mirror of
https://github.com/c9s/bbgo.git
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550 lines
14 KiB
Go
550 lines
14 KiB
Go
package binance
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import (
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"context"
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"fmt"
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"time"
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"github.com/adshao/go-binance"
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"github.com/google/uuid"
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"github.com/pkg/errors"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/util"
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)
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var log = logrus.WithFields(logrus.Fields{
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"exchange": "binance",
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})
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func init() {
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_ = types.Exchange(&Exchange{})
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}
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type Exchange struct {
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Client *binance.Client
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}
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func New(key, secret string) *Exchange {
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var client = binance.NewClient(key, secret)
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return &Exchange{
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Client: client,
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}
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}
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func (e *Exchange) Name() types.ExchangeName {
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return types.ExchangeBinance
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}
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func (e *Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) {
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log.Info("querying market info...")
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exchangeInfo, err := e.Client.NewExchangeInfoService().Do(ctx)
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if err != nil {
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return nil, err
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}
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markets := types.MarketMap{}
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for _, symbol := range exchangeInfo.Symbols {
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market := types.Market{
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Symbol: symbol.Symbol,
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PricePrecision: symbol.QuotePrecision,
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VolumePrecision: symbol.BaseAssetPrecision,
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QuoteCurrency: symbol.QuoteAsset,
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BaseCurrency: symbol.BaseAsset,
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}
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if f := symbol.MinNotionalFilter(); f != nil {
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market.MinNotional = util.MustParseFloat(f.MinNotional)
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market.MinAmount = util.MustParseFloat(f.MinNotional)
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}
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// The LOT_SIZE filter defines the quantity (aka "lots" in auction terms) rules for a symbol.
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// There are 3 parts:
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// minQty defines the minimum quantity/icebergQty allowed.
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// maxQty defines the maximum quantity/icebergQty allowed.
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// stepSize defines the intervals that a quantity/icebergQty can be increased/decreased by.
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if f := symbol.LotSizeFilter(); f != nil {
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market.MinLot = util.MustParseFloat(f.MinQuantity)
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market.MinQuantity = util.MustParseFloat(f.MinQuantity)
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market.MaxQuantity = util.MustParseFloat(f.MaxQuantity)
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// market.StepSize = util.MustParseFloat(f.StepSize)
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}
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if f := symbol.PriceFilter(); f != nil {
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market.MaxPrice = util.MustParseFloat(f.MaxPrice)
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market.MinPrice = util.MustParseFloat(f.MinPrice)
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market.TickSize = util.MustParseFloat(f.TickSize)
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}
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markets[symbol.Symbol] = market
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}
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return markets, nil
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}
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func (e *Exchange) QueryAveragePrice(ctx context.Context, symbol string) (float64, error) {
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resp, err := e.Client.NewAveragePriceService().Symbol(symbol).Do(ctx)
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if err != nil {
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return 0, err
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}
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return util.MustParseFloat(resp.Price), nil
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}
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func (e *Exchange) NewStream() types.Stream {
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return NewStream(e.Client)
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}
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func (e *Exchange) QueryWithdrawHistory(ctx context.Context, asset string, since, until time.Time) (allWithdraws []types.Withdraw, err error) {
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startTime := since
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txIDs := map[string]struct{}{}
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for startTime.Before(until) {
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// startTime ~ endTime must be in 90 days
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endTime := startTime.AddDate(0, 0, 60)
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if endTime.After(until) {
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endTime = until
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}
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req := e.Client.NewListWithdrawsService()
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if len(asset) > 0 {
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req.Asset(asset)
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}
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withdraws, err := req.
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StartTime(startTime.UnixNano() / int64(time.Millisecond)).
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EndTime(endTime.UnixNano() / int64(time.Millisecond)).
