mirror of
https://github.com/laoxong/nofx.git
synced 2026-06-04 09:58:22 +08:00
093d2a329d
Gate.io Integration: - Add Gate trader with full Trader interface implementation - Add order_sync.go for background trade synchronization - Fix quantity display (convert contracts to actual tokens via quanto_multiplier) - Fix fill price return in OpenLong/OpenShort/CloseLong/CloseShort - Add Gate-specific CoinAnk K-line data source support - Add Gate to supported exchanges in frontend and backend - Add Gate/KuCoin logo SVG icons Trader Package Refactoring: - Move exchange-specific code into subdirectories (binance/, bybit/, okx/, bitget/, hyperliquid/, aster/, lighter/, gate/) - Create types/ package for shared types to avoid circular dependencies - Move TraderTestSuite to trader/testutil package to avoid import cycles - Update market.GetWithExchange to support exchange-specific data
692 lines
22 KiB
Go
692 lines
22 KiB
Go
package lighter
|
|
|
|
import (
|
|
"context"
|
|
"encoding/json"
|
|
"fmt"
|
|
"io"
|
|
"math"
|
|
"net/http"
|
|
"net/url"
|
|
"nofx/logger"
|
|
"strings"
|
|
"sync"
|
|
"time"
|
|
|
|
lighterClient "github.com/elliottech/lighter-go/client"
|
|
lighterHTTP "github.com/elliottech/lighter-go/client/http"
|
|
"github.com/ethereum/go-ethereum/common/hexutil"
|
|
tradertypes "nofx/trader/types"
|
|
)
|
|
|
|
// AccountInfo LIGHTER account information
|
|
type AccountInfo struct {
|
|
AccountIndex int64 `json:"account_index"`
|
|
Index int64 `json:"index"` // Same as account_index
|
|
L1Address string `json:"l1_address"`
|
|
AvailableBalance string `json:"available_balance"`
|
|
Collateral string `json:"collateral"`
|
|
CrossAssetValue string `json:"cross_asset_value"`
|
|
TotalEquity string `json:"total_equity"`
|
|
UnrealizedPnl string `json:"unrealized_pnl"`
|
|
Positions []LighterPositionInfo `json:"positions"`
|
|
}
|
|
|
|
// LighterPositionInfo Position info from Lighter account API
|
|
type LighterPositionInfo struct {
|
|
MarketID int `json:"market_id"`
|
|
Symbol string `json:"symbol"`
|
|
Sign int `json:"sign"` // 1 = long, -1 = short
|
|
Position string `json:"position"` // Position size
|
|
AvgEntryPrice string `json:"avg_entry_price"` // Entry price
|
|
PositionValue string `json:"position_value"` // Position value in USD
|
|
LiquidationPrice string `json:"liquidation_price"`
|
|
UnrealizedPnl string `json:"unrealized_pnl"`
|
|
RealizedPnl string `json:"realized_pnl"`
|
|
InitialMarginFraction string `json:"initial_margin_fraction"` // e.g. "5.00" means 5% = 20x leverage
|
|
AllocatedMargin string `json:"allocated_margin"`
|
|
MarginMode int `json:"margin_mode"` // 0 = cross, 1 = isolated
|
|
}
|
|
|
|
// AccountResponse LIGHTER account API response
|
|
// API may return accounts in "accounts" or "sub_accounts" field
|
|
type AccountResponse struct {
|
|
Code int `json:"code"`
|
|
Message string `json:"message"`
|
|
Accounts []AccountInfo `json:"accounts"`
|
|
SubAccounts []AccountInfo `json:"sub_accounts"` // Sub-accounts field
|
|
}
|
|
|
|
// LighterTraderV2 New implementation using official lighter-go SDK
|
|
type LighterTraderV2 struct {
|
|
ctx context.Context
|
|
walletAddr string // Ethereum wallet address
|
|
|
|
client *http.Client
|
|
baseURL string
|
|
testnet bool
|
|
chainID uint32
|
|
|
|
// SDK clients
|
|
httpClient lighterClient.MinimalHTTPClient
|
|
txClient *lighterClient.TxClient
