bbgo_origin/pkg/exchange/binance/parse.go
2020-11-17 14:13:37 +08:00

469 lines
12 KiB
Go

package binance
import (
"encoding/json"
"errors"
"fmt"
"time"
"github.com/adshao/go-binance"
"github.com/valyala/fastjson"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
)
/*
executionReport
{
"e": "executionReport", // Event type
"E": 1499405658658, // Event time
"s": "ETHBTC", // Symbol
"c": "mUvoqJxFIILMdfAW5iGSOW", // Client order ID
"S": "BUY", // Side
"o": "LIMIT", // Order type
"f": "GTC", // Time in force
"q": "1.00000000", // Order quantity
"p": "0.10264410", // Order price
"P": "0.00000000", // Stop price
"F": "0.00000000", // Iceberg quantity
"g": -1, // OrderListId
"C": null, // Original client order ID; This is the ID of the order being canceled
"x": "NEW", // Current execution type
"X": "NEW", // Current order status
"r": "NONE", // Order reject reason; will be an error code.
"i": 4293153, // Order ID
"l": "0.00000000", // Last executed quantity
"z": "0.00000000", // Cumulative filled quantity
"L": "0.00000000", // Last executed price
"n": "0", // Commission amount
"N": null, // Commission asset
"T": 1499405658657, // Transaction time
"t": -1, // Trade ID
"I": 8641984, // Ignore
"w": true, // Is the order on the book?
"m": false, // Is this trade the maker side?
"M": false, // Ignore
"O": 1499405658657, // Order creation time
"Z": "0.00000000", // Cumulative quote asset transacted quantity
"Y": "0.00000000", // Last quote asset transacted quantity (i.e. lastPrice * lastQty)
"Q": "0.00000000" // Quote Order Qty
}
*/
type ExecutionReportEvent struct {
EventBase
Symbol string `json:"s"`
ClientOrderID string `json:"c"`
Side string `json:"S"`
OrderType string `json:"o"`
TimeInForce string `json:"f"`
OrderQuantity string `json:"q"`
OrderPrice string `json:"p"`
StopPrice string `json:"P"`
IsOnBook bool `json:"w"`
IsMaker bool `json:"m"`
CommissionAmount string `json:"n"`
CommissionAsset string `json:"N"`
CurrentExecutionType string `json:"x"`
CurrentOrderStatus string `json:"X"`
OrderID int64 `json:"i"`
Ignored int64 `json:"I"`
TradeID int64 `json:"t"`
TransactionTime int64 `json:"T"`
LastExecutedQuantity string `json:"l"`
CumulativeFilledQuantity string `json:"z"`
LastExecutedPrice string `json:"L"`
LastQuoteAssetTransactedQuantity string `json:"Y"`
OrderCreationTime int64 `json:"O"`
}
func (e *ExecutionReportEvent) Order() (*types.Order, error) {
switch e.CurrentExecutionType {
case "NEW", "CANCELED", "REJECTED", "EXPIRED":
case "REPLACED":
default:
return nil, errors.New("execution report type is not for order")
}
orderCreationTime := time.Unix(0, e.OrderCreationTime*int64(time.Millisecond))
return &types.Order{
SubmitOrder: types.SubmitOrder{
Symbol: e.Symbol,
ClientOrderID: e.ClientOrderID,
Side: toGlobalSideType(binance.SideType(e.Side)),
Type: toGlobalOrderType(binance.OrderType(e.OrderType)),
Quantity: util.MustParseFloat(e.OrderQuantity),
Price: util.MustParseFloat(e.OrderPrice),
TimeInForce: e.TimeInForce,
},
OrderID: uint64(e.OrderID),
Status: toGlobalOrderStatus(binance.OrderStatusType(e.CurrentOrderStatus)),
ExecutedQuantity: util.MustParseFloat(e.CumulativeFilledQuantity),
CreationTime: orderCreationTime,
}, nil
}
func (e *ExecutionReportEvent) Trade() (*types.Trade, error) {
if e.CurrentExecutionType != "TRADE" {
return nil, errors.New("execution report is not a trade")
}
tt := time.Unix(0, e.TransactionTime*int64(time.Millisecond))
