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exchange.go
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exchange.go
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package ftx
import (
"context"
"fmt"
"net/http"
"net/url"
"sort"
"strconv"
"strings"
"time"
"golang.org/x/time/rate"
"github.com/google/uuid"
"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/exchange/ftx/ftxapi"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
const (
restEndpoint = "https://ftx.com"
defaultHTTPTimeout = 15 * time.Second
)
var logger = logrus.WithField("exchange", "ftx")
// POST https://ftx.com/api/orders 429, Success: false, err: Do not send more than 2 orders on this market per 200ms
var requestLimit = rate.NewLimiter(rate.Every(220*time.Millisecond), 2)
var marketDataLimiter = rate.NewLimiter(rate.Every(500*time.Millisecond), 2)
//go:generate go run generate_symbol_map.go
type Exchange struct {
client *ftxapi.RestClient
key, secret string
subAccount string
restEndpoint *url.URL
orderAmountReduceFactor fixedpoint.Value
}
type MarketTicker struct {
Market types.Market
Price fixedpoint.Value
Ask fixedpoint.Value
Bid fixedpoint.Value
Last fixedpoint.Value
}
type MarketMap map[string]MarketTicker
// FTX does not have broker ID
const spotBrokerID = "BBGO"
func newSpotClientOrderID(originalID string) (clientOrderID string) {
prefix := "x-" + spotBrokerID
prefixLen := len(prefix)
if originalID != "" {
// try to keep the whole original client order ID if user specifies it.
if prefixLen+len(originalID) > 32 {
return originalID
}
clientOrderID = prefix + originalID
return clientOrderID
}
clientOrderID = uuid.New().String()
clientOrderID = prefix + clientOrderID
if len(clientOrderID) > 32 {
return clientOrderID[0:32]
}
return clientOrderID
}
func NewExchange(key, secret string, subAccount string) *Exchange {
u, err := url.Parse(restEndpoint)
if err != nil {
panic(err)
}
client := ftxapi.NewClient()
client.Auth(key, secret, subAccount)
return &Exchange{
client: client,
restEndpoint: u,
key: key,
// pragma: allowlist nextline secret
secret: secret,
subAccount: subAccount,
orderAmountReduceFactor: fixedpoint.One,
}
}
func (e *Exchange) newRest() *restRequest {
r := newRestRequest(&http.Client{Timeout: defaultHTTPTimeout}, e.restEndpoint).Auth(e.key, e.secret)
if len(e.subAccount) > 0 {
r.SubAccount(e.subAccount)
}
return r
}
func (e *Exchange) Name() types.ExchangeName {
return types.ExchangeFTX
}
func (e *Exchange) PlatformFeeCurrency() string {
return toGlobalCurrency("FTT")
}
func (e *Exchange) NewStream() types.Stream {
return NewStream(e.key, e.secret, e.subAccount, e)
}
func (e *Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) {
markets, err := e._queryMarkets(ctx)
if err != nil {
return nil, err
}
marketMap := types.MarketMap{}
for k, v := range markets {
marketMap[k] = v.Market
}
return marketMap, nil
}
func (e *Exchange) _queryMarkets(ctx context.Context) (MarketMap, error) {
req := e.client.NewGetMarketsRequest()
ftxMarkets, err := req.Do(ctx)
if err != nil {
return nil, err
}
markets := MarketMap{}
for _, m := range ftxMarkets {
symbol := toGlobalSymbol(m.Name)
symbolMap[symbol] = m.Name
mkt2 := MarketTicker{
Market: types.Market{
Symbol: symbol,
LocalSymbol: m.Name,
// The max precision is length(DefaultPow). For example, currently fixedpoint.DefaultPow
// is 1e8, so the max precision will be 8.
PricePrecision: m.PriceIncrement.NumFractionalDigits(),
VolumePrecision: m.SizeIncrement.NumFractionalDigits(),
QuoteCurrency: toGlobalCurrency(m.QuoteCurrency),
BaseCurrency: toGlobalCurrency(m.BaseCurrency),
// FTX only limit your order by `MinProvideSize`, so I assign zero value to unsupported fields:
// MinNotional, MinAmount, MaxQuantity, MinPrice and MaxPrice.
