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trade.go
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trade.go
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package service
import (
"context"
"strconv"
"strings"
"time"
sq "github.com/Masterminds/squirrel"
"github.com/jmoiron/sqlx"
"github.com/pkg/errors"
log "github.com/sirupsen/logrus"
exchange2 "github.com/c9s/bbgo/pkg/exchange"
"github.com/c9s/bbgo/pkg/exchange/batch"
"github.com/c9s/bbgo/pkg/types"
)
var ErrTradeNotFound = errors.New("trade not found")
type QueryTradesOptions struct {
Exchange types.ExchangeName
Sessions []string
Symbol string
LastGID int64
Since *time.Time
// ASC or DESC
Ordering string
Limit uint64
}
type TradingVolume struct {
Year int `db:"year" json:"year"`
Month int `db:"month" json:"month,omitempty"`
Day int `db:"day" json:"day,omitempty"`
Time time.Time `json:"time,omitempty"`
Exchange string `db:"exchange" json:"exchange,omitempty"`
Symbol string `db:"symbol" json:"symbol,omitempty"`
QuoteVolume float64 `db:"quote_volume" json:"quoteVolume"`
}
type TradingVolumeQueryOptions struct {
GroupByPeriod string
SegmentBy string
}
type TradeService struct {
DB *sqlx.DB
}
func NewTradeService(db *sqlx.DB) *TradeService {
return &TradeService{db}
}
func (s *TradeService) Sync(ctx context.Context, exchange types.Exchange, symbol string, startTime time.Time) error {
isMargin, isFutures, isIsolated, isolatedSymbol := exchange2.GetSessionAttributes(exchange)
// override symbol if isolatedSymbol is not empty
if isIsolated && len(isolatedSymbol) > 0 {
symbol = isolatedSymbol
}
api, ok := exchange.(types.ExchangeTradeHistoryService)
if !ok {
return nil
}
lastTradeID := uint64(1)
tasks := []SyncTask{
{
Type: types.Trade{},
Select: SelectLastTrades(exchange.Name(), symbol, isMargin, isFutures, isIsolated, 100),
OnLoad: func(objs interface{}) {
// update last trade ID
trades := objs.([]types.Trade)
if len(trades) > 0 {
end := len(trades) - 1
last := trades[end]
lastTradeID = last.ID
}
},
BatchQuery: func(ctx context.Context, startTime, endTime time.Time) (interface{}, chan error) {
query := &batch.TradeBatchQuery{
ExchangeTradeHistoryService: api,
}
return query.Query(ctx, symbol, &types.TradeQueryOptions{
StartTime: &startTime,
EndTime: &endTime,
LastTradeID: lastTradeID,
})
},
Time: func(obj interface{}) time.Time {
return obj.(types.Trade).Time.Time()
},
ID: func(obj interface{}) string {
trade := obj.(types.Trade)
return strconv.FormatUint(trade.ID, 10) + trade.Side.String()
},
LogInsert: true,
},
}
for _, sel := range tasks {
if err := sel.execute(ctx, s.DB, startTime); err != nil {
return err
}
}
return nil
}
func (s *TradeService) QueryTradingVolume(startTime time.Time, options TradingVolumeQueryOptions) ([]TradingVolume, error) {
args := map[string]interface{}{
// "symbol": symbol,
// "exchange": ex,
// "is_margin": isMargin,
// "is_isolated": isIsolated,
"start_time": startTime,
}
sql := ""
driverName := s.DB.DriverName()
if driverName == "mysql" {
sql = generateMysqlTradingVolumeQuerySQL(options)
} else {
sql = generateSqliteTradingVolumeSQL(options)
}
log.Info(sql)
rows, err := s.DB.NamedQuery(sql, args)
if err != nil {
return nil, errors.Wrap(err, "query last trade error")
}
if rows.Err() != nil {
return nil, rows.Err()
}
defer rows.Close()
var records []TradingVolume
for rows.Next() {
var record TradingVolume
err = rows.StructScan(&record)
if err != nil {
return records, err
}
record.Time = time.Date(record.Year, time.Month(record.Month), record.Day, 0, 0, 0, 0, time.Local)
records = append(records, record)
}
return records, rows.Err()
}
func generateSqliteTradingVolumeSQL(options TradingVolumeQueryOptions) string {
timeRangeColumn := "traded_at"
sel, groupBys, orderBys := generateSqlite3TimeRangeClauses(timeRangeColumn, options.GroupByPeriod)
switch options.SegmentBy {
case "symbol":
sel = append(sel, "symbol")
groupBys = append([]string{"symbol"}, groupBys...)
