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333 lines
10 KiB
Go
333 lines
10 KiB
Go
package binance
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import (
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"fmt"
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"strings"
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"time"
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"github.com/adshao/go-binance/v2"
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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 toGlobalMarket(symbol binance.Symbol) types.Market {
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market := types.Market{
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Symbol: symbol.Symbol,
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LocalSymbol: 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 = fixedpoint.MustNewFromString(f.MinNotional)
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market.MinAmount = fixedpoint.MustNewFromString(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.MinQuantity = fixedpoint.MustNewFromString(f.MinQuantity)
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market.MaxQuantity = fixedpoint.MustNewFromString(f.MaxQuantity)
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market.StepSize = fixedpoint.MustNewFromString(f.StepSize)
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}
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if f := symbol.PriceFilter(); f != nil {
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market.MaxPrice = fixedpoint.MustNewFromString(f.MaxPrice)
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market.MinPrice = fixedpoint.MustNewFromString(f.MinPrice)
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market.TickSize = fixedpoint.MustNewFromString(f.TickSize)
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}
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return market
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}
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// TODO: Cuz it returns types.Market as well, merge following to the above function
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func toGlobalFuturesMarket(symbol futures.Symbol) types.Market {
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market := types.Market{
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Symbol: symbol.Symbol,
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LocalSymbol: 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 = fixedpoint.MustNewFromString(f.Notional)
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market.MinAmount = fixedpoint.MustNewFromString(f.Notional)
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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.MinQuantity = fixedpoint.MustNewFromString(f.MinQuantity)
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market.MaxQuantity = fixedpoint.MustNewFromString(f.MaxQuantity)
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market.StepSize = fixedpoint.MustNewFromString(f.StepSize)
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}
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if f := symbol.PriceFilter(); f != nil {
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market.MaxPrice = fixedpoint.MustNewFromString(f.MaxPrice)
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market.MinPrice = fixedpoint.MustNewFromString(f.MinPrice)
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market.TickSize = fixedpoint.MustNewFromString(f.TickSize)
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}
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return market
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}
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// func toGlobalIsolatedMarginAccount(account *binance.IsolatedMarginAccount) *types.IsolatedMarginAccount {
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// return &types.IsolatedMarginAccount{
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// TotalAssetOfBTC: fixedpoint.MustNewFromString(account.TotalNetAssetOfBTC),
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// TotalLiabilityOfBTC: fixedpoint.MustNewFromString(account.TotalLiabilityOfBTC),
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// TotalNetAssetOfBTC: fixedpoint.MustNewFromString(account.TotalNetAssetOfBTC),
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// Assets: toGlobalIsolatedMarginAssets(account.Assets),
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// }
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// }
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func toGlobalTicker(stats *binance.PriceChangeStats) (*types.Ticker, error) {
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return &types.Ticker{
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Volume: fixedpoint.MustNewFromString(stats.Volume),
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Last: fixedpoint.MustNewFromString(stats.LastPrice),
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Open: fixedpoint.MustNewFromString(stats.OpenPrice),
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High: fixedpoint.MustNewFromString(stats.HighPrice),
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Low: fixedpoint.MustNewFromString(stats.LowPrice),
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Buy: fixedpoint.MustNewFromString(stats.BidPrice),
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Sell: fixedpoint.MustNewFromString(stats.AskPrice),
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Time: time.Unix(0, stats.CloseTime*int64(time.Millisecond)),
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}, nil
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}
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func toGlobalFuturesTicker(stats *futures.PriceChangeStats) (*types.Ticker, error) {
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return &types.Ticker{
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Volume: fixedpoint.MustNewFromString(stats.Volume),
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Last: fixedpoint.MustNewFromString(stats.LastPrice),
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Open: fixedpoint.MustNewFromString(stats.OpenPrice),
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High: fixedpoint.MustNewFromString(stats.HighPrice),
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Low: fixedpoint.MustNewFromString(stats.LowPrice),
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Buy: fixedpoint.MustNewFromString(stats.LastPrice),
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Sell: fixedpoint.MustNewFromString(stats.LastPrice),
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Time: time.Unix(0, stats.CloseTime*int64(time.Millisecond)),
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}, nil
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}
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func toLocalOrderType(orderType types.OrderType) (binance.OrderType, error) {
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switch orderType {
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case types.OrderTypeLimitMaker:
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return binance.OrderTypeLimitMaker, nil
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case types.OrderTypeLimit:
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return binance.OrderTypeLimit, nil
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case types.OrderTypeStopLimit:
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return binance.OrderTypeStopLossLimit, nil
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case types.OrderTypeStopMarket:
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return binance.OrderTypeStopLoss, nil
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case types.OrderTypeMarket:
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return binance.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 toGlobalOrders(binanceOrders []*binance.Order, isMargin bool) (orders []types.Order, err error) {
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for _, binanceOrder := range binanceOrders {