MinNotional: fixedpoint.Zero,
MinAmount: fixedpoint.Zero,
MinQuantity: m.MinProvideSize,
MaxQuantity: fixedpoint.Zero,
StepSize: m.SizeIncrement,
MinPrice: fixedpoint.Zero,
MaxPrice: fixedpoint.Zero,
TickSize: m.PriceIncrement,
},
Price: m.Price,
Bid: m.Bid,
Ask: m.Ask,
Last: m.Last,
}
markets[symbol] = mkt2
}
return markets, nil
}
func (e *Exchange) QueryAccount(ctx context.Context) (*types.Account, error) {
req := e.client.NewGetAccountRequest()
ftxAccount, err := req.Do(ctx)
if err != nil {
return nil, err
}
a := &types.Account{
TotalAccountValue: ftxAccount.TotalAccountValue,
}
balances, err := e.QueryAccountBalances(ctx)
if err != nil {
return nil, err
}
a.UpdateBalances(balances)
return a, nil
}
func (e *Exchange) QueryAccountBalances(ctx context.Context) (types.BalanceMap, error) {
balanceReq := e.client.NewGetBalancesRequest()
ftxBalances, err := balanceReq.Do(ctx)
if err != nil {
return nil, err
}
var balances = make(types.BalanceMap)
for _, r := range ftxBalances {
currency := toGlobalCurrency(r.Coin)
balances[currency] = types.Balance{
Currency: currency,
Available: r.Free,
Locked: r.Total.Sub(r.Free),
}
}
return balances, nil
}
// DefaultFeeRates returns the FTX Tier 1 fee
// See also https://help.ftx.com/hc/en-us/articles/360024479432-Fees
func (e *Exchange) DefaultFeeRates() types.ExchangeFee {
return types.ExchangeFee{
MakerFeeRate: fixedpoint.NewFromFloat(0.01 * 0.020), // 0.020%
TakerFeeRate: fixedpoint.NewFromFloat(0.01 * 0.070), // 0.070%
}
}
// SetModifyOrderAmountForFee protects the limit buy orders by reducing amount with taker fee.
// The amount is recalculated before submit: submit_amount = original_amount / (1 + taker_fee_rate) .
// This prevents balance exceeding error while closing position without spot margin enabled.
func (e *Exchange) SetModifyOrderAmountForFee(feeRate types.ExchangeFee) {
e.orderAmountReduceFactor = fixedpoint.One.Add(feeRate.TakerFeeRate)
}
// resolution field in api
// window length in seconds. options: 15, 60, 300, 900, 3600, 14400, 86400, or any multiple of 86400 up to 30*86400
var supportedIntervals = map[types.Interval]int{
types.Interval1m: 1,
types.Interval5m: 5,
types.Interval15m: 15,
types.Interval1h: 60,
types.Interval4h: 60 * 4,
types.Interval1d: 60 * 24,
types.Interval3d: 60 * 24 * 3,
}
func (e *Exchange) SupportedInterval() map[types.Interval]int {
return supportedIntervals
}
func (e *Exchange) IsSupportedInterval(interval types.Interval) bool {
return isIntervalSupportedInKLine(interval)
}
func (e *Exchange) QueryKLines(ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions) ([]types.KLine, error) {
var klines []types.KLine
// the fetch result is from newest to oldest
// currentEnd = until
// endTime := currentEnd.Add(interval.Duration())
klines, err := e._queryKLines(ctx, symbol, interval, options)
if err != nil {
return nil, err
}
klines = types.SortKLinesAscending(klines)
return klines, nil
}
func (e *Exchange) _queryKLines(ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions) ([]types.KLine, error) {
if !isIntervalSupportedInKLine(interval) {
return nil, fmt.Errorf("interval %s is not supported", interval.String())
}
if err := marketDataLimiter.Wait(ctx); err != nil {
return nil, err
}
// assign limit to a default value since ftx has the limit
if options.Limit == 0 {
options.Limit = 500
}
// if the time range exceed the ftx valid time range, we need to adjust the endTime
if options.StartTime != nil && options.EndTime != nil {
rangeDuration := options.EndTime.Sub(*options.StartTime)
estimatedCount := rangeDuration / interval.Duration()
if options.Limit != 0 && uint64(estimatedCount) > uint64(options.Limit) {
endTime := options.StartTime.Add(interval.Duration() * time.Duration(options.Limit))
options.EndTime = &endTime
}
}
resp, err := e.newRest().HistoricalPrices(ctx, toLocalSymbol(symbol), interval, int64(options.Limit), options.StartTime, options.EndTime)
if err != nil {
return nil, err
}
if !resp.Success {
return nil, fmt.Errorf("ftx returns failure")
}
var klines []types.KLine
for _, r := range resp.Result {
globalKline, err := toGlobalKLine(symbol, interval, r)
if err != nil {
return nil, err
}
klines = append(klines, globalKline)
}
return klines, nil
}
func isIntervalSupportedInKLine(interval types.Interval) bool {
