mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-14 19:13:52 +00:00
460 lines
12 KiB
Go
460 lines
12 KiB
Go
package max
|
|
|
|
import (
|
|
"context"
|
|
"fmt"
|
|
"math"
|
|
"time"
|
|
|
|
"github.com/google/uuid"
|
|
"github.com/pkg/errors"
|
|
"github.com/sirupsen/logrus"
|
|
|
|
maxapi "github.com/c9s/bbgo/pkg/exchange/max/maxapi"
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
"github.com/c9s/bbgo/pkg/util"
|
|
)
|
|
|
|
var log = logrus.WithField("exchange", "max")
|
|
|
|
type Exchange struct {
|
|
client *maxapi.RestClient
|
|
key, secret string
|
|
}
|
|
|
|
func New(key, secret string) *Exchange {
|
|
client := maxapi.NewRestClient(maxapi.ProductionAPIURL)
|
|
client.Auth(key, secret)
|
|
return &Exchange{
|
|
client: client,
|
|
key: key,
|
|
secret: secret,
|
|
}
|
|
}
|
|
|
|
func (e *Exchange) Name() types.ExchangeName {
|
|
return types.ExchangeMax
|
|
}
|
|
|
|
func (e *Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) {
|
|
log.Info("querying market info...")
|
|
|
|
remoteMarkets, err := e.client.PublicService.Markets()
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
markets := types.MarketMap{}
|
|
for _, m := range remoteMarkets {
|
|
symbol := toGlobalSymbol(m.ID)
|
|
|
|
market := types.Market{
|
|
Symbol: symbol,
|
|
PricePrecision: m.QuoteUnitPrecision,
|
|
VolumePrecision: m.BaseUnitPrecision,
|
|
QuoteCurrency: toGlobalCurrency(m.QuoteUnit),
|
|
BaseCurrency: toGlobalCurrency(m.BaseUnit),
|
|
MinNotional: m.MinQuoteAmount,
|
|
MinAmount: m.MinQuoteAmount,
|
|
MinLot: 1.0 / math.Pow10(m.BaseUnitPrecision), // make it like 0.0001
|
|
MinQuantity: m.MinBaseAmount,
|
|
MaxQuantity: 10000.0,
|
|
MinPrice: 1.0 / math.Pow10(m.QuoteUnitPrecision), // used in the price formatter
|
|
MaxPrice: 10000.0,
|
|
TickSize: 1.0 / math.Pow10(m.QuoteUnitPrecision),
|
|
}
|
|
|
|
markets[symbol] = market
|
|
}
|
|
|
|
return markets, nil
|
|
}
|
|
|
|
func (e *Exchange) NewStream() types.Stream {
|
|
return NewStream(e.key, e.secret)
|
|
}
|
|
|
|
func (e *Exchange) QueryOpenOrders(ctx context.Context, symbol string) (orders []types.Order, err error) {
|
|
maxOrders, err := e.client.OrderService.Open(toLocalSymbol(symbol), maxapi.QueryOrderOptions{})
|
|
if err != nil {
|
|
return orders, err
|
|
}
|
|
|
|
for _, maxOrder := range maxOrders {
|
|
order, err := toGlobalOrder(maxOrder)
|
|
if err != nil {
|
|
return orders, err
|
|
}
|
|
|
|
orders = append(orders, *order)
|
|
}
|
|
|
|
return orders, err
|
|
}
|
|
|
|
// lastOrderID is not supported on MAX
|
|
func (e *Exchange) QueryClosedOrders(ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64) (orders []types.Order, err error) {
|
|
numBatches := 5
|
|
limit := 1000 // max limit = 1000
|
|
offset := limit * numBatches
|
|
orderIDs := make(map[uint64]struct{}, limit*2)
|
|
|
|
for ; offset > 0; offset -= limit {
|
|
log.Infof("querying %s closed orders offset %d ~ ", symbol, offset)
|
|
|
|
maxOrders, err := e.client.OrderService.Closed(toLocalSymbol(symbol), maxapi.QueryOrderOptions{