orderBys = append(orderBys, "symbol")
case "exchange":
sel = append(sel, "exchange")
groupBys = append([]string{"exchange"}, groupBys...)
orderBys = append(orderBys, "exchange")
}
sel = append(sel, "SUM(quantity * price) AS quote_volume")
where := []string{timeRangeColumn + " > :start_time"}
sql := `SELECT ` + strings.Join(sel, ", ") + ` FROM trades` +
` WHERE ` + strings.Join(where, " AND ") +
` GROUP BY ` + strings.Join(groupBys, ", ") +
` ORDER BY ` + strings.Join(orderBys, ", ")
return sql
}
func generateSqlite3TimeRangeClauses(timeRangeColumn, period string) (selectors []string, groupBys []string, orderBys []string) {
switch period {
case "month":
selectors = append(selectors, "strftime('%Y',"+timeRangeColumn+") AS year", "strftime('%m',"+timeRangeColumn+") AS month")
groupBys = append([]string{"month", "year"}, groupBys...)
orderBys = append(orderBys, "year ASC", "month ASC")
case "year":
selectors = append(selectors, "strftime('%Y',"+timeRangeColumn+") AS year")
groupBys = append([]string{"year"}, groupBys...)
orderBys = append(orderBys, "year ASC")
case "day":
fallthrough
default:
selectors = append(selectors, "strftime('%Y',"+timeRangeColumn+") AS year", "strftime('%m',"+timeRangeColumn+") AS month", "strftime('%d',"+timeRangeColumn+") AS day")
groupBys = append([]string{"day", "month", "year"}, groupBys...)
orderBys = append(orderBys, "year ASC", "month ASC", "day ASC")
}
return
}
func generateMysqlTimeRangeClauses(timeRangeColumn, period string) (selectors []string, groupBys []string, orderBys []string) {
switch period {
case "month":
selectors = append(selectors, "YEAR("+timeRangeColumn+") AS year", "MONTH("+timeRangeColumn+") AS month")
groupBys = append([]string{"MONTH(" + timeRangeColumn + ")", "YEAR(" + timeRangeColumn + ")"}, groupBys...)
orderBys = append(orderBys, "year ASC", "month ASC")
case "year":
selectors = append(selectors, "YEAR("+timeRangeColumn+") AS year")
groupBys = append([]string{"YEAR(" + timeRangeColumn + ")"}, groupBys...)
orderBys = append(orderBys, "year ASC")
case "day":
fallthrough
default:
selectors = append(selectors, "YEAR("+timeRangeColumn+") AS year", "MONTH("+timeRangeColumn+") AS month", "DAY("+timeRangeColumn+") AS day")
groupBys = append([]string{"DAY(" + timeRangeColumn + ")", "MONTH(" + timeRangeColumn + ")", "YEAR(" + timeRangeColumn + ")"}, groupBys...)
orderBys = append(orderBys, "year ASC", "month ASC", "day ASC")
}
return
}
func generateMysqlTradingVolumeQuerySQL(options TradingVolumeQueryOptions) string {
timeRangeColumn := "traded_at"
sel, groupBys, orderBys := generateMysqlTimeRangeClauses(timeRangeColumn, options.GroupByPeriod)
switch options.SegmentBy {
case "symbol":
sel = append(sel, "symbol")
groupBys = append([]string{"symbol"}, groupBys...)
orderBys = append(orderBys, "symbol")
case "exchange":
sel = append(sel, "exchange")
groupBys = append([]string{"exchange"}, groupBys...)
