package cqt.goai.exchange.http.binance;
import com.alibaba.fastjson.JSON;
import com.alibaba.fastjson.JSONArray;
import com.alibaba.fastjson.JSONObject;
import cqt.goai.exchange.ExchangeInfo;
import cqt.goai.exchange.ExchangeName;
import cqt.goai.exchange.http.HttpExchange;
import cqt.goai.exchange.util.CommonUtil;
import cqt.goai.model.enums.Side;
import cqt.goai.model.enums.State;
import cqt.goai.model.enums.Type;
import cqt.goai.model.market.*;
import cqt.goai.model.trade.*;
import dive.common.crypto.HmacUtil;
import dive.http.common.MimeRequest;
import dive.http.common.model.Method;
import dive.http.common.model.Parameter;
import org.slf4j.Logger;
import java.math.BigDecimal;
import java.util.ArrayList;
import java.util.Collections;
import java.util.LinkedList;
import java.util.List;
import java.util.stream.Collectors;
import static dive.common.math.BigDecimalUtil.div;
import static dive.common.math.BigDecimalUtil.greater;
import static dive.common.util.Util.useful;
import static java.math.BigDecimal.ZERO;
/**
* @author xxx
*/
public class BinanceExchange extends HttpExchange {
private static final String SITE = "api.binance.com";
private static final String ADDRESS = "https://" + SITE;
private static final String TICKER = "/api/v1/ticker/24hr";
private static final String KLINES = "/api/v1/klines";
private static final String DEPTH = "/api/v1/depth";
private static final String TRADES = "/api/v1/aggTrades";
private static final String BALANCES = "/api/v3/account";
private static final String PRECISIONS = "/api/v1/exchangeInfo";
private static final String ORDER = "/api/v3/order";
private static final String ORDERS = "/api/v3/openOrders";
private static final String ORDERS_HISTORY = "/api/v3/allOrders";
public BinanceExchange(Logger log) {
super(ExchangeName.BINANCE, log);
}
@Override
public String symbol(ExchangeInfo info) {
return symbol(info, s -> s.replace("_", ""));
}
@Override
public List<MimeRequest> tickerRequests(ExchangeInfo info, long delay) {
MimeRequest request = new MimeRequest.Builder()
.url(ADDRESS + TICKER + "?symbol=" + this.symbol(info))
.build();
return Collections.singletonList(request);
}
@Override
protected Ticker transformTicker(List<String> results, ExchangeInfo info) {
String result = results.get(0).trim();
if (useful(result)) {
JSONObject r;
if (result.startsWith(LEFT_SQUARE_BRACKETS)) {
r = JSON.parseArray(result).getJSONObject(0);
} else {
r = JSON.parseObject(result);
}
Long time = r.getLong("closeTime");
return CommonUtil.parseTicker(r.toJSONString(), r, time,
"openPrice", "highPrice", "lowPrice",
"lastPrice", "volume");
}
return null;
}
@Override
public List<MimeRequest> klinesRequests(ExchangeInfo info, long delay) {
Integer size = 400;
String type = period(info, period -> {
switch (period) {
case MIN1: return "1m";
case MIN3: return "3m";
case MIN5: return "5m";
case MIN15: return "15m";
case MIN30: return "30m";
case HOUR1: return "1h";
case HOUR2: return "2h";
// case HOUR3: return "3h";
case HOUR4: return "4h";
case HOUR6: return "6h";
case HOUR12: return "12h";
case DAY1: return "1d";
case DAY3: return "3d";
case WEEK1: return "1w";
// case WEEK2: return "2w";
case MONTH1: return "1M";
default: return null;
}
});
MimeRequest request = new MimeRequest.Builder()
.url(ADDRESS + KLINES + "?symbol=" + this.symbol(info)
+ "&limit=" + size + "&interval=" + type)
.build();
return Collections.singletonList(request);
}
@Override
protected Klines transformKlines(List<String> results, ExchangeInfo info) {
String result = results.get(0);
if (useful(result)) {
JSONArray array = JSON.parseArray(result);
List<Kline> klines = new ArrayList<>(array.size());
for (int i = array.size() - 1; 0 <= i; i--) {
JSONArray t = array.getJSONArray(i);
/*
* 1499040000000, // Open time
* "0.01634790", // Open
* "0.80000000", // High
* "0.01575800", // Low
* "0.01577100", // Close
* "148976.11427815", // Volume
* 1499644799999, // Close time
* "2434.19055334", // Quote asset volume
* 308, // Number of trades
* "1756.87402397", // Taker buy base asset volume
* "28.46694368", // Taker buy quote asset volume
* "17928899.62484339" // Ignore.