|
|
Offset: offset,
|
|
Limit: limit,
|
|
})
|
|
if err != nil {
|
|
return orders, err
|
|
}
|
|
|
|
if len(maxOrders) == 0 {
|
|
break
|
|
}
|
|
|
|
for _, maxOrder := range maxOrders {
|
|
if maxOrder.CreatedAt.Before(since) {
|
|
continue
|
|
}
|
|
|
|
if maxOrder.CreatedAt.After(until) {
|
|
return orders, err
|
|
}
|
|
|
|
order, err := toGlobalOrder(maxOrder)
|
|
if err != nil {
|
|
return orders, err
|
|
}
|
|
|
|
if _, ok := orderIDs[order.OrderID]; ok {
|
|
log.Infof("skipping duplicated order: %d", order.OrderID)
|
|
}
|
|
|
|
orderIDs[order.OrderID] = struct{}{}
|
|
orders = append(orders, *order)
|
|
}
|
|
}
|
|
|
|
return orders, err
|
|
}
|
|
|
|
func (e *Exchange) CancelOrders(ctx context.Context, orders ...types.Order) (err2 error) {
|
|
for _, o := range orders {
|
|
var req = e.client.OrderService.NewOrderCancelRequest()
|
|
if o.OrderID > 0 {
|
|
req.ID(o.OrderID)
|
|
} else if len(o.ClientOrderID) > 0 {
|
|
req.ClientOrderID(o.ClientOrderID)
|
|
} else {
|
|
return fmt.Errorf("order id or client order id is not defined, order=%+v", o)
|
|
}
|
|
|
|
if err := req.Do(ctx); err != nil {
|
|
log.WithError(err).Errorf("order cancel error")
|
|
err2 = err
|
|
}
|
|
}
|
|
|
|
return err2
|
|
}
|
|
|
|
func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error) {
|
|
for _, order := range orders {
|
|
orderType, err := toLocalOrderType(order.Type)
|
|
if err != nil {
|
|
return createdOrders, err
|
|
}
|
|
|
|
req := e.client.OrderService.NewCreateOrderRequest().
|
|
Market(toLocalSymbol(order.Symbol)).
|
|
OrderType(string(orderType)).
|
|
Side(toLocalSideType(order.Side)).
|
|
Volume(order.QuantityString)
|
|
|
|
if len(order.ClientOrderID) > 0 {
|
|
req.ClientOrderID(order.ClientOrderID)
|
|
} else {
|
|
clientOrderID := uuid.New().String()
|
|
req.ClientOrderID(clientOrderID)
|
|
}
|
|
|
|
switch order.Type {
|
|
case types.OrderTypeStopLimit, types.OrderTypeStopMarket:
|
|
if len(order.StopPriceString) == 0 {
|
|
return createdOrders, fmt.Errorf("stop price string can not be empty")
|
|
}
|
|
|
|
req.StopPrice(order.StopPriceString)
|
|
}
|
|
|
|
if len(order.PriceString) > 0 {
|
|
req.Price(order.PriceString)
|
|
}
|
|
|
|
retOrder, err := req.Do(ctx)
|
|
if err != nil {
|
|
return createdOrders, err
|
|
}
|
|
if retOrder == nil {
|
|
return createdOrders, errors.New("returned nil order")
|
|
}
|
|
|
|
createdOrder, err := toGlobalOrder(*retOrder)
|
|
if err != nil {
|
|
return createdOrders, err
|
|
}
|
|
|
|
createdOrders = append(createdOrders, *createdOrder)
|
|
}
|
|
|
|
return createdOrders, err
|
|
}
|
|
|
|
// PlatformFeeCurrency
|
|
func (e *Exchange) PlatformFeeCurrency() string {
|
|
return toGlobalCurrency("max")
|
|
}
|
|
|
|
func (e *Exchange) QueryAccount(ctx context.Context) (*types.Account, error) {
|
|
userInfo, err := e.client.AccountService.Me()
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
var balances = make(types.BalanceMap)
|
|