|
|
|
|
// API Key management
|
|
apiKeyPrivateKey string // 40-byte API Key private key (for signing transactions)
|
|
apiKeyIndex uint8 // API Key index (default 0)
|
|
accountIndex int64 // Account index
|
|
apiKeyValid bool // Whether API key has been validated against server
|
|
|
|
// Authentication token
|
|
authToken string
|
|
tokenExpiry time.Time
|
|
accountMutex sync.RWMutex
|
|
|
|
// Market info cache
|
|
symbolPrecision map[string]SymbolPrecision
|
|
precisionMutex sync.RWMutex
|
|
|
|
// Market index cache
|
|
marketIndexMap map[string]uint16 // symbol -> market_id
|
|
marketMutex sync.RWMutex
|
|
marketListCache []MarketInfo // Cached market list
|
|
marketListCacheTime time.Time // Time when cache was populated
|
|
}
|
|
|
|
// NewLighterTraderV2 Create new LIGHTER trader (using official SDK)
|
|
// Parameters:
|
|
// - walletAddr: Ethereum wallet address (required)
|
|
// - apiKeyPrivateKeyHex: API Key private key (40 bytes, for signing transactions)
|
|
// - apiKeyIndex: API Key index (0-255)
|
|
// - testnet: Whether to use testnet
|
|
func NewLighterTraderV2(walletAddr, apiKeyPrivateKeyHex string, apiKeyIndex int, testnet bool) (*LighterTraderV2, error) {
|
|
// 1. Validate wallet address
|
|
if walletAddr == "" {
|
|
return nil, fmt.Errorf("wallet address is required")
|
|
}
|
|
|
|
// Convert to checksum address (Lighter API is case-sensitive)
|
|
walletAddr = ToChecksumAddress(walletAddr)
|
|
logger.Infof("Using checksum address: %s", walletAddr)
|
|
|
|
// 2. Validate API Key
|
|
if apiKeyPrivateKeyHex == "" {
|
|
return nil, fmt.Errorf("API Key private key is required")
|
|
}
|
|
|
|
// 3. Determine API URL and Chain ID
|
|
// Note: Python SDK uses 304 for mainnet, 300 for testnet (not the L1 chain IDs)
|
|
baseURL := "https://mainnet.zklighter.elliot.ai"
|
|
chainID := uint32(304) // Mainnet Lighter Chain ID (from Python SDK)
|
|
if testnet {
|
|
baseURL = "https://testnet.zklighter.elliot.ai"
|
|
chainID = uint32(300) // Testnet Lighter Chain ID (from Python SDK)
|
|
}
|
|
|
|
// 4. Create HTTP client
|
|
httpClient := lighterHTTP.NewClient(baseURL)
|
|
|
|
trader := &LighterTraderV2{
|
|
ctx: context.Background(),
|
|
walletAddr: walletAddr,
|
|
client: &http.Client{
|
|
Timeout: 30 * time.Second,
|
|
},
|
|
baseURL: baseURL,
|
|
testnet: testnet,
|
|
chainID: chainID,
|
|
httpClient: httpClient,
|
|
apiKeyPrivateKey: apiKeyPrivateKeyHex,
|
|
apiKeyIndex: uint8(apiKeyIndex),
|
|
symbolPrecision: make(map[string]SymbolPrecision),
|
|
marketIndexMap: make(map[string]uint16),
|
|
}
|
|
|
|
// 5. Initialize account (get account index)
|
|
if err := trader.initializeAccount(); err != nil {
|
|
return nil, fmt.Errorf("failed to initialize account: %w", err)
|
|
}
|
|
|
|
// 6. Create TxClient (for signing transactions)
|
|
txClient, err := lighterClient.NewTxClient(
|
|
httpClient,
|
|
apiKeyPrivateKeyHex,
|
|
trader.accountIndex,
|
|
trader.apiKeyIndex,
|
|
trader.chainID,
|
|
)
|
|
if err != nil {
|
|
return nil, fmt.Errorf("failed to create TxClient: %w", err)
|
|
}
|
|
|
|
trader.txClient = txClient
|
|
|
|
// 7. Verify API Key is correct
|
|
if err := trader.checkClient(); err != nil {
|
|
trader.apiKeyValid = false
|
|
logger.Warnf("⚠️ API Key verification FAILED: %v", err)
|
|
logger.Warnf("⚠️ ❌ The API key stored in NOFX does NOT match the API key registered on Lighter.")