_, ok := supportedIntervals[interval]
return ok
}
func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) ([]types.Trade, error) {
tradeIDs := make(map[uint64]struct{})
lastTradeID := options.LastTradeID
req := e.client.NewGetFillsRequest()
req.Market(toLocalSymbol(symbol))
if options.StartTime != nil {
req.StartTime(*options.StartTime)
} else if options.EndTime != nil {
req.EndTime(*options.EndTime)
}
req.Order("asc")
fills, err := req.Do(ctx)
if err != nil {
return nil, err
}
sort.Slice(fills, func(i, j int) bool {
return fills[i].Time.Before(fills[j].Time)
})
var trades []types.Trade
symbol = strings.ToUpper(symbol)
for _, fill := range fills {
if _, ok := tradeIDs[fill.TradeId]; ok {
continue
}
if options.StartTime != nil && fill.Time.Before(*options.StartTime) {
continue
}
if options.EndTime != nil && fill.Time.After(*options.EndTime) {
continue
}
if fill.TradeId <= lastTradeID {
continue
}
tradeIDs[fill.TradeId] = struct{}{}
lastTradeID = fill.TradeId
t, err := toGlobalTrade(fill)
if err != nil {
return nil, err
}
trades = append(trades, t)
}
return trades, nil
}
func (e *Exchange) QueryDepositHistory(ctx context.Context, asset string, since, until time.Time) (allDeposits []types.Deposit, err error) {
if until == (time.Time{}) {
until = time.Now()
}
if since.After(until) {
return nil, fmt.Errorf("invalid query deposit history time range, since: %+v, until: %+v", since, until)
}
asset = TrimUpperString(asset)
resp, err := e.newRest().DepositHistory(ctx, since, until, 0)
if err != nil {
return nil, err
}
if !resp.Success {
return nil, fmt.Errorf("ftx returns failure")
}
sort.Slice(resp.Result, func(i, j int) bool {
return resp.Result[i].Time.Before(resp.Result[j].Time.Time)
})
for _, r := range resp.Result {
d, err := toGlobalDeposit(r)
if err != nil {
return nil, err
}
if d.Asset == asset && !since.After(d.Time.Time()) && !until.Before(d.Time.Time()) {
allDeposits = append(allDeposits, d)
}
}
return
}
func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (types.OrderSlice, error) {
var createdOrders types.OrderSlice
// TODO: currently only support limit and market order
// TODO: support time in force
for _, so := range orders {
if err := requestLimit.Wait(ctx); err != nil {
logrus.WithError(err).Error("rate limit error")
}
orderType, err := toLocalOrderType(so.Type)
if err != nil {
logrus.WithError(err).Error("type error")
}
submitQuantity := so.Quantity
switch orderType {
case ftxapi.OrderTypeLimit, ftxapi.OrderTypeStopLimit:
submitQuantity = so.Quantity.Div(e.orderAmountReduceFactor)
}
req := e.client.NewPlaceOrderRequest()
req.Market(toLocalSymbol(TrimUpperString(so.Symbol)))
req.OrderType(orderType)
req.Side(ftxapi.Side(TrimLowerString(string(so.Side))))
req.Size(submitQuantity)
switch so.Type {
case types.OrderTypeLimit, types.OrderTypeLimitMaker:
req.Price(so.Price)
}
if so.Type == types.OrderTypeLimitMaker {
req.PostOnly(true)
}
if so.TimeInForce == types.TimeInForceIOC {
req.Ioc(true)
}
req.ClientID(newSpotClientOrderID(so.ClientOrderID))
or, err := req.Do(ctx)
if err != nil {
return createdOrders, fmt.Errorf("failed to place order %+v: %w", so, err)
}
globalOrder, err := toGlobalOrderNew(*or)
if err != nil {
return createdOrders, fmt.Errorf("failed to convert response to global order")
}
createdOrders = append(createdOrders, globalOrder)
}
return createdOrders, nil
}
func (e *Exchange) QueryOrder(ctx context.Context, q types.OrderQuery) (*types.Order, error) {
orderID, err := strconv.ParseInt(q.OrderID, 10, 64)
if err != nil {
return nil, err
}
req := e.client.NewGetOrderStatusRequest(uint64(orderID))
ftxOrder, err := req.Do(ctx)
if err != nil {
return nil, err
}
order, err := toGlobalOrderNew(*ftxOrder)
return &order, err
}
func (e *Exchange) QueryOpenOrders(ctx context.Context, symbol string) (orders []types.Order, err error) {
// TODO: invoke open trigger orders
req := e.client.NewGetOpenOrdersRequest(toLocalSymbol(symbol))
ftxOrders, err := req.Do(ctx)
if err != nil {
return nil, err
}
for _, ftxOrder := range ftxOrders {
o, err := toGlobalOrderNew(ftxOrder)
if err != nil {
return orders, err
}
orders = append(orders, o)
}
return orders, nil
}
// symbol, since and until are all optional. FTX can only query by order created time, not updated time.