for _, a := range userInfo.Accounts {
|
|
balances[toGlobalCurrency(a.Currency)] = types.Balance{
|
|
Currency: toGlobalCurrency(a.Currency),
|
|
Available: fixedpoint.Must(fixedpoint.NewFromString(a.Balance)),
|
|
Locked: fixedpoint.Must(fixedpoint.NewFromString(a.Locked)),
|
|
}
|
|
}
|
|
|
|
a := &types.Account{
|
|
MakerCommission: 15, // 0.15%
|
|
TakerCommission: 15, // 0.15%
|
|
}
|
|
|
|
a.UpdateBalances(balances)
|
|
return a, nil
|
|
}
|
|
|
|
func (e *Exchange) QueryWithdrawHistory(ctx context.Context, asset string, since, until time.Time) (allWithdraws []types.Withdraw, err error) {
|
|
startTime := since
|
|
txIDs := map[string]struct{}{}
|
|
|
|
for startTime.Before(until) {
|
|
// startTime ~ endTime must be in 90 days
|
|
endTime := startTime.AddDate(0, 0, 60)
|
|
if endTime.After(until) {
|
|
endTime = until
|
|
}
|
|
|
|
log.Infof("querying withdraw %s: %s <=> %s", asset, startTime, endTime)
|
|
req := e.client.AccountService.NewGetWithdrawalHistoryRequest()
|
|
if len(asset) > 0 {
|
|
req.Currency(toLocalCurrency(asset))
|
|
}
|
|
|
|
withdraws, err := req.
|
|
From(startTime.Unix()).
|
|
To(endTime.Unix()).
|
|
Do(ctx)
|
|
|
|
if err != nil {
|
|
return allWithdraws, err
|
|
}
|
|
|
|
for _, d := range withdraws {
|
|
if _, ok := txIDs[d.TxID]; ok {
|
|
continue
|
|
}
|
|
|
|
// we can convert this later
|
|
status := d.State
|
|
switch d.State {
|
|
|
|
case "confirmed":
|
|
status = "completed" // make it compatible with binance
|
|
|
|
case "submitting", "submitted", "accepted",
|
|
"rejected", "suspect", "approved", "delisted_processing",
|
|
"processing", "retryable", "sent", "canceled",
|
|
"failed", "pending",
|
|
"kgi_manually_processing", "kgi_manually_confirmed", "kgi_possible_failed",
|
|
"sygna_verifying":
|
|
|
|
default:
|
|
status = d.State
|
|
|
|
}
|
|
|
|
txIDs[d.TxID] = struct{}{}
|
|
allWithdraws = append(allWithdraws, types.Withdraw{
|
|
ApplyTime: time.Unix(d.CreatedAt, 0),
|
|
Asset: toGlobalCurrency(d.Currency),
|
|
Amount: util.MustParseFloat(d.Amount),
|
|
Address: "",
|
|
AddressTag: "",
|
|
TransactionID: d.TxID,
|
|
TransactionFee: util.MustParseFloat(d.Fee),
|
|
// WithdrawOrderID: d.WithdrawOrderID,
|
|
// Network: d.Network,
|
|
Status: status,
|
|
})
|
|
}
|
|
|
|
startTime = endTime
|
|
}
|
|
|
|
return allWithdraws, nil
|
|
}
|
|
|
|
func (e *Exchange) QueryDepositHistory(ctx context.Context, asset string, since, until time.Time) (allDeposits []types.Deposit, err error) {
|
|
startTime := since
|
|
txIDs := map[string]struct{}{}
|
|
for startTime.Before(until) {
|
|
// startTime ~ endTime must be in 90 days
|
|
endTime := startTime.AddDate(0, 0, 60)
|
|
if endTime.After(until) {
|
|
endTime = until
|
|
}
|
|
|
|
log.Infof("querying deposit history %s: %s <=> %s", asset, startTime, endTime)
|
|
req := e.client.AccountService.NewGetDepositHistoryRequest()
|
|
if len(asset) > 0 {
|
|
req.Currency(toLocalCurrency(asset))
|
|
}
|
|
|
|
deposits, err := req.
|
|
From(startTime.Unix()).
