Merge pull request #1528 from c9s/c9s/rewrite-binance-depth-requestgen

REFACTOR: [binance] rewrite binance depth requestgen

pkg/exchange/binance/binanceapi/client_test.go

@@ -244,3 +244,19 @@ func TestClient_NewPlaceMarginOrderRequest(t *testing.T) {
 	assert.NotEmpty(t, res)
 	t.Logf("result: %+v", res)
 }
+
+func TestClient_GetDepth(t *testing.T) {
+	client := getTestClientOrSkip(t)
+	ctx := context.Background()
+
+	err := client.SetTimeOffsetFromServer(ctx)
+	assert.NoError(t, err)
+
+	req := client.NewGetDepthRequest().Symbol("BTCUSDT").Limit(1000)
+	resp, err := req.Do(ctx)
+	if assert.NoError(t, err) {
+		assert.NotNil(t, resp)
+		assert.NotEmpty(t, resp)
+		t.Logf("response: %+v", resp)
+	}
+}

pkg/exchange/binance/binanceapi/get_depth_request.go

@@ -0,0 +1,25 @@
+package binanceapi
+
+import (
+	"github.com/c9s/requestgen"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+)
+
+type Depth struct {
+	LastUpdateId int64                `json:"lastUpdateId"`
+	Bids         [][]fixedpoint.Value `json:"bids"`
+	Asks         [][]fixedpoint.Value `json:"asks"`
+}
+
+//go:generate requestgen -method GET -url "/api/v3/depth" -type GetDepthRequest -responseType .Depth
+type GetDepthRequest struct {
+	client requestgen.APIClient
+
+	symbol string `param:"symbol"`
+	limit  int    `param:"limit" defaultValue:"1000"`
+}
+
+func (c *RestClient) NewGetDepthRequest() *GetDepthRequest {
+	return &GetDepthRequest{client: c}
+}

pkg/exchange/binance/exchange.go

@@ -1346,15 +1346,32 @@ func (e *Exchange) QueryDepth(ctx context.Context, symbol string) (snapshot type
 		return e.queryFuturesDepth(ctx, symbol)
 	}
 
-	response, err := e.client.NewDepthService().Symbol(symbol).Limit(DefaultDepthLimit).Do(ctx)
+	response, err := e.client2.NewGetDepthRequest().Symbol(symbol).Limit(DefaultDepthLimit).Do(ctx)
 	if err != nil {
 		return snapshot, finalUpdateID, err
 	}
 
-	return convertDepth(snapshot, symbol, finalUpdateID, response)
+	return convertDepth(symbol, response)
 }
 
-func convertDepth(
+func convertDepth(symbol string, response *binanceapi.Depth) (snapshot types.SliceOrderBook, finalUpdateID int64, err error) {
+	snapshot.Symbol = symbol
+	snapshot.Time = time.Now()
+	snapshot.LastUpdateId = response.LastUpdateId
+
+	finalUpdateID = response.LastUpdateId
+	for _, entry := range response.Bids {
+		snapshot.Bids = append(snapshot.Bids, types.PriceVolume{Price: entry[0], Volume: entry[1]})
+	}
+
+	for _, entry := range response.Asks {
+		snapshot.Asks = append(snapshot.Asks, types.PriceVolume{Price: entry[0], Volume: entry[1]})
+	}
+
+	return snapshot, finalUpdateID, err
+}
+
+func convertDepthLegacy(
 	snapshot types.SliceOrderBook, symbol string, finalUpdateID int64, response *binance.DepthResponse,
 ) (types.SliceOrderBook, int64, error) {
 	snapshot.Symbol = symbol

pkg/exchange/binance/futures.go

@@ -15,7 +15,9 @@ import (
 	"github.com/c9s/bbgo/pkg/types"
 )
 
