Merge pull request #1024 from c9s/fix/binance-my-trades-api

fix: binance my trades api

.github/workflows/go.yml

@@ -27,7 +27,7 @@ jobs:
 
     - uses: actions/checkout@v2
       with:
-        lfs: 'true'
+        # lfs: 'true'
         ssh-key: ${{ secrets.git_ssh_key }}
 
     - uses: actions/cache@v2

go.mod

@@ -7,7 +7,7 @@ go 1.17
 require (
 	github.com/DATA-DOG/go-sqlmock v1.5.0
 	github.com/Masterminds/squirrel v1.5.3
-	github.com/adshao/go-binance/v2 v2.3.8
+	github.com/adshao/go-binance/v2 v2.3.10
 	github.com/c-bata/goptuna v0.8.1
 	github.com/c9s/requestgen v1.3.0
 	github.com/c9s/rockhopper v1.2.2-0.20220617053729-ffdc87df194b

go.sum

@@ -53,6 +53,8 @@ github.com/adshao/go-binance/v2 v2.3.5 h1:WVYZecm0w8l14YoWlnKZj6xxZT2AKMTHpMQSqI
 github.com/adshao/go-binance/v2 v2.3.5/go.mod h1:8Pg/FGTLyAhq8QXA0IkoReKyRpoxJcK3LVujKDAZV/c=
 github.com/adshao/go-binance/v2 v2.3.8 h1:9VsAX4jUopnIOlzrvnKUFUf9SWB/nwPgJtUsM2dkj6A=
 github.com/adshao/go-binance/v2 v2.3.8/go.mod h1:Z3MCnWI0gHC4Rea8TWiF3aN1t4nV9z3CaU/TeHcKsLM=
+github.com/adshao/go-binance/v2 v2.3.10 h1:iWtHD/sQ8GK6r+cSMMdOynpGI/4Q6P5LZtiEHdWOjag=
+github.com/adshao/go-binance/v2 v2.3.10/go.mod h1:Z3MCnWI0gHC4Rea8TWiF3aN1t4nV9z3CaU/TeHcKsLM=
 github.com/ajstarks/svgo v0.0.0-20180226025133-644b8db467af/go.mod h1:K08gAheRH3/J6wwsYMMT4xOr94bZjxIelGM0+d/wbFw=
 github.com/alecthomas/template v0.0.0-20160405071501-a0175ee3bccc/go.mod h1:LOuyumcjzFXgccqObfd/Ljyb9UuFJ6TxHnclSeseNhc=
 github.com/alecthomas/template v0.0.0-20190718012654-fb15b899a751/go.mod h1:LOuyumcjzFXgccqObfd/Ljyb9UuFJ6TxHnclSeseNhc=

pkg/exchange/binance/binanceapi/get_my_trades_request.go

@@ -0,0 +1,27 @@
+package binanceapi
+
+import (
+	"time"
+
+	"github.com/c9s/requestgen"
+
+	"github.com/adshao/go-binance/v2"
+)
+
+type Trade = binance.TradeV3
+
+//go:generate requestgen -method GET -url "/api/v3/myTrades" -type GetMyTradesRequest -responseType []Trade
+type GetMyTradesRequest struct {
+	client requestgen.AuthenticatedAPIClient
+
+	symbol    string     `param:"symbol"`
+	orderID   *uint64    `param:"orderId"`
+	startTime *time.Time `param:"startTime,milliseconds"`
+	endTime   *time.Time `param:"endTime,milliseconds"`
+	fromID    *uint64    `param:"fromId"`
+	limit     *uint64    `param:"limit"`
+}
+
+func (c *RestClient) NewGetMyTradesRequest() *GetMyTradesRequest {
+	return &GetMyTradesRequest{client: c}
+}

pkg/exchange/binance/exchange.go

@@ -1413,22 +1413,23 @@ func (e *Exchange) queryMarginTrades(ctx context.Context, symbol string, options
 		req.Limit(1000)
 	}
 