|
|
logger.Warnf("⚠️ ❌ ALL trading operations (open/close positions, cancel orders) WILL FAIL with 'invalid signature' error.")
|
|
logger.Warnf("⚠️ 🔧 To fix: Update your Lighter API key in NOFX Exchange settings with the correct key from app.lighter.xyz")
|
|
// Don't fail here, allow trader to continue for read operations (balance, positions)
|
|
} else {
|
|
trader.apiKeyValid = true
|
|
}
|
|
|
|
logger.Infof("✓ LIGHTER trader initialized (account=%d, apiKey=%d, testnet=%v, apiKeyValid=%v)",
|
|
trader.accountIndex, trader.apiKeyIndex, testnet, trader.apiKeyValid)
|
|
|
|
return trader, nil
|
|
}
|
|
|
|
// initializeAccount Initialize account information (get account index)
|
|
func (t *LighterTraderV2) initializeAccount() error {
|
|
// Get account info by L1 address
|
|
accountInfo, err := t.getAccountByL1Address()
|
|
if err != nil {
|
|
return fmt.Errorf("failed to get account info: %w", err)
|
|
}
|
|
|
|
t.accountMutex.Lock()
|
|
t.accountIndex = accountInfo.AccountIndex
|
|
t.accountMutex.Unlock()
|
|
|
|
logger.Infof("✓ Account index: %d", t.accountIndex)
|
|
return nil
|
|
}
|
|
|
|
// getAccountByL1Address Get LIGHTER account info by L1 wallet address
|
|
// Supports both main accounts and sub-accounts
|
|
func (t *LighterTraderV2) getAccountByL1Address() (*AccountInfo, error) {
|
|
endpoint := fmt.Sprintf("%s/api/v1/account?by=l1_address&value=%s", t.baseURL, t.walletAddr)
|
|
|
|
req, err := http.NewRequest("GET", endpoint, nil)
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
resp, err := t.client.Do(req)
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
defer resp.Body.Close()
|
|
|
|
body, err := io.ReadAll(resp.Body)
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
// Log raw response for debugging
|
|
logger.Debugf("LIGHTER account API response: %s", string(body))
|
|
|
|
if resp.StatusCode != http.StatusOK {
|
|
return nil, fmt.Errorf("failed to get account (status %d): %s", resp.StatusCode, string(body))
|
|
}
|
|
|
|
// Parse response - Lighter may return accounts in "accounts" or "sub_accounts"
|
|
var accountResp AccountResponse
|
|
if err := json.Unmarshal(body, &accountResp); err != nil {
|
|
return nil, fmt.Errorf("failed to parse account response: %w", err)
|
|
}
|
|
|
|
// Check for API error
|
|
if accountResp.Code != 0 && accountResp.Code != 200 {
|
|
return nil, fmt.Errorf("Lighter API error (code %d): %s", accountResp.Code, accountResp.Message)
|
|
}
|
|
|
|
// Try accounts first, then sub_accounts
|
|
var allAccounts []AccountInfo
|
|
allAccounts = append(allAccounts, accountResp.Accounts...)
|
|
allAccounts = append(allAccounts, accountResp.SubAccounts...)