-func (e *Exchange) queryFuturesClosedOrders(ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64) (orders []types.Order, err error) {
+func (e *Exchange) queryFuturesClosedOrders(
+	ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64,
+) (orders []types.Order, err error) {
 	req := e.futuresClient.NewListOrdersService().Symbol(symbol)
 
 	if lastOrderID > 0 {
@@ -34,7 +36,9 @@ func (e *Exchange) queryFuturesClosedOrders(ctx context.Context, symbol string,
 	return toGlobalFuturesOrders(binanceOrders, false)
 }
 
-func (e *Exchange) TransferFuturesAccountAsset(ctx context.Context, asset string, amount fixedpoint.Value, io types.TransferDirection) error {
+func (e *Exchange) TransferFuturesAccountAsset(
+	ctx context.Context, asset string, amount fixedpoint.Value, io types.TransferDirection,
+) error {
 	req := e.client2.NewFuturesTransferRequest()
 	req.Asset(asset)
 	req.Amount(amount.String())
@@ -63,7 +67,7 @@ func (e *Exchange) TransferFuturesAccountAsset(ctx context.Context, asset string
 // Balance.Available = Wallet Balance(in Binance UI) - Used Margin
 // Balance.Locked = Used Margin
 func (e *Exchange) QueryFuturesAccount(ctx context.Context) (*types.Account, error) {
-	//account, err := e.futuresClient.NewGetAccountService().Do(ctx)
+	// account, err := e.futuresClient.NewGetAccountService().Do(ctx)
 	reqAccount := e.futuresClient2.NewFuturesGetAccountRequest()
 	account, err := reqAccount.Do(ctx)
 	if err != nil {
@@ -218,7 +222,9 @@ func (e *Exchange) submitFuturesOrder(ctx context.Context, order types.SubmitOrd
 	return createdOrder, err
 }
 
-func (e *Exchange) QueryFuturesKLines(ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions) ([]types.KLine, error) {
+func (e *Exchange) QueryFuturesKLines(
+	ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions,
+) ([]types.KLine, error) {
 
 	var limit = 1000
 	if options.Limit > 0 {
@@ -272,7 +278,9 @@ func (e *Exchange) QueryFuturesKLines(ctx context.Context, symbol string, interv
 	return kLines, nil
 }
 
-func (e *Exchange) queryFuturesTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) (trades []types.Trade, err error) {
+func (e *Exchange) queryFuturesTrades(
+	ctx context.Context, symbol string, options *types.TradeQueryOptions,
+) (trades []types.Trade, err error) {
 
 	var remoteTrades []*futures.AccountTrade
 	req := e.futuresClient.NewListAccountTradeService().
@@ -376,7 +384,7 @@ func (e *Exchange) queryFuturesDepth(ctx context.Context, symbol string) (snapsh
 		Asks:         res.Asks,
 	}
 
-	return convertDepth(snapshot, symbol, finalUpdateID, response)
+	return convertDepthLegacy(snapshot, symbol, finalUpdateID, response)
 }
 
 func (e *Exchange) GetFuturesClient() *binanceapi.FuturesRestClient {
@@ -386,7 +394,9 @@ func (e *Exchange) GetFuturesClient() *binanceapi.FuturesRestClient {
 // QueryFuturesIncomeHistory queries the income history on the binance futures account
 // This is more binance futures specific API, the convert function is not designed yet.
 // TODO: consider other futures platforms and design the common data structure for this
-func (e *Exchange) QueryFuturesIncomeHistory(ctx context.Context, symbol string, incomeType binanceapi.FuturesIncomeType, startTime, endTime *time.Time) ([]binanceapi.FuturesIncome, error) {
+func (e *Exchange) QueryFuturesIncomeHistory(
+	ctx context.Context, symbol string, incomeType binanceapi.FuturesIncomeType, startTime, endTime *time.Time,
+) ([]binanceapi.FuturesIncome, error) {
 	req := e.futuresClient2.NewFuturesGetIncomeHistoryRequest()
 	req.Symbol(symbol)
 	req.IncomeType(incomeType)