|
|
To(endTime.Unix()).Do(ctx)
|
|
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
for _, d := range deposits {
|
|
if _, ok := txIDs[d.TxID]; ok {
|
|
continue
|
|
}
|
|
|
|
allDeposits = append(allDeposits, types.Deposit{
|
|
Time: time.Unix(d.CreatedAt, 0),
|
|
Amount: util.MustParseFloat(d.Amount),
|
|
Asset: toGlobalCurrency(d.Currency),
|
|
Address: "", // not supported
|
|
AddressTag: "", // not supported
|
|
TransactionID: d.TxID,
|
|
Status: toGlobalDepositStatus(d.State),
|
|
})
|
|
}
|
|
|
|
startTime = endTime
|
|
}
|
|
|
|
return allDeposits, err
|
|
}
|
|
|
|
func (e *Exchange) QueryAccountBalances(ctx context.Context) (types.BalanceMap, error) {
|
|
accounts, err := e.client.AccountService.Accounts()
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
var balances = make(types.BalanceMap)
|
|
|
|
for _, a := range accounts {
|
|
balances[toGlobalCurrency(a.Currency)] = types.Balance{
|
|
Currency: toGlobalCurrency(a.Currency),
|
|
Available: fixedpoint.Must(fixedpoint.NewFromString(a.Balance)),
|
|
Locked: fixedpoint.Must(fixedpoint.NewFromString(a.Locked)),
|
|
}
|
|
}
|
|
|
|
return balances, nil
|
|
}
|
|
|
|
func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) (trades []types.Trade, err error) {
|
|
req := e.client.TradeService.NewPrivateTradeRequest()
|
|
req.Market(toLocalSymbol(symbol))
|
|
|
|
if options.Limit > 0 {
|
|
req.Limit(options.Limit)
|
|
}
|
|
|
|
if options.LastTradeID > 0 {
|
|
req.From(options.LastTradeID)
|
|
}
|
|
|
|
// make it compatible with binance, we need the last trade id for the next page.
|
|
req.OrderBy("asc")
|
|
|
|
remoteTrades, err := req.Do(ctx)
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
for _, t := range remoteTrades {
|
|
localTrade, err := toGlobalTrade(t)
|
|
if err != nil {
|
|
logger.WithError(err).Errorf("can not convert trade: %+v", t)
|
|
continue
|
|
}
|
|
|
|
logger.Infof("T: id=%d % 4s %s P=%f Q=%f %s", localTrade.ID, localTrade.Symbol, localTrade.Side, localTrade.Price, localTrade.Quantity, localTrade.Time)
|
|
|
|
trades = append(trades, *localTrade)
|
|
}
|
|
|
|
return trades, nil
|
|
}
|
|
|
|
func (e *Exchange) QueryKLines(ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions) ([]types.KLine, error) {
|
|
var limit = 5000
|
|
if options.Limit > 0 {
|
|
// default limit == 500
|
|
limit = options.Limit
|
|
}
|
|
|
|
// workaround for the kline query, because MAX does not support query by end time
|
|
// so we need to use the given end time and the limit number to calculate the start time
|
|
if options.EndTime != nil && options.StartTime == nil {
|
|
startTime := options.EndTime.Add(- time.Duration(limit) * interval.Duration())
|
|
options.StartTime = &startTime
|
|
}
|
|
|
|
if options.StartTime == nil {
|
|
return nil, errors.New("start time can not be empty")
|
|
}
|
|
|
|
log.Infof("querying kline %s %s %+v", symbol, interval, options)
|
|
|
|
// avoid rate limit
|
|
time.Sleep(100 * time.Millisecond)
|
|
|
|
localKLines, err := e.client.PublicService.KLines(toLocalSymbol(symbol), string(interval), *options.StartTime, limit)
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
var kLines []types.KLine
|
|
for _, k := range localKLines {
|
|
kLines = append(kLines, k.KLine())
|
|
}
|
|
|
|
return kLines, nil
|
|
}
|
|
|
|
func (e *Exchange) QueryAveragePrice(ctx context.Context, symbol string) (float64, error) {
|
|
ticker, err := e.client.PublicService.Ticker(toLocalSymbol(symbol))
|
|
if err != nil {
|
|
return 0, err
|
|
}
|
|
|
|
return (util.MustParseFloat(ticker.Sell) + util.MustParseFloat(ticker.Buy)) / 2, nil
|
|
}
|