|
|
|
|
if len(allAccounts) == 0 {
|
|
return nil, fmt.Errorf("no account found for wallet address: %s (try depositing funds first at app.lighter.xyz)", t.walletAddr)
|
|
}
|
|
|
|
// Log account summary
|
|
logger.Infof("Found %d account(s) (main: %d, sub: %d)", len(allAccounts), len(accountResp.Accounts), len(accountResp.SubAccounts))
|
|
for i, acc := range allAccounts {
|
|
logger.Debugf(" Account[%d]: index=%d, collateral=%s", i, acc.AccountIndex, acc.Collateral)
|
|
}
|
|
|
|
account := &allAccounts[0]
|
|
// Use index field if account_index is 0
|
|
if account.AccountIndex == 0 && account.Index != 0 {
|
|
account.AccountIndex = account.Index
|
|
}
|
|
|
|
return account, nil
|
|
}
|
|
|
|
// ApiKeyResponse API key query response
|
|
type ApiKeyResponse struct {
|
|
Code int `json:"code"`
|
|
ApiKeys []struct {
|
|
AccountIndex int64 `json:"account_index"`
|
|
ApiKeyIndex uint8 `json:"api_key_index"`
|
|
Nonce int64 `json:"nonce"`
|
|
PublicKey string `json:"public_key"`
|
|
} `json:"api_keys"`
|
|
}
|
|
|
|
// getApiKeyFromServer Get API Key public key from Lighter server
|
|
// Uses our own HTTP client instead of SDK's global client to avoid connection issues
|
|
func (t *LighterTraderV2) getApiKeyFromServer() (string, error) {
|
|
endpoint := fmt.Sprintf("%s/api/v1/apikeys?account_index=%d&api_key_index=%d",
|
|
t.baseURL, t.accountIndex, t.apiKeyIndex)
|
|
|
|
req, err := http.NewRequest("GET", endpoint, nil)
|
|
if err != nil {
|
|
return "", err
|
|
}
|
|
|
|
resp, err := t.client.Do(req)
|
|
if err != nil {
|
|
return "", err
|
|
}
|
|
defer resp.Body.Close()
|
|
|
|
body, err := io.ReadAll(resp.Body)
|
|
if err != nil {
|
|
return "", err
|
|
}
|
|
|
|
if resp.StatusCode != http.StatusOK {
|
|
return "", fmt.Errorf("API error (status %d): %s", resp.StatusCode, string(body))
|
|
}
|
|
|
|
var result ApiKeyResponse
|
|
if err := json.Unmarshal(body, &result); err != nil {
|
|
return "", fmt.Errorf("failed to parse response: %w", err)
|
|
}
|
|
|
|
if result.Code != 200 {
|
|
return "", fmt.Errorf("API error (code %d)", result.Code)
|
|
}
|
|
|
|
if len(result.ApiKeys) == 0 {
|
|
return "", fmt.Errorf("no API keys found for account %d", t.accountIndex)
|
|
}
|
|
|
|
return result.ApiKeys[0].PublicKey, nil
|
|
}
|
|
|
|
// checkClient Verify if API Key is correct
|
|
func (t *LighterTraderV2) checkClient() error {
|
|
if t.txClient == nil {
|
|
return fmt.Errorf("TxClient not initialized")
|
|
}
|
|
|
|
// Get API Key public key registered on server (using our own HTTP client)
|
|
serverPubKey, err := t.getApiKeyFromServer()
|
|
if err != nil {
|
|
return fmt.Errorf("failed to get API Key: %w", err)
|
|
}
|
|
|
|
// Get local API Key public key from SDK
|
|
pubKeyBytes := t.txClient.GetKeyManager().PubKeyBytes()
|
|
localPubKey := hexutil.Encode(pubKeyBytes[:])
|
|
localPubKey = strings.TrimPrefix(localPubKey, "0x")
|
|
|
|
// Compare public keys
|
|
if serverPubKey != localPubKey {
|
|
