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Update binance.R #32

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23c3673
Update binance.R
stanyip Dec 12, 2022
64d75dd
Update binance.R
stanyip Mar 20, 2023
b4bee9d
Update binance.R
stanyip Mar 23, 2023
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Update binance.R
stanyip Jul 31, 2023
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Update DESCRIPTION
stanyip Jul 31, 2023
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Update binance.R
stanyip Sep 18, 2023
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4 changes: 2 additions & 2 deletions DESCRIPTION
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Original file line number Diff line number Diff line change
@@ -1,8 +1,8 @@
Package: binancer
Type: Package
Title: API Client to 'Binance'
Version: 1.2.0
Date: 2021-11-26
Version: 1.2.1
Date: 2023-07-31
Authors@R: c(
person('Gergely', 'Daróczi', email = 'daroczig@rapporter.net', role = c('aut', 'cre')),
person('David', 'Andel', email = 'andel@bli.uzh.ch', role = 'aut'))
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28 changes: 14 additions & 14 deletions R/binance.R
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Expand Up @@ -553,7 +553,7 @@ binance_filters <- function(symbol) {
symb <- symbol
filters <- as.data.table(binance_exchange_info()$symbols[symbol == symb, filters][[1]])

for (v in setdiff(names(filters), c('filterType', 'avgPriceMins', 'applyToMarket', 'limit', 'maxNumAlgoOrders'))) {
for (v in setdiff(names(filters), c('filterType', 'avgPriceMins', 'applyMinToMarket', 'limit', 'maxNumAlgoOrders'))) {
filters[, (v) := as.numeric(get(v))]
}

Expand Down Expand Up @@ -720,7 +720,7 @@ binance_mytrades <- function(symbol, limit, from_id, start_time, end_time) {
binance_new_order <- function(symbol, side, type, time_in_force, quantity, price, stop_price, iceberg_qty, test = TRUE) {

# silence "no visible global function/variable definition" R CMD check
filterType <- minQty <- maxQty <- stepSize <- applyToMarket <- avgPriceMins <- limit <- NULL
filterType <- minQty <- maxQty <- stepSize <- applyMinToMarket <- avgPriceMins <- limit <- NULL
minNotional <- minPrice <- maxPrice <- tickSize <- multiplierDown <- multiplierUp <- NULL

side <- match.arg(side)
Expand Down Expand Up @@ -757,16 +757,16 @@ binance_new_order <- function(symbol, side, type, time_in_force, quantity, price
quantity <= filters[filterType == 'LOT_SIZE', maxQty])
# work around the limitation of %% (e.g. 200.1 %% 0.1 = 0.1 !!)
quot <- (quantity - filters[filterType == 'LOT_SIZE', minQty]) / filters[filterType == 'LOT_SIZE', stepSize]
stopifnot(abs(quot - round(quot)) < 1e-10)
stopifnot(abs(quot - round(quot)) < abs(quot) * .Machine$double.eps)

if (type == 'MARKET') {
stopifnot(quantity >= filters[filterType == 'MARKET_LOT_SIZE', minQty],
quantity <= filters[filterType == 'MARKET_LOT_SIZE', maxQty])
# work around the limitation of %% (e.g. 200.1 %% 0.1 = 0.1 !!)
quot <- (quantity - filters[filterType == 'MARKET_LOT_SIZE', minQty]) / filters[filterType == 'MARKET_LOT_SIZE', stepSize]
stopifnot(abs(quot - round(quot)) < 1e-10)
quot <- (quantity - filters[filterType == 'LOT_SIZE', minQty]) / filters[filterType == 'LOT_SIZE', stepSize]
stopifnot(abs(quot - round(quot)) < abs(quot) * .Machine$double.eps) # it should be bounded by (|a|+|b|)/2*MachineEpsilon, but approximated by abs(quot)*MachineEpsilon

if (isTRUE(filters[filterType == 'MIN_NOTIONAL', applyToMarket])) {
if (isTRUE(filters[filterType == 'MIN_NOTIONAL', applyMinToMarket])) {
if (filters[filterType == 'MIN_NOTIONAL', avgPriceMins] == 0) {
ref_price <- binance_ticker_price(symbol)$price
} else {
Expand All @@ -786,22 +786,22 @@ binance_new_order <- function(symbol, side, type, time_in_force, quantity, price
if (filters[filterType == 'PRICE_FILTER', tickSize] > 0) {
# work around the limitation of %% (e.g. 200.1 %% 0.1 = 0.1 !!)
quot <- (price - filters[filterType == 'PRICE_FILTER', minPrice]) / filters[filterType == 'PRICE_FILTER', tickSize]
stopifnot(abs(quot - round(quot)) < 1e-10)
stopifnot(abs(quot - round(quot)) < abs(quot) * .Machine$double.eps)
}

if (filters[filterType == 'PERCENT_PRICE', avgPriceMins] == 0) {
if (filters[filterType == 'NOTIONAL', avgPriceMins] == 0) {
ref_price <- binance_ticker_price(symbol)$price
} else {
ref_price <- binance_avg_price(symbol)
stopifnot(ref_price$mins == filters[filterType == 'PERCENT_PRICE', avgPriceMins])
stopifnot(ref_price$mins == filters[filterType == 'NOTIONAL', avgPriceMins])
ref_price <- ref_price$price
}
stopifnot(
price >= ref_price * filters[filterType == 'PERCENT_PRICE', multiplierDown],
price <= ref_price * filters[filterType == 'PERCENT_PRICE', multiplierUp]
price >= ref_price * filters[filterType == 'PERCENT_PRICE_BY_SIDE', 'askMultiplierDown'],
price <= ref_price * filters[filterType == 'PERCENT_PRICE_BY_SIDE', 'askMultiplierUp']
)

stopifnot(price * quantity >= filters[filterType == 'MIN_NOTIONAL', minNotional])
stopifnot(price * quantity >= filters[filterType == 'NOTIONAL', minNotional])

params$price = price
}
Expand All @@ -814,7 +814,7 @@ binance_new_order <- function(symbol, side, type, time_in_force, quantity, price
if (filters[filterType == 'PRICE_FILTER', tickSize] > 0) {
# work around the limitation of %% (e.g. 200.1 %% 0.1 = 0.1 !!)
quot <- (stop_price - filters[filterType == 'PRICE_FILTER', minPrice]) / filters[filterType == 'PRICE_FILTER', tickSize]
stopifnot(abs(quot - round(quot)) < 1e-10)
stopifnot(abs(quot - round(quot)) < abs(quot) * .Machine$double.eps)
}
params$stopPrice = stop_price
}
Expand All @@ -827,7 +827,7 @@ binance_new_order <- function(symbol, side, type, time_in_force, quantity, price
iceberg_qty <= filters[filterType == 'LOT_SIZE', maxQty])
# work around the limitation of %% (e.g. 200.1 %% 0.1 = 0.1 !!)
quot <- (iceberg_qty - filters[filterType == 'LOT_SIZE', minQty]) / filters[filterType == 'LOT_SIZE', stepSize]
stopifnot(abs(quot - round(quot)) < 1e-10)
stopifnot(abs(quot - round(quot)) < abs(quot) * .Machine$double.eps)
}
params$icebergQty = iceberg_qty
}
Expand Down