Complete trading APIs for CCXT (#85), closes #11

* ccxt_trading: 1 - thread through API Key - testing to get API key to work

* ccxt_trading: 2 - instance creation logic

* ccxt_trading: 3 - FetchBalance() implementation for ccxt + test

* ccxt_trading: 4 - implement ccxtExchange#GetAccountBalances()

* ccxt_trading: 5 - fix GetOpenOrders API to supply the tradingPairs as input

* ccxt_trading: 6 - implement ccxt.FetchOpenOrders + test

* ccxt_trading: 7 - ccxtExchange#GetOpenOrders() + test

* ccxt_trading: 8 - ccxt.CreateLimitOrder() + test

* ccxt_trading: 9 - ccxtExchange.AddOrder() + test

* ccxt_trading: 10 - ccxt.CancelOrder() + test

* ccxt_trading: 11 - update CancelOrder Exchange API + ccxtExchange.CancelOrder() + test

* ccxt_trading: 12 - clean up ccxtExchange tests

* ccxt_trading: 13 - enable trading on binance

* ccxt_trading: 14 - use orderConstraints in ccxtExchange

* ccxt_trading: 15 - add support for fetching trade history

Author: nikhilsaraf

api/exchange.go

@@ -58,7 +58,7 @@ type FillHandler interface {
 // TradeFetcher is the common method between FillTrackable and exchange
 // temporarily extracted out from TradeAPI so SDEX has the flexibility to only implement this rather than exchange and FillTrackable
 type TradeFetcher interface {
-	GetTradeHistory(maybeCursorStart interface{}, maybeCursorEnd interface{}) (*TradeHistoryResult, error)
+	GetTradeHistory(pair model.TradingPair, maybeCursorStart interface{}, maybeCursorEnd interface{}) (*TradeHistoryResult, error)
 }
 
 // FillTrackable enables any implementing exchange to support fill tracking
@@ -85,11 +85,11 @@ type TradeAPI interface {
 
 	TradeFetcher
 
-	GetOpenOrders() (map[model.TradingPair][]model.OpenOrder, error)
+	GetOpenOrders(pairs []*model.TradingPair) (map[model.TradingPair][]model.OpenOrder, error)
 
 	AddOrder(order *model.Order) (*model.TransactionID, error)
 
-	CancelOrder(txID *model.TransactionID) (model.CancelOrderResult, error)
+	CancelOrder(txID *model.TransactionID, pair model.TradingPair) (model.CancelOrderResult, error)
 }
 
 // PrepareDepositResult is the result of a PrepareDeposit call

glide.lock

@@ -21,3 +21,5 @@ import:
   version: 7595ba02fbce171759c10d69d96e4cd898d1fa93
 - package: github.com/nikhilsaraf/go-tools
   version: 19004f22be08c82a22e679726ca22853c65919ae
+- package: github.com/mitchellh/mapstructure
+  version: v1.1.2

glide.yaml

@@ -175,11 +175,15 @@ type OpenOrder struct {
 
 // String is the stringer function
 func (o OpenOrder) String() string {
-	return fmt.Sprintf("OpenOrder[order=%s, ID=%s, startTime=%d, expireTime=%d, volumeExecuted=%s]",
+	expireTimeString := "<nil>"
+	if o.ExpireTime != nil {
+		expireTimeString = fmt.Sprintf("%d", o.ExpireTime.AsInt64())
+	}
+	return fmt.Sprintf("OpenOrder[order=%s, ID=%s, startTime=%d, expireTime=%s, volumeExecuted=%s]",
 		o.Order.String(),
 		o.ID,
 		o.StartTime.AsInt64(),
-		o.ExpireTime.AsInt64(),
+		expireTimeString,
 		o.VolumeExecuted.AsString(),
 	)
 }

model/orderbook.go

@@ -73,3 +73,16 @@ func TradingPairs2Strings(c *AssetConverter, delim string, pairs []TradingPair)
 	}
 	return m, nil
 }
+
+// TradingPairs2Strings2 converts the trading pairs to an array of strings
+func TradingPairs2Strings2(c *AssetConverter, delim string, pairs []*TradingPair) (map[TradingPair]string, error) {
+	m := map[TradingPair]string{}
+	for _, p := range pairs {
+		pairString, e := p.ToString(c, delim)
+		if e != nil {
+			return nil, e
+		}
+		m[*p] = pairString
+	}
+	return m, nil
+}

model/tradingPair.go

@@ -2,38 +2,51 @@ package plugins
 
 import (
 	"fmt"
+	"log"
 
