exchange

Documentation

Index

• Constants
• type AccountBalance
• type Balance
• type Contract
• type Direction
• type Exchange
• type Fee
• type FuturesBalance
• type FuturesLiquidation
• type FuturesOrder
• type FuturesOrderbook
  • func (o FuturesOrderbook) String() string
• type FuturesQuote
• type FuturesTrade
• type Order
• type OrderBook
• type OrderStatus
• type OrderType
• type Position
• type PositionCloseOrder
• type Quote
• type ResponseHandler
• type RestAPIExchange
• type Symbol
• type Ticker
• type Trade
• type TradeDetail
• type TradeHandler
• type WsAPIExchange

Constants

const (
	MIN1  = time.Minute
	MIN5  = time.Minute * 5
	MIN15 = time.Minute * 15
	MIN30 = time.Minute * 30
	HOUR1 = time.Hour
	HOUR4 = time.Hour * 4
	DAY1  = time.Hour * 24
	MON1  = DAY1 * 30
	WEEK1 = DAY1 * 7
	YEAR1 = DAY1 * 365
)

const (
	Open      OrderStatus = 1 // open but not filled
	Closed                = 2 // full filled
	Filled                = 3 // part filled
	Cancelled             = 4
)

Types

type AccountBalance

type AccountBalance struct {
	Type       string // spot, margin, future
	Currencies []Balance
}

type Balance

type Balance struct {
	Currency  string
	Available decimal.Decimal
	Locked    decimal.Decimal
}

type Contract

type Contract struct {
	// Futures contract
	// 合约标识
	Name string `json:"name,omitempty"`
	// Futures contract type
	// 合约类型, inverse - 反向合约, direct - 正向合约
	Type string `json:"type,omitempty"`
	// Multiplier used in converting from invoicing to settlement currency in quote futures
	// 双币种合约中，计价货币兑换为结算货币的乘数
	QuoteMultiplier string `json:"quoteMultiplier,omitempty"`
	// Minimum leverage
	LeverageMin string `json:"leverage_min,omitempty"`
	// Maximum leverage
	LeverageMax string `json:"leverage_max,omitempty"`
	// Maintenance rate of margin
	MaintenanceRate string `json:"maintenance_rate,omitempty"`
	// Mark price type, internal - based on internal trading, index - based on external index price
	MarkType string `json:"mark_type,omitempty"`
	// Current mark price
	MarkPrice string `json:"mark_price,omitempty"`
	// Current index price
	IndexPrice string `json:"index_price,omitempty"`
	// Last trading price
	LastPrice string `json:"last_price,omitempty"`
	// Maker fee rate, where negative means rebate
	MakerFeeRate string `json:"maker_fee_rate,omitempty"`
	// Taker fee rate
	TakerFeeRate string `json:"taker_fee_rate,omitempty"`
	// Minimum order price increment
	OrderPriceRound string `json:"order_price_round,omitempty"`
	// Minimum mark price increment
	MarkPriceRound string `json:"mark_price_round,omitempty"`
	// Current funding rate
	FundingRate string `json:"funding_rate,omitempty"`
	// Funding application interval, unit in seconds
	FundingInterval int32 `json:"funding_interval,omitempty"`
	// Next funding time
	FundingNextApply float64 `json:"funding_next_apply,omitempty"`
	// Risk limit base
	RiskLimitBase string `json:"risk_limit_base,omitempty"`
	// Step of adjusting risk limit
	RiskLimitStep string `json:"risk_limit_step,omitempty"`
	// Maximum risk limit the contract allowed
	RiskLimitMax string `json:"risk_limit_max,omitempty"`
	// Minimum order size the contract allowed
	OrderSizeMin int64 `json:"order_size_min,omitempty"`
	// Maximum order size the contract allowed
	OrderSizeMax int64 `json:"order_size_max,omitempty"`
	// deviation between order price and current index price. If price of an order is denoted as order_price, it must meet the following condition:      abs(order_price - mark_price) <= mark_price * order_price_deviate
	OrderPriceDeviate string `json:"order_price_deviate,omitempty"`
	// Referral fee rate discount
	RefDiscountRate string `json:"ref_discount_rate,omitempty"`
	// Referrer commission rate
	RefRebateRate string `json:"ref_rebate_rate,omitempty"`
	// Current orderbook ID
	OrderbookId int64 `json:"orderbook_id,omitempty"`
	// Current trade ID
	TradeId int64 `json:"trade_id,omitempty"`
	// Historical accumulation trade size
	TradeSize int64 `json:"trade_size,omitempty"`
	// Current total long position size
	PositionSize int64 `json:"position_size,omitempty"`
	// Configuration's last changed time
	ConfigChangeTime float64 `json:"config_change_time,omitempty"`
	// Contract is delisting
	// 合约下线中
	InDelisting bool `json:"in_delisting,omitempty"`
	// Maximum number of open orders
	// 最多挂单数量
	OrdersLimit int32 `json:"orders_limit,omitempty"`
}