return fmt.Errorf("API Key mismatch: local=%s, server=%s", localPubKey, serverPubKey)
|
|
}
|
|
|
|
logger.Infof("✓ API Key verification passed")
|
|
return nil
|
|
}
|
|
|
|
// GenerateAndRegisterAPIKey Generate new API Key and register to LIGHTER
|
|
// Note: This requires L1 private key signature, so must be called with L1 private key available
|
|
func (t *LighterTraderV2) GenerateAndRegisterAPIKey(seed string) (privateKey, publicKey string, err error) {
|
|
// This function needs to call the official SDK's GenerateAPIKey function
|
|
// But this is a CGO function in sharedlib, cannot be called directly in pure Go code
|
|
//
|
|
// Solutions:
|
|
// 1. Let users generate API Key from LIGHTER website
|
|
// 2. Or we can implement a simple API Key generation wrapper
|
|
|
|
return "", "", fmt.Errorf("GenerateAndRegisterAPIKey feature not implemented yet, please generate API Key from LIGHTER website")
|
|
}
|
|
|
|
// refreshAuthToken Refresh authentication token (using official SDK)
|
|
func (t *LighterTraderV2) refreshAuthToken() error {
|
|
if t.txClient == nil {
|
|
return fmt.Errorf("TxClient not initialized, please set API Key first")
|
|
}
|
|
|
|
// Generate auth token using official SDK (valid for 7 hours)
|
|
deadline := time.Now().Add(7 * time.Hour)
|
|
authToken, err := t.txClient.GetAuthToken(deadline)
|
|
if err != nil {
|
|
return fmt.Errorf("failed to generate auth token: %w", err)
|
|
}
|
|
|
|
t.accountMutex.Lock()
|
|
t.authToken = authToken
|
|
t.tokenExpiry = deadline
|
|
t.accountMutex.Unlock()
|
|
|
|
logger.Infof("✓ Auth token generated (valid until: %s)", t.tokenExpiry.Format(time.RFC3339))
|
|
return nil
|
|
}
|
|
|
|
// ensureAuthToken Ensure authentication token is valid
|
|
func (t *LighterTraderV2) ensureAuthToken() error {
|
|
t.accountMutex.RLock()
|
|
expired := time.Now().After(t.tokenExpiry.Add(-30 * time.Minute)) // Refresh 30 minutes early
|
|
t.accountMutex.RUnlock()
|
|
|
|
if expired {
|
|
logger.Info("🔄 Auth token about to expire, refreshing...")
|
|
return t.refreshAuthToken()
|
|
}
|
|
|
|
return nil
|
|
}
|
|
|
|
// GetExchangeType Get exchange type
|
|
func (t *LighterTraderV2) GetExchangeType() string {
|
|
return "lighter"
|
|
}
|
|
|
|
// Cleanup Clean up resources
|
|
func (t *LighterTraderV2) Cleanup() error {
|
|
logger.Info("⏹ LIGHTER trader cleanup completed")
|
|
return nil
|
|
}
|
|
|
|
// GetClosedPnL gets closed position PnL records from exchange
|
|
// LIGHTER does not have a direct closed PnL API, returns empty slice
|
|
func (t *LighterTraderV2) GetClosedPnL(startTime time.Time, limit int) ([]tradertypes.ClosedPnLRecord, error) {
|
|
trades, err := t.GetTrades(startTime, limit)
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
// Filter only closing trades (realizedPnl != 0)
|
|
var records []tradertypes.ClosedPnLRecord
|
|
for _, trade := range trades {
|
|
if trade.RealizedPnL == 0 {
|
|
continue
|
|
}
|
|
|
|
side := "long"
|
|
if trade.Side == "SELL" || trade.Side == "Sell" {