orderBys = append(orderBys, "exchange")
}
sel = append(sel, "SUM(quantity * price) AS quote_volume")
where := []string{timeRangeColumn + " > :start_time"}
sql := `SELECT ` + strings.Join(sel, ", ") + ` FROM trades` +
` WHERE ` + strings.Join(where, " AND ") +
` GROUP BY ` + strings.Join(groupBys, ", ") +
` ORDER BY ` + strings.Join(orderBys, ", ")
return sql
}
func (s *TradeService) QueryForTradingFeeCurrency(ex types.ExchangeName, symbol string, feeCurrency string) ([]types.Trade, error) {
sql := "SELECT * FROM trades WHERE exchange = :exchange AND (symbol = :symbol OR fee_currency = :fee_currency) ORDER BY traded_at ASC"
rows, err := s.DB.NamedQuery(sql, map[string]interface{}{
"exchange": ex,
"symbol": symbol,
"fee_currency": feeCurrency,
})
if err != nil {
return nil, err
}
defer rows.Close()
return s.scanRows(rows)
}
func (s *TradeService) Query(options QueryTradesOptions) ([]types.Trade, error) {
sel := sq.Select("*").
From("trades")
if options.Since != nil {
sel = sel.Where(sq.GtOrEq{"traded_at": options.Since})
}
sel = sel.Where(sq.Eq{"symbol": options.Symbol})
if options.Exchange != "" {
sel = sel.Where(sq.Eq{"exchange": options.Exchange})
}
if len(options.Sessions) > 0 {
// FIXME: right now we only have the exchange field in the db, we might need to add the session field too.
sel = sel.Where(sq.Eq{"exchange": options.Sessions})
}
if options.Ordering != "" {
sel = sel.OrderBy("traded_at " + options.Ordering)
} else {
sel = sel.OrderBy("traded_at ASC")
}
if options.Limit > 0 {
sel = sel.Limit(options.Limit)
}
sql, args, err := sel.ToSql()
if err != nil {
return nil, err
}
log.Debug(sql)
log.Debug(args)
rows, err := s.DB.Queryx(sql, args...)
if err != nil {
return nil, err
}
defer rows.Close()
return s.scanRows(rows)
}
func (s *TradeService) Load(ctx context.Context, id int64) (*types.Trade, error) {
var trade types.Trade
rows, err := s.DB.NamedQuery("SELECT * FROM trades WHERE id = :id", map[string]interface{}{
"id": id,
})
if err != nil {
return nil, err
}
defer rows.Close()
if rows.Next() {
err = rows.StructScan(&trade)
return &trade, err
}
return nil, errors.Wrapf(ErrTradeNotFound, "trade id:%d not found", id)
}
func queryTradesSQL(options QueryTradesOptions) string {
ordering := "ASC"
switch v := strings.ToUpper(options.Ordering); v {
case "DESC", "ASC":
ordering = v
}
var where []string
if options.LastGID > 0 {
switch ordering {
case "ASC":
where = append(where, "gid > :gid")
case "DESC":
where = append(where, "gid < :gid")
}
}
if len(options.Symbol) > 0 {
where = append(where, `symbol = :symbol`)
}
if len(options.Exchange) > 0 {
where = append(where, `exchange = :exchange`)
}
sql := `SELECT * FROM trades`
if len(where) > 0 {
sql += ` WHERE ` + strings.Join(where, " AND ")
}
sql += ` ORDER BY gid ` + ordering
if options.Limit > 0 {
sql += ` LIMIT ` + strconv.FormatUint(options.Limit, 10)
}
return sql
}
func (s *TradeService) scanRows(rows *sqlx.Rows) (trades []types.Trade, err error) {
for rows.Next() {
var trade types.Trade
if err := rows.StructScan(&trade); err != nil {
return trades, err
}
trades = append(trades, trade)
}
return trades, rows.Err()
}
func (s *TradeService) Insert(trade types.Trade) error {
sql := dbCache.InsertSqlOf(trade)
_, err := s.DB.NamedExec(sql, trade)
return err
}
func (s *TradeService) DeleteAll() error {
_, err := s.DB.Exec(`DELETE FROM trades`)
return err
}
func SelectLastTrades(ex types.ExchangeName, symbol string, isMargin, isFutures, isIsolated bool, limit uint64) sq.SelectBuilder {
return sq.Select("*").
From("trades").
Where(sq.And{
sq.Eq{"symbol": symbol},
sq.Eq{"exchange": ex},
sq.Eq{"is_margin": isMargin},
sq.Eq{"is_futures": isFutures},
sq.Eq{"is_isolated": isIsolated},
}).
OrderBy("traded_at DESC").
Limit(limit)
}