Files
gocryptotrader/exchanges/bitmex/bitmex_wrapper.go
Gareth Kirwan 1199f38546 subscriptions: Encapsulate, replace Pair with Pairs and refactor; improve exchange support
* Websocket: Use ErrSubscribedAlready

instead of errChannelAlreadySubscribed

* Subscriptions: Replace Pair with Pairs

Given that some subscriptions have multiple pairs, support that as the
standard.

* Docs: Update subscriptions in add new exch

* RPC: Update Subscription Pairs

* Linter: Disable testifylint.Len

We deliberately use Equal over Len to avoid spamming the contents of large Slices

* Websocket: Add suffix to state consts

* Binance: Subscription Pairs support

* Bitfinex: Subscription Pairs support

* Bithumb: Subscription Pairs support

* Bitmex: Subscription Pairs support

* Bitstamp: Subscription Pairs support

* BTCMarkets: Subscription Pairs support

* BTSE: Subscription Pairs support

* Coinbase: Subscription Pairs support

* Coinut: Subscription Pairs support

* GateIO: Subscription Pairs support

* Gemini: Subscription Pairs support and improvement

* Hitbtc: Subscription Pairs support

* Huboi: Subscription Pairs support

* Kucoin: Subscription Pairs support

* Okcoin: Subscription Pairs support

* Poloniex: Subscription Pairs support

* Kraken: Add subscription Pairs support

Note: This is a naieve implementation because we want to rebase the
kraken websocket rewrite on top of this

* Bybit: Subscription Pairs support

* Okx: Subscription Pairs support

* Bitmex: Subsription configuration

* Fixes unauthenticated websocket left as CanUseAuth
* Fixes auth subs happening privately

* CoinbasePro: Subscription Configuration

* Consolidate ProductIDs when all subscriptions are for the same list

* Websocket: Log actual sent message when Verbose

* Subscriptions: Improve clarity of which key is which in Match

* Subscriptions: Lint fix for HugeParam

* Subscriptions: Add AddPairs and move keys from test

* Subscriptions: Simplify subscription keys and add key types

* Subscriptions: Add List.GroupPairs Rename sub.AddPairs

* Subscription: Fix ExactKey not matching 0 pairs

* Subscriptions: Remove unused IdentityKey and HasPairKey

* Subscriptions: Fix GetKey test

* Subscriptions: Test coverage improvements

* Websocket: Change State on Add/Remove

* Subscriptions: Improve error context

* Subscriptions: Fix Enable: false subs not ignored

* Bitfinex: Fix WsAuth test failing on DataHandler

DataHandler is eaten by dataMonitor now, so we need to use ToRoutine

* Deribit: Subscription Pairs support

* Websocket: Accept nil lists for checkSubscriptions

If the user passes in a nil (implicitly empty) list, we would not panic.
Therefore the burden of correctness about that data lies with them.
The list of subscriptions is empty, and that's okay, and possibly
convenient