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Do(ctx)
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if err != nil {
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return allWithdraws, err
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}
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for _, d := range withdraws {
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if _, ok := txIDs[d.TxID]; ok {
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continue
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}
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status := ""
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switch d.Status {
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case 0:
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status = "email_sent"
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case 1:
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status = "cancelled"
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case 2:
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status = "awaiting_approval"
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case 3:
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status = "rejected"
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case 4:
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status = "processing"
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case 5:
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status = "failure"
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case 6:
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status = "completed"
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default:
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status = fmt.Sprintf("unsupported code: %d", d.Status)
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}
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txIDs[d.TxID] = struct{}{}
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allWithdraws = append(allWithdraws, types.Withdraw{
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ApplyTime: time.Unix(0, d.ApplyTime*int64(time.Millisecond)),
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Asset: d.Asset,
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Amount: d.Amount,
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Address: d.Address,
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AddressTag: d.AddressTag,
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TransactionID: d.TxID,
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TransactionFee: d.TransactionFee,
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WithdrawOrderID: d.WithdrawOrderID,
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Network: d.Network,
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Status: status,
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})
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}
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startTime = endTime
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}
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return allWithdraws, nil
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}
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func (e *Exchange) QueryDepositHistory(ctx context.Context, asset string, since, until time.Time) (allDeposits []types.Deposit, err error) {
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startTime := since
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txIDs := map[string]struct{}{}
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for startTime.Before(until) {
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// startTime ~ endTime must be in 90 days
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endTime := startTime.AddDate(0, 0, 60)
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if endTime.After(until) {
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endTime = until
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}
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req := e.Client.NewListDepositsService()
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if len(asset) > 0 {
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req.Asset(asset)
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}
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deposits, err := req.
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StartTime(startTime.UnixNano() / int64(time.Millisecond)).
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EndTime(endTime.UnixNano() / int64(time.Millisecond)).
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Do(ctx)
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if err != nil {
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return nil, err
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}
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for _, d := range deposits {
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if _, ok := txIDs[d.TxID]; ok {
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continue
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}
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// 0(0:pending,6: credited but cannot withdraw, 1:success)
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status := types.DepositStatus(fmt.Sprintf("code: %d", d.Status))
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switch d.Status {
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case 0:
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status = types.DepositPending
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case 6:
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// https://www.binance.com/en/support/faq/115003736451
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status = types.DepositCredited
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case 1:
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status = types.DepositSuccess
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}
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txIDs[d.TxID] = struct{}{}
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allDeposits = append(allDeposits, types.Deposit{
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Time: time.Unix(0, d.InsertTime*int64(time.Millisecond)),
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Asset: d.Asset,
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Amount: d.Amount,
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Address: d.Address,
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AddressTag: d.AddressTag,
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TransactionID: d.TxID,
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Status: status,
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})
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}
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startTime = endTime
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}
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return allDeposits, nil
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}
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func (e *Exchange) QueryAccountBalances(ctx context.Context) (types.BalanceMap, error) {
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account, err := e.QueryAccount(ctx)
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if err != nil {
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return nil, err
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}
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return account.Balances(), nil
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}
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// PlatformFeeCurrency
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func (e *Exchange) PlatformFeeCurrency() string {
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return "BNB"
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}
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func (e *Exchange) QueryAccount(ctx context.Context) (*types.Account, error) {
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account, err := e.Client.NewGetAccountService().Do(ctx)
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if err != nil {
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return nil, err
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}
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var balances = map[string]types.Balance{}
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for _, b := range account.Balances {
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balances[b.Asset] = types.Balance{
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Currency: b.Asset,
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Available: fixedpoint.Must(fixedpoint.NewFromString(b.Free)),
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Locked: fixedpoint.Must(fixedpoint.NewFromString(b.Locked)),
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}
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}
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a := &types.Account{
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MakerCommission: int(account.MakerCommission),
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TakerCommission: int(account.TakerCommission),
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}
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a.UpdateBalances(balances)
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return a, nil
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}
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func (e *Exchange) QueryOpenOrders(ctx context.Context, symbol string) (orders []types.Order, err error) {
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binanceOrders, err := e.Client.NewListOpenOrdersService().Symbol(symbol).Do(ctx)
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if err != nil {
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return orders, err
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}
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for _, binanceOrder := range binanceOrders {
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order, err := ToGlobalOrder(binanceOrder)
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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 (e *Exchange) QueryClosedOrders(ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64) (orders []types.Order, err error) {
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if until.Sub(since) >= 24*time.Hour {
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until = since.Add(24*time.Hour - time.Millisecond)
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}
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time.Sleep(3 * time.Second)
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log.Infof("querying closed orders %s from %s <=> %s ...", symbol, since, until)
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req := e.Client.NewListOrdersService().
