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Binance: Add order side to trade data (#1782)

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* Add the initiating side to Binance trades

* Update TradeStream type, move trades declaraction

* Make side declaration in Binance trades consistent
This commit is contained in:
Bea
2025-01-24 06:39:41 +07:00
committed by GitHub
parent f0c785de89
commit 63f49860ed
3 changed files with 48 additions and 20 deletions
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4
exchanges/binance/binance_types.go
View File

@@ -198,7 +198,7 @@ type TradeStream struct {
BuyerOrderID int64 `json:"b"`
SellerOrderID int64 `json:"a"`
TimeStamp time.Time `json:"T"`
Maker bool `json:"m"`
IsBuyerMaker bool `json:"m"`
BestMatchPrice bool `json:"M"`
}
@@ -288,7 +288,7 @@ type AggregatedTrade struct {
FirstTradeID int64 `json:"f"`
LastTradeID int64 `json:"l"`
TimeStamp time.Time `json:"T"`
Maker bool `json:"m"`
IsBuyerMaker bool `json:"m"`
BestMatchPrice bool `json:"M"`
}

25
exchanges/binance/binance_websocket.go
View File

@@ -337,16 +337,21 @@ func (b *Binance) wsHandleData(respRaw []byte) error {
b.Name,
err)
}
return b.Websocket.Trade.Update(saveTradeData,
trade.Data{
CurrencyPair: pair,
Timestamp: t.TimeStamp,
Price: t.Price.Float64(),
Amount: t.Quantity.Float64(),
Exchange: b.Name,
AssetType: asset.Spot,
TID: strconv.FormatInt(t.TradeID, 10),
})
td := trade.Data{
CurrencyPair: pair,
Timestamp: t.TimeStamp,
Price: t.Price.Float64(),
Amount: t.Quantity.Float64(),
Exchange: b.Name,
AssetType: asset.Spot,
TID: strconv.FormatInt(t.TradeID, 10)}
if t.IsBuyerMaker { // Seller is Taker
td.Side = order.Sell
} else { // Buyer is Taker
td.Side = order.Buy
}
return b.Websocket.Trade.Update(saveTradeData, td)
case "ticker":
var t TickerStream
err = json.Unmarshal(jsonData, &t)

39
exchanges/binance/binance_wrapper.go
View File

@@ -783,7 +783,7 @@ func (b *Binance) GetRecentTrades(ctx context.Context, p currency.Pair, a asset.
}
for i := range tradeData {
resp = append(resp, trade.Data{
td := trade.Data{
TID: strconv.FormatInt(tradeData[i].ID, 10),
Exchange: b.Name,
CurrencyPair: p,
@@ -791,7 +791,13 @@ func (b *Binance) GetRecentTrades(ctx context.Context, p currency.Pair, a asset.
Price: tradeData[i].Price,
Amount: tradeData[i].Quantity,
Timestamp: tradeData[i].Time,
})
}
if tradeData[i].IsBuyerMaker { // Seller is Taker
td.Side = order.Sell
} else { // Buyer is Taker
td.Side = order.Buy
}
resp = append(resp, td)
}
case asset.USDTMarginedFutures:
tradeData, err := b.URecentTrades(ctx, pFmt, "", limit)
@@ -800,7 +806,7 @@ func (b *Binance) GetRecentTrades(ctx context.Context, p currency.Pair, a asset.
}
for i := range tradeData {
resp = append(resp, trade.Data{
td := trade.Data{
TID: strconv.FormatInt(tradeData[i].ID, 10),
Exchange: b.Name,
CurrencyPair: p,
@@ -808,7 +814,13 @@ func (b *Binance) GetRecentTrades(ctx context.Context, p currency.Pair, a asset.
Price: tradeData[i].Price,
Amount: tradeData[i].Qty,
Timestamp: tradeData[i].Time.Time(),
})
}
if tradeData[i].IsBuyerMaker { // Seller is Taker
td.Side = order.Sell
} else { // Buyer is Taker
td.Side = order.Buy
}
resp = append(resp, td)
}
case asset.CoinMarginedFutures:
tradeData, err := b.GetFuturesPublicTrades(ctx, pFmt, limit)
@@ -817,7 +829,7 @@ func (b *Binance) GetRecentTrades(ctx context.Context, p currency.Pair, a asset.
}
for i := range tradeData {
resp = append(resp, trade.Data{
td := trade.Data{
TID: strconv.FormatInt(tradeData[i].ID, 10),
Exchange: b.Name,
CurrencyPair: p,
@@ -825,7 +837,13 @@ func (b *Binance) GetRecentTrades(ctx context.Context, p currency.Pair, a asset.
Price: tradeData[i].Price,
Amount: tradeData[i].Qty,
Timestamp: tradeData[i].Time.Time(),
})
}
if tradeData[i].IsBuyerMaker { // Seller is Taker
td.Side = order.Sell
} else { // Buyer is Taker
td.Side = order.Buy
}
resp = append(resp, td)
}
}
@@ -864,7 +882,7 @@ func (b *Binance) GetHistoricTrades(ctx context.Context, p currency.Pair, a asse
}
result := make([]trade.Data, len(trades))
for i := range trades {
result[i] = trade.Data{
td := trade.Data{
CurrencyPair: p,
TID: strconv.FormatInt(trades[i].ATradeID, 10),
Amount: trades[i].Quantity,
@@ -872,8 +890,13 @@ func (b *Binance) GetHistoricTrades(ctx context.Context, p currency.Pair, a asse
Price: trades[i].Price,
Timestamp: trades[i].TimeStamp,
AssetType: a,
Side: order.AnySide,
}
if trades[i].IsBuyerMaker { // Seller is Taker
td.Side = order.Sell
} else { // Buyer is Taker
td.Side = order.Buy
}
result[i] = td
}
return result, nil
}