*/
Long time = t.getLong(0) / 1000;
Kline kline = CommonUtil.parseKlineByIndex(array.getString(i), t, time, 1);
klines.add(kline);
// if (size <= records.size()) break;
}
return new Klines(klines);
}
return null;
}
@Override
public List<MimeRequest> depthRequests(ExchangeInfo info, long delay) {
MimeRequest request = new MimeRequest.Builder()
.url(ADDRESS + DEPTH + "?symbol=" + this.symbol(info))
.build();
return Collections.singletonList(request);
}
@Override
protected Depth transformDepth(List<String> results, ExchangeInfo info) {
String result = results.get(0);
if (useful(result)) {
JSONObject r = JSONObject.parseObject(result);
JSONArray asks = r.getJSONArray("asks");
JSONArray bids = r.getJSONArray("bids");
Long time = System.currentTimeMillis();
return CommonUtil.parseDepthByIndex(time, asks, bids);
}
return null;
}
@Override
public List<MimeRequest> tradesRequests(ExchangeInfo info, long delay) {
MimeRequest request = new MimeRequest.Builder()
.url(ADDRESS + TRADES + "?symbol=" + this.symbol(info) + "&limit=100")
.build();
return Collections.singletonList(request);
}
@Override
protected Trades transformTrades(List<String> results, ExchangeInfo info) {
String result = results.get(0);
if (useful(result)) {
try {
JSONArray r = JSON.parseArray(result);
List<Trade> trades = new ArrayList<>(r.size());
for (int i = r.size() - 1; 0 <= i; i--) {
JSONObject t = r.getJSONObject(i);
/*
* "a": 26129, // Aggregate tradeId
* "p": "0.01633102", // Price
* "q": "4.70443515", // Quantity
* "f": 27781, // First tradeId
* "l": 27781, // Last tradeId
* "T": 1498793709153, // Timestamp
* "m": true, // Was the buyer the maker?
* "M": true // Was the trade the best price match?
*/
Long time = t.getLong("T");
String id = t.getString("f") + "_" + t.getString("l");
Side side = t.getBoolean("m") ? Side.SELL : Side.BUY;
BigDecimal price = t.getBigDecimal("p");
BigDecimal amount = t.getBigDecimal("q");
Trade trade = new Trade(r.getString(i), time, id, side, price, amount);
trades.add(trade);
}
return new Trades(trades);
} catch (Exception e) {
e.printStackTrace();
}
}
return null;
}
@Override
public List<MimeRequest> balancesRequests(ExchangeInfo info, long delay) {
return this.get(info, delay, BALANCES);
}
@Override
protected Balances transformBalances(List<String> results, ExchangeInfo info) {
String result = results.get(0);
if (useful(result)) {
JSONArray r = JSON.parseObject(result).getJSONArray("balances");
List<Balance> balances = new ArrayList<>(r.size());
for (int i = 0; i < r.size(); i++) {
JSONObject t = r.getJSONObject(i);
String currency = t.getString("asset");
BigDecimal free = t.getBigDecimal("free");
BigDecimal used = t.getBigDecimal("locked");
balances.add(new Balance(r.getString(i), currency, free, used));
}
return new Balances(balances);
}
return null;
}
@Override
public List<MimeRequest> precisionsRequests(ExchangeInfo info, long delay) {
MimeRequest request = new MimeRequest.Builder()
.url(ADDRESS + PRECISIONS)
.build();
return Collections.singletonList(request);
}
/**
* {
* "symbol":"ETHBTC",
* "status":"TRADING",
* "baseAsset":"ETH",
* "baseAssetPrecision":8,
* "quoteAsset":"BTC",
* "quotePrecision":8,
* "orderTypes":Array[5],
* "icebergAllowed":true,
* "filters":[
* {
* "filterType":"PRICE_FILTER",
* "minPrice":"0.00000000",
* "maxPrice":"0.00000000",
