mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-22 23:05:15 +00:00
337 lines
8.7 KiB
Go
337 lines
8.7 KiB
Go
package max
|
|
|
|
import (
|
|
"fmt"
|
|
"strings"
|
|
"time"
|
|
|
|
max "github.com/c9s/bbgo/pkg/exchange/max/maxapi"
|
|
v3 "github.com/c9s/bbgo/pkg/exchange/max/maxapi/v3"
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
func toGlobalCurrency(currency string) string {
|
|
return strings.ToUpper(currency)
|
|
}
|
|
|
|
func toLocalCurrency(currency string) string {
|
|
return strings.ToLower(currency)
|
|
}
|
|
|
|
func toLocalSymbol(symbol string) string {
|
|
return strings.ToLower(symbol)
|
|
}
|
|
|
|
func toGlobalSymbol(symbol string) string {
|
|
return strings.ToUpper(symbol)
|
|
}
|
|
|
|
func toLocalSideType(side types.SideType) string {
|
|
return strings.ToLower(string(side))
|
|
}
|
|
|
|
func toGlobalSideType(v string) types.SideType {
|
|
switch strings.ToLower(v) {
|
|
case "bid", "buy":
|
|
return types.SideTypeBuy
|
|
|
|
case "ask", "sell":
|
|
return types.SideTypeSell
|
|
|
|
case "self-trade":
|
|
return types.SideTypeSelf
|
|
|
|
}
|
|
|
|
return types.SideType(v)
|
|
}
|
|
|
|
func toGlobalRewards(maxRewards []max.Reward) ([]types.Reward, error) {
|
|
// convert to global reward
|
|
var rewards []types.Reward
|
|
for _, r := range maxRewards {
|
|
// ignore "accepted"
|
|
if r.State != "done" {
|
|
continue
|
|
}
|
|
|
|
reward, err := r.Reward()
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
rewards = append(rewards, *reward)
|
|
}
|
|
|
|
return rewards, nil
|
|
}
|
|
|
|
func toGlobalOrderStatus(
|
|
orderState max.OrderState, executedVolume, remainingVolume fixedpoint.Value,
|
|
) types.OrderStatus {
|
|
switch orderState {
|
|
|
|
case max.OrderStateCancel:
|
|
return types.OrderStatusCanceled
|
|
|
|
case max.OrderStateFinalizing, max.OrderStateDone:
|
|
if executedVolume.IsZero() {
|
|
return types.OrderStatusCanceled
|
|
} else if remainingVolume.IsZero() {
|
|
return types.OrderStatusFilled
|
|
}
|
|
|
|
return types.OrderStatusFilled
|
|
|
|
case max.OrderStateWait:
|
|
if executedVolume.Sign() > 0 && remainingVolume.Sign() > 0 {
|
|
return types.OrderStatusPartiallyFilled
|
|
}
|
|
|
|
return types.OrderStatusNew
|
|
|
|
case max.OrderStateConvert:
|
|
if executedVolume.Sign() > 0 && remainingVolume.Sign() > 0 {
|
|
return types.OrderStatusPartiallyFilled
|
|
}
|
|
|
|
return types.OrderStatusNew
|
|
|
|
case max.OrderStateFailed:
|
|
return types.OrderStatusRejected
|
|
|
|
}
|
|
|
|
log.Errorf("can not convert MAX exchange order status, unknown order state: %q", orderState)
|
|
return types.OrderStatus(orderState)
|
|
}
|
|
|
|
func toGlobalOrderType(orderType max.OrderType) types.OrderType {
|
|
switch orderType {
|
|
case max.OrderTypeLimit:
|
|
return types.OrderTypeLimit
|
|
|
|
case max.OrderTypeMarket:
|
|
return types.OrderTypeMarket
|
|
|
|
case max.OrderTypeStopLimit:
|
|
return types.OrderTypeStopLimit
|
|
|
|
case max.OrderTypeStopMarket:
|
|
return types.OrderTypeStopMarket
|
|
|
|
case max.OrderTypeIOCLimit:
|
|
return types.OrderTypeLimit
|
|
|
|
case max.OrderTypePostOnly:
|
|
