Usdm support

.gitattributes

@@ -0,0 +1,2 @@
+* text=auto
+tests/fixtures/**/* -diff

DESCRIPTION

@@ -9,12 +9,17 @@ Authors@R: c(
 Encoding: UTF-8
 Description: R client to the 'Binance' Public Rest API for data collection on cryptocurrencies, portfolio management and trading: <https://github.com/binance/binance-spot-api-docs/blob/master/rest-api.md>.
 License: AGPL
-RoxygenNote: 7.1.1
+RoxygenNote: 7.2.3
 Imports:
   data.table,
   httr,
   digest,
   snakecase,
+  stringr,
   logger,
   jsonlite
 URL: https://daroczig.github.io/binancer/
+Suggests:
+    vcr (>= 0.6.0),
+    testthat (>= 3.0.0)
+Config/testthat/edition: 3

NAMESPACE

@@ -1,5 +1,13 @@
 # Generated by roxygen2: do not edit by hand
 
+S3method(execute_usdm_order,LIMIT)
+S3method(execute_usdm_order,MARKET)
+S3method(execute_usdm_order,STOP_MARKET)
+S3method(execute_usdm_order,TAKE_PROFIT_MARKET)
+S3method(format,LIMIT)
+S3method(format,MARKET)
+S3method(format,STOP_MARKET)
+S3method(format,TAKE_PROFIT_MARKET)
 export(binance_account)
 export(binance_all_orders)
 export(binance_avg_price)
@@ -26,6 +34,34 @@ export(binance_ticker_price)
 export(binance_ticks)
 export(binance_time)
 export(binance_trades)
+export(close_long_limit)
+export(close_long_market)
+export(close_short_limit)
+export(close_short_market)
+export(convert_position_risks)
+export(execute_usdm_order)
+export(long_stop_market_all)
+export(long_take_profit_market_all)
+export(open_long_limit)
+export(open_long_market)
+export(open_short_limit)
+export(open_short_market)
+export(short_stop_market_all)
+export(short_take_profit_market_all)
+export(usdm_v1_cancel_order_by_client_order_id)
+export(usdm_v1_cancel_order_by_id)
+export(usdm_v1_change_initial_leverage)
+export(usdm_v1_change_margin_type)
+export(usdm_v1_exchange_info)
+export(usdm_v1_filters)
+export(usdm_v1_new_order)
+export(usdm_v1_open_orders)
+export(usdm_v1_ping)
+export(usdm_v1_premium_index)
+export(usdm_v1_time)
+export(usdm_v2_account)
+export(usdm_v2_position_risks)
+importFrom(data.table,"%chin%")
 importFrom(data.table,":=")
 importFrom(data.table,as.data.table)
 importFrom(data.table,data.table)
@@ -42,6 +78,8 @@ importFrom(httr,content)
 importFrom(httr,headers)
 importFrom(jsonlite,fromJSON)
 importFrom(logger,log_error)
+importFrom(logger,log_warn)
 importFrom(snakecase,to_snake_case)
+importFrom(stringr,str_glue)
 importFrom(utils,assignInMyNamespace)
 importFrom(utils,getFromNamespace)

R/binance.R

@@ -1,10 +1,27 @@
 BINANCE <- list(
-    TYPE = c('LIMIT', 'MARKET',
-             'STOP_LOSS', 'STOP_LOSS_LIMIT',
-             'TAKE_PROFIT', 'TAKE_PROFIT_LIMIT',
-             'LIMIT_MAKER'),
+    BASE = list(
+        SPOT = 'https://api.binance.com',
+        USDM = 'https://fapi.binance.com'
+    ),
+    SPOT = list(
+        TIMEINFORCE = c('GTC', 'IOC', 'FOK'),
+        TYPE = c('LIMIT', 'MARKET',
+                 'STOP_LOSS', 'STOP_LOSS_LIMIT',
+                 'TAKE_PROFIT', 'TAKE_PROFIT_LIMIT',
+                 'LIMIT_MAKER')
+    ),
+    USDM = list(
+        FILTER = c("PRICE_FILTER", "LOT_SIZE", "MARKET_LOT_SIZE",
+                   "MAX_NUM_ORDERS", "MAX_NUM_ALGO_ORDERS",
+                   "MIN_NOTIONAL", "PERCENT_PRICE"),
+        TIMEINFORCE = c('GTC', 'IOC', 'FOK', 'GTX'),
+        POSITION_SIDE = c('LONG', 'SHORT'),
+        TYPE = c('LIMIT', 'MARKET',
+                 'STOP', 'STOP_MARKET',
+                 'TAKE_PROFIT', 'TAKE_PROFIT_MARKET',
+                 'TRAILING_STOP_MARKET')
+    ),
     SIDE = c('BUY', 'SELL'),
-    TIMEINFORCE = c('GTC', 'IOC', 'FOK'),
     INTERVALS = c(
         '1m', '3m', '5m', '15m', '30m',
         '1h', '2h', '4h', '6h', '8h', '12h',
@@ -63,14 +80,23 @@ binance_check_credentials <- function() {
 