* Websocket: Add context to NilPointer errors

* Subscriptions: Add context to nil errors

* Exchange: Fix error expectations in UnsubToWSChans
2024-06-07 11:54:08 +10:00

1388 lines
42 KiB
Go

package bitmex
import (
"context"
"errors"
"fmt"
"math"
"sort"
"strconv"
"strings"
"time"
"github.com/shopspring/decimal"
"github.com/thrasher-corp/gocryptotrader/common"
"github.com/thrasher-corp/gocryptotrader/common/key"
"github.com/thrasher-corp/gocryptotrader/config"
"github.com/thrasher-corp/gocryptotrader/currency"
exchange "github.com/thrasher-corp/gocryptotrader/exchanges"
"github.com/thrasher-corp/gocryptotrader/exchanges/account"
"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
"github.com/thrasher-corp/gocryptotrader/exchanges/deposit"
"github.com/thrasher-corp/gocryptotrader/exchanges/fundingrate"
"github.com/thrasher-corp/gocryptotrader/exchanges/futures"
"github.com/thrasher-corp/gocryptotrader/exchanges/kline"
"github.com/thrasher-corp/gocryptotrader/exchanges/order"
"github.com/thrasher-corp/gocryptotrader/exchanges/orderbook"
"github.com/thrasher-corp/gocryptotrader/exchanges/protocol"
"github.com/thrasher-corp/gocryptotrader/exchanges/request"
"github.com/thrasher-corp/gocryptotrader/exchanges/stream"
"github.com/thrasher-corp/gocryptotrader/exchanges/stream/buffer"
"github.com/thrasher-corp/gocryptotrader/exchanges/subscription"
"github.com/thrasher-corp/gocryptotrader/exchanges/ticker"
"github.com/thrasher-corp/gocryptotrader/exchanges/trade"
"github.com/thrasher-corp/gocryptotrader/log"
"github.com/thrasher-corp/gocryptotrader/portfolio/withdraw"
)
// SetDefaults sets the basic defaults for Bitmex
func (b *Bitmex) SetDefaults() {
b.Name = "Bitmex"
b.Enabled = true
b.Verbose = true
b.API.CredentialsValidator.RequiresKey = true
b.API.CredentialsValidator.RequiresSecret = true
configFmt := &currency.PairFormat{Uppercase: true, Delimiter: currency.DashDelimiter}
standardRequestFmt := &currency.PairFormat{Uppercase: true}
spotRequestFormat := &currency.PairFormat{Uppercase: true, Delimiter: currency.UnderscoreDelimiter}
spot := currency.PairStore{RequestFormat: spotRequestFormat, ConfigFormat: configFmt}
err := b.StoreAssetPairFormat(asset.Spot, spot)
if err != nil {
log.Errorln(log.ExchangeSys, err)
}
perp := currency.PairStore{RequestFormat: standardRequestFmt, ConfigFormat: configFmt}
err = b.StoreAssetPairFormat(asset.PerpetualContract, perp)
if err != nil {
log.Errorln(log.ExchangeSys, err)
}
futures := currency.PairStore{RequestFormat: standardRequestFmt, ConfigFormat: configFmt}
err = b.StoreAssetPairFormat(asset.Futures, futures)
if err != nil {
log.Errorln(log.ExchangeSys, err)
}
index := currency.PairStore{RequestFormat: standardRequestFmt, ConfigFormat: configFmt}
err = b.StoreAssetPairFormat(asset.Index, index)
if err != nil {
log.Errorln(log.ExchangeSys, err)
}
err = b.DisableAssetWebsocketSupport(asset.Index)
if err != nil {
log.Errorln(log.ExchangeSys, err)
}
b.Features = exchange.Features{
Supports: exchange.FeaturesSupported{
REST: true,
Websocket: true,
RESTCapabilities: protocol.Features{
TickerBatching: true,
TickerFetching: true,
TradeFetching: true,
OrderbookFetching: true,
AutoPairUpdates: true,
AccountInfo: true,
GetOrder: true,
GetOrders: true,
CancelOrders: true,
CancelOrder: true,
SubmitOrder: true,
SubmitOrders: true,
ModifyOrder: true,
DepositHistory: true,
WithdrawalHistory: true,
UserTradeHistory: true,
CryptoDeposit: true,
CryptoWithdrawal: true,
TradeFee: true,
CryptoWithdrawalFee: true,
FundingRateFetching: true,
},
WebsocketCapabilities: protocol.Features{
TradeFetching: true,
OrderbookFetching: true,
Subscribe: true,
Unsubscribe: true,
AuthenticatedEndpoints: true,
AccountInfo: true,
DeadMansSwitch: true,
GetOrders: true,
GetOrder: true,
FundingRateFetching: false, // supported but not implemented // TODO when multi-websocket support added
},
FuturesCapabilities: exchange.FuturesCapabilities{
FundingRates: true,
SupportedFundingRateFrequencies: map[kline.Interval]bool{
kline.EightHour: true,
},
FundingRateBatching: map[asset.Item]bool{
asset.PerpetualContract: true,
},
OpenInterest: exchange.OpenInterestSupport{
Supported: true,
SupportedViaTicker: true,
SupportsRestBatch: true,
},
},
WithdrawPermissions: exchange.AutoWithdrawCryptoWithAPIPermission |
exchange.WithdrawCryptoWithEmail |
exchange.WithdrawCryptoWith2FA |
exchange.NoFiatWithdrawals,
},
Enabled: exchange.FeaturesEnabled{
AutoPairUpdates: true,
},
Subscriptions: subscription.List{
{Enabled: true, Channel: bitmexWSAnnouncement},
{Enabled: true, Channel: bitmexWSOrderbookL2, Asset: asset.All},
{Enabled: true, Channel: bitmexWSTrade, Asset: asset.All},
{Enabled: true, Channel: bitmexWSAffiliate, Authenticated: true},
{Enabled: true, Channel: bitmexWSOrder, Authenticated: true},
{Enabled: true, Channel: bitmexWSMargin, Authenticated: true},
{Enabled: true, Channel: bitmexWSPrivateNotifications, Authenticated: true},
{Enabled: true, Channel: bitmexWSTransact, Authenticated: true},
{Enabled: true, Channel: bitmexWSWallet, Authenticated: true},
{Enabled: true, Channel: bitmexWSExecution, Authenticated: true, Asset: asset.PerpetualContract},
{Enabled: true, Channel: bitmexWSPosition, Authenticated: true, Asset: asset.PerpetualContract},
},
}
b.Requester, err = request.New(b.Name,
common.NewHTTPClientWithTimeout(exchange.DefaultHTTPTimeout),
request.WithLimiter(GetRateLimit()))
if err != nil {
log.Errorln(log.ExchangeSys, err)
}
b.API.Endpoints = b.NewEndpoints()
err = b.API.Endpoints.SetDefaultEndpoints(map[exchange.URL]string{
exchange.RestSpot: bitmexAPIURL,
exchange.WebsocketSpot: bitmexWSURL,
})
if err != nil {