* "tickSize":"0.00000100"
* },
* {
* "filterType":"PERCENT_PRICE",
* "multiplierUp":"10",
* "multiplierDown":"0.1",
* "avgPriceMins":5
* },
* {
* "filterType":"LOT_SIZE",
* "minQty":"0.00100000",
* "maxQty":"100000.00000000",
* "stepSize":"0.00100000"
* },
* {
* "filterType":"MIN_NOTIONAL",
* "minNotional":"0.00100000",
* "applyToMarket":true,
* "avgPriceMins":5
* },
* {
* "filterType":"ICEBERG_PARTS",
* "limit":10
* },
* {
* "filterType":"MAX_NUM_ALGO_ORDERS",
* "maxNumAlgoOrders":5
* }
* ]
* }
*/
@Override
protected Precisions transformPrecisions(List<String> results, ExchangeInfo info) {
String result = results.get(0);
if (useful(result)) {
JSONObject r = JSON.parseObject(result);
JSONArray symbols = r.getJSONArray("symbols");
List<Precision> precisions = new ArrayList<>(symbols.size());
for (int i = 0; i < symbols.size(); i++) {
JSONObject t = symbols.getJSONObject(i);
if (!"TRADING".equals(t.getString("status"))) {
continue;
}
String data = symbols.getString(i);
String symbol = t.getString("baseAsset") + "_" + t.getString("quoteAsset");
Integer base = t.getInteger("baseAssetPrecision");
Integer quote = t.getInteger("quotePrecision");
JSONArray filters = t.getJSONArray("filters");
JSONObject baseFilter = null;
JSONObject priceFilter = null;
for (int j = 0; j < filters.size(); j++) {
JSONObject temp = filters.getJSONObject(j);
if ("PRICE_FILTER".equals(temp.getString("filterType"))) {
priceFilter = temp;
} else if ("LOT_SIZE".equals(temp.getString("filterType"))){
baseFilter = temp;
}
}
BigDecimal baseStep = this.getBigDecimal(baseFilter, "stepSize");
BigDecimal quoteStep = this.getBigDecimal(priceFilter, "tickSize");
BigDecimal minBase = this.getBigDecimal(baseFilter, "minQty");
BigDecimal minQuote = this.getBigDecimal(priceFilter, "minPrice");
BigDecimal maxBase = this.getBigDecimal(baseFilter, "maxQty");
BigDecimal maxQuote = this.getBigDecimal(priceFilter, "maxPrice");
Precision precision = new Precision(data, symbol, base, quote,
baseStep, quoteStep, minBase, minQuote, maxBase, maxQuote);
precisions.add(precision);
}
return new Precisions(precisions);
}
return null;
}
@Override
public List<MimeRequest> buyLimitRequests(ExchangeInfo info, long delay) {
return this.postOrder(info, delay,
"symbol", this.symbol(info),
"side", "BUY",
"type", "LIMIT",
"timeInForce", "GTC",
"quantity", info.getAmount(),
"price", info.getPrice());
}
@Override
public String transformBuyLimit(List<String> results, ExchangeInfo info) {
return this.getId(results);
}
@Override
public List<MimeRequest> sellLimitRequests(ExchangeInfo info, long delay) {
return this.postOrder(info, delay,
"symbol", this.symbol(info),
"side", "SELL",
"type", "LIMIT",
"timeInForce", "GTC",
"quantity", info.getAmount(),
"price", info.getPrice());
}
@Override
public String transformSellLimit(List<String> results, ExchangeInfo info) {
return this.getId(results);
}
@Override
public List<MimeRequest> buyMarketRequests(ExchangeInfo info, long delay) {
return this.postOrder(info, delay,
"symbol", this.symbol(info),
"side", "BUY",
"type", "MARKET",
"timeInForce", "GTC",
"quantity", info.getQuote());
}
@Override
public String transformBuyMarket(List<String> results, ExchangeInfo info) {
return this.getId(results);
}
@Override
public List<MimeRequest> sellMarketRequests(ExchangeInfo info, long delay) {