 #' Sign the query string for Binance
 #' @param params list
-#' @return string
+#' @param time optional string
+#' @return list
 #' @keywords internal
 #' @importFrom digest hmac
 #' @examples \dontrun{
-#' signature(list(foo = 'bar', z = 4))
+#' binance_sign(list(foo = 'bar', z = 4))
 #' }
-binance_sign <- function(params) {
-    params$timestamp <- timestamp()
+binance_sign <- function(params,
+                         time = timestamp()) {
+    params$timestamp <- time
+
+    recv_window <- getOption("binancer.recv_window")
+
+    if (!is.null(recv_window)) {
+        params$recvWindow <- recv_window
+    }
+
     params$signature <- hmac(
         key = binance_secret(),
         object = paste(
@@ -80,6 +106,13 @@ binance_sign <- function(params) {
     params
 }
 
+# Workaround: USDM Ping returns neither weight header
+get_weight <- function(response) {
+    header <- headers(response)
+    w1 <- as.integer(header$`x-mbx-used-weight`)
+    w2 <- as.integer(header$`x-mbx-used-weight-1m`)
+    c(w1, w2, 1L)[1]
+}
 
 #' Request the Binance API
 #' @param endpoint string
@@ -90,7 +123,7 @@ binance_sign <- function(params) {
 #' @keywords internal
 #' @importFrom httr headers add_headers content
 #' @importFrom utils assignInMyNamespace
-binance_query <- function(endpoint, method = 'GET',
+binance_query <- function(endpoint, base = BINANCE$BASE$SPOT, method = 'GET',
                           params = list(), body = NULL, sign = FALSE,
                           retry = method == 'GET', content_as = 'parsed') {
 
@@ -99,6 +132,7 @@ binance_query <- function(endpoint, method = 'GET',
         Sys.sleep(61 - as.integer(format(Sys.time(), "%S")))
     }
 
+    base <- match.arg(base)
     method <- match.arg(method)
 
     if (isTRUE(sign)) {
@@ -109,13 +143,13 @@ binance_query <- function(endpoint, method = 'GET',
     }
 
     res <- query(
-        base = 'https://api.binance.com',
+        base = base,
         path = endpoint,
         method = method,
         params = params,
         config = config)
 
-    assignInMyNamespace('BINANCE_WEIGHT', as.integer(headers(res)$`x-mbx-used-weight`))
+    assignInMyNamespace('BINANCE_WEIGHT', get_weight(res))
     res <- content(res, as = content_as)
 
     if (content_as == 'parsed' & length(res) == 2 & !is.null(names(res))) {
@@ -126,6 +160,7 @@ binance_query <- function(endpoint, method = 'GET',
 
     res
 }
+formals(binance_query)$base <- unlist(BINANCE$BASE, use.names = FALSE)
 formals(binance_query)$method <- BINANCE$METHODS
 
 
@@ -379,6 +414,9 @@ binance_depth <- function(symbol, limit) {
 #' @param symbol optional string
 #' @return \code{data.table}
 #' @export
+#' @examples \dontrun{
+#' binance_ticker_price('ETHUSDT')
+#' }
 binance_ticker_price <- function(symbol) {
 
     # silence "no visible global function/variable definition" R CMD check
@@ -403,6 +441,9 @@ binance_ticker_price <- function(symbol) {
 #' @return \code{data.table}
 #' @export
 #' @importFrom snakecase to_snake_case
+#' @examples \dontrun{
+#' binance_ticker_book('ETHUSDT')
+#' }
 binance_ticker_book <- function(symbol) {
 
     if (!missing(symbol)) {
@@ -860,8 +901,8 @@ binance_new_order <- function(symbol, side, type, time_in_force, quantity, price
     data.table(ord)
 }
 formals(binance_new_order)$side <- BINANCE$SIDE
-formals(binance_new_order)$type <- BINANCE$TYPE
-formals(binance_new_order)$time_in_force <- BINANCE$TIMEINFORCE
+formals(binance_new_order)$type <- BINANCE$SPOT$TYPE
+formals(binance_new_order)$time_in_force <- BINANCE$SPOT$TIMEINFORCE
 