|
|
side = "long"
|
|
} else {
|
|
side = "short"
|
|
}
|
|
|
|
var entryPrice float64
|
|
if trade.Quantity > 0 {
|
|
if side == "long" {
|
|
entryPrice = trade.Price - trade.RealizedPnL/trade.Quantity
|
|
} else {
|
|
entryPrice = trade.Price + trade.RealizedPnL/trade.Quantity
|
|
}
|
|
}
|
|
|
|
records = append(records, tradertypes.ClosedPnLRecord{
|
|
Symbol: trade.Symbol,
|
|
Side: side,
|
|
EntryPrice: entryPrice,
|
|
ExitPrice: trade.Price,
|
|
Quantity: trade.Quantity,
|
|
RealizedPnL: trade.RealizedPnL,
|
|
Fee: trade.Fee,
|
|
ExitTime: trade.Time,
|
|
EntryTime: trade.Time,
|
|
OrderID: trade.TradeID,
|
|
ExchangeID: trade.TradeID,
|
|
CloseType: "unknown",
|
|
})
|
|
}
|
|
|
|
return records, nil
|
|
}
|
|
|
|
// GetTrades retrieves trade history from Lighter
|
|
func (t *LighterTraderV2) GetTrades(startTime time.Time, limit int) ([]tradertypes.TradeRecord, error) {
|
|
// Ensure we have account index
|
|
if t.accountIndex == 0 {
|
|
if err := t.initializeAccount(); err != nil {
|
|
return nil, fmt.Errorf("failed to get account index: %w", err)
|
|
}
|
|
}
|
|
|
|
// Build request URL with correct parameters
|
|
// Required: sort_by, limit
|
|
// Optional: account_index, from (timestamp in milliseconds, -1 for no filter)
|
|
// Note: OpenAPI spec uses "from" not "var_from"
|
|
// Authentication: Use "auth" query parameter (not Authorization header)
|
|
if err := t.ensureAuthToken(); err != nil {
|
|
return nil, fmt.Errorf("failed to get auth token: %w", err)
|
|
}
|
|
|
|
// URL encode auth token (contains colons that need encoding)
|
|
encodedAuth := url.QueryEscape(t.authToken)
|
|
// Build endpoint - use from=-1 to get all trades (no time filter)
|
|
endpoint := fmt.Sprintf("%s/api/v1/trades?account_index=%d&sort_by=timestamp&sort_dir=desc&limit=%d&auth=%s",
|
|
t.baseURL, t.accountIndex, limit, encodedAuth)
|
|
|
|
logger.Infof("🔍 Calling Lighter GetTrades API: %s", endpoint[:min(len(endpoint), 150)]+"...")
|
|
|
|
req, err := http.NewRequest("GET", endpoint, nil)
|
|
if err != nil {
|
|
return nil, fmt.Errorf("failed to create request: %w", err)
|
|
}
|
|
|
|
resp, err := t.client.Do(req)
|
|
if err != nil {
|
|
return nil, fmt.Errorf("failed to get trades: %w", err)
|
|
}
|
|
defer resp.Body.Close()
|
|
|
|
body, err := io.ReadAll(resp.Body)
|
|
if err != nil {
|
|
return nil, fmt.Errorf("failed to read response: %w", err)
|
|
}
|
|
|
|
if resp.StatusCode != http.StatusOK {
|
|
logger.Infof("⚠️ Lighter trades API returned %d: %s", resp.StatusCode, string(body))
|
|
return []tradertypes.TradeRecord{}, nil
|
|
}
|
|
|
|
// Debug: log raw response
|
|
logger.Debugf("Lighter trades API response: %s", string(body))
|
|
|
|
var response LighterTradeResponse
|
|
if err := json.Unmarshal(body, &response); err != nil {
|
|
logger.Infof("⚠️ Failed to parse trades response as object: %v", err)
|
|
var trades []LighterTrade
|
|
if err := json.Unmarshal(body, &trades); err != nil {
|
|
