mirror of
https://github.com/NoFxAiOS/nofx.git
synced 2026-07-15 00:36:56 +08:00
feat: order sync for multiple exchanges and position tracking improvements
- Add order sync support for Binance, Hyperliquid, Bybit, OKX, Bitget, Aster exchanges - Fix weighted average exit price calculation for partial closes - Handle position flip (翻仓) scenarios correctly - Fix symbol normalization (ETH vs ETHUSDT) - Skip order recording for exchanges with OrderSync to avoid duplicates - Add chart timezone localization
This commit is contained in:
tinkle-community
250
trader/binance_order_sync.go
Normal file
250
trader/binance_order_sync.go
Normal file
@@ -0,0 +1,250 @@
|
||||
package trader
|
||||
|
||||
import (
|
||||
"fmt"
|
||||
"nofx/logger"
|
||||
"nofx/market"
|
||||
"nofx/store"
|
||||
"sort"
|
||||
"strings"
|
||||
"time"
|
||||
)
|
||||
|
||||
// SyncOrdersFromBinance syncs Binance Futures trade history to local database
|
||||
// Also creates/updates position records to ensure orders/fills/positions data consistency
|
||||
func (t *FuturesTrader) SyncOrdersFromBinance(traderID string, exchangeID string, exchangeType string, st *store.Store) error {
|
||||
if st == nil {
|
||||
return fmt.Errorf("store is nil")
|
||||
}
|
||||
|
||||
// Get recent trades (last 24 hours)
|
||||
startTime := time.Now().Add(-24 * time.Hour)
|
||||
|
||||
logger.Infof("🔄 Syncing Binance trades from: %s", startTime.Format(time.RFC3339))
|
||||
|
||||
// Get list of symbols to sync from current positions and recent income
|
||||
symbols, err := t.getActiveSymbols(startTime)
|
||||
if err != nil {
|
||||
return fmt.Errorf("failed to get active symbols: %w", err)
|
||||
}
|
||||
|
||||
if len(symbols) == 0 {
|
||||
logger.Infof("📭 No active symbols to sync")
|
||||
return nil
|
||||
}
|
||||
|
||||
logger.Infof("📊 Found %d symbols to sync: %v", len(symbols), symbols)
|
||||
|
||||
// Collect all trades from all symbols
|
||||
var allTrades []TradeRecord
|
||||
for _, symbol := range symbols {
|
||||
trades, err := t.GetTradesForSymbol(symbol, startTime, 500)
|
||||
if err != nil {
|
||||
logger.Infof(" ⚠️ Failed to get trades for %s: %v", symbol, err)
|
||||
continue
|
||||
}
|
||||
allTrades = append(allTrades, trades...)
|
||||
}
|
||||
|
||||
logger.Infof("📥 Received %d trades from Binance", len(allTrades))
|
||||
|
||||
if len(allTrades) == 0 {
|
||||
return nil
|
||||
}
|
||||
|
||||
// Sort trades by time ASC (oldest first) for proper position building
|
||||
sort.Slice(allTrades, func(i, j int) bool {
|
||||
return allTrades[i].Time.Before(allTrades[j].Time)
|
||||
})
|
||||
|
||||
// Process trades one by one
|
||||
orderStore := st.Order()
|
||||
positionStore := st.Position()
|
||||
posBuilder := store.NewPositionBuilder(positionStore)
|
||||
syncedCount := 0
|
||||
|
||||
for _, trade := range allTrades {
|
||||
// Check if trade already exists
|
||||
existing, err := orderStore.GetOrderByExchangeID(exchangeID, trade.TradeID)
|
||||
if err == nil && existing != nil {
|
||||
continue // Trade already exists, skip
|
||||
}
|
||||
|
||||
// Normalize symbol
|
||||
symbol := market.Normalize(trade.Symbol)
|
||||
|
||||
// Determine order action based on side and position side
|
||||
orderAction := t.determineOrderAction(trade.Side, trade.PositionSide, trade.RealizedPnL)
|
||||
|
||||
// Determine position side for position builder
|
||||
positionSide := trade.PositionSide
|
||||
if positionSide == "" || positionSide == "BOTH" {
|
||||
// Infer from order action
|
||||
if strings.Contains(orderAction, "long") {
|
||||
positionSide = "LONG"
|
||||
} else {
|
||||
positionSide = "SHORT"
|
||||
}
|
||||
}
|
||||
|
||||
// Normalize side
|
||||
side := strings.ToUpper(trade.Side)
|
||||
|
||||
// Create order record
|
||||
orderRecord := &store.TraderOrder{
|
||||
TraderID: traderID,
|
||||
ExchangeID: exchangeID,
|
||||
ExchangeType: exchangeType,
|
||||
ExchangeOrderID: trade.TradeID,
|
||||
Symbol: symbol,
|
||||
Side: side,
|
||||
PositionSide: positionSide,
|
||||
Type: "MARKET",
|
||||
OrderAction: orderAction,
|
||||
Quantity: trade.Quantity,
|
||||
Price: trade.Price,
|
||||
Status: "FILLED",
|
||||
FilledQuantity: trade.Quantity,
|
||||
AvgFillPrice: trade.Price,
|
||||
Commission: trade.Fee,
|
||||
FilledAt: trade.Time,
|
||||
CreatedAt: trade.Time,
|
||||
UpdatedAt: trade.Time,
|
||||
}
|
||||
|
||||
// Insert order record
|
||||
if err := orderStore.CreateOrder(orderRecord); err != nil {
|
||||
