mirror of
https://github.com/NoFxAiOS/nofx.git
synced 2026-07-16 09:11:03 +08:00
feat(kucoin): add order sync and fix price precision
- Add KuCoin order sync with proper API response parsing - Use openFeePay/closeFeePay to determine open/close trades - Get contract multiplier from API for accurate qty calculation - Fix price rounding: 2 decimals -> 8 decimals for low-price coins - Add comprehensive tests for trades, positions, and P&L
This commit is contained in:
tinkle-community
412
trader/kucoin/order_sync.go
Normal file
412
trader/kucoin/order_sync.go
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@@ -0,0 +1,412 @@
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package kucoin
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import (
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"encoding/json"
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"fmt"
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"nofx/logger"
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"nofx/store"
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"nofx/trader/types"
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"sort"
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"strings"
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"time"
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)
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// KuCoinTrade represents a trade record from KuCoin fill history
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type KuCoinTrade struct {
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Symbol string
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TradeID string
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OrderID string
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Side string // buy or sell
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FillPrice float64
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FillQty float64 // In base currency (e.g., ETH), not lots
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Fee float64
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FeeAsset string
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ExecTime time.Time
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ProfitLoss float64
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OrderAction string // open_long, open_short, close_long, close_short
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}
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// GetTrades retrieves trade/fill records from KuCoin
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func (t *KuCoinTrader) GetTrades(startTime time.Time, limit int) ([]KuCoinTrade, error) {
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if limit <= 0 {
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limit = 100
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}
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if limit > 100 {
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limit = 100 // KuCoin max limit
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}
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// Build query path
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path := fmt.Sprintf("%s?pageSize=%d", kucoinFillsPath, limit)
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if !startTime.IsZero() {
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path += fmt.Sprintf("&startAt=%d", startTime.UnixMilli())
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}
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data, err := t.doRequest("GET", path, nil)
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if err != nil {
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return nil, fmt.Errorf("failed to get trade history: %w", err)
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}
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var response struct {
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CurrentPage int `json:"currentPage"`
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PageSize int `json:"pageSize"`
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TotalNum int `json:"totalNum"`
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TotalPage int `json:"totalPage"`
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Items []struct {
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Symbol string `json:"symbol"`
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TradeId string `json:"tradeId"`
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OrderId string `json:"orderId"`
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Side string `json:"side"`
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Price string `json:"price"`
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Size int64 `json:"size"`
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Value string `json:"value"` // Trade value in quote currency
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Fee string `json:"fee"` // Total fee
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FeeRate string `json:"feeRate"` // Fee rate
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FeeCurrency string `json:"feeCurrency"` // Fee currency (USDT)
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OpenFeePay string `json:"openFeePay"` // Fee for opening (>0 means opening trade)
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CloseFeePay string `json:"closeFeePay"` // Fee for closing (>0 means closing trade)
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TradeTime int64 `json:"tradeTime"` // Nanoseconds
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MarginMode string `json:"marginMode"` // CROSS or ISOLATED
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OrderType string `json:"orderType"` // market, limit
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} `json:"items"`
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}
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if err := json.Unmarshal(data, &response); err != nil {
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return nil, fmt.Errorf("failed to parse trade history: %w", err)
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}
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logger.Infof("📥 Received %d trades from KuCoin", len(response.Items))
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result := make([]KuCoinTrade, 0, len(response.Items))
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for _, trade := range response.Items {
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// Parse numeric values from strings
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var fillPrice, fee, openFeePay, closeFeePay float64
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fmt.Sscanf(trade.Price, "%f", &fillPrice)
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fmt.Sscanf(trade.Fee, "%f", &fee)
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fmt.Sscanf(trade.OpenFeePay, "%f", &openFeePay)
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fmt.Sscanf(trade.CloseFeePay, "%f", &closeFeePay)
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// Get multiplier from contract info
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symbol := t.convertSymbolBack(trade.Symbol)
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var multiplier float64
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contract, err := t.getContract(symbol)
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if err == nil && contract != nil {
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multiplier = contract.Multiplier
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} else {
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// Default multipliers based on symbol
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if strings.Contains(symbol, "BTC") {
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multiplier = 0.001
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} else {
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multiplier = 0.01 // Default for altcoins
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}
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}
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// Convert lots to actual quantity
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absSize := trade.Size
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if absSize < 0 {
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absSize = -absSize
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}
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fillQty := float64(absSize) * multiplier
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// Determine side and order action
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// KuCoin uses openFeePay/closeFeePay to indicate if trade is opening or closing
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side := strings.ToUpper(trade.Side) // BUY or SELL
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isClosing := closeFeePay > 0
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var orderAction string
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if trade.Side == "buy" {
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if isClosing {
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// Buying to close short
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orderAction = "close_short"
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} else {
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// Buying to open long
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orderAction = "open_long"
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}
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} else { // sell
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if isClosing {
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// Selling to close long
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orderAction = "close_long"
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} else {
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// Selling to open short
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orderAction = "open_short"