log.Errorln(log.ExchangeSys, err)
}
b.Websocket = stream.NewWebsocket()
b.WebsocketResponseMaxLimit = exchange.DefaultWebsocketResponseMaxLimit
b.WebsocketResponseCheckTimeout = exchange.DefaultWebsocketResponseCheckTimeout
b.WebsocketOrderbookBufferLimit = exchange.DefaultWebsocketOrderbookBufferLimit
}
// Setup takes in the supplied exchange configuration details and sets params
func (b *Bitmex) Setup(exch *config.Exchange) error {
err := exch.Validate()
if err != nil {
return err
}
if !exch.Enabled {
b.SetEnabled(false)
return nil
}
err = b.SetupDefaults(exch)
if err != nil {
return err
}
wsEndpoint, err := b.API.Endpoints.GetURL(exchange.WebsocketSpot)
if err != nil {
return err
}
err = b.Websocket.Setup(&stream.WebsocketSetup{
ExchangeConfig: exch,
DefaultURL: bitmexWSURL,
RunningURL: wsEndpoint,
Connector: b.WsConnect,
Subscriber: b.Subscribe,
Unsubscriber: b.Unsubscribe,
GenerateSubscriptions: b.generateSubscriptions,
Features: &b.Features.Supports.WebsocketCapabilities,
OrderbookBufferConfig: buffer.Config{
UpdateEntriesByID: true,
},
})
if err != nil {
return err
}
return b.Websocket.SetupNewConnection(stream.ConnectionSetup{
ResponseCheckTimeout: exch.WebsocketResponseCheckTimeout,
ResponseMaxLimit: exch.WebsocketResponseMaxLimit,
URL: bitmexWSURL,
})
}
// FetchTradablePairs returns a list of the exchanges tradable pairs
func (b *Bitmex) FetchTradablePairs(ctx context.Context, a asset.Item) (currency.Pairs, error) {
marketInfo, err := b.GetActiveAndIndexInstruments(ctx)
if err != nil {
return nil, err
}
pairs := make([]currency.Pair, 0, len(marketInfo))
for x := range marketInfo {
if marketInfo[x].State != "Open" && a != asset.Index {
continue
}
var pair currency.Pair
switch a {
case asset.Spot:
if marketInfo[x].Typ == spotID {
pair, err = currency.NewPairFromString(marketInfo[x].Symbol)
if err != nil {
return nil, err
}
pairs = append(pairs, pair)
}
case asset.PerpetualContract:
if marketInfo[x].Typ == perpetualContractID {
var settleTrail string
if strings.Contains(marketInfo[x].Symbol, currency.UnderscoreDelimiter) {
// Example: ETHUSD_ETH quoted in USD, paid out in ETH.
settlement := strings.Split(marketInfo[x].Symbol, currency.UnderscoreDelimiter)
if len(settlement) != 2 {
log.Warnf(log.ExchangeSys, "%s currency %s %s cannot be added to tradable pairs",
b.Name,
marketInfo[x].Symbol,
a)
break
}
settleTrail = currency.UnderscoreDelimiter + settlement[1]
}
pair, err = currency.NewPairFromStrings(marketInfo[x].Underlying,
marketInfo[x].QuoteCurrency+settleTrail)
if err != nil {
return nil, err
}
pairs = append(pairs, pair)
}
case asset.Futures:
if marketInfo[x].Typ == futuresID {
isolate := strings.Split(marketInfo[x].Symbol, currency.UnderscoreDelimiter)
if len(isolate[0]) < 3 {
log.Warnf(log.ExchangeSys, "%s currency %s %s be cannot added to tradable pairs",
b.Name,
marketInfo[x].Symbol,
a)
break
}
var settleTrail string
if len(isolate) == 2 {
// Example: ETHUSDU22_ETH quoted in USD, paid out in ETH.
settleTrail = currency.UnderscoreDelimiter + isolate[1]
}
root := isolate[0][:len(isolate[0])-3]
contract := isolate[0][len(isolate[0])-3:]
pair, err = currency.NewPairFromStrings(root, contract+settleTrail)
if err != nil {
return nil, err
}
pairs = append(pairs, pair)
}
case asset.Index:
// TODO: This can be expanded into individual assets later.
if marketInfo[x].Typ == bitMEXBasketIndexID ||
marketInfo[x].Typ == bitMEXPriceIndexID ||
marketInfo[x].Typ == bitMEXLendingPremiumIndexID ||
marketInfo[x].Typ == bitMEXVolatilityIndexID {
pair, err = currency.NewPairFromString(marketInfo[x].Symbol)
if err != nil {
return nil, err
}
pairs = append(pairs, pair)
}
default:
return nil, errors.New("unhandled asset type")
}
}
return pairs, nil
}
// UpdateTradablePairs updates the exchanges available pairs and stores
// them in the exchanges config
func (b *Bitmex) UpdateTradablePairs(ctx context.Context, _ bool) error {
assets := b.GetAssetTypes(false)
for x := range assets {
pairs, err := b.FetchTradablePairs(ctx, assets[x])
if err != nil {
return err
}
err = b.UpdatePairs(pairs, assets[x], false, false)
if err != nil {
return err
}
}
return b.EnsureOnePairEnabled()
}
// UpdateTickers updates the ticker for all currency pairs of a given asset type
func (b *Bitmex) UpdateTickers(ctx context.Context, a asset.Item) error {
if !b.SupportsAsset(a) {
return fmt.Errorf("%w for [%v]", asset.ErrNotSupported, a)
}
tick, err := b.GetActiveAndIndexInstruments(ctx)
if err != nil {
return err
}
var enabled bool
instruments:
for j := range tick {
var pair currency.Pair
switch a {
case asset.Futures:
if tick[j].Typ != futuresID {
continue instruments
}
pair, enabled, err = b.MatchSymbolCheckEnabled(tick[j].Symbol, a, false)
case asset.Index:
switch tick[j].Typ {
case bitMEXBasketIndexID,
bitMEXPriceIndexID,
bitMEXLendingPremiumIndexID,
bitMEXVolatilityIndexID:
default:
continue instruments
}
// NOTE: Filtering is done below to remove the underscore in a
// limited amount of index asset strings while the rest do not
// contain an underscore. Calling DeriveFrom will then error and
// the instruments will be missed.
tick[j].Symbol = strings.Replace(tick[j].Symbol, currency.UnderscoreDelimiter, "", 1)
pair, enabled, err = b.MatchSymbolCheckEnabled(tick[j].Symbol, a, false)
case asset.PerpetualContract:
if tick[j].Typ != perpetualContractID {
continue instruments
}
pair, enabled, err = b.MatchSymbolCheckEnabled(tick[j].Symbol, a, false)
case asset.Spot:
if tick[j].Typ != spotID {
continue instruments
}
tick[j].Symbol = strings.Replace(tick[j].Symbol, currency.UnderscoreDelimiter, "", 1)
pair, enabled, err = b.MatchSymbolCheckEnabled(tick[j].Symbol, a, false)