+	// BINANCE seems to have an API bug, we can't use both fromId and the start time/end time
 	// BINANCE uses inclusive last trade ID
 	if options.LastTradeID > 0 {
 		req.FromID(int64(options.LastTradeID))
-	}
-
-	if options.StartTime != nil && options.EndTime != nil {
-		if options.EndTime.Sub(*options.StartTime) < 24*time.Hour {
+	} else {
+		if options.StartTime != nil && options.EndTime != nil {
+			if options.EndTime.Sub(*options.StartTime) < 24*time.Hour {
+				req.StartTime(options.StartTime.UnixMilli())
+				req.EndTime(options.EndTime.UnixMilli())
+			} else {
+				req.StartTime(options.StartTime.UnixMilli())
+			}
+		} else if options.StartTime != nil {
 			req.StartTime(options.StartTime.UnixMilli())
+		} else if options.EndTime != nil {
 			req.EndTime(options.EndTime.UnixMilli())
-		} else {
-			req.StartTime(options.StartTime.UnixMilli())
 		}
-	} else if options.StartTime != nil {
-		req.StartTime(options.StartTime.UnixMilli())
-	} else if options.EndTime != nil {
-		req.EndTime(options.EndTime.UnixMilli())
 	}
 
 	remoteTrades, err = req.Do(ctx)
@@ -1499,40 +1500,40 @@ func (e *Exchange) queryFuturesTrades(ctx context.Context, symbol string, option
 }
 
 func (e *Exchange) querySpotTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) (trades []types.Trade, err error) {
-	var remoteTrades []*binance.TradeV3
-	req := e.client.NewListTradesService().
-		Symbol(symbol)
-
-	if options.Limit > 0 {
-		req.Limit(int(options.Limit))
-	} else {
-		req.Limit(1000)
-	}
+	req := e.client2.NewGetMyTradesRequest()
+	req.Symbol(symbol)
 
 	// BINANCE uses inclusive last trade ID
 	if options.LastTradeID > 0 {
-		req.FromID(int64(options.LastTradeID))
+		req.FromID(options.LastTradeID)
+	} else {
+		if options.StartTime != nil && options.EndTime != nil {
+			if options.EndTime.Sub(*options.StartTime) < 24*time.Hour {
+				req.StartTime(*options.StartTime)
+				req.EndTime(*options.EndTime)
+			} else {
+				req.StartTime(*options.StartTime)
+			}
+		} else if options.StartTime != nil {
+			req.StartTime(*options.StartTime)
+		} else if options.EndTime != nil {
+			req.EndTime(*options.EndTime)
+		}
 	}
 
-	if options.StartTime != nil && options.EndTime != nil {
-		if options.EndTime.Sub(*options.StartTime) < 24*time.Hour {
-			req.StartTime(options.StartTime.UnixMilli())
-			req.EndTime(options.EndTime.UnixMilli())
-		} else {
-			req.StartTime(options.StartTime.UnixMilli())
-		}
-	} else if options.StartTime != nil {
-		req.StartTime(options.StartTime.UnixMilli())
-	} else if options.EndTime != nil {
-		req.EndTime(options.EndTime.UnixMilli())
+	if options.Limit > 0 {
+		req.Limit(uint64(options.Limit))
+	} else {
+		req.Limit(1000)
 	}
 
-	remoteTrades, err = req.Do(ctx)
+	remoteTrades, err := req.Do(ctx)
 	if err != nil {
 		return nil, err
 	}
+
 	for _, t := range remoteTrades {
-		localTrade, err := toGlobalTrade(*t, e.IsMargin)
+		localTrade, err := toGlobalTrade(t, e.IsMargin)
 		if err != nil {
 			log.WithError(err).Errorf("can not convert binance trade: %+v", t)
 			continue

pkg/strategy/grid2/strategy_test.go

@@ -15,6 +15,7 @@ import (
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
 	"github.com/c9s/bbgo/pkg/types/mocks"
+	"github.com/c9s/bbgo/pkg/util"
 
 	gridmocks "github.com/c9s/bbgo/pkg/strategy/grid2/mocks"
 )
@@ -816,6 +817,11 @@ func TestStrategy_checkMinimalQuoteInvestment(t *testing.T) {
 }
 
 func TestBacktestStrategy(t *testing.T) {
+	if v, ok := util.GetEnvVarBool("TEST_BACKTEST"); !ok || !v {
+		t.Skip("backtest flag is required")
+		return
+	}
+
 	market := types.Market{
 		BaseCurrency:    "BTC",
 		QuoteCurrency:   "USDT",