return this.postOrder(info, delay,
"symbol", this.symbol(info),
"side", "SELL",
"type", "MARKET",
"timeInForce", "GTC",
"quantity", info.getBase());
}
@Override
public String transformSellMarket(List<String> results, ExchangeInfo info) {
return this.getId(results);
}
@Override
public List<MimeRequest> cancelOrderRequests(ExchangeInfo info, long delay) {
return this.request(info, delay, ORDER, Method.DELETE,
"orderId", info.getCancelId(),
"symbol", this.symbol(info));
}
@Override
protected Boolean transformCancelOrder(List<String> results, ExchangeInfo info) {
String result = results.get(0);
if (useful(result)) {
this.parseOrder(null, JSON.parseObject(result));
return true;
}
return null;
}
@Override
public List<MimeRequest> ordersRequests(ExchangeInfo info, long delay) {
return this.get(info, delay, ORDERS,
"symbol", this.symbol(info));
}
@Override
protected Orders transformOrders(List<String> results, ExchangeInfo info) {
String result = results.get(0);
if (useful(result)) {
JSONArray r = JSON.parseArray(result);
List<Order> orders = new LinkedList<>();
for (int i = 0; i < r.size(); i++) {
orders.add(this.parseOrder(r.getString(i), r.getJSONObject(i)));
}
orders = orders.stream().sorted(CommonUtil::sortOrder).collect(Collectors.toList());
return new Orders(orders);
}
return null;
}
@Override
public List<MimeRequest> historyOrdersRequests(ExchangeInfo info, long delay) {
return this.get(info, delay, ORDERS_HISTORY,
"symbol", this.symbol(info), "limit", 500);
}
@Override
protected Orders transformHistoryOrders(List<String> results, ExchangeInfo info) {
return this.transformOrders(results, info);
}
@Override
public List<MimeRequest> orderRequests(ExchangeInfo info, long delay) {
return this.get(info, delay, ORDER,
"symbol", this.symbol(info),
"orderId", info.getOrderId());
}
@Override
protected Order transformOrder(List<String> results, ExchangeInfo info) {
String result = results.get(0);
if (useful(result)) {
return this.parseOrder(result, JSON.parseObject(result));
}
return null;
}
@Override
public List<MimeRequest> orderDetailsRequests(ExchangeInfo info, long delay) {
return this.get(info, delay, ORDER,
"symbol", this.symbol(info),
"orderId", info.getOrderId());
}
@Override
protected OrderDetails transformOrderDetails(List<String> results, ExchangeInfo info) {
String result = results.get(0);
if (useful(result)) {
return this.parseOrderDetails(JSON.parseObject(result));
}
return null;
}
// ====================== tools ============================
private static final String LEFT_SQUARE_BRACKETS = "[";
private static final String FILLS = "fills";
private List<MimeRequest> request(ExchangeInfo info, long delay, String api, Method method, Object... others) {
String access = info.getAccess();
String secret = info.getSecret();
Parameter parameter = Parameter.build("timestamp", System.currentTimeMillis() + delay);
CommonUtil.addOtherParameter(parameter, others);
String para = parameter.concat();
String sign = HmacUtil.HmacSHA256(para, secret);
MimeRequest request = new MimeRequest.Builder()
.url(ADDRESS + api + "?" + para + "&signature=" + sign)
.header("X-MBX-APIKEY", access)
.method(method)
.body(Method.POST == method ? "" : null)
.build();
return Collections.singletonList(request);
}