}
if err != nil && !errors.Is(err, currency.ErrPairNotFound) {
return err
}
if !enabled {
continue
}
err = ticker.ProcessTicker(&ticker.Price{
Last: tick[j].LastPrice,
High: tick[j].HighPrice,
Low: tick[j].LowPrice,
Bid: tick[j].BidPrice,
Ask: tick[j].AskPrice,
Volume: tick[j].Volume24h,
Close: tick[j].PrevClosePrice,
Pair: pair,
LastUpdated: tick[j].Timestamp,
ExchangeName: b.Name,
OpenInterest: tick[j].OpenInterest,
AssetType: a})
if err != nil {
return err
}
}
return nil
}
// UpdateTicker updates and returns the ticker for a currency pair
func (b *Bitmex) UpdateTicker(ctx context.Context, p currency.Pair, a asset.Item) (*ticker.Price, error) {
if err := b.UpdateTickers(ctx, a); err != nil {
return nil, err
}
fPair, err := b.FormatExchangeCurrency(p, a)
if err != nil {
return nil, err
}
return ticker.GetTicker(b.Name, fPair, a)
}
// FetchTicker returns the ticker for a currency pair
func (b *Bitmex) FetchTicker(ctx context.Context, p currency.Pair, assetType asset.Item) (*ticker.Price, error) {
fPair, err := b.FormatExchangeCurrency(p, assetType)
if err != nil {
return nil, err
}
tickerNew, err := ticker.GetTicker(b.Name, fPair, assetType)
if err != nil {
return b.UpdateTicker(ctx, fPair, assetType)
}
return tickerNew, nil
}
// FetchOrderbook returns orderbook base on the currency pair
func (b *Bitmex) FetchOrderbook(ctx context.Context, p currency.Pair, assetType asset.Item) (*orderbook.Base, error) {
fPair, err := b.FormatExchangeCurrency(p, assetType)
if err != nil {
return nil, err
}
ob, err := orderbook.Get(b.Name, fPair, assetType)
if err != nil {
return b.UpdateOrderbook(ctx, fPair, assetType)
}
return ob, nil
}
// UpdateOrderbook updates and returns the orderbook for a currency pair
func (b *Bitmex) UpdateOrderbook(ctx context.Context, p currency.Pair, assetType asset.Item) (*orderbook.Base, error) {
if p.IsEmpty() {
return nil, currency.ErrCurrencyPairEmpty
}
if err := b.CurrencyPairs.IsAssetEnabled(assetType); err != nil {
return nil, err
}
book := &orderbook.Base{
Exchange: b.Name,
Pair: p,
Asset: assetType,
VerifyOrderbook: b.CanVerifyOrderbook,
}
if assetType == asset.Index {
return book, common.ErrFunctionNotSupported
}
fPair, err := b.FormatExchangeCurrency(p, assetType)
if err != nil {
return book, err
}
orderbookNew, err := b.GetOrderbook(ctx,
OrderBookGetL2Params{
Symbol: fPair.String(),
Depth: 500})
if err != nil {
return book, err
}
book.Asks = make(orderbook.Tranches, 0, len(orderbookNew))
book.Bids = make(orderbook.Tranches, 0, len(orderbookNew))
for i := range orderbookNew {
switch {
case strings.EqualFold(orderbookNew[i].Side, order.Sell.String()):
book.Asks = append(book.Asks, orderbook.Tranche{
Amount: float64(orderbookNew[i].Size),
Price: orderbookNew[i].Price,
})
case strings.EqualFold(orderbookNew[i].Side, order.Buy.String()):
book.Bids = append(book.Bids, orderbook.Tranche{
Amount: float64(orderbookNew[i].Size),
Price: orderbookNew[i].Price,
})
default:
return book,
fmt.Errorf("could not process orderbook, order side [%s] could not be matched",
orderbookNew[i].Side)
}
}
book.Asks.Reverse() // Reverse order of asks to ascending
err = book.Process()
if err != nil {
return book, err
}
return orderbook.Get(b.Name, p, assetType)
}
// UpdateAccountInfo retrieves balances for all enabled currencies for the
// Bitmex exchange
func (b *Bitmex) UpdateAccountInfo(ctx context.Context, assetType asset.Item) (account.Holdings, error) {
var info account.Holdings
userMargins, err := b.GetAllUserMargin(ctx)
if err != nil {
return info, err
}
accountBalances := make(map[string][]account.Balance)
// Need to update to add Margin/Liquidity availability
for i := range userMargins {
accountID := strconv.FormatInt(userMargins[i].Account, 10)
var wallet WalletInfo
wallet, err = b.GetWalletInfo(ctx, userMargins[i].Currency)
if err != nil {
continue
}
accountBalances[accountID] = append(
accountBalances[accountID], account.Balance{
Currency: currency.NewCode(wallet.Currency),
Total: wallet.Amount,
},
)
}
if info.Accounts, err = account.CollectBalances(accountBalances, assetType); err != nil {
return account.Holdings{}, err
}
info.Exchange = b.Name
creds, err := b.GetCredentials(ctx)
if err != nil {
return account.Holdings{}, err
}
if err := account.Process(&info, creds); err != nil {
return account.Holdings{}, err
}
return info, nil
}
// FetchAccountInfo retrieves balances for all enabled currencies
func (b *Bitmex) FetchAccountInfo(ctx context.Context, assetType asset.Item) (account.Holdings, error) {
creds, err := b.GetCredentials(ctx)
if err != nil {
return account.Holdings{}, err
}
acc, err := account.GetHoldings(b.Name, creds, assetType)
if err != nil {
return b.UpdateAccountInfo(ctx, assetType)
}
return acc, nil
}
// GetAccountFundingHistory returns funding history, deposits and
// withdrawals
func (b *Bitmex) GetAccountFundingHistory(ctx context.Context) ([]exchange.FundingHistory, error) {
history, err := b.GetWalletHistory(ctx, "all")
if err != nil {
return nil, err
}
resp := make([]exchange.FundingHistory, len(history))
for i := range history {
resp[i] = exchange.FundingHistory{
ExchangeName: b.Name,
Status: history[i].TransactStatus,
Timestamp: history[i].Timestamp,
Currency: history[i].Currency,
Amount: history[i].Amount,
Fee: history[i].Fee,
TransferType: history[i].TransactType,
CryptoToAddress: history[i].Address,
CryptoTxID: history[i].TransactID,
CryptoChain: history[i].Network,
}
}
return resp, nil
}
// GetWithdrawalsHistory returns previous withdrawals data
func (b *Bitmex) GetWithdrawalsHistory(ctx context.Context, c currency.Code, _ asset.Item) ([]exchange.WithdrawalHistory, error) {