// FTX doesn't support lastOrderID, so we will query by the time range first, and filter by the lastOrderID.
func (e *Exchange) QueryClosedOrders(ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64) (orders []types.Order, err error) {
symbol = TrimUpperString(symbol)
req := e.client.NewGetOrderHistoryRequest(toLocalSymbol(symbol))
if since != (time.Time{}) {
req.StartTime(since)
} else if until != (time.Time{}) {
req.EndTime(until)
}
ftxOrders, err := req.Do(ctx)
if err != nil {
return nil, err
}
sort.Slice(ftxOrders, func(i, j int) bool {
return ftxOrders[i].CreatedAt.Before(ftxOrders[j].CreatedAt)
})
for _, ftxOrder := range ftxOrders {
switch ftxOrder.Status {
case ftxapi.OrderStatusOpen, ftxapi.OrderStatusNew:
continue
}
o, err := toGlobalOrderNew(ftxOrder)
if err != nil {
return orders, err
}
orders = append(orders, o)
}
return orders, nil
}
func (e *Exchange) CancelOrders(ctx context.Context, orders ...types.Order) error {
for _, o := range orders {
if err := requestLimit.Wait(ctx); err != nil {
logrus.WithError(err).Error("rate limit error")
}
var resp *ftxapi.APIResponse
var err error
if len(o.ClientOrderID) > 0 {
req := e.client.NewCancelOrderByClientOrderIdRequest(o.ClientOrderID)
resp, err = req.Do(ctx)
} else {
req := e.client.NewCancelOrderRequest(strconv.FormatUint(o.OrderID, 10))
resp, err = req.Do(ctx)
}
if err != nil {
return err
}
if !resp.Success {
return fmt.Errorf("cancel order failed: %s", resp.Result)
}
}
return nil
}
func (e *Exchange) QueryTicker(ctx context.Context, symbol string) (*types.Ticker, error) {
ticketMap, err := e.QueryTickers(ctx, symbol)
if err != nil {
return nil, err
}
if ticker, ok := ticketMap[symbol]; ok {
return &ticker, nil
}
return nil, fmt.Errorf("ticker %s not found", symbol)
}
func (e *Exchange) QueryTickers(ctx context.Context, symbol ...string) (map[string]types.Ticker, error) {
var tickers = make(map[string]types.Ticker)
markets, err := e._queryMarkets(ctx)
if err != nil {
return nil, err
}
m := make(map[string]struct{})
for _, s := range symbol {
m[toGlobalSymbol(s)] = struct{}{}
}
rest := e.newRest()
for k, v := range markets {
// if we provide symbol as condition then we only query the gieven symbol ,
// or we should query "ALL" symbol in the market.
if _, ok := m[toGlobalSymbol(k)]; len(symbol) != 0 && !ok {
continue
}
if err := requestLimit.Wait(ctx); err != nil {
logrus.WithError(err).Errorf("order rate limiter wait error")
}
// ctx context.Context, market string, interval types.Interval, limit int64, start, end time.Time
now := time.Now()
since := now.Add(time.Duration(-1) * time.Hour)
until := now
prices, err := rest.HistoricalPrices(ctx, v.Market.LocalSymbol, types.Interval1h, 1, &since, &until)
if err != nil || !prices.Success || len(prices.Result) == 0 {
continue
}
lastCandle := prices.Result[0]
tickers[toGlobalSymbol(k)] = types.Ticker{
Time: lastCandle.StartTime.Time,
Volume: lastCandle.Volume,
Last: v.Last,
Open: lastCandle.Open,
High: lastCandle.High,
Low: lastCandle.Low,
Buy: v.Bid,
Sell: v.Ask,
}
}
return tickers, nil
}
func (e *Exchange) Transfer(ctx context.Context, coin string, size float64, destination string) (string, error) {
payload := TransferPayload{
Coin: coin,
Size: size,
Source: e.subAccount,
Destination: destination,
}
resp, err := e.newRest().Transfer(ctx, payload)
if err != nil {
return "", err
}
if !resp.Success {
return "", fmt.Errorf("ftx returns transfer failure")
}
return resp.Result.String(), nil
}