type Direction

type Direction = string

const (
	TradeDirectionBuy  Direction = "buy"
	TradeDirectionSell           = "sell"
)

火币的交易明细里直接使用了buy/sell，因此不需要转换。

type Exchange

type Exchange interface {
	RestAPIExchange
	WsAPIExchange
}

common exchange interface, for all symbols, all crypto-exchanges

type Fee

type Fee struct {
	Symbol      string
	BaseMaker   decimal.Decimal `json:"baseMaker"`
	BaseTaker   decimal.Decimal `json:"baseTaker"`
	ActualMaker decimal.Decimal `json:"actualMaker"`
	ActualTaker decimal.Decimal `json:"actualTaker"`
}

type FuturesBalance

type FuturesBalance struct {
	// Total assets, total = position_margin + order_margin + available
	Total decimal.Decimal `json:"total,omitempty"`
	// Unrealized PNL
	UnrealisedPnl decimal.Decimal `json:"unrealisedPNL,omitempty"`
	// Position margin
	PositionMargin decimal.Decimal `json:"positionMargin,omitempty"`
	// Order margin of unfinished orders
	OrderMargin decimal.Decimal `json:"orderMargin,omitempty"`
	// Available balance to transfer out or trade
	Available decimal.Decimal `json:"available,omitempty"`
	// Settle currency
	Currency string `json:"currency,omitempty"`
	// Whether dual mode is enabled
	Dual bool `json:"dual,omitempty"`
}

type FuturesLiquidation

type FuturesLiquidation struct {
	// Liquidation time
	Time time.Time `json:"time,omitempty"`
	// Futures contract
	Contract string `json:"contract,omitempty"`
	// Position leverage. Not returned in public endpoints.
	Leverage int `json:"leverage,omitempty"`
	// Position size
	Size int64 `json:"size,omitempty"`
	// Position margin. Not returned in public endpoints.
	Margin decimal.Decimal `json:"margin,omitempty"`
	// Average entry price. Not returned in public endpoints.
	EntryPrice decimal.Decimal `json:"entryPrice,omitempty"`
	// Liquidation price. Not returned in public endpoints.
	LiqPrice decimal.Decimal `json:"liqPrice,omitempty"`
	// Mark price. Not returned in public endpoints.
	MarkPrice decimal.Decimal `json:"markPrice,omitempty"`
	// Liquidation order ID. Not returned in public endpoints.
	OrderId uint64 `json:"orderId,omitempty"`
	// Liquidation order price
	OrderPrice decimal.Decimal `json:"orderPrice,omitempty"`
	// Liquidation order average taker price
	FillPrice decimal.Decimal `json:"fillPrice,omitempty"`
	// Liquidation order maker size
	Left int64 `json:"left,omitempty"`
}