history, err := b.GetWalletHistory(ctx, c.String())
if err != nil {
return nil, err
}
resp := make([]exchange.WithdrawalHistory, len(history))
for i := range history {
resp[i] = exchange.WithdrawalHistory{
Status: history[i].TransactStatus,
Timestamp: history[i].Timestamp,
Currency: history[i].Currency,
Amount: history[i].Amount,
Fee: history[i].Fee,
TransferType: history[i].TransactType,
CryptoToAddress: history[i].Address,
CryptoTxID: history[i].TransactID,
CryptoChain: history[i].Network,
}
}
return resp, nil
}
// GetServerTime returns the current exchange server time.
func (b *Bitmex) GetServerTime(_ context.Context, _ asset.Item) (time.Time, error) {
return time.Time{}, common.ErrFunctionNotSupported
}
// GetRecentTrades returns the most recent trades for a currency and asset
func (b *Bitmex) GetRecentTrades(ctx context.Context, p currency.Pair, assetType asset.Item) ([]trade.Data, error) {
return b.GetHistoricTrades(ctx, p, assetType, time.Now().Add(-time.Minute*15), time.Now())
}
// GetHistoricTrades returns historic trade data within the timeframe provided
func (b *Bitmex) GetHistoricTrades(ctx context.Context, p currency.Pair, assetType asset.Item, timestampStart, timestampEnd time.Time) ([]trade.Data, error) {
if assetType == asset.Index {
return nil, fmt.Errorf("%w %v", asset.ErrNotSupported, assetType)
}
if err := common.StartEndTimeCheck(timestampStart, timestampEnd); err != nil {
return nil, fmt.Errorf("invalid time range supplied. Start: %v End %v %w", timestampStart, timestampEnd, err)
}
var err error
p, err = b.FormatExchangeCurrency(p, assetType)
if err != nil {
return nil, err
}
limit := 1000
req := &GenericRequestParams{
Symbol: p.String(),
Count: int32(limit),
EndTime: timestampEnd.UTC().Format("2006-01-02T15:04:05.000Z"),
}
ts := timestampStart
var resp []trade.Data
allTrades:
for {
req.StartTime = ts.UTC().Format("2006-01-02T15:04:05.000Z")
var tradeData []Trade
tradeData, err = b.GetTrade(ctx, req)
if err != nil {
return nil, err
}
for i := range tradeData {
if tradeData[i].Timestamp.Before(timestampStart) || tradeData[i].Timestamp.After(timestampEnd) {
break allTrades
}
var side order.Side
side, err = order.StringToOrderSide(tradeData[i].Side)
if err != nil {
return nil, err
}
if tradeData[i].Price == 0 {
// Please note that indices (symbols starting with .) post trades at intervals to the trade feed.
// These have a size of 0 and are used only to indicate a changing price.
continue
}
resp = append(resp, trade.Data{
Exchange: b.Name,
CurrencyPair: p,
AssetType: assetType,
Side: side,
Price: tradeData[i].Price,
Amount: float64(tradeData[i].Size),
Timestamp: tradeData[i].Timestamp,
TID: tradeData[i].TrdMatchID,
})
if i == len(tradeData)-1 {
if ts.Equal(tradeData[i].Timestamp) {
// reached end of trades to crawl
break allTrades
}
ts = tradeData[i].Timestamp
}
}
if len(tradeData) != limit {
break allTrades
}
}
err = b.AddTradesToBuffer(resp...)
if err != nil {
return nil, err
}
sort.Sort(trade.ByDate(resp))
return trade.FilterTradesByTime(resp, timestampStart, timestampEnd), nil
}
// SubmitOrder submits a new order
func (b *Bitmex) SubmitOrder(ctx context.Context, s *order.Submit) (*order.SubmitResponse, error) {
if err := s.Validate(); err != nil {
return nil, err
}
if math.Trunc(s.Amount) != s.Amount {
return nil,
errors.New("order contract amount can not have decimals")
}
fPair, err := b.FormatExchangeCurrency(s.Pair, s.AssetType)
if err != nil {
return nil, err
}
var orderNewParams = OrderNewParams{
OrderType: s.Type.Title(),
Symbol: fPair.String(),
OrderQuantity: s.Amount,
Side: s.Side.Title(),
}
if s.Type == order.Limit {
orderNewParams.Price = s.Price
}
response, err := b.CreateOrder(ctx, &orderNewParams)
if err != nil {
return nil, err
}
return s.DeriveSubmitResponse(response.OrderID)
}
// ModifyOrder will allow of changing orderbook placement and limit to
// market conversion
func (b *Bitmex) ModifyOrder(ctx context.Context, action *order.Modify) (*order.ModifyResponse, error) {
if err := action.Validate(); err != nil {
return nil, err
}
if math.Trunc(action.Amount) != action.Amount {
return nil, errors.New("contract amount can not have decimals")
}
o, err := b.AmendOrder(ctx, &OrderAmendParams{
OrderID: action.OrderID,
OrderQty: int32(action.Amount),
Price: action.Price})
if err != nil {
return nil, err
}
resp, err := action.DeriveModifyResponse()
if err != nil {
return nil, err
}
resp.OrderID = o.OrderID
resp.RemainingAmount = o.OrderQty
resp.LastUpdated = o.TransactTime
return resp, nil
}
// CancelOrder cancels an order by its corresponding ID number
func (b *Bitmex) CancelOrder(ctx context.Context, o *order.Cancel) error {
if err := o.Validate(o.StandardCancel()); err != nil {
return err
}
_, err := b.CancelOrders(ctx, &OrderCancelParams{
OrderID: o.OrderID,
})
return err
}
// CancelBatchOrders cancels an orders by their corresponding ID numbers
func (b *Bitmex) CancelBatchOrders(ctx context.Context, o []order.Cancel) (*order.CancelBatchResponse, error) {
if len(o) == 0 {
return nil, order.ErrCancelOrderIsNil
}
var orderIDs, clientIDs []string
for i := range o {
switch {
case o[i].ClientOrderID != "":
clientIDs = append(clientIDs, o[i].ClientID)
case o[i].OrderID != "":
orderIDs = append(orderIDs, o[i].OrderID)
default:
return nil, order.ErrOrderIDNotSet
}
}
joinedOrderIDs := strings.Join(orderIDs, ",")
joinedClientIDs := strings.Join(clientIDs, ",")
params := &OrderCancelParams{
OrderID: joinedOrderIDs,
ClientOrderID: joinedClientIDs,
}
resp := &order.CancelBatchResponse{
Status: make(map[string]string),
}
cancelResponse, err := b.CancelOrders(ctx, params)
if err != nil {
return nil, err
}