logger.Infof("⚠️ Failed to parse trades response as array: %v", err)
|
|
return []tradertypes.TradeRecord{}, nil
|
|
}
|
|
response.Trades = trades
|
|
}
|
|
|
|
if response.Code != 200 && response.Code != 0 {
|
|
logger.Infof("⚠️ Trades API returned non-success code: %d", response.Code)
|
|
return []tradertypes.TradeRecord{}, nil
|
|
}
|
|
|
|
// Build market_id -> symbol map
|
|
marketMap := make(map[int]string)
|
|
markets, err := t.fetchMarketList()
|
|
if err != nil {
|
|
logger.Infof("⚠️ Failed to fetch market list: %v, using fallback", err)
|
|
// Fallback market IDs (common ones)
|
|
marketMap[0] = "BTC"
|
|
marketMap[1] = "ETH"
|
|
marketMap[2] = "SOL"
|
|
} else {
|
|
for _, m := range markets {
|
|
marketMap[int(m.MarketID)] = m.Symbol
|
|
}
|
|
}
|
|
|
|
// Convert to unified TradeRecord format
|
|
var result []tradertypes.TradeRecord
|
|
for _, lt := range response.Trades {
|
|
price, _ := parseFloat(lt.Price)
|
|
qty, _ := parseFloat(lt.Size)
|
|
|
|
// Calculate fee from taker_fee or maker_fee (they are int64, need conversion)
|
|
var fee float64
|
|
if lt.TakerFee > 0 {
|
|
fee = float64(lt.TakerFee) / 1e6 // Convert from smallest units (6 decimals for USDT)
|
|
} else if lt.MakerFee > 0 {
|
|
fee = float64(lt.MakerFee) / 1e6
|
|
}
|
|
|
|
// Get symbol from market_id
|
|
symbol := marketMap[lt.MarketID]
|
|
if symbol == "" {
|
|
symbol = fmt.Sprintf("MARKET%d", lt.MarketID)
|
|
}
|
|
|
|
// Determine side based on our account being bid (buyer) or ask (seller)
|
|
// IsMakerAsk: true = ask (seller) is maker, false = bid (buyer) is maker
|
|
var side string
|
|
var isTaker bool
|
|
if lt.BidAccountID == t.accountIndex {
|
|
side = "BUY"
|
|
isTaker = lt.IsMakerAsk // If maker is ask, then we (bid) are taker
|
|
} else if lt.AskAccountID == t.accountIndex {
|
|
side = "SELL"
|
|
isTaker = !lt.IsMakerAsk // If maker is NOT ask, then we (ask) are taker
|
|
} else {
|
|
// Neither bid nor ask is our account - skip this trade
|
|
continue
|
|
}
|
|
|
|
// Determine position side and action from position change
|
|
var positionSide, orderAction string
|
|
var posBefore float64
|
|
var signChanged bool
|
|
|
|
if isTaker {
|
|
posBefore, _ = parseFloat(lt.TakerPositionSizeBefore)
|
|
signChanged = lt.TakerPositionSignChanged
|
|
} else {
|
|
posBefore, _ = parseFloat(lt.MakerPositionSizeBefore)
|
|
signChanged = lt.MakerPositionSignChanged
|
|
}
|
|
|
|
// Determine order action based on:
|
|
// 1. posBefore: position BEFORE this trade (positive=LONG, negative=SHORT, 0=no position)
|
|
// 2. side: BUY or SELL
|
|
// 3. signChanged: whether position flipped direction
|
|
//
|
|
// Logic:
|
|
// - BUY when no position (posBefore ≈ 0): open_long
|
|
// - SELL when no position (posBefore ≈ 0): open_short
|
|
// - BUY when LONG (posBefore > 0): open_long (adding to long)
|
|
// - SELL when LONG (posBefore > 0): close_long (reducing long)
|
|
// - BUY when SHORT (posBefore < 0): close_short (reducing short)
|
|