type FuturesOrder

type FuturesOrder struct {
	// Futures order ID
	Id uint64 `json:"id,omitempty"`
	// User ID
	User uint64 `json:"user,omitempty"`
	// Order creation time
	CreateTime time.Time `json:"create_time,omitempty"`
	// Order finished time. Not returned if order is open
	FinishTime time.Time `json:"finish_time,omitempty"`
	// How the order is finished.  - filled: all filled - cancelled: manually cancelled - liquidated: cancelled because of liquidation - ioc: time in force is `IOC`, finish immediately - auto_deleveraged: finished by ADL - reduce_only: cancelled because of increasing position while `reduce-only` set
	FinishAs string `json:"finish_as,omitempty"`
	// Order status  - `open`: waiting to be traded - `finished`: finished
	Status string `json:"status,omitempty"`
	// Futures contract
	Contract string `json:"contract"`
	// Order size. Specify positive number to make a bid, and negative number to ask
	Size int64 `json:"size"`
	// Display size for iceberg order. 0 for non-iceberg. Note that you would pay the taker fee for the hidden size
	Iceberg int64 `json:"iceberg,omitempty"`
	// Order price. 0 for market order with `tif` set as `ioc`
	Price decimal.Decimal `json:"price,omitempty"`
	// Set as `true` to close the position, with `size` set to 0
	Close bool `json:"close,omitempty"`
	// Is the order to close position
	IsClose bool `json:"is_close,omitempty"`
	// Set as `true` to be reduce-only order
	ReduceOnly bool `json:"reduce_only,omitempty"`
	// Is the order reduce-only
	IsReduceOnly bool `json:"is_reduce_only,omitempty"`
	// Is the order for liquidation
	IsLiq bool `json:"is_liq,omitempty"`
	// Time in force  - gtc: GoodTillCancelled - ioc: ImmediateOrCancelled, taker only - poc: PendingOrCancelled, reduce-only
	Tif string `json:"tif,omitempty"`
	// Size left to be traded
	Left int64 `json:"left,omitempty"`
	// Fill price of the order
	FillPrice decimal.Decimal `json:"fill_price,omitempty"`
	// User defined information. If not empty, must follow the rules below:  1. prefixed with `t-` 2. no longer than 28 bytes without `t-` prefix 3. can only include 0-9, A-Z, a-z, underscore(_), hyphen(-) or dot(.) Besides user defined information, reserved contents are listed below, denoting how the order is created:  - web: from web - api: from API - app: from mobile phones - auto_deleveraging: from ADL - liquidation: from liquidation - insurance: from insurance
	Text string `json:"text,omitempty"`
	// Taker fee rate
	TakerFee float64 `json:"takerFee,omitempty"`
	// Maker fee rate
	MakerFee float64 `json:"makerFee,omitempty"`
	// Reference user ID
	Reference uint64 `json:"reference,omitempty"`
}

FuturesOrder, 期货单，即作为下单返回结果，也当作下单的入参。

type FuturesOrderbook

type FuturesOrderbook struct {
	Asks []FuturesQuote
	Bids []FuturesQuote
}

func (FuturesOrderbook) String

func (o FuturesOrderbook) String() string

type FuturesQuote

type FuturesQuote struct {
	Price  float64
	Amount int64
}

type FuturesTrade

type FuturesTrade struct {
	// Trade ID
	Id uint64 `json:"id,omitempty"`
	// 个人成交记录有 OrderId
	OrderId uint64 `json:"orderId,omitempty"`
	// Trading time
	CreateTime time.Time `json:"createTime,omitempty"`
	// Futures contract
	Contract string `json:"contract,omitempty"`
	// Trading size
	Size int64 `json:"size,omitempty"`
	// Trading price
	Price decimal.Decimal `json:"price,omitempty"`
	// 个人成交记录有 Role, maker/taker
	Role string `json:"role,omitempty"`
}

type Order

type Order struct {
	Id            uint64 `json:"id"` // Id should be uint64
	ClientOrderId string `json:"clientOrderId" bson:"clientOrderId"`

	// gate: limit
	// huobi:
	Type   string          `json:"type"`
	Symbol string          `json:"symbol"`
	Price  decimal.Decimal `json:"price"`
	Amount decimal.Decimal `json:"amount"`
	Time   time.Time       `json:"time"`

	Status string `json:"status"`

	FilledPrice  decimal.Decimal `json:"filledPrice"`
	FilledAmount decimal.Decimal `json:"filledAmount"`
	Trades       []Trade         `json:"trades,omitempty"`
}