return &types.Trade{
ID: e.TradeID,
Symbol: e.Symbol,
OrderID: uint64(e.OrderID),
Side: toGlobalSideType(binance.SideType(e.Side)),
Price: util.MustParseFloat(e.LastExecutedPrice),
Quantity: util.MustParseFloat(e.LastExecutedQuantity),
QuoteQuantity: util.MustParseFloat(e.LastQuoteAssetTransactedQuantity),
IsBuyer: e.Side == "BUY",
IsMaker: e.IsMaker,
Time: tt,
Fee: util.MustParseFloat(e.CommissionAmount),
FeeCurrency: e.CommissionAsset,
}, nil
}
/*
balanceUpdate
{
"e": "balanceUpdate", //KLineEvent Type
"E": 1573200697110, //KLineEvent Time
"a": "BTC", //Asset
"d": "100.00000000", //Balance Delta
"T": 1573200697068 //Clear Time
}
*/
type BalanceUpdateEvent struct {
EventBase
Asset string `json:"a"`
Delta string `json:"d"`
ClearTime int64 `json:"T"`
}
/*
outboundAccountInfo
{
"e": "outboundAccountInfo", // KLineEvent type
"E": 1499405658849, // KLineEvent time
"m": 0, // Maker commission rate (bips)
"t": 0, // Taker commission rate (bips)
"b": 0, // Buyer commission rate (bips)
"s": 0, // Seller commission rate (bips)
"T": true, // Can trade?
"W": true, // Can withdraw?
"D": true, // Can deposit?
"u": 1499405658848, // Time of last account update
"B": [ // Balances array
{
"a": "LTC", // Asset
"f": "17366.18538083", // Free amount
"l": "0.00000000" // Locked amount
},
{
"a": "BTC",
"f": "10537.85314051",
"l": "2.19464093"
},
{
"a": "ETH",
"f": "17902.35190619",
"l": "0.00000000"
},
{
"a": "BNC",
"f": "1114503.29769312",
"l": "0.00000000"
},
{
"a": "NEO",
"f": "0.00000000",
"l": "0.00000000"
}
],
"P": [ // Account Permissions
"SPOT"
]
}
*/
type Balance struct {
Asset string `json:"a"`
Free string `json:"f"`
Locked string `json:"l"`
}
type OutboundAccountInfoEvent struct {
EventBase
MakerCommissionRate int `json:"m"`
TakerCommissionRate int `json:"t"`
BuyerCommissionRate int `json:"b"`
SellerCommissionRate int `json:"s"`
CanTrade bool `json:"T"`
CanWithdraw bool `json:"W"`
CanDeposit bool `json:"D"`
LastAccountUpdateTime int `json:"u"`
Balances []Balance `json:"B,omitempty"`
Permissions []string `json:"P,omitempty"`
}
type ResultEvent struct {
Result interface{} `json:"result,omitempty"`
ID int `json:"id"`
}
func ParseEvent(message string) (interface{}, error) {
val, err := fastjson.Parse(message)
if err != nil {
return nil, err
}
eventType := string(val.GetStringBytes("e"))
switch eventType {
case "kline":
var event KLineEvent
err := json.Unmarshal([]byte(message), &event)
return &event, err
case "outboundAccountInfo", "outboundAccountPosition":
var event OutboundAccountInfoEvent
err := json.Unmarshal([]byte(message), &event)
return &event, err
case "balanceUpdate":
var event BalanceUpdateEvent
err := json.Unmarshal([]byte(message), &event)
return &event, err
case "executionReport":
var event ExecutionReportEvent
err := json.Unmarshal([]byte(message), &event)
return &event, err
case "depthUpdate":
return parseDepthEvent(val)
default:
id := val.GetInt("id")
if id > 0 {
return &ResultEvent{ID: id}, nil
}
}
return nil, fmt.Errorf("unsupported message: %s", message)
}
type DepthEntry struct {
PriceLevel string
Quantity string
}
type DepthEvent struct {
EventBase
Symbol string `json:"s"`
FirstUpdateID int64 `json:"U"`
FinalUpdateID int64 `json:"u"`
Bids []DepthEntry
Asks []DepthEntry
}
func (e *DepthEvent) OrderBook() (book types.OrderBook, err error) {
book.Symbol = e.Symbol
for _, entry := range e.Bids {