return types.OrderTypeLimitMaker
|
|
|
|
}
|
|
|
|
log.Errorf("order convert error, unknown order type: %v", orderType)
|
|
return types.OrderType(orderType)
|
|
}
|
|
|
|
func toLocalOrderType(orderType types.OrderType) (max.OrderType, error) {
|
|
switch orderType {
|
|
|
|
case types.OrderTypeStopLimit:
|
|
return max.OrderTypeStopLimit, nil
|
|
|
|
case types.OrderTypeStopMarket:
|
|
return max.OrderTypeStopMarket, nil
|
|
|
|
case types.OrderTypeLimitMaker:
|
|
return max.OrderTypePostOnly, nil
|
|
|
|
case types.OrderTypeLimit:
|
|
return max.OrderTypeLimit, nil
|
|
|
|
case types.OrderTypeMarket:
|
|
return max.OrderTypeMarket, nil
|
|
}
|
|
|
|
return "", fmt.Errorf("order type %s not supported", orderType)
|
|
}
|
|
|
|
func toGlobalOrders(maxOrders []max.Order) (orders []types.Order, err error) {
|
|
for _, localOrder := range maxOrders {
|
|
o, err := toGlobalOrder(localOrder)
|
|
if err != nil {
|
|
log.WithError(err).Error("order convert error")
|
|
} else {
|
|
orders = append(orders, *o)
|
|
}
|
|
}
|
|
|
|
return orders, err
|
|
}
|
|
|
|
func toGlobalOrder(maxOrder max.Order) (*types.Order, error) {
|
|
executedVolume := maxOrder.ExecutedVolume
|
|
remainingVolume := maxOrder.RemainingVolume
|
|
isMargin := maxOrder.WalletType == max.WalletTypeMargin
|
|
return &types.Order{
|
|
SubmitOrder: types.SubmitOrder{
|
|
ClientOrderID: maxOrder.ClientOID,
|
|
Symbol: toGlobalSymbol(maxOrder.Market),
|
|
Side: toGlobalSideType(maxOrder.Side),
|
|
Type: toGlobalOrderType(maxOrder.OrderType),
|
|
Quantity: maxOrder.Volume,
|
|
Price: maxOrder.Price,
|
|
TimeInForce: types.TimeInForceGTC, // MAX only supports GTC
|
|
GroupID: maxOrder.GroupID,
|
|
},
|
|
Exchange: types.ExchangeMax,
|
|
IsWorking: maxOrder.State == max.OrderStateWait,
|
|
OrderID: maxOrder.ID,
|
|
Status: toGlobalOrderStatus(maxOrder.State, executedVolume, remainingVolume),
|
|
OriginalStatus: string(maxOrder.State),
|
|
ExecutedQuantity: executedVolume,
|
|
CreationTime: types.Time(maxOrder.CreatedAt.Time()),
|
|
UpdateTime: types.Time(maxOrder.UpdatedAt.Time()),
|
|
IsMargin: isMargin,
|
|
IsIsolated: false, // isolated margin is not supported
|
|
}, nil
|
|
}
|
|
|
|
func toGlobalTradeV3(t v3.Trade) ([]types.Trade, error) {
|
|
var trades []types.Trade
|
|
isMargin := t.WalletType == max.WalletTypeMargin
|
|
side := toGlobalSideType(t.Side)
|
|
|
|
trade := types.Trade{
|
|
ID: t.ID,
|
|
OrderID: t.OrderID,
|
|
Price: t.Price,
|
|
Symbol: toGlobalSymbol(t.Market),
|
|
Exchange: types.ExchangeMax,
|
|
Quantity: t.Volume,
|
|
Side: side,
|
|
IsBuyer: t.IsBuyer(),
|
|
IsMaker: t.IsMaker(),
|
|
Fee: t.Fee,
|
|
FeeCurrency: toGlobalCurrency(t.FeeCurrency),
|
|
FeeDiscounted: t.FeeDiscounted,
|
|
QuoteQuantity: t.Funds,
|
|
Time: types.Time(t.CreatedAt),
|
|
IsMargin: isMargin,
|
|
IsIsolated: false,
|
|
IsFutures: false,
|
|
}
|
|
|
|
if t.Side == "self-trade" {
|
|
trade.Side = types.SideTypeSell
|
|
|
|
// create trade for bid
|
|
bidTrade := trade
|
|
bidTrade.Side = types.SideTypeBuy
|
|
bidTrade.OrderID = t.SelfTradeBidOrderID
|
|
bidTrade.Fee = t.SelfTradeBidFee
|
|
bidTrade.FeeCurrency = toGlobalCurrency(t.SelfTradeBidFeeCurrency)