 	"github.com/interstellar/kelp/api"
 	"github.com/interstellar/kelp/model"
 	"github.com/interstellar/kelp/support/sdk"
 	"github.com/interstellar/kelp/support/utils"
 )
 
+const ccxtBalancePrecision = 10
+
 // ensure that ccxtExchange conforms to the Exchange interface
 var _ api.Exchange = ccxtExchange{}
 
 // ccxtExchange is the implementation for the CCXT REST library that supports many exchanges (https://github.com/franz-see/ccxt-rest, https://github.com/ccxt/ccxt/)
 type ccxtExchange struct {
-	assetConverter *model.AssetConverter
-	delimiter      string
-	api            *sdk.Ccxt
-	precision      int8
-	simMode        bool
+	assetConverter   *model.AssetConverter
+	delimiter        string
+	orderConstraints map[model.TradingPair]model.OrderConstraints
+	api              *sdk.Ccxt
+	simMode          bool
 }
 
 // makeCcxtExchange is a factory method to make an exchange using the CCXT interface
-func makeCcxtExchange(ccxtBaseURL string, exchangeName string, simMode bool) (api.Exchange, error) {
-	c, e := sdk.MakeInitializedCcxtExchange(ccxtBaseURL, exchangeName)
+func makeCcxtExchange(
+	ccxtBaseURL string,
+	exchangeName string,
+	orderConstraints map[model.TradingPair]model.OrderConstraints,
+	apiKeys []api.ExchangeAPIKey,
+	simMode bool,
+) (api.Exchange, error) {
+	if len(apiKeys) == 0 {
+		return nil, fmt.Errorf("need at least 1 ExchangeAPIKey, even if it is an empty key")
+	}
+
+	c, e := sdk.MakeInitializedCcxtExchange(ccxtBaseURL, exchangeName, apiKeys[0])
 	if e != nil {
 		return nil, fmt.Errorf("error making a ccxt exchange: %s", e)
 	}
 
 	return ccxtExchange{
-		assetConverter: model.CcxtAssetConverter,
-		delimiter:      "/",
-		api:            c,
-		precision:      utils.SdexPrecision,
-		simMode:        simMode,
+		assetConverter:   model.CcxtAssetConverter,
+		delimiter:        "/",
+		orderConstraints: orderConstraints,
+		api:              c,
+		simMode:          simMode,
 	}, nil
 }
 
@@ -61,8 +74,8 @@ func (c ccxtExchange) GetTickerPrice(pairs []model.TradingPair) (map[model.Tradi
 		}
 
 		priceResult[p] = api.Ticker{
-			AskPrice: model.NumberFromFloat(askPrice, c.precision),
-			BidPrice: model.NumberFromFloat(bidPrice, c.precision),
+			AskPrice: model.NumberFromFloat(askPrice, c.orderConstraints[p].PricePrecision),
+			BidPrice: model.NumberFromFloat(bidPrice, c.orderConstraints[p].PricePrecision),
 		}
 	}
 
@@ -76,14 +89,31 @@ func (c ccxtExchange) GetAssetConverter() *model.AssetConverter {
 
 // GetOrderConstraints impl
 func (c ccxtExchange) GetOrderConstraints(pair *model.TradingPair) *model.OrderConstraints {
-	// TODO implement
-	return nil
+	oc := c.orderConstraints[*pair]
+	return &oc
 }
 
 // GetAccountBalances impl
 func (c ccxtExchange) GetAccountBalances(assetList []model.Asset) (map[model.Asset]model.Number, error) {
-	// TODO implement
-	return nil, nil
+	balanceResponse, e := c.api.FetchBalance()
+	if e != nil {
+		return nil, e
+	}
+
+	m := map[model.Asset]model.Number{}
+	for _, asset := range assetList {
+		ccxtAssetString, e := c.GetAssetConverter().ToString(asset)
+		if e != nil {
+			return nil, e
+		}
+
+		if ccxtBalance, ok := balanceResponse[ccxtAssetString]; ok {
+			m[asset] = *model.NumberFromFloat(ccxtBalance.Total, ccxtBalancePrecision)
+		} else {
+			m[asset] = *model.NumberConstants.Zero
+		}
+	}
+	return m, nil
 }
 