quantity, err := fixedpoint.NewFromString(entry.Quantity)
if err != nil {
continue
}
price, err := fixedpoint.NewFromString(entry.PriceLevel)
if err != nil {
continue
}
pv := types.PriceVolume{
Price: price,
Volume: quantity,
}
book.Bids = book.Bids.Upsert(pv, true)
}
for _, entry := range e.Asks {
quantity, err := fixedpoint.NewFromString(entry.Quantity)
if err != nil {
continue
}
price, err := fixedpoint.NewFromString(entry.PriceLevel)
if err != nil {
continue
}
pv := types.PriceVolume{
Price: price,
Volume: quantity,
}
book.Asks = book.Asks.Upsert(pv, false)
}
return
}
func parseDepthEntry(val *fastjson.Value) (*DepthEntry, error) {
arr, err := val.Array()
if err != nil {
return nil, err
}
if len(arr) < 2 {
return nil, errors.New("incorrect depth entry element length")
}
return &DepthEntry{
PriceLevel: string(arr[0].GetStringBytes()),
Quantity: string(arr[1].GetStringBytes()),
}, nil
}
func parseDepthEvent(val *fastjson.Value) (*DepthEvent, error) {
var err error
var depth = &DepthEvent{
EventBase: EventBase{
Event: string(val.GetStringBytes("e")),
Time: val.GetInt64("E"),
},
Symbol: string(val.GetStringBytes("s")),
FirstUpdateID: val.GetInt64("U"),
FinalUpdateID: val.GetInt64("u"),
}
for _, ev := range val.GetArray("b") {
entry, err2 := parseDepthEntry(ev)
if err2 != nil {
err = err2
continue
}
depth.Bids = append(depth.Bids, *entry)
}
for _, ev := range val.GetArray("a") {
entry, err2 := parseDepthEntry(ev)
if err2 != nil {
err = err2
continue
}
depth.Asks = append(depth.Asks, *entry)
}
return depth, err
}
type KLine struct {
StartTime int64 `json:"t"`
EndTime int64 `json:"T"`
Symbol string `json:"s"`
Interval string `json:"i"`
Open string `json:"o"`
Close string `json:"c"`
High string `json:"h"`
Low string `json:"l"`
Volume string `json:"V"` // taker buy base asset volume (like 10 BTC)
QuoteVolume string `json:"Q"` // taker buy quote asset volume (like 1000USDT)
LastTradeID int `json:"L"`
NumberOfTrades int64 `json:"n"`
Closed bool `json:"x"`
}
type KLineEvent struct {
EventBase
Symbol string `json:"s"`
KLine KLine `json:"k,omitempty"`
}
func (k *KLine) KLine() types.KLine {
return types.KLine{
Exchange: "binance",
Symbol: k.Symbol,
Interval: types.Interval(k.Interval),
StartTime: time.Unix(0, k.StartTime*int64(time.Millisecond)),
EndTime: time.Unix(0, k.EndTime*int64(time.Millisecond)),
Open: util.MustParseFloat(k.Open),
Close: util.MustParseFloat(k.Close),
High: util.MustParseFloat(k.High),
Low: util.MustParseFloat(k.Low),
Volume: util.MustParseFloat(k.Volume),
QuoteVolume: util.MustParseFloat(k.QuoteVolume),
LastTradeID: uint64(k.LastTradeID),
NumberOfTrades: uint64(k.NumberOfTrades),
Closed: k.Closed,
}
}
/*
kline
{
"e": "kline", // KLineEvent type
"E": 123456789, // KLineEvent time
"s": "BNBBTC", // Symbol
"k": {
"t": 123400000, // Kline start time
"T": 123460000, // Kline close time
"s": "BNBBTC", // Symbol
"i": "1m", // Interval
"f": 100, // First trade ID
"L": 200, // Last trade ID
"o": "0.0010", // Open price
"c": "0.0020", // Close price
"h": "0.0025", // High price
"l": "0.0015", // Low price
"v": "1000", // Base asset volume
"n": 100, // Number of trades
"x": false, // Is this kline closed?
"q": "1.0000", // Quote asset volume
"V": "500", // Taker buy base asset volume
"Q": "0.500", // Taker buy quote asset volume
"B": "123456" // Ignore
}
}
*/
type EventBase struct {
Event string `json:"e"` // event
Time int64 `json:"E"`
}