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}
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}
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// Trade time is in nanoseconds
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execTime := time.Unix(0, trade.TradeTime)
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result = append(result, KuCoinTrade{
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Symbol: symbol,
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TradeID: trade.TradeId,
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OrderID: trade.OrderId,
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Side: side,
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FillPrice: fillPrice,
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FillQty: fillQty,
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Fee: fee,
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FeeAsset: trade.FeeCurrency,
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ExecTime: execTime,
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ProfitLoss: 0, // KuCoin fills API doesn't return PnL per trade
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OrderAction: orderAction,
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})
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}
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// Sort by execution time (oldest first)
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sort.Slice(result, func(i, j int) bool {
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return result[i].ExecTime.Before(result[j].ExecTime)
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})
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return result, nil
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}
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// GetRecentTrades retrieves recent trades (faster, no pagination)
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func (t *KuCoinTrader) GetRecentTrades() ([]KuCoinTrade, error) {
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data, err := t.doRequest("GET", kucoinRecentFillsPath, nil)
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if err != nil {
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return nil, fmt.Errorf("failed to get recent trades: %w", err)
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}
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var trades []struct {
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Symbol string `json:"symbol"`
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TradeId string `json:"tradeId"`
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OrderId string `json:"orderId"`
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Side string `json:"side"`
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Price string `json:"price"`
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Size int64 `json:"size"`
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Fee string `json:"fee"`
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FeeCurrency string `json:"feeCurrency"`
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OpenFeePay string `json:"openFeePay"`
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CloseFeePay string `json:"closeFeePay"`
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TradeTime int64 `json:"tradeTime"`
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}
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if err := json.Unmarshal(data, &trades); err != nil {
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return nil, fmt.Errorf("failed to parse recent trades: %w", err)
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}
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result := make([]KuCoinTrade, 0, len(trades))
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for _, trade := range trades {
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var fillPrice, fee, openFeePay, closeFeePay float64
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fmt.Sscanf(trade.Price, "%f", &fillPrice)
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fmt.Sscanf(trade.Fee, "%f", &fee)
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fmt.Sscanf(trade.OpenFeePay, "%f", &openFeePay)
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fmt.Sscanf(trade.CloseFeePay, "%f", &closeFeePay)
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// Get multiplier from contract info
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symbol := t.convertSymbolBack(trade.Symbol)
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var multiplier float64
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contract, err := t.getContract(symbol)
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if err == nil && contract != nil {
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multiplier = contract.Multiplier
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} else {
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if strings.Contains(symbol, "BTC") {
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multiplier = 0.001
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} else {
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multiplier = 0.01
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}
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}
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absSize := trade.Size
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if absSize < 0 {
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absSize = -absSize
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}
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fillQty := float64(absSize) * multiplier
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side := strings.ToUpper(trade.Side)
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isClosing := closeFeePay > 0
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var orderAction string
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if trade.Side == "buy" {
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if isClosing {
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orderAction = "close_short"
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} else {
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orderAction = "open_long"
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}
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} else {
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if isClosing {
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orderAction = "close_long"
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} else {
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orderAction = "open_short"
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}
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}
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execTime := time.Unix(0, trade.TradeTime)
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result = append(result, KuCoinTrade{
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Symbol: symbol,
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TradeID: trade.TradeId,
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OrderID: trade.OrderId,
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Side: side,
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FillPrice: fillPrice,
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FillQty: fillQty,
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Fee: fee,
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FeeAsset: trade.FeeCurrency,
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ExecTime: execTime,
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ProfitLoss: 0,
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OrderAction: orderAction,
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})
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}
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return result, nil
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}
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// ToTradeRecord converts KuCoinTrade to types.TradeRecord
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func (t *KuCoinTrade) ToTradeRecord() types.TradeRecord {
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// Determine position side from order action
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positionSide := "LONG"
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if strings.Contains(t.OrderAction, "short") {
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positionSide = "SHORT"
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}
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return types.TradeRecord{
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TradeID: t.TradeID,
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Symbol: t.Symbol,
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Side: t.Side,
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PositionSide: positionSide,
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OrderAction: t.OrderAction,
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Price: t.FillPrice,
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Quantity: t.FillQty,
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RealizedPnL: t.ProfitLoss,
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Fee: t.Fee,
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Time: t.ExecTime,
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}
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}
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// SyncOrdersFromKuCoin syncs KuCoin exchange order history to local database
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// Also creates/updates position records to ensure orders/fills/positions data consistency
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// exchangeID: Exchange account UUID (from exchanges.id)
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// exchangeType: Exchange type ("kucoin")
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func (t *KuCoinTrader) SyncOrdersFromKuCoin(traderID string, exchangeID string, exchangeType string, st *store.Store) error {
