-
-
Notifications
You must be signed in to change notification settings - Fork 276
/
convert.go
249 lines (215 loc) · 6.69 KB
/
convert.go
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
package ftx
import (
"fmt"
"strings"
"time"
log "github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/exchange/ftx/ftxapi"
"github.com/c9s/bbgo/pkg/types"
)
func toGlobalCurrency(original string) string {
return TrimUpperString(original)
}
func toGlobalSymbol(original string) string {
return strings.ReplaceAll(TrimUpperString(original), "/", "")
}
func toLocalSymbol(original string) string {
if symbolMap[original] == "" {
return original
}
return symbolMap[original]
}
func TrimUpperString(original string) string {
return strings.ToUpper(strings.TrimSpace(original))
}
func TrimLowerString(original string) string {
return strings.ToLower(strings.TrimSpace(original))
}
var errUnsupportedOrderStatus = fmt.Errorf("unsupported order status")
func toGlobalOrderNew(r ftxapi.Order) (types.Order, error) {
// In exchange/max/convert.go, it only parses these fields.
timeInForce := types.TimeInForceGTC
if r.Ioc {
timeInForce = types.TimeInForceIOC
}
// order type definition: https://github.com/ftexchange/ftx/blob/master/rest/client.py#L122
orderType := types.OrderType(TrimUpperString(string(r.Type)))
if orderType == types.OrderTypeLimit && r.PostOnly {
orderType = types.OrderTypeLimitMaker
}
o := types.Order{
SubmitOrder: types.SubmitOrder{
ClientOrderID: r.ClientId,
Symbol: toGlobalSymbol(r.Market),
Side: types.SideType(TrimUpperString(string(r.Side))),
Type: orderType,
Quantity: r.Size,
Price: r.Price,
TimeInForce: timeInForce,
},
Exchange: types.ExchangeFTX,
IsWorking: r.Status == ftxapi.OrderStatusOpen || r.Status == ftxapi.OrderStatusNew,
OrderID: uint64(r.Id),
Status: "",
ExecutedQuantity: r.FilledSize,
CreationTime: types.Time(r.CreatedAt),
UpdateTime: types.Time(r.CreatedAt),
}
s, err := toGlobalOrderStatus(r, r.Status)
o.Status = s
return o, err
}
func toGlobalOrderStatus(o ftxapi.Order, s ftxapi.OrderStatus) (types.OrderStatus, error) {
switch s {
case ftxapi.OrderStatusNew:
return types.OrderStatusNew, nil
case ftxapi.OrderStatusOpen:
if !o.FilledSize.IsZero() {
return types.OrderStatusPartiallyFilled, nil
} else {
return types.OrderStatusNew, nil
}
case ftxapi.OrderStatusClosed:
// filled or canceled
if o.FilledSize == o.Size {
return types.OrderStatusFilled, nil
} else {
// can't distinguish it's canceled or rejected from order response, so always set to canceled
return types.OrderStatusCanceled, nil
}
}
return "", fmt.Errorf("unsupported ftx order status %s: %w", s, errUnsupportedOrderStatus)
}
func toGlobalOrder(r order) (types.Order, error) {
// In exchange/max/convert.go, it only parses these fields.
