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return nil, errors.Wrapf(err, "commission parse error, commission: %+v", t.Commission)
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}
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return &types.Trade{
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ID: uint64(t.ID),
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OrderID: uint64(t.OrderID),
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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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QuoteQuantity: quoteQuantity,
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Side: side,
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IsBuyer: t.Buyer,
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IsMaker: t.Maker,
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Fee: fee,
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FeeCurrency: t.CommissionAsset,
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Time: types.Time(millisecondTime(t.Time)),
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IsFutures: true,
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}, nil
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}
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func toGlobalFuturesSideType(side futures.SideType) types.SideType {
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switch side {
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case futures.SideTypeBuy:
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return types.SideTypeBuy
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case futures.SideTypeSell:
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return types.SideTypeSell
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default:
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log.Errorf("can not convert futures side type, unknown side type: %q", side)
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return ""
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}
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}
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func toGlobalFuturesOrderType(orderType futures.OrderType) types.OrderType {
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switch orderType {
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// TODO
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case futures.OrderTypeLimit: // , futures.OrderTypeLimitMaker, futures.OrderTypeTakeProfitLimit:
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return types.OrderTypeLimit
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case futures.OrderTypeMarket:
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return types.OrderTypeMarket
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// TODO
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// case futures.OrderTypeStopLossLimit:
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// return types.OrderTypeStopLimit
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// TODO
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// case futures.OrderTypeStopLoss:
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// return types.OrderTypeStopMarket
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default:
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log.Errorf("unsupported order type: %v", orderType)
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return ""
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}
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}
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func toGlobalFuturesOrderStatus(orderStatus futures.OrderStatusType) types.OrderStatus {
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switch orderStatus {
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case futures.OrderStatusTypeNew:
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return types.OrderStatusNew
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case futures.OrderStatusTypeRejected:
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return types.OrderStatusRejected
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case futures.OrderStatusTypeCanceled:
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return types.OrderStatusCanceled
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case futures.OrderStatusTypePartiallyFilled:
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return types.OrderStatusPartiallyFilled
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case futures.OrderStatusTypeFilled:
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return types.OrderStatusFilled
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}
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return types.OrderStatus(orderStatus)
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}
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func convertPremiumIndex(index *futures.PremiumIndex) (*types.PremiumIndex, error) {
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markPrice, err := fixedpoint.NewFromString(index.MarkPrice)
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if err != nil {
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return nil, err
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}
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lastFundingRate, err := fixedpoint.NewFromString(index.LastFundingRate)
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if err != nil {
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return nil, err
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}
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nextFundingTime := time.Unix(0, index.NextFundingTime*int64(time.Millisecond))
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t := time.Unix(0, index.Time*int64(time.Millisecond))
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return &types.PremiumIndex{
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Symbol: index.Symbol,
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MarkPrice: markPrice,
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NextFundingTime: nextFundingTime,
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LastFundingRate: lastFundingRate,
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Time: t,
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}, nil
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}
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func convertPositionRisk(risk *futures.PositionRisk) (*types.PositionRisk, error) {
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leverage, err := fixedpoint.NewFromString(risk.Leverage)
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if err != nil {
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return nil, err
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}
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liquidationPrice, err := fixedpoint.NewFromString(risk.LiquidationPrice)
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if err != nil {
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return nil, err
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}
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return &types.PositionRisk{
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Leverage: leverage,
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LiquidationPrice: liquidationPrice,
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}, nil
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}
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