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order, err := toGlobalOrder(binanceOrder, isMargin)
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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 toGlobalOrder(binanceOrder *binance.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: binanceOrder.ClientOrderID,
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Symbol: binanceOrder.Symbol,
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Side: toGlobalSideType(binanceOrder.Side),
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Type: toGlobalOrderType(binanceOrder.Type),
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Quantity: fixedpoint.MustNewFromString(binanceOrder.OrigQuantity),
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Price: fixedpoint.MustNewFromString(binanceOrder.Price),
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TimeInForce: types.TimeInForce(binanceOrder.TimeInForce),
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},
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Exchange: types.ExchangeBinance,
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IsWorking: binanceOrder.IsWorking,
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OrderID: uint64(binanceOrder.OrderID),
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Status: toGlobalOrderStatus(binanceOrder.Status),
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ExecutedQuantity: fixedpoint.MustNewFromString(binanceOrder.ExecutedQuantity),
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CreationTime: types.Time(millisecondTime(binanceOrder.Time)),
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UpdateTime: types.Time(millisecondTime(binanceOrder.UpdateTime)),
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IsMargin: isMargin,
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IsIsolated: binanceOrder.IsIsolated,
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}, nil
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}
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func millisecondTime(t int64) time.Time {
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return time.Unix(0, t*int64(time.Millisecond))
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}
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func toGlobalTrade(t binance.TradeV3, isMargin bool) (*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.IsBuyer {
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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.IsBuyer,
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IsMaker: t.IsMaker,
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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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IsMargin: isMargin,
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IsIsolated: t.IsIsolated,
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}, nil
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}
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func toGlobalSideType(side binance.SideType) types.SideType {
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switch side {
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case binance.SideTypeBuy:
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return types.SideTypeBuy
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case binance.SideTypeSell:
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return types.SideTypeSell
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default:
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log.Errorf("can not convert binance 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 toGlobalOrderType(orderType binance.OrderType) types.OrderType {
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switch orderType {
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case binance.OrderTypeLimit,
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binance.OrderTypeLimitMaker, binance.OrderTypeTakeProfitLimit:
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return types.OrderTypeLimit
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case binance.OrderTypeMarket:
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return types.OrderTypeMarket
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case binance.OrderTypeStopLossLimit:
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return types.OrderTypeStopLimit
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case binance.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 toGlobalOrderStatus(orderStatus binance.OrderStatusType) types.OrderStatus {
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switch orderStatus {
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case binance.OrderStatusTypeNew:
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return types.OrderStatusNew
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case binance.OrderStatusTypeRejected:
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return types.OrderStatusRejected
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case binance.OrderStatusTypeCanceled, binance.OrderStatusTypeExpired, binance.OrderStatusTypePendingCancel:
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return types.OrderStatusCanceled
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case binance.OrderStatusTypePartiallyFilled:
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return types.OrderStatusPartiallyFilled
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case binance.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 convertSubscription(s types.Subscription) string {
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// binance uses lower case symbol name,
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// for kline, it's "<symbol>@kline_<interval>"
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// for depth, it's "<symbol>@depth OR <symbol>@depth@100ms"
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switch s.Channel {
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case types.KLineChannel:
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return fmt.Sprintf("%s@%s_%s", strings.ToLower(s.Symbol), s.Channel, s.Options.String())
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case types.BookChannel:
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// depth values: 5, 10, 20
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// Stream Names: <symbol>@depth<levels> OR <symbol>@depth<levels>@100ms.
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// Update speed: 1000ms or 100ms
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n := strings.ToLower(s.Symbol) + "@depth"
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switch s.Options.Depth {
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case types.DepthLevel5:
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n += "5"
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case types.DepthLevelMedium:
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n += "20"
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case types.DepthLevelFull:
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default:
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}
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switch s.Options.Speed {
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case types.SpeedHigh:
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n += "@100ms"
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case types.SpeedLow:
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n += "@1000ms"
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}
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return n
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case types.BookTickerChannel:
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return fmt.Sprintf("%s@bookTicker", strings.ToLower(s.Symbol))
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}
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return fmt.Sprintf("%s@%s", strings.ToLower(s.Symbol), s.Channel)
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}
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