timeInForce := types.TimeInForceGTC
if r.Ioc {
timeInForce = types.TimeInForceIOC
}
// order type definition: https://github.com/ftexchange/ftx/blob/master/rest/client.py#L122
orderType := types.OrderType(TrimUpperString(r.Type))
if orderType == types.OrderTypeLimit && r.PostOnly {
orderType = types.OrderTypeLimitMaker
}
o := types.Order{
SubmitOrder: types.SubmitOrder{
ClientOrderID: r.ClientId,
Symbol: toGlobalSymbol(r.Market),
Side: types.SideType(TrimUpperString(r.Side)),
Type: orderType,
Quantity: r.Size,
Price: r.Price,
TimeInForce: timeInForce,
},
Exchange: types.ExchangeFTX,
IsWorking: r.Status == "open",
OrderID: uint64(r.ID),
Status: "",
ExecutedQuantity: r.FilledSize,
CreationTime: types.Time(r.CreatedAt.Time),
UpdateTime: types.Time(r.CreatedAt.Time),
}
// `new` (accepted but not processed yet), `open`, or `closed` (filled or cancelled)
switch r.Status {
case "new":
o.Status = types.OrderStatusNew
case "open":
if !o.ExecutedQuantity.IsZero() {
o.Status = types.OrderStatusPartiallyFilled
} else {
o.Status = types.OrderStatusNew
}
case "closed":
// filled or canceled
if o.Quantity == o.ExecutedQuantity {
o.Status = types.OrderStatusFilled
} else {
// can't distinguish it's canceled or rejected from order response, so always set to canceled
o.Status = types.OrderStatusCanceled
}
default:
return types.Order{}, fmt.Errorf("unsupported status %s: %w", r.Status, errUnsupportedOrderStatus)
}
return o, nil
}
func toGlobalDeposit(input depositHistory) (types.Deposit, error) {
s, err := toGlobalDepositStatus(input.Status)
if err != nil {
log.WithError(err).Warnf("assign empty string to the deposit status")
}
t := input.Time
if input.ConfirmedTime.Time != (time.Time{}) {
t = input.ConfirmedTime
}
d := types.Deposit{
GID: 0,
Exchange: types.ExchangeFTX,
Time: types.Time(t.Time),
Amount: input.Size,
Asset: toGlobalCurrency(input.Coin),
TransactionID: input.TxID,
Status: s,
Address: input.Address.Address,
AddressTag: input.Address.Tag,
}
return d, nil
}
func toGlobalDepositStatus(input string) (types.DepositStatus, error) {
// The document only list `confirmed` status
switch input {
case "confirmed", "complete":
return types.DepositSuccess, nil
}
return "", fmt.Errorf("unsupported status %s", input)
}
func toGlobalTrade(f ftxapi.Fill) (types.Trade, error) {
return types.Trade{
ID: f.TradeId,
OrderID: f.OrderId,
Exchange: types.ExchangeFTX,
Price: f.Price,
Quantity: f.Size,
QuoteQuantity: f.Price.Mul(f.Size),
Symbol: toGlobalSymbol(f.Market),
Side: types.SideType(strings.ToUpper(string(f.Side))),
IsBuyer: f.Side == ftxapi.SideBuy,
IsMaker: f.Liquidity == ftxapi.LiquidityMaker,
Time: types.Time(f.Time),
Fee: f.Fee,
FeeCurrency: f.FeeCurrency,
IsMargin: false,
IsIsolated: false,
IsFutures: f.Future != "",
}, nil
}
func toGlobalKLine(symbol string, interval types.Interval, h Candle) (types.KLine, error) {
return types.KLine{
Exchange: types.ExchangeFTX,
Symbol: toGlobalSymbol(symbol),
StartTime: types.Time(h.StartTime.Time),
EndTime: types.Time(h.StartTime.Add(interval.Duration())),
Interval: interval,
Open: h.Open,
Close: h.Close,
High: h.High,
Low: h.Low,
Volume: h.Volume,
Closed: true,
}, nil
}
type OrderType string
const (
OrderTypeLimit OrderType = "limit"
OrderTypeMarket OrderType = "market"
)
func toLocalOrderType(orderType types.OrderType) (ftxapi.OrderType, error) {
switch orderType {
case types.OrderTypeLimitMaker:
return ftxapi.OrderTypeLimit, nil
case types.OrderTypeLimit:
return ftxapi.OrderTypeLimit, nil
case types.OrderTypeMarket:
return ftxapi.OrderTypeMarket, nil
}
return "", fmt.Errorf("order type %s not supported", orderType)
}