for i := range cancelResponse {
resp.Status[cancelResponse[i].OrderID] = cancelResponse[i].OrdStatus
}
return resp, nil
}
// CancelAllOrders cancels all orders associated with a currency pair
func (b *Bitmex) CancelAllOrders(ctx context.Context, _ *order.Cancel) (order.CancelAllResponse, error) {
cancelAllOrdersResponse := order.CancelAllResponse{
Status: make(map[string]string),
}
var emptyParams OrderCancelAllParams
orders, err := b.CancelAllExistingOrders(ctx, emptyParams)
if err != nil {
return cancelAllOrdersResponse, err
}
for i := range orders {
if orders[i].OrdRejReason != "" {
cancelAllOrdersResponse.Status[orders[i].OrderID] = orders[i].OrdRejReason
}
}
return cancelAllOrdersResponse, nil
}
// GetOrderInfo returns order information based on order ID
func (b *Bitmex) GetOrderInfo(ctx context.Context, orderID string, pair currency.Pair, assetType asset.Item) (*order.Detail, error) {
if pair.IsEmpty() {
return nil, currency.ErrCurrencyPairEmpty
}
if err := b.CurrencyPairs.IsAssetEnabled(assetType); err != nil {
return nil, err
}
resp, err := b.GetOrders(ctx, &OrdersRequest{
Filter: `{"orderID":"` + orderID + `"}`,
})
if err != nil {
return nil, err
}
for i := range resp {
if resp[i].OrderID != orderID {
continue
}
var orderStatus order.Status
orderStatus, err = order.StringToOrderStatus(resp[i].OrdStatus)
if err != nil {
return nil, err
}
var oType order.Type
oType, err = b.getOrderType(resp[i].OrdType)
if err != nil {
return nil, err
}
return &order.Detail{
Date: resp[i].Timestamp,
Price: resp[i].Price,
Amount: resp[i].OrderQty,
ExecutedAmount: resp[i].CumQty,
RemainingAmount: resp[i].LeavesQty,
Exchange: b.Name,
OrderID: resp[i].OrderID,
Side: orderSideMap[resp[i].Side],
Status: orderStatus,
Type: oType,
Pair: pair,
AssetType: assetType,
}, nil
}
return nil, fmt.Errorf("%w %v", order.ErrOrderNotFound, orderID)
}
// GetDepositAddress returns a deposit address for a specified currency
func (b *Bitmex) GetDepositAddress(ctx context.Context, cryptocurrency currency.Code, _, _ string) (*deposit.Address, error) {
resp, err := b.GetCryptoDepositAddress(ctx, cryptocurrency.String())
if err != nil {
return nil, err
}
return &deposit.Address{
Address: resp,
}, nil
}
// WithdrawCryptocurrencyFunds returns a withdrawal ID when a withdrawal is
// submitted
func (b *Bitmex) WithdrawCryptocurrencyFunds(ctx context.Context, withdrawRequest *withdraw.Request) (*withdraw.ExchangeResponse, error) {
if err := withdrawRequest.Validate(); err != nil {
return nil, err
}
var r = UserRequestWithdrawalParams{
Address: withdrawRequest.Crypto.Address,
Amount: withdrawRequest.Amount,
Currency: withdrawRequest.Currency.String(),
OtpToken: withdrawRequest.OneTimePassword,
}
if withdrawRequest.Crypto.FeeAmount > 0 {
r.Fee = withdrawRequest.Crypto.FeeAmount
}
resp, err := b.UserRequestWithdrawal(ctx, r)
if err != nil {
return nil, err
}
return &withdraw.ExchangeResponse{
Status: resp.Text,
ID: resp.Tx,
}, nil
}
// WithdrawFiatFunds returns a withdrawal ID when a withdrawal is
// submitted
func (b *Bitmex) WithdrawFiatFunds(_ context.Context, _ *withdraw.Request) (*withdraw.ExchangeResponse, error) {
return nil, common.ErrFunctionNotSupported
}
// WithdrawFiatFundsToInternationalBank returns a withdrawal ID when a withdrawal is
// submitted
func (b *Bitmex) WithdrawFiatFundsToInternationalBank(_ context.Context, _ *withdraw.Request) (*withdraw.ExchangeResponse, error) {
return nil, common.ErrFunctionNotSupported
}
// GetFeeByType returns an estimate of fee based on type of transaction
func (b *Bitmex) GetFeeByType(ctx context.Context, feeBuilder *exchange.FeeBuilder) (float64, error) {
if feeBuilder == nil {
return 0, fmt.Errorf("%T %w", feeBuilder, common.ErrNilPointer)
}
if !b.AreCredentialsValid(ctx) && // Todo check connection status
feeBuilder.FeeType == exchange.CryptocurrencyTradeFee {
feeBuilder.FeeType = exchange.OfflineTradeFee
}
return b.GetFee(feeBuilder)
}
// GetActiveOrders retrieves any orders that are active/open
// This function is not concurrency safe due to orderSide/orderType maps
func (b *Bitmex) GetActiveOrders(ctx context.Context, req *order.MultiOrderRequest) (order.FilteredOrders, error) {
err := req.Validate()
if err != nil {
return nil, err
}
params := OrdersRequest{
Filter: "{\"open\":true}",
}
resp, err := b.GetOrders(ctx, &params)
if err != nil {
return nil, err
}
format, err := b.GetPairFormat(asset.PerpetualContract, false)
if err != nil {
return nil, err
}
orders := make([]order.Detail, len(resp))
for i := range resp {
var orderStatus order.Status
orderStatus, err = order.StringToOrderStatus(resp[i].OrdStatus)
if err != nil {
log.Errorf(log.ExchangeSys, "%s %v", b.Name, err)
}
var oType order.Type
oType, err = b.getOrderType(resp[i].OrdType)
if err != nil {
log.Errorf(log.ExchangeSys, "%s %v", b.Name, err)
}
orderDetail := order.Detail{
Date: resp[i].Timestamp,
Price: resp[i].Price,
Amount: resp[i].OrderQty,
ExecutedAmount: resp[i].CumQty,
RemainingAmount: resp[i].LeavesQty,
Exchange: b.Name,
OrderID: resp[i].OrderID,
Side: orderSideMap[resp[i].Side],
Status: orderStatus,
Type: oType,
Pair: currency.NewPairWithDelimiter(resp[i].Symbol,
resp[i].SettlCurrency,
format.Delimiter),
}
orders[i] = orderDetail
}
return req.Filter(b.Name, orders), nil
}
// GetOrderHistory retrieves account order information
// Can Limit response to specific order status
// This function is not concurrency safe due to orderSide/orderType maps
func (b *Bitmex) GetOrderHistory(ctx context.Context, req *order.MultiOrderRequest) (order.FilteredOrders, error) {
err := req.Validate()
if err != nil {
return nil, err
}
params := OrdersRequest{}