// - SELL when SHORT (posBefore < 0): open_short (adding to short)
|
|
// - signChanged with position flip: split into close + open
|
|
|
|
const EPSILON = 0.0001
|
|
tradeTime := time.UnixMilli(lt.Timestamp).UTC()
|
|
|
|
// Calculate position after trade
|
|
var posAfter float64
|
|
if side == "SELL" {
|
|
posAfter = posBefore - qty
|
|
} else {
|
|
posAfter = posBefore + qty
|
|
}
|
|
|
|
// Check for position flip (signChanged AND both before/after have meaningful size)
|
|
if signChanged && math.Abs(posBefore) > EPSILON && math.Abs(posAfter) > EPSILON {
|
|
// Position FLIPPED - split into close + open
|
|
closeQty := math.Abs(posBefore)
|
|
openQty := math.Abs(posAfter)
|
|
|
|
var closeAction, closeSide, openAction, openSide string
|
|
if posBefore > 0 {
|
|
closeSide, closeAction = "LONG", "close_long"
|
|
openSide, openAction = "SHORT", "open_short"
|
|
} else {
|
|
closeSide, closeAction = "SHORT", "close_short"
|
|
openSide, openAction = "LONG", "open_long"
|
|
}
|
|
|
|
closeTrade := tradertypes.TradeRecord{
|
|
TradeID: fmt.Sprintf("%d_close", lt.TradeID),
|
|
Symbol: symbol,
|
|
Side: side,
|
|
PositionSide: closeSide,
|
|
OrderAction: closeAction,
|
|
Price: price,
|
|
Quantity: closeQty,
|
|
RealizedPnL: 0,
|
|
Fee: fee * (closeQty / qty),
|
|
Time: tradeTime.Add(-time.Millisecond),
|
|
}
|
|
result = append(result, closeTrade)
|
|
|
|
openTrade := tradertypes.TradeRecord{
|
|
TradeID: fmt.Sprintf("%d_open", lt.TradeID),
|
|
Symbol: symbol,
|
|
Side: side,
|
|
PositionSide: openSide,
|
|
OrderAction: openAction,
|
|
Price: price,
|
|
Quantity: openQty,
|
|
RealizedPnL: 0,
|
|
Fee: fee * (openQty / qty),
|
|
Time: tradeTime,
|
|
}
|
|
result = append(result, openTrade)
|
|
|
|
logger.Infof(" 🔄 Flip: %s %.4f → %s %.4f", closeSide, closeQty, openSide, openQty)
|
|
continue
|
|
}
|
|
|
|
// Determine action based on position direction and trade side
|
|
if math.Abs(posBefore) < EPSILON {
|
|
// No position before → opening new position
|
|
if side == "BUY" {
|
|
positionSide, orderAction = "LONG", "open_long"
|
|
} else {
|
|
positionSide, orderAction = "SHORT", "open_short"
|
|
}
|
|
} else if posBefore > 0 {
|
|
// Was LONG
|
|
if side == "BUY" {
|
|
positionSide, orderAction = "LONG", "open_long" // Adding to long
|
|
} else {
|
|
positionSide, orderAction = "LONG", "close_long" // Reducing long
|
|
}
|
|
} else {
|
|
// Was SHORT (posBefore < 0)
|
|
if side == "BUY" {
|
|
positionSide, orderAction = "SHORT", "close_short" // Reducing short
|
|
} else {
|
|
positionSide, orderAction = "SHORT", "open_short" // Adding to short
|
|
}
|
|
}
|
|
|
|
trade := tradertypes.TradeRecord{
|
|
TradeID: fmt.Sprintf("%d", lt.TradeID),
|
|
Symbol: symbol,
|
|
Side: side,
|
|
PositionSide: positionSide,
|
|
OrderAction: orderAction,
|
|
Price: price,
|
|
Quantity: qty,
|
|
RealizedPnL: 0, // Not available in API
|
|
Fee: fee,
|
|
Time: time.UnixMilli(lt.Timestamp).UTC(),
|
|
}
|
|
result = append(result, trade)
|
|
}
|
|
|
|
return result, nil
|
|
}
|