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if st == nil {
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return fmt.Errorf("store is nil")
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}
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// Get recent trades (last 24 hours)
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startTime := time.Now().Add(-24 * time.Hour)
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logger.Infof("🔄 Syncing KuCoin trades from: %s", startTime.Format(time.RFC3339))
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// Use GetTrades method to fetch trade records
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trades, err := t.GetTrades(startTime, 100)
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if err != nil {
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return fmt.Errorf("failed to get trades: %w", err)
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}
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logger.Infof("📥 Received %d trades from KuCoin", len(trades))
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// Sort trades by time ASC (oldest first) for proper position building
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sort.Slice(trades, func(i, j int) bool {
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return trades[i].ExecTime.UnixMilli() < trades[j].ExecTime.UnixMilli()
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})
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// Process trades one by one (no transaction to avoid deadlock)
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orderStore := st.Order()
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positionStore := st.Position()
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posBuilder := store.NewPositionBuilder(positionStore)
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syncedCount := 0
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for _, trade := range trades {
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// Check if trade already exists (use exchangeID which is UUID, not exchange type)
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existing, err := orderStore.GetOrderByExchangeID(exchangeID, trade.TradeID)
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if err == nil && existing != nil {
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continue // Order already exists, skip
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}
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// Symbol is already normalized in GetTrades
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symbol := trade.Symbol
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// Determine position side from order action
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positionSide := "LONG"
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if strings.Contains(trade.OrderAction, "short") {
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positionSide = "SHORT"
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}
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// Normalize side for storage
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side := strings.ToUpper(trade.Side)
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// Create order record - use UTC time in milliseconds to avoid timezone issues
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execTimeMs := trade.ExecTime.UTC().UnixMilli()
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orderRecord := &store.TraderOrder{
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TraderID: traderID,
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ExchangeID: exchangeID, // UUID
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ExchangeType: exchangeType, // Exchange type
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ExchangeOrderID: trade.TradeID,
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Symbol: symbol,
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Side: side,
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PositionSide: "BOTH", // KuCoin uses one-way position mode
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Type: "MARKET",
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OrderAction: trade.OrderAction,
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Quantity: trade.FillQty,
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Price: trade.FillPrice,
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Status: "FILLED",
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FilledQuantity: trade.FillQty,
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AvgFillPrice: trade.FillPrice,
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Commission: trade.Fee,
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FilledAt: execTimeMs,
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CreatedAt: execTimeMs,
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UpdatedAt: execTimeMs,
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}
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// Insert order record
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if err := orderStore.CreateOrder(orderRecord); err != nil {
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logger.Infof(" ⚠️ Failed to sync trade %s: %v", trade.TradeID, err)
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continue
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}
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// Create fill record - use UTC time in milliseconds
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fillRecord := &store.TraderFill{
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TraderID: traderID,
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ExchangeID: exchangeID, // UUID
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ExchangeType: exchangeType, // Exchange type
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OrderID: orderRecord.ID,
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ExchangeOrderID: trade.OrderID,
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ExchangeTradeID: trade.TradeID,
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Symbol: symbol,
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Side: side,
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Price: trade.FillPrice,
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Quantity: trade.FillQty,
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QuoteQuantity: trade.FillPrice * trade.FillQty,
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Commission: trade.Fee,
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CommissionAsset: trade.FeeAsset,
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RealizedPnL: trade.ProfitLoss,
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IsMaker: false,
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CreatedAt: execTimeMs,
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}
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if err := orderStore.CreateFill(fillRecord); err != nil {
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logger.Infof(" ⚠️ Failed to sync fill for trade %s: %v", trade.TradeID, err)
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}
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// Create/update position record using PositionBuilder
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if err := posBuilder.ProcessTrade(
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traderID, exchangeID, exchangeType,
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symbol, positionSide, trade.OrderAction,
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trade.FillQty, trade.FillPrice, trade.Fee, trade.ProfitLoss,
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execTimeMs, trade.TradeID,
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); err != nil {
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logger.Infof(" ⚠️ Failed to sync position for trade %s: %v", trade.TradeID, err)
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} else {
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logger.Infof(" 📍 Position updated for trade: %s (action: %s, qty: %.6f)", trade.TradeID, trade.OrderAction, trade.FillQty)
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}
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syncedCount++
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logger.Infof(" ✅ Synced trade: %s %s %s qty=%.6f price=%.6f pnl=%.2f fee=%.6f action=%s",
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trade.TradeID, symbol, side, trade.FillQty, trade.FillPrice, trade.ProfitLoss, trade.Fee, trade.OrderAction)
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}
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logger.Infof("✅ KuCoin order sync completed: %d new trades synced", syncedCount)
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return nil
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}
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// StartOrderSync starts background order sync task for KuCoin
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func (t *KuCoinTrader) StartOrderSync(traderID string, exchangeID string, exchangeType string, st *store.Store, interval time.Duration) {
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ticker := time.NewTicker(interval)
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go func() {
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for range ticker.C {
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if err := t.SyncOrdersFromKuCoin(traderID, exchangeID, exchangeType, st); err != nil {
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logger.Infof("⚠️ KuCoin order sync failed: %v", err)
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}
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}
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}()
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logger.Infof("🔄 KuCoin order sync started (interval: %v)", interval)
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}
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