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Symbol(symbol)
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if lastOrderID > 0 {
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req.OrderID(int64(lastOrderID))
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} else {
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req.StartTime(since.UnixNano() / int64(time.Millisecond)).
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EndTime(until.UnixNano() / int64(time.Millisecond))
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}
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binanceOrders, err := req.Do(ctx)
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if err != nil {
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return orders, err
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}
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if len(binanceOrders) == 0 {
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return orders, nil
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}
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for _, binanceOrder := range binanceOrders {
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order, err := ToGlobalOrder(binanceOrder)
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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, nil
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}
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func (e *Exchange) CancelOrders(ctx context.Context, orders ...types.Order) (err2 error) {
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for _, o := range orders {
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var req = e.Client.NewCancelOrderService()
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// Mandatory
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req.Symbol(o.Symbol)
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if o.OrderID > 0 {
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req.OrderID(int64(o.OrderID))
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} else if len(o.ClientOrderID) > 0 {
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req.NewClientOrderID(o.ClientOrderID)
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}
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_, err := req.Do(ctx)
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if err != nil {
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log.WithError(err).Errorf("order cancel error")
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err2 = err
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}
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}
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return err2
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}
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func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error) {
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for _, order := range orders {
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orderType, err := toLocalOrderType(order.Type)
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if err != nil {
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return createdOrders, err
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}
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clientOrderID := uuid.New().String()
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if len(order.ClientOrderID) > 0 {
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clientOrderID = order.ClientOrderID
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}
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req := e.Client.NewCreateOrderService().
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Symbol(order.Symbol).
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Side(binance.SideType(order.Side)).
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NewClientOrderID(clientOrderID).
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Type(orderType)
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req.Quantity(order.QuantityString)
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if len(order.PriceString) > 0 {
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req.Price(order.PriceString)
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}
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switch order.Type {
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case types.OrderTypeStopLimit, types.OrderTypeStopMarket:
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if len(order.StopPriceString) == 0 {
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return createdOrders, fmt.Errorf("stop price string can not be empty")
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}
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req.StopPrice(order.StopPriceString)
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}
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if len(order.TimeInForce) > 0 {
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// TODO: check the TimeInForce value
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req.TimeInForce(binance.TimeInForceType(order.TimeInForce))
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}
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response, err := req.Do(ctx)
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if err != nil {
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return createdOrders, err
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}
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log.Infof("order creation response: %+v", response)
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retOrder := binance.Order{
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Symbol: response.Symbol,
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OrderID: response.OrderID,
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ClientOrderID: response.ClientOrderID,
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Price: response.Price,
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OrigQuantity: response.OrigQuantity,
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ExecutedQuantity: response.ExecutedQuantity,
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CummulativeQuoteQuantity: response.CummulativeQuoteQuantity,
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Status: response.Status,
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TimeInForce: response.TimeInForce,
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Type: response.Type,
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Side: response.Side,
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// StopPrice:
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// IcebergQuantity:
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Time: response.TransactTime,
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// UpdateTime:
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// IsWorking: ,
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}
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createdOrder, err := ToGlobalOrder(&retOrder)
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if err != nil {
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return createdOrders, err
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}
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if createdOrder == nil {
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return createdOrders, errors.New("nil converted order")
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}
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createdOrders = append(createdOrders, *createdOrder)
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}
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return createdOrders, err
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}
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// QueryKLines queries the Kline/candlestick bars for a symbol. Klines are uniquely identified by their open time.