|
|
bidTrade.FeeDiscounted = t.SelfTradeBidFeeDiscounted
|
|
bidTrade.IsBuyer = !trade.IsBuyer
|
|
bidTrade.IsMaker = !trade.IsMaker
|
|
trades = append(trades, bidTrade)
|
|
}
|
|
|
|
trades = append(trades, trade)
|
|
|
|
return trades, nil
|
|
}
|
|
|
|
func toGlobalTradeV2(t max.Trade) (*types.Trade, error) {
|
|
isMargin := t.WalletType == max.WalletTypeMargin
|
|
side := toGlobalSideType(t.Side)
|
|
return &types.Trade{
|
|
ID: t.ID,
|
|
OrderID: t.OrderID,
|
|
Price: t.Price,
|
|
Symbol: toGlobalSymbol(t.Market),
|
|
Exchange: types.ExchangeMax,
|
|
Quantity: t.Volume,
|
|
Side: side,
|
|
IsBuyer: t.IsBuyer(),
|
|
IsMaker: t.IsMaker(),
|
|
Fee: t.Fee,
|
|
FeeCurrency: toGlobalCurrency(t.FeeCurrency),
|
|
QuoteQuantity: t.Funds,
|
|
Time: types.Time(t.CreatedAt),
|
|
IsMargin: isMargin,
|
|
IsIsolated: false,
|
|
IsFutures: false,
|
|
}, nil
|
|
}
|
|
|
|
func toGlobalDepositStatus(a max.DepositState) types.DepositStatus {
|
|
switch a {
|
|
|
|
case max.DepositStateSubmitting, max.DepositStateSubmitted, max.DepositStatePending, max.DepositStateChecking:
|
|
return types.DepositPending
|
|
|
|
case max.DepositStateRejected:
|
|
return types.DepositRejected
|
|
|
|
case max.DepositStateCancelled:
|
|
return types.DepositCancelled
|
|
|
|
case max.DepositStateAccepted:
|
|
return types.DepositSuccess
|
|
}
|
|
|
|
// other states goes to this
|
|
// max.DepositStateSuspect, max.DepositStateSuspended
|
|
log.Warnf("unsupported deposit state %q from max exchange", a)
|
|
return types.DepositStatus(a)
|
|
}
|
|
|
|
func convertWebSocketTrade(t max.TradeUpdate) (*types.Trade, error) {
|
|
// skip trade ID that is the same. however this should not happen
|
|
var side = toGlobalSideType(t.Side)
|
|
|
|
return &types.Trade{
|
|
ID: t.ID,
|
|
OrderID: t.OrderID,
|
|
Symbol: toGlobalSymbol(t.Market),
|
|
Exchange: types.ExchangeMax,
|
|
Price: t.Price,
|
|
Quantity: t.Volume,
|
|
Side: side,
|
|
IsBuyer: side == types.SideTypeBuy,
|
|
IsMaker: t.Maker,
|
|
Fee: t.Fee,
|
|
FeeCurrency: toGlobalCurrency(t.FeeCurrency),
|
|
FeeDiscounted: t.FeeDiscounted,
|
|
QuoteQuantity: t.Funds,
|
|
Time: types.Time(t.Timestamp.Time()),
|
|
}, nil
|
|
}
|
|
|
|
func convertWebSocketOrderUpdate(u max.OrderUpdate) (*types.Order, error) {
|
|
timeInForce := types.TimeInForceGTC
|
|
if u.OrderType == max.OrderTypeIOCLimit {
|
|
timeInForce = types.TimeInForceIOC
|
|
}
|
|
|
|
return &types.Order{
|
|
SubmitOrder: types.SubmitOrder{
|
|
ClientOrderID: u.ClientOID,
|
|
Symbol: toGlobalSymbol(u.Market),
|
|
Side: toGlobalSideType(u.Side),
|
|
Type: toGlobalOrderType(u.OrderType),
|
|
Quantity: u.Volume,
|
|
Price: u.Price,
|
|
StopPrice: u.StopPrice,
|
|
TimeInForce: timeInForce, // MAX only supports GTC
|
|
GroupID: u.GroupID,
|
|
},
|
|
Exchange: types.ExchangeMax,
|
|
OrderID: u.ID,
|
|
Status: toGlobalOrderStatus(u.State, u.ExecutedVolume, u.RemainingVolume),
|
|
ExecutedQuantity: u.ExecutedVolume,
|
|
CreationTime: types.Time(time.Unix(0, u.CreatedAtMs*int64(time.Millisecond))),
|
|
UpdateTime: types.Time(time.Unix(0, u.UpdateTime*int64(time.Millisecond))),
|
|
}, nil
|
|
}
|