 // GetOrderBook impl
@@ -112,20 +142,52 @@ func (c ccxtExchange) GetOrderBook(pair *model.TradingPair, maxCount int32) (*mo
 }
 
 func (c ccxtExchange) readOrders(orders []sdk.CcxtOrder, pair *model.TradingPair, orderAction model.OrderAction) []model.Order {
+	pricePrecision := c.orderConstraints[*pair].PricePrecision
+	volumePrecision := c.orderConstraints[*pair].VolumePrecision
+
 	result := []model.Order{}
 	for _, o := range orders {
 		result = append(result, model.Order{
 			Pair:        pair,
 			OrderAction: orderAction,
 			OrderType:   model.OrderTypeLimit,
-			Price:       model.NumberFromFloat(o.Price, c.precision),
-			Volume:      model.NumberFromFloat(o.Amount, c.precision),
+			Price:       model.NumberFromFloat(o.Price, pricePrecision),
+			Volume:      model.NumberFromFloat(o.Amount, volumePrecision),
 			Timestamp:   nil,
 		})
 	}
 	return result
 }
 
+// GetTradeHistory impl
+func (c ccxtExchange) GetTradeHistory(pair model.TradingPair, maybeCursorStart interface{}, maybeCursorEnd interface{}) (*api.TradeHistoryResult, error) {
+	pairString, e := pair.ToString(c.assetConverter, c.delimiter)
+	if e != nil {
+		return nil, fmt.Errorf("error converting pair to string: %s", e)
+	}
+
+	// TODO use cursor when fetching trade history
+	tradesRaw, e := c.api.FetchMyTrades(pairString)
+	if e != nil {
+		return nil, fmt.Errorf("error while fetching trade history for trading pair '%s': %s", pairString, e)
+	}
+
+	trades := []model.Trade{}
+	for _, raw := range tradesRaw {
+		t, e := c.readTrade(&pair, pairString, raw)
+		if e != nil {
+			return nil, fmt.Errorf("error while reading trade: %s", e)
+		}
+		trades = append(trades, *t)
+	}
+
+	// TODO implement cursor logic
+	return &api.TradeHistoryResult{
+		Cursor: nil,
+		Trades: trades,
+	}, nil
+}
+
 // GetTrades impl
 func (c ccxtExchange) GetTrades(pair *model.TradingPair, maybeCursor interface{}) (*api.TradesResult, error) {
 	pairString, e := pair.ToString(c.assetConverter, c.delimiter)
@@ -160,11 +222,14 @@ func (c ccxtExchange) readTrade(pair *model.TradingPair, pairString string, rawT
 		return nil, fmt.Errorf("expected '%s' for 'symbol' field, got: %s", pairString, rawTrade.Symbol)
 	}
 
+	pricePrecision := c.orderConstraints[*pair].PricePrecision
+	volumePrecision := c.orderConstraints[*pair].VolumePrecision
+
 	trade := model.Trade{
 		Order: model.Order{
 			Pair:      pair,
-			Price:     model.NumberFromFloat(rawTrade.Price, c.precision),
-			Volume:    model.NumberFromFloat(rawTrade.Amount, c.precision),
+			Price:     model.NumberFromFloat(rawTrade.Price, pricePrecision),
+			Volume:    model.NumberFromFloat(rawTrade.Amount, volumePrecision),
 			OrderType: model.OrderTypeLimit,
 			Timestamp: model.MakeTimestamp(rawTrade.Timestamp),
 		},
@@ -181,34 +246,116 @@ func (c ccxtExchange) readTrade(pair *model.TradingPair, pairString string, rawT
 	}
 
 	if rawTrade.Cost != 0.0 {
-		// use 2x the precision for cost since it's logically derived from amount and price
-		trade.Cost = model.NumberFromFloat(rawTrade.Cost, c.precision*2)
+		// use bigger precision for cost since it's logically derived from amount and price
+		costPrecision := pricePrecision
+		if volumePrecision > pricePrecision {
+			costPrecision = volumePrecision
+		}
+		trade.Cost = model.NumberFromFloat(rawTrade.Cost, costPrecision)
 	}
 