Order is common order type between all exchanges, use for exchange interface

type OrderBook

type OrderBook struct {
	Id   int
	Asks []Quote // sell
	Bids []Quote // buy
}

type OrderStatus

type OrderStatus = int

type OrderType

type OrderType = int

const (
	Buy  OrderType = 1
	Sell           = -1
)

type Position

type Position struct {
	// User ID
	User int64 `json:"user,omitempty"`
	// Futures contract 合约标识
	Contract string `json:"contract,omitempty"`
	// Position size 头寸大小
	Size int64 `json:"size,omitempty"`
	// Position leverage. 0 means cross margin; positive number means isolated margin
	// 杠杆倍数，0代表全仓，正数代表逐仓
	Leverage int `json:"leverage,omitempty"`
	// Position risk limit 风险限额
	// 为了控制风险设置的持仓上限，若仓位上限增加，维持保证金和起始保证金要求也会提高
	RiskLimit int `json:"riskLimit,omitempty"`
	// Maximum leverage under current risk limit
	// 当前风险限额下，允许的最大杠杆倍数
	MaxLeverage int `json:"maxLeverage,omitempty"`
	// Maintenance rate under current risk limit
	// 当前风险限额下，维持保证金比例
	MaintenanceRate float64 `json:"maintenance_rate,omitempty"`
	// Position value calculated in settlement currency
	// 按结算币种标记价格计算的合约价值
	Value decimal.Decimal `json:"value,omitempty"`
	// Position margin 保证金
	Margin decimal.Decimal `json:"margin,omitempty"`
	// Entry price 开仓价格
	EntryPrice decimal.Decimal `json:"entry_price,omitempty"`
	// Liquidation price 爆仓价格
	LiqPrice decimal.Decimal `json:"liq_price,omitempty"`
	// Current mark price 合约当前标记价格
	MarkPrice decimal.Decimal `json:"mark_price,omitempty"`
	// Unrealized PNL 未实现盈亏
	UnrealisedPnl decimal.Decimal `json:"unrealised_pnl,omitempty"`
	// Realized PNL 已实现盈亏
	RealisedPnl decimal.Decimal `json:"realised_pnl,omitempty"`
	// History realized PNL 已平仓的仓位总盈亏
	HistoryPnl decimal.Decimal `json:"history_pnl,omitempty"`
	// PNL of last position close 最近一次平仓的盈亏
	LastClosePnl decimal.Decimal `json:"last_close_pnl,omitempty"`
	// ADL ranking, range from 1 to 5
	// 自动减仓排名，共1-5个等级
	AdlRanking int32 `json:"adl_ranking,omitempty"`
	// Current open orders 当前未完成委托数量
	PendingOrders int32 `json:"pending_orders,omitempty"`
	// 当前平仓委托信息，如果没有平仓则为null
	CloseOrder *PositionCloseOrder `json:"close_order,omitempty"`
	// Position mode, including:  - `single`: dual mode is not enabled- `dual_long`: long position in dual mode- `dual_short`: short position in dual mode
	// 持仓模式。包括：
	//   - single: 单向持仓模式
	//   - dual_long: 双向持仓模式下的做多仓位
	//   - dual_short: 双向持仓模式下的做空仓位
	Mode string `json:"mode,omitempty"`
}

Futures position details

type PositionCloseOrder

type PositionCloseOrder struct {
	// Close order ID
	// 委托ID
	Id int64 `json:"id,omitempty"`
	// Close order price
	// 委托价格
	Price decimal.Decimal `json:"price,omitempty"`
	// Is the close order from liquidation
	// 是否为强制平仓
	IsLiq bool `json:"isLiq,omitempty"`
}

Current close order if any, or `null`

type Quote

type Quote [2]float64

price, amount

type ResponseHandler

type ResponseHandler func(response interface{})

type RestAPIExchange

type RestAPIExchange interface {
	FormatSymbol(base, quote string) string
	AllSymbols(ctx context.Context) (s []Symbol, err error)
	GetSymbol(ctx context.Context, symbol string) (Symbol, error)
	GetFee(symbol string) (fee Fee, err error)
	SpotBalance() (map[string]decimal.Decimal, error)
	SpotAvailableBalance() (map[string]decimal.Decimal, error)
	LastPrice(symbol string) (decimal.Decimal, error)
	Last24hVolume(symbol string) (decimal.Decimal, error)
	CandleBySize(symbol string, period time.Duration, size int) (hs.Candle, error)
	CandleFrom(symbol, clientId string, period time.Duration, from, to time.Time) (hs.Candle, error)

