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[BinanceExchange] Add future support #483

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[BinanceExchange] Add future support #483

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9de5c2f
[BinanceExchange] Add future support
Herklos Jul 7, 2021
edd3156
WIP
Herklos Oct 28, 2021
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50 changes: 48 additions & 2 deletions Trading/Exchange/binance/binance_exchange.py
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Original file line number Diff line number Diff line change
Expand Up @@ -13,21 +13,42 @@
#
# You should have received a copy of the GNU Lesser General Public
# License along with this library.
import octobot_commons.constants as common_constants
import octobot_trading.enums as trading_enums
import octobot_trading.exchanges as exchanges


class Binance(exchanges.SpotCCXTExchange):
class Binance(exchanges.SpotCCXTExchange, exchanges.FutureCCXTExchange):
DESCRIPTION = ""

BUY_STR = "BUY"
SELL_STR = "SELL"

ACCOUNTS = {
trading_enums.AccountTypes.CASH: 'cash'
trading_enums.AccountTypes.CASH: 'cash',
trading_enums.AccountTypes.FUTURE: 'future'
}

MARK_PRICE_IN_POSITION = True

BINANCE_SYMBOL = "symbol"

BINANCE_FUTURE_QUANTITY = "positionAmt"
BINANCE_FUTURE_UNREALIZED_PNL = "unRealizedProfit"
BINANCE_FUTURE_LIQUIDATION_PRICE = "liquidationPrice"
BINANCE_FUTURE_VALUE = "liquidationPrice"

BINANCE_MARGIN_TYPE = "marginType"
BINANCE_MARGIN_TYPE_ISOLATED = "ISOLATED"
BINANCE_MARGIN_TYPE_CROSSED = "CROSSED"

BINANCE_FUNDING_RATE = "fundingRate"
BINANCE_LAST_FUNDING_TIME = "fundingTime"
BINANCE_FUNDING_DURATION = 8 * common_constants.HOURS_TO_SECONDS

BINANCE_TIME = "time"
BINANCE_MARK_PRICE = "markPrice"
BINANCE_ENTRY_PRICE = "entryPrice"

@classmethod
def get_name(cls):
Expand Down Expand Up @@ -98,3 +119,28 @@ def _fill_order_missing_data(self, order, trades):
if not order[trading_enums.ExchangeConstantsOrderColumns.FEE.value] and order_id in trades:
order[trading_enums.ExchangeConstantsOrderColumns.FEE.value] = \
trades[order_id][trading_enums.ExchangeConstantsOrderColumns.FEE.value]

def parse_funding(self, funding_dict, from_ticker=False):
try:
last_funding_time = self.connector.get_uniform_timestamp(
self.connector.client.safe_float(funding_dict, self.BINANCE_LAST_FUNDING_TIME))
funding_dict = {
trading_enums.ExchangeConstantsFundingColumns.LAST_FUNDING_TIME.value: last_funding_time,
trading_enums.ExchangeConstantsFundingColumns.FUNDING_RATE.value:
self.connector.client.safe_float(funding_dict, self.BINANCE_FUNDING_RATE),
trading_enums.ExchangeConstantsFundingColumns.NEXT_FUNDING_TIME.value:
last_funding_time + self.BINANCE_FUNDING_DURATION
}
except KeyError as e:
self.logger.error(f"Fail to parse funding dict ({e})")
return funding_dict

def parse_mark_price(self, mark_price_dict, from_ticker=False):
try:
mark_price_dict = {
trading_enums.ExchangeConstantsMarkPriceColumns.MARK_PRICE.value:
self.connector.client.safe_float(mark_price_dict, self.BINANCE_MARK_PRICE, 0)
}
except KeyError as e:
self.logger.error(f"Fail to parse mark_price dict ({e})")
return mark_price_dict