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func (e *Exchange) QueryKLines(ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions) ([]types.KLine, error) {
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var limit = 500
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if options.Limit > 0 {
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// default limit == 500
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limit = options.Limit
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}
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log.Infof("querying kline %s %s %v", symbol, interval, options)
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// avoid rate limit
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time.Sleep(500 * time.Millisecond)
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req := e.Client.NewKlinesService().
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Symbol(symbol).
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Interval(string(interval)).
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Limit(limit)
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if options.StartTime != nil {
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req.StartTime(options.StartTime.UnixNano() / int64(time.Millisecond))
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}
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if options.EndTime != nil {
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req.EndTime(options.EndTime.UnixNano() / int64(time.Millisecond))
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}
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resp, err := req.Do(ctx)
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if err != nil {
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return nil, err
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}
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var kLines []types.KLine
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for _, k := range resp {
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kLines = append(kLines, types.KLine{
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Exchange: "binance",
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Symbol: symbol,
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Interval: interval,
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StartTime: time.Unix(0, k.OpenTime*int64(time.Millisecond)),
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EndTime: time.Unix(0, k.CloseTime*int64(time.Millisecond)),
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Open: util.MustParseFloat(k.Open),
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Close: util.MustParseFloat(k.Close),
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High: util.MustParseFloat(k.High),
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Low: util.MustParseFloat(k.Low),
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Volume: util.MustParseFloat(k.Volume),
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QuoteVolume: util.MustParseFloat(k.QuoteAssetVolume),
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LastTradeID: 0,
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NumberOfTrades: uint64(k.TradeNum),
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Closed: true,
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})
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}
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return kLines, nil
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}
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func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) (trades []types.Trade, err error) {
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req := e.Client.NewListTradesService().
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Limit(1000).
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Symbol(symbol)
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if options.Limit > 0 {
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req.Limit(int(options.Limit))
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}
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if options.StartTime != nil {
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req.StartTime(options.StartTime.UnixNano() / int64(time.Millisecond))
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}
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if options.EndTime != nil {
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req.EndTime(options.EndTime.UnixNano() / int64(time.Millisecond))
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}
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if options.LastTradeID > 0 {
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req.FromID(options.LastTradeID)
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}
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remoteTrades, err := req.Do(ctx)
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if err != nil {
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return nil, err
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}
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for _, t := range remoteTrades {
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localTrade, err := ToGlobalTrade(*t)
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if err != nil {
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log.WithError(err).Errorf("can not convert binance trade: %+v", t)
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continue
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}
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log.Infof("trade: %d %s % 4s price: % 13s volume: % 11s %6s % 5s %s", t.ID, t.Symbol, localTrade.Side, t.Price, t.Quantity, BuyerOrSellerLabel(t), MakerOrTakerLabel(t), localTrade.Time)
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trades = append(trades, *localTrade)
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}
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return trades, nil
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}
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func (e *Exchange) BatchQueryKLines(ctx context.Context, symbol string, interval types.Interval, startTime, endTime time.Time) ([]types.KLine, error) {
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var allKLines []types.KLine
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for startTime.Before(endTime) {
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klines, err := e.QueryKLines(ctx, symbol, interval, types.KLineQueryOptions{
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StartTime: &startTime,
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Limit: 1000,
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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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for _, kline := range klines {
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if kline.EndTime.After(endTime) {
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return allKLines, nil
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}
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allKLines = append(allKLines, kline)
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startTime = kline.EndTime
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}
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// avoid rate limit
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time.Sleep(100 * time.Millisecond)
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}
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return allKLines, nil
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}
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