	//PlaceOrder(orderType, symbol, clientOrderId string, price, amount decimal.Decimal) (uint64, error)
	BuyLimit(symbol, clientOrderId string, price, amount decimal.Decimal) (orderId uint64, err error)
	SellLimit(symbol, clientOrderId string, price, amount decimal.Decimal) (orderId uint64, err error)
	BuyMarket(symbol Symbol, clientOrderId string, total decimal.Decimal) (orderId uint64, err error)
	SellMarket(symbol Symbol, clientOrderId string, amount decimal.Decimal) (orderId uint64, err error)
	BuyStopLimit(symbol, clientOrderId string, price, amount, stopPrice decimal.Decimal) (orderId uint64, err error)
	SellStopLimit(symbol, clientOrderId string, price, amount, stopPrice decimal.Decimal) (orderId uint64, err error)

	GetOrderById(orderId uint64, symbol string) (Order, error)
	CancelOrder(symbol string, orderId uint64) error
	IsFullFilled(symbol string, orderId uint64) (Order, bool, error)
}

common exchange interface for all symbols

type Symbol

type Symbol struct {
	Symbol              string
	Disabled            bool
	BaseCurrency        string          `json:"baseCurrency"`  // 交易对中的基础币种, coin, eg. BTC
	QuoteCurrency       string          `json:"quoteCurrency"` // 交易对中的报价币种, cash, eg. USDT
	PricePrecision      int32           `json:"pricePrecision"`
	AmountPrecision     int32           `json:"amountPrecision"`
	LimitOrderMinAmount decimal.Decimal `json:"minAmount"`
	MinTotal            decimal.Decimal `json:"minTotal"`
}

type Ticker

type Ticker struct {
	Id            int64
	Last          decimal.Decimal // 最新成交价
	LowestAsk     decimal.Decimal // 卖1，卖方最低价
	HighestBid    decimal.Decimal // 买1，买方最高价
	PercentChange decimal.Decimal // 涨跌百分比
	BaseVolume    decimal.Decimal // 交易量
	QuoteVolume   decimal.Decimal // 兑换货币交易量
	High24hr      decimal.Decimal // 24小时最高价
	Low24hr       decimal.Decimal // 24小时最低价
}

type Trade

type Trade struct {
	Id      uint64 `json:"id"` // Id should be uint64
	OrderId uint64 `json:"orderId"`
	Symbol  string `json:"symbol,omitempty"`
	Type    string `json:"type,omitempty"`
	// v4, side = buy/sell, role = maker/taker
	Side        string          `json:"side,omitempty"`
	Role        string          `json:"role,omitempty"`
	Price       decimal.Decimal `json:"price"`
	Amount      decimal.Decimal `json:"amount"`
	FeeCurrency string          `json:"feeCurrency,omitempty"`
	FeeAmount   decimal.Decimal `json:"feeAmount,omitempty"`
	Time        time.Time       `json:"time"`
}

type TradeDetail

type TradeDetail struct {
	Id        int64           `json:"id"` // trade id
	Price     decimal.Decimal `json:"price"`
	Amount    decimal.Decimal `json:"amount"`
	Timestamp int64           `json:"timestamp"`
	Direction Direction       `json:"direction"`
}

TradeDetail 是成交明细，不是个人账户成交历史，而是系统整体的成交明细（逐笔成交明细）。 这是统一各交易所差异后的结构。

type TradeHandler

type TradeHandler func([]TradeDetail)

TradeHandler 是订阅交易明细时的处理函数。 参数中的数据是按时间顺序排列，老数据在前，新数据在后，方便遍历和用TA分析。

type WsAPIExchange

type WsAPIExchange interface {
	SubscribeOrder(symbol, clientId string, responseHandler ResponseHandler)
	UnsubscribeOrder(symbol, clientId string)
	SubscribeCandlestick(symbol, clientId string, period time.Duration, responseHandler ResponseHandler)
	UnsubscribeCandlestick(symbol, clientId string, period time.Duration)
	SubscribeCandlestickWithReq(symbol, clientId string, period time.Duration, responseHandler ResponseHandler)
	UnsubscribeCandlestickWithReq(symbol, clientId string, period time.Duration)
}