 
 #' Query order on the Binance account

R/filter.R

@@ -0,0 +1,144 @@
+#' @importFrom data.table %chin%
+#' @importFrom logger log_warn
+#' @importFrom stringr str_glue
+
+# Validate both of price and quantity
+# This should resolve the problem such as 200.1 %% 0.1 == 0.1
+validate_scale <- function(x, min, max, step, digits = 8) {
+    a <- x - min
+    b <- a / step
+    round(b - round(b), digits) == 0 &&
+        x >= min && x <= max
+}
+
+usdm_order_context <- function(open_orders = usdm_v1_open_orders(),
+                               premium_index = usdm_v1_premium_index()) {
+    structure(
+        list(
+            open_orders = open_orders,
+            premium_index = premium_index
+        ),
+        class = "usdm_order_context"
+    )
+}
+
+order_number <- function(context) {
+    nrow(context$open_orders)
+}
+
+algo_order_number <- function(context) {
+    type <- NULL
+    nrow(context$open_orders[type %chin% algo_order_type, ])
+}
+
+mark_price <- function(context, symbol) {
+    markPrice <- NULL
+    symbol_q <- symbol
+    context$premium_index[symbol == symbol_q, markPrice]
+}
+
+binance_filter <- function(type, params) {
+    structure(
+        params,
+        class = type
+    )
+}
+
+usdm_filter_check <- function(self, order, context) {
+    UseMethod("usdm_filter_check")
+}
+
+log_if_false <- function(self, order, f) {
+    result <- f()
+
+    if (isFALSE(result)) {
+        log_warn("{format(self)} failed: {format(order)}")
+    }
+
+    result
+}
+
+format.PRICE_FILTER <- function(self) {
+    str_glue("PRICE_FILTER({self$minPrice}, {self$maxPrice}, {self$tickSize})")
+}
+
+usdm_filter_check.PRICE_FILTER <- function(self, order, context) {
+    log_if_false(self, order, function() {
+        validate_scale(order$price, self$minPrice, self$maxPrice, self$tickSize)
+    })
+}
+
+format.LOT_SIZE <- function(self) {
+    str_glue("LOT_SIZE({self$minQty}, {self$maxQty}, {self$stepSize})")
+}
+
+usdm_filter_check.LOT_SIZE <- function(self, order, context) {
+    log_if_false(self, order, function() {
+        validate_scale(order$quantity, self$minQty, self$maxQty, self$stepSize)
+    })
+}
+
+format.MARKET_LOT_SIZE <- function(self) {
+    str_glue("MARKET_LOT_SIZE({self$minQty}, {self$maxQty}, {self$stepSize})")
+}
+
+usdm_filter_check.MARKET_LOT_SIZE <- usdm_filter_check.LOT_SIZE
+
+format.MAX_NUM_ORDERS <- function(self) {
+    str_glue("MAX_NUM_ORDERS({self$limit})")
+}
+
+order_number_check <- function(self, number) {
+    limit <- self$limit
+
+    number < limit
+}
+
+usdm_filter_check.MAX_NUM_ORDERS <- function(self, order, context) {
+    log_if_false(self, order, function() {
+        order_number_check(self, order_number(context))
+    })
+}
+
+format.MAX_NUM_ALGO_ORDERS <- function(self) {
+    str_glue("MAX_NUM_ALGO_ORDERS({self$limit})")
+}
+
+usdm_filter_check.MAX_NUM_ALGO_ORDERS <- function(self, order, context) {
+    log_if_false(self, order, function() {
+        order_number_check(self, algo_order_number(context))
+    })
+}
+
+format.PERCENT_PRICE <- function(self) {
+    str_glue("PERCENT_PRICE({self$multiplierDown}, {self$multiplierUp})")
+}
+
+usdm_filter_check.PERCENT_PRICE <- function(self, order, context) {
+    down <- self$multiplierDown
+    up <- self$multiplierUp
+
+    mark_price <- mark_price(context, order$symbol)
+
+    log_if_false(self, order, function() {
+        (is_buy(order) && order$price <= mark_price * up) ||
+            (is_sell(order) && order$price >= mark_price * down)
+    })
+}
+
+format.MIN_NOTIONAL <- function(self) {
+    str_glue("MIN_NOTIONAL({self$notional})")
+}
+
+usdm_filter_check.MIN_NOTIONAL <- function(self, order, context) {
+    notional <- self$notional
+    ref_price <- if (inherits(order, "LIMIT")) {
+        order$price
+    } else {
+        mark_price(context, order$symbol)
+    }
+
+    log_if_false(self, order, function() {
+        ref_price * order$quantity >= notional
+    })
+}