resp, err := b.GetOrders(ctx, &params)
if err != nil {
return nil, err
}
format, err := b.GetPairFormat(asset.PerpetualContract, false)
if err != nil {
return nil, err
}
orders := make([]order.Detail, len(resp))
for i := range resp {
orderSide := orderSideMap[resp[i].Side]
var orderStatus order.Status
orderStatus, err = order.StringToOrderStatus(resp[i].OrdStatus)
if err != nil {
log.Errorf(log.ExchangeSys, "%s %v", b.Name, err)
}
pair := currency.NewPairWithDelimiter(resp[i].Symbol, resp[i].SettlCurrency, format.Delimiter)
var oType order.Type
oType, err = b.getOrderType(resp[i].OrdType)
if err != nil {
log.Errorf(log.ExchangeSys, "%s %v", b.Name, err)
}
orderDetail := order.Detail{
Price: resp[i].Price,
AverageExecutedPrice: resp[i].AvgPx,
Amount: resp[i].OrderQty,
ExecutedAmount: resp[i].CumQty,
RemainingAmount: resp[i].LeavesQty,
Date: resp[i].TransactTime,
CloseTime: resp[i].Timestamp,
Exchange: b.Name,
OrderID: resp[i].OrderID,
Side: orderSide,
Status: orderStatus,
Type: oType,
Pair: pair,
}
orderDetail.InferCostsAndTimes()
orders[i] = orderDetail
}
return req.Filter(b.Name, orders), nil
}
// AuthenticateWebsocket sends an authentication message to the websocket
func (b *Bitmex) AuthenticateWebsocket(ctx context.Context) error {
return b.websocketSendAuth(ctx)
}
// ValidateAPICredentials validates current credentials used for wrapper
// functionality
func (b *Bitmex) ValidateAPICredentials(ctx context.Context, assetType asset.Item) error {
_, err := b.UpdateAccountInfo(ctx, assetType)
return b.CheckTransientError(err)
}
// GetHistoricCandles returns candles between a time period for a set time interval
func (b *Bitmex) GetHistoricCandles(_ context.Context, _ currency.Pair, _ asset.Item, _ kline.Interval, _, _ time.Time) (*kline.Item, error) {
return nil, common.ErrFunctionNotSupported
}
// GetHistoricCandlesExtended returns candles between a time period for a set time interval
func (b *Bitmex) GetHistoricCandlesExtended(_ context.Context, _ currency.Pair, _ asset.Item, _ kline.Interval, _, _ time.Time) (*kline.Item, error) {
return nil, common.ErrFunctionNotSupported
}
// getOrderType derives an order type from bitmex int representation
func (b *Bitmex) getOrderType(id int64) (order.Type, error) {
o, ok := orderTypeMap[id]
if !ok {
return order.UnknownType, fmt.Errorf("unhandled order type for '%d': %w", id, order.ErrTypeIsInvalid)
}
return o, nil
}
// GetFuturesContractDetails returns details about futures contracts
func (b *Bitmex) GetFuturesContractDetails(ctx context.Context, item asset.Item) ([]futures.Contract, error) {
if !item.IsFutures() {
return nil, futures.ErrNotFuturesAsset
}
if !b.SupportsAsset(item) || item == asset.Index {
return nil, fmt.Errorf("%w %v", asset.ErrNotSupported, item)
}
marketInfo, err := b.GetInstruments(ctx, &GenericRequestParams{Reverse: true, Count: 500})
if err != nil {
return nil, err
}
resp := make([]futures.Contract, 0, len(marketInfo))
switch item {
case asset.PerpetualContract:
for x := range marketInfo {
if marketInfo[x].Typ != perpetualContractID {
continue
}
var cp, underlying currency.Pair
cp, err = currency.NewPairFromStrings(marketInfo[x].RootSymbol, marketInfo[x].QuoteCurrency)
if err != nil {
return nil, err
}
underlying, err = currency.NewPairFromStrings(marketInfo[x].RootSymbol, marketInfo[x].SettlCurrency)
if err != nil {
return nil, err
}
var s time.Time
if marketInfo[x].Front != "" {
s, err = time.Parse(time.RFC3339, marketInfo[x].Front)
if err != nil {
return nil, err
}
}
var contractSettlementType futures.ContractSettlementType
switch {
case cp.Quote.Equal(currency.USDT):
contractSettlementType = futures.Linear
case cp.Quote.Equal(currency.USD):
contractSettlementType = futures.Quanto
default:
contractSettlementType = futures.Inverse
}
resp = append(resp, futures.Contract{
Exchange: b.Name,
Name: cp,
Underlying: underlying,
Asset: item,
StartDate: s,
IsActive: marketInfo[x].State == "Open",
Status: marketInfo[x].State,
Type: futures.Perpetual,
SettlementType: contractSettlementType,
SettlementCurrencies: currency.Currencies{currency.NewCode(marketInfo[x].SettlCurrency)},
Multiplier: marketInfo[x].Multiplier,
LatestRate: fundingrate.Rate{
Time: marketInfo[x].FundingTimestamp,
Rate: decimal.NewFromFloat(marketInfo[x].FundingRate),
},
})
}
case asset.Futures:
for x := range marketInfo {
if marketInfo[x].Typ != futuresID {
continue
}
var cp, underlying currency.Pair
cp, err = currency.NewPairFromStrings(marketInfo[x].RootSymbol, marketInfo[x].Symbol[len(marketInfo[x].RootSymbol):])
if err != nil {
return nil, err
}
underlying, err = currency.NewPairFromStrings(marketInfo[x].RootSymbol, marketInfo[x].SettlCurrency)
if err != nil {
return nil, err
}
var s, e time.Time
if marketInfo[x].Front != "" {
s, err = time.Parse(time.RFC3339, marketInfo[x].Front)
if err != nil {
return nil, err
}
}
if marketInfo[x].Expiry != "" {
e, err = time.Parse(time.RFC3339, marketInfo[x].Expiry)
if err != nil {
return nil, err
}
}
var ct futures.ContractType
contractDuration := e.Sub(s)
switch {
case contractDuration <= kline.OneWeek.Duration()+kline.ThreeDay.Duration():
ct = futures.Weekly
case contractDuration <= kline.TwoWeek.Duration()+kline.ThreeDay.Duration():
ct = futures.Fortnightly
case contractDuration <= kline.OneMonth.Duration()+kline.ThreeWeek.Duration():
ct = futures.Monthly
case contractDuration <= kline.ThreeMonth.Duration()+kline.ThreeWeek.Duration():
ct = futures.Quarterly
case contractDuration <= kline.SixMonth.Duration()+kline.ThreeWeek.Duration():
ct = futures.HalfYearly
case contractDuration <= kline.NineMonth.Duration()+kline.ThreeWeek.Duration():
ct = futures.NineMonthly