logger.Infof(" ⚠️ Failed to sync trade %s: %v", trade.TradeID, err)
|
||||
continue
|
||||
}
|
||||
|
||||
// Create fill record
|
||||
fillRecord := &store.TraderFill{
|
||||
TraderID: traderID,
|
||||
ExchangeID: exchangeID,
|
||||
ExchangeType: exchangeType,
|
||||
OrderID: orderRecord.ID,
|
||||
ExchangeOrderID: trade.TradeID,
|
||||
ExchangeTradeID: trade.TradeID,
|
||||
Symbol: symbol,
|
||||
Side: side,
|
||||
Price: trade.Price,
|
||||
Quantity: trade.Quantity,
|
||||
QuoteQuantity: trade.Price * trade.Quantity,
|
||||
Commission: trade.Fee,
|
||||
CommissionAsset: "USDT",
|
||||
RealizedPnL: trade.RealizedPnL,
|
||||
IsMaker: false,
|
||||
CreatedAt: trade.Time,
|
||||
}
|
||||
|
||||
if err := orderStore.CreateFill(fillRecord); err != nil {
|
||||
logger.Infof(" ⚠️ Failed to sync fill for trade %s: %v", trade.TradeID, err)
|
||||
}
|
||||
|
||||
// Create/update position record using PositionBuilder
|
||||
if err := posBuilder.ProcessTrade(
|
||||
traderID, exchangeID, exchangeType,
|
||||
symbol, positionSide, orderAction,
|
||||
trade.Quantity, trade.Price, trade.Fee, trade.RealizedPnL,
|
||||
trade.Time, trade.TradeID,
|
||||
); err != nil {
|
||||
logger.Infof(" ⚠️ Failed to sync position for trade %s: %v", trade.TradeID, err)
|
||||
} else {
|
||||
logger.Infof(" 📍 Position updated for trade: %s (action: %s, qty: %.6f)", trade.TradeID, orderAction, trade.Quantity)
|
||||
}
|
||||
|
||||
syncedCount++
|
||||
logger.Infof(" ✅ Synced trade: %s %s %s qty=%.6f price=%.6f pnl=%.2f fee=%.6f action=%s",
|
||||
trade.TradeID, symbol, side, trade.Quantity, trade.Price, trade.RealizedPnL, trade.Fee, orderAction)
|
||||
}
|
||||
|
||||
logger.Infof("✅ Binance order sync completed: %d new trades synced", syncedCount)
|
||||
return nil
|
||||
}
|
||||
|
||||
// getActiveSymbols returns list of symbols that have positions or recent trades
|
||||
func (t *FuturesTrader) getActiveSymbols(startTime time.Time) ([]string, error) {
|
||||
symbolMap := make(map[string]bool)
|
||||
|
||||
// Get symbols from current positions
|
||||
positions, err := t.GetPositions()
|
||||
if err == nil {
|
||||
for _, pos := range positions {
|
||||
if symbol, ok := pos["symbol"].(string); ok && symbol != "" {
|
||||
symbolMap[symbol] = true
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
// Get symbols from recent income (REALIZED_PNL = closures)
|
||||
incomes, err := t.GetTrades(startTime, 500)
|
||||
if err == nil {
|
||||
for _, income := range incomes {
|
||||
if income.Symbol != "" {
|
||||
symbolMap[income.Symbol] = true
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
var symbols []string
|
||||
for symbol := range symbolMap {
|
||||
symbols = append(symbols, symbol)
|
||||
}
|
||||
|
||||
return symbols, nil
|
||||
}
|
||||
|
||||
// determineOrderAction determines the order action based on trade data
|
||||
func (t *FuturesTrader) determineOrderAction(side, positionSide string, realizedPnL float64) string {
|
||||
side = strings.ToUpper(side)
|
||||
positionSide = strings.ToUpper(positionSide)
|
||||
|
||||
// If there's realized PnL, it's likely a close trade
|
||||
isClose := realizedPnL != 0
|
||||
|
||||
if positionSide == "LONG" || positionSide == "" {
|
||||
if side == "BUY" {
|
||||
if isClose {
|
||||
return "close_short" // Buying to close short
|
||||
}
|
||||
return "open_long"
|
||||
} else {
|
||||
if isClose {
|
||||
return "close_long" // Selling to close long
|
||||
}
|
||||
return "open_short"
|
||||
}
|
||||
} else if positionSide == "SHORT" {
|
||||
if side == "SELL" {
|
||||
if isClose {
|
||||
return "close_long"
|
||||
}
|
||||
return "open_short"
|
||||
} else {
|
||||
if isClose {
|
||||
return "close_short"
|
||||
}
|
||||
return "open_long"
|
||||
}
|
||||
}
|
||||
|
||||
// Default fallback
|
||||
if side == "BUY" {
|
||||
return "open_long"
|
||||
}
|
||||
return "open_short"
|
||||
}
|
||||
|
||||
// StartOrderSync starts background order sync task for Binance
|
||||
func (t *FuturesTrader) StartOrderSync(traderID string, exchangeID string, exchangeType string, st *store.Store, interval time.Duration) {
|
||||
ticker := time.NewTicker(interval)
|
||||
go func() {
|
||||
for range ticker.C {
|
||||
if err := t.SyncOrdersFromBinance(traderID, exchangeID, exchangeType, st); err != nil {
|
||||
logger.Infof("⚠️ Binance order sync failed: %v", err)
|
||||
}
|
||||
}
|
||||
}()
|
||||
logger.Infof("🔄 Binance order sync started (interval: %v)", interval)
|
||||
}
|
||||
Reference in New Issue
Block a user