private List<MimeRequest> get(ExchangeInfo info, long delay, String api, Object... others) {
return this.request(info, delay, api, Method.GET, others);
}
private List<MimeRequest> postOrder(ExchangeInfo info, long delay, Object... others) {
return this.request(info, delay, BinanceExchange.ORDER, Method.POST, others);
}
private Order parseOrder(String result, JSONObject t) {
/*
* "symbol": "LTCBTC",
* "orderId": 1,
* "clientOrderId": "myOrder1",
* "price": "0.1",
* "origQty": "1.0",
* "executedQty": "0.0",
* "cummulativeQuoteQty": "0.0",
* "status": "NEW",
* "timeInForce": "GTC",
* "type": "LIMIT",
* "side": "BUY",
* "stopPrice": "0.0",
* "icebergQty": "0.0",
* "time": 1499827319559,
* "updateTime": 1499827319559,
* "isWorking": true
*/
Long time = t.getLong("updateTime");
String id = t.getString("orderId");
State state = null;
switch (t.getString("status")) {
case "NEW": state = State.SUBMIT; break;
case "PARTIALLY_FILLED": state = State.PARTIAL; break;
case "FILLED": state = State.FILLED; break;
case "CANCELED": state = State.CANCEL; break;
case "PENDING_CANCEL": state = State.CANCEL; break;
case "REJECTED": state = State.CANCEL; break;
case "EXPIRED": state = State.CANCEL; break;
default:
}
Side side = Side.valueOf(t.getString("side"));
Type type = null;
//STOP_LOSS
//STOP_LOSS_LIMIT
//TAKE_PROFIT
//TAKE_PROFIT_LIMIT
//LIMIT_MAKER
switch (t.getString("type")) {
case "LIMIT" : type = Type.LIMIT; break;
case "MARKET" : type = Type.MARKET; break;
default:
}
BigDecimal price = t.getBigDecimal("price");
BigDecimal amount = t.getBigDecimal("origQty");
BigDecimal deal = t.getBigDecimal("executedQty");
BigDecimal average = greater(deal, ZERO) ?
div(t.getBigDecimal("cummulativeQuoteQty"), deal) : ZERO;
return new Order(result, time, id, side, type,
greater(deal, ZERO) && state == State.CANCEL ? State.UNDONE : state,
price, amount, deal, average);
}
private OrderDetails parseOrderDetails(JSONObject t) {
/*
* "symbol": "LTCBTC",
* "orderId": 1,
* "clientOrderId": "myOrder1",
* "price": "0.1",
* "origQty": "1.0",
* "executedQty": "0.0",
* "cummulativeQuoteQty": "0.0",
* "status": "NEW",
* "timeInForce": "GTC",
* "type": "LIMIT",
* "side": "BUY",
* "stopPrice": "0.0",
* "icebergQty": "0.0",
* "time": 1499827319559,
* "updateTime": 1499827319559,
* "isWorking": true
*/
Long time = t.getLong("updateTime");
String id = t.getString("orderId");
Side side = Side.valueOf(t.getString("side"));
List<OrderDetail> details = new LinkedList<>();
if (t.containsKey(FILLS)) {
JSONArray fills = t.getJSONArray(FILLS);
for (int i = 0; i < fills.size(); i++) {
JSONObject tt = fills.getJSONObject(i);
BigDecimal price = tt.getBigDecimal("price");
BigDecimal amount = tt.getBigDecimal("qty");
BigDecimal fee = tt.getBigDecimal("commission");
String feeCurrency = tt.getString("commissionAsset");
details.add(new OrderDetail(fills.getString(i), time, id, null, price, amount, fee, feeCurrency, side));
}
}
return new OrderDetails(details);
}
private BigDecimal getBigDecimal(JSONObject t, String name) {
if (null == t) {
return null;
}
BigDecimal number = t.getBigDecimal(name);
if (greater(number, ZERO)) {
return number;
}
return null;
}
private String getId(List<String> results) {
String result = results.get(0);
if (useful(result)) {
JSONObject r = JSON.parseObject(result);
return r.getString("orderId");
}
return null;
}
}