case contractDuration <= kline.OneYear.Duration()+kline.ThreeWeek.Duration():
ct = futures.Yearly
}
contractSettlementType := futures.Inverse
switch {
case strings.Contains(cp.Quote.String(), "USDT"):
contractSettlementType = futures.Linear
case strings.Contains(cp.Quote.String(), "USD"):
contractSettlementType = futures.Quanto
}
resp = append(resp, futures.Contract{
Exchange: b.Name,
Name: cp,
Underlying: underlying,
Asset: item,
StartDate: s,
EndDate: e,
IsActive: marketInfo[x].State == "Open",
Status: marketInfo[x].State,
Type: ct,
SettlementCurrencies: currency.Currencies{currency.NewCode(marketInfo[x].SettlCurrency)},
Multiplier: marketInfo[x].Multiplier,
SettlementType: contractSettlementType,
})
}
}
return resp, nil
}
// GetLatestFundingRates returns the latest funding rates data
func (b *Bitmex) GetLatestFundingRates(ctx context.Context, r *fundingrate.LatestRateRequest) ([]fundingrate.LatestRateResponse, error) {
if r == nil {
return nil, fmt.Errorf("%w LatestRateRequest", common.ErrNilPointer)
}
if r.IncludePredictedRate {
return nil, fmt.Errorf("%w IncludePredictedRate", common.ErrFunctionNotSupported)
}
count := "1"
if r.Pair.IsEmpty() {
count = "500"
} else {
isPerp, err := b.IsPerpetualFutureCurrency(r.Asset, r.Pair)
if err != nil {
return nil, err
}
if !isPerp {
return nil, fmt.Errorf("%w %v %v", futures.ErrNotPerpetualFuture, r.Asset, r.Pair)
}
}
format, err := b.GetPairFormat(r.Asset, true)
if err != nil {
return nil, err
}
fPair := format.Format(r.Pair)
rates, err := b.GetFullFundingHistory(ctx, fPair, count, "", "", "", true, time.Time{}, time.Time{})
if err != nil {
return nil, err
}
resp := make([]fundingrate.LatestRateResponse, 0, len(rates))
// Bitmex returns historical rates from this endpoint, we only want the latest
latestRateSymbol := make(map[string]bool)
for i := range rates {
if _, ok := latestRateSymbol[rates[i].Symbol]; ok {
continue
}
latestRateSymbol[rates[i].Symbol] = true
var nr time.Time
nr, err = time.Parse(time.RFC3339, rates[i].FundingInterval)
if err != nil {
return nil, err
}
var cp currency.Pair
var isEnabled bool
cp, isEnabled, err = b.MatchSymbolCheckEnabled(rates[i].Symbol, r.Asset, false)
if err != nil && !errors.Is(err, currency.ErrPairNotFound) {
return nil, err
}
if !isEnabled {
continue
}
var isPerp bool
isPerp, err = b.IsPerpetualFutureCurrency(r.Asset, cp)
if err != nil {
return nil, err
}
if !isPerp {
continue
}
resp = append(resp, fundingrate.LatestRateResponse{
Exchange: b.Name,
Asset: r.Asset,
Pair: cp,
LatestRate: fundingrate.Rate{
Time: rates[i].Timestamp,
Rate: decimal.NewFromFloat(rates[i].FundingRate),
},
TimeOfNextRate: rates[i].Timestamp.Add(time.Duration(nr.Hour()) * time.Hour),
TimeChecked: time.Now(),
})
}
return resp, nil
}
// IsPerpetualFutureCurrency ensures a given asset and currency is a perpetual future
func (b *Bitmex) IsPerpetualFutureCurrency(a asset.Item, _ currency.Pair) (bool, error) {
return a == asset.PerpetualContract, nil
}
// UpdateOrderExecutionLimits updates order execution limits
func (b *Bitmex) UpdateOrderExecutionLimits(_ context.Context, _ asset.Item) error {
return common.ErrNotYetImplemented
}
// GetOpenInterest returns the open interest rate for a given asset pair
func (b *Bitmex) GetOpenInterest(ctx context.Context, k ...key.PairAsset) ([]futures.OpenInterest, error) {
for i := range k {
if k[i].Asset == asset.Spot || k[i].Asset == asset.Index {
// avoid API calls or returning errors after a successful retrieval
return nil, fmt.Errorf("%w %v %v", asset.ErrNotSupported, k[i].Asset, k[i].Pair())
}
}
if len(k) != 1 {
activeInstruments, err := b.GetActiveAndIndexInstruments(ctx)
if err != nil {
return nil, err
}
resp := make([]futures.OpenInterest, 0, len(activeInstruments))
for i := range activeInstruments {
for _, a := range b.CurrencyPairs.GetAssetTypes(true) {
var symbol currency.Pair
var enabled bool
symbol, enabled, err = b.MatchSymbolCheckEnabled(activeInstruments[i].Symbol, a, false)
if err != nil && !errors.Is(err, currency.ErrPairNotFound) {
return nil, err
}
if !enabled {
continue
}
var appendData bool
for j := range k {
if k[j].Pair().Equal(symbol) && k[j].Asset == a {
appendData = true
break
}
}
if len(k) > 0 && !appendData {
continue
}
resp = append(resp, futures.OpenInterest{
Key: key.ExchangePairAsset{
Exchange: b.Name,
Base: symbol.Base.Item,
Quote: symbol.Quote.Item,
Asset: a,
},
OpenInterest: activeInstruments[i].OpenInterest,
})
}
}
return resp, nil
}
_, isEnabled, err := b.MatchSymbolCheckEnabled(k[0].Pair().String(), k[0].Asset, false)
if err != nil && !errors.Is(err, currency.ErrPairNotFound) {
return nil, err
}
if !isEnabled {
return nil, fmt.Errorf("%w %v %v", currency.ErrPairNotEnabled, k[0].Asset, k[0].Pair())
}
symbolStr, err := b.FormatSymbol(k[0].Pair(), k[0].Asset)
if err != nil {
return nil, err
}
instrument, err := b.GetInstrument(ctx, &GenericRequestParams{Symbol: symbolStr})
if err != nil {
return nil, err
}
if len(instrument) != 1 {
return nil, fmt.Errorf("%w %v", currency.ErrPairNotFound, k[0].Pair())
}
resp := make([]futures.OpenInterest, 1)
resp[0] = futures.OpenInterest{
Key: key.ExchangePairAsset{
Exchange: b.Name,
Base: k[0].Base,
Quote: k[0].Quote,
Asset: k[0].Asset,
},
OpenInterest: instrument[0].OpenInterest,
}
return resp, nil
}
// GetCurrencyTradeURL returns the URL to the exchange's trade page for the given asset and currency pair
func (b *Bitmex) GetCurrencyTradeURL(_ context.Context, a asset.Item, cp currency.Pair) (string, error) {
_, err := b.CurrencyPairs.IsPairEnabled(cp, a)
if err != nil {
return "", err
}
cp.Delimiter = currency.DashDelimiter
return tradeBaseURL + cp.Upper().String(), nil
}