 	return &trade, nil
 }
 
-// GetTradeHistory impl
-func (c ccxtExchange) GetTradeHistory(maybeCursorStart interface{}, maybeCursorEnd interface{}) (*api.TradeHistoryResult, error) {
-	// TODO implement
-	return nil, nil
+// GetOpenOrders impl
+func (c ccxtExchange) GetOpenOrders(pairs []*model.TradingPair) (map[model.TradingPair][]model.OpenOrder, error) {
+	pairStrings := []string{}
+	string2Pair := map[string]model.TradingPair{}
+	for _, pair := range pairs {
+		pairString, e := pair.ToString(c.assetConverter, c.delimiter)
+		if e != nil {
+			return nil, fmt.Errorf("error converting pairs to strings: %s", e)
+		}
+		pairStrings = append(pairStrings, pairString)
+		string2Pair[pairString] = *pair
+	}
+
+	openOrdersMap, e := c.api.FetchOpenOrders(pairStrings)
+	if e != nil {
+		return nil, fmt.Errorf("error while fetching open orders for trading pairs '%v': %s", pairStrings, e)
+	}
+
+	result := map[model.TradingPair][]model.OpenOrder{}
+	for asset, ccxtOrderList := range openOrdersMap {
+		pair, ok := string2Pair[asset]
+		if !ok {
+			return nil, fmt.Errorf("traing symbol %s returned from FetchOpenOrders was not in the original list of trading pairs: %v", asset, pairStrings)
+		}
+
+		openOrderList := []model.OpenOrder{}
+		for _, o := range ccxtOrderList {
+			openOrder, e := c.convertOpenOrderFromCcxt(&pair, o)
+			if e != nil {
+				return nil, fmt.Errorf("cannot convertOpenOrderFromCcxt: %s", e)
+			}
+			openOrderList = append(openOrderList, *openOrder)
+		}
+		result[pair] = openOrderList
+	}
+	return result, nil
 }
 
-// GetOpenOrders impl
-func (c ccxtExchange) GetOpenOrders() (map[model.TradingPair][]model.OpenOrder, error) {
-	// TODO implement
-	return nil, nil
+func (c ccxtExchange) convertOpenOrderFromCcxt(pair *model.TradingPair, o sdk.CcxtOpenOrder) (*model.OpenOrder, error) {
+	if o.Type != "limit" {
+		return nil, fmt.Errorf("we currently only support limit order types")
+	}
+
+	orderAction := model.OrderActionSell
+	if o.Side == "buy" {
+		orderAction = model.OrderActionBuy
+	}
+	ts := model.MakeTimestamp(o.Timestamp)
+
+	return &model.OpenOrder{
+		Order: model.Order{
+			Pair:        pair,
+			OrderAction: orderAction,
+			OrderType:   model.OrderTypeLimit,
+			Price:       model.NumberFromFloat(o.Price, c.orderConstraints[*pair].PricePrecision),
+			Volume:      model.NumberFromFloat(o.Amount, c.orderConstraints[*pair].VolumePrecision),
+			Timestamp:   ts,
+		},
+		ID:             o.ID,
+		StartTime:      ts,
+		ExpireTime:     nil,
+		VolumeExecuted: model.NumberFromFloat(o.Filled, c.orderConstraints[*pair].VolumePrecision),
+	}, nil
 }
 
 // AddOrder impl
 func (c ccxtExchange) AddOrder(order *model.Order) (*model.TransactionID, error) {
-	// TODO implement
-	return nil, nil
+	pairString, e := order.Pair.ToString(c.assetConverter, c.delimiter)
+	if e != nil {
+		return nil, fmt.Errorf("error converting pair to string: %s", e)
+	}
+
+	side := "sell"
+	if order.OrderAction.IsBuy() {
+		side = "buy"
+	}
+
+	log.Printf("ccxt is submitting order: pair=%s, orderAction=%s, orderType=%s, volume=%s, price=%s\n",
+		pairString, order.OrderAction.String(), order.OrderType.String(), order.Volume.AsString(), order.Price.AsString())
+	ccxtOpenOrder, e := c.api.CreateLimitOrder(pairString, side, order.Volume.AsFloat(), order.Price.AsFloat())
+	if e != nil {
+		return nil, fmt.Errorf("error while creating limit order %s: %s", *order, e)
+	}
+
+	return model.MakeTransactionID(ccxtOpenOrder.ID), nil
 }
 
 // CancelOrder impl
-func (c ccxtExchange) CancelOrder(txID *model.TransactionID) (model.CancelOrderResult, error) {
-	// TODO implement
+func (c ccxtExchange) CancelOrder(txID *model.TransactionID, pair model.TradingPair) (model.CancelOrderResult, error) {
+	log.Printf("ccxt is canceling order: ID=%s, tradingPair: %s\n", txID.String(), pair.String())
+
+	resp, e := c.api.CancelOrder(txID.String(), pair.String())
+	if e != nil {
+		return model.CancelResultFailed, e
+	}
+
+	if resp == nil {
+		return model.CancelResultFailed, fmt.Errorf("response from CancelOrder was nil")
+	}
 	return model.CancelResultCancelSuccessful, nil
 }