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Buck review updates
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@martonp
martonp committed Nov 29, 2024
1 parent 6dccd1c commit 3db198f
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Showing 3 changed files with 79 additions and 450 deletions.
176 changes: 71 additions & 105 deletions client/mm/libxc/binance.go
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Original file line number Diff line number Diff line change
Expand Up @@ -449,8 +449,8 @@ type tradeInfo struct {
}

type withdrawInfo struct {
minimum uint64
integerMultiple float64
minimum uint64
lotSize uint64
}

type binance struct {
Expand Down Expand Up @@ -627,10 +627,9 @@ func (bnc *binance) readCoins(coins []*bntypes.CoinInfo) {
tokenIDs[nfo.Coin] = append(tokenIDs[nfo.Coin], assetID)
}
minimum := uint64(math.Round(float64(ui.Conventional.ConversionFactor) * netInfo.WithdrawMin))
integerMultiple := netInfo.WithdrawIntegerMultiple
minWithdraw[assetID] = &withdrawInfo{
minimum: minimum,
integerMultiple: integerMultiple,
minimum: minimum,
lotSize: uint64(math.Round(netInfo.WithdrawIntegerMultiple * float64(ui.Conventional.ConversionFactor))),
}
}
}
Expand Down Expand Up @@ -659,12 +658,44 @@ func (bnc *binance) getMarkets(ctx context.Context) (map[string]*bntypes.Market,
}

marketsMap := make(map[string]*bntypes.Market, len(exchangeInfo.Symbols))
tokenIDs := bnc.tokenIDs.Load().(map[string][]uint32)
for _, market := range exchangeInfo.Symbols {
dexMarkets := binanceMarketToDexMarkets(market.BaseAsset, market.QuoteAsset, tokenIDs, bnc.isUS)
if len(dexMarkets) == 0 {
continue
}
dexMkt := dexMarkets[0]

bui, _ := asset.UnitInfo(dexMkt.BaseID)
qui, _ := asset.UnitInfo(dexMkt.QuoteID)

var rateStepFound, lotSizeFound bool
for _, filter := range market.Filters {
if filter.Type == "PRICE_FILTER" {
rateStepFound = true
conv := float64(qui.Conventional.ConversionFactor) / float64(bui.Conventional.ConversionFactor) * calc.RateEncodingFactor
market.RateStep = uint64(math.Round(filter.TickSize * conv))
market.MinPrice = uint64(math.Round(filter.MinPrice * conv))
market.MaxPrice = uint64(math.Round(filter.MaxPrice * conv))
} else if filter.Type == "LOT_SIZE" {
lotSizeFound = true
market.LotSize = uint64(math.Round(filter.StepSize * float64(bui.Conventional.ConversionFactor)))
market.MinQty = uint64(math.Round(filter.MinQty * float64(bui.Conventional.ConversionFactor)))
market.MaxQty = uint64(math.Round(filter.MaxQty * float64(bui.Conventional.ConversionFactor)))
}
if rateStepFound && lotSizeFound {
break
}
}
if !rateStepFound || !lotSizeFound {
bnc.log.Errorf("missing filter for market %s, rate step found = %t, lot size found = %t", dexMkt.MarketID, rateStepFound, lotSizeFound)
continue
}

marketsMap[market.Symbol] = market
}

bnc.markets.Store(marketsMap)

return marketsMap, nil
}

Expand Down Expand Up @@ -777,50 +808,14 @@ func (bnc *binance) generateTradeID() string {
return hex.EncodeToString(append(bnc.tradeIDNoncePrefix, nonceB...))
}

func applyPriceFilter(price float64, filters []*bntypes.Filter) (string, error) {
var priceFilter *bntypes.Filter
for _, filter := range filters {
if filter.Type == "PRICE_FILTER" {
priceFilter = filter
}
}
if priceFilter == nil {
return "", fmt.Errorf("no price filter found")
}
if priceFilter.MinPrice > 0 && price < priceFilter.MinPrice {
return "", fmt.Errorf("price is below min price: %v", price)
}
if priceFilter.MaxPrice > 0 && price > priceFilter.MaxPrice {
return "", fmt.Errorf("price is above max price: %v", price)
}
if priceFilter.TickSize == 0 {
return strconv.FormatFloat(price, 'f', -1, 64), nil
}

return steppedAmount(price, priceFilter.TickSize), nil
}

func applyLotSizeFilter(qty float64, filters []*bntypes.Filter) (string, error) {
var lotSizeFilter *bntypes.Filter
for _, filter := range filters {
if filter.Type == "LOT_SIZE" {
lotSizeFilter = filter
}
}
if lotSizeFilter == nil {
return "", fmt.Errorf("no lot size filter found")
}
if qty < lotSizeFilter.MinQty {
return "", fmt.Errorf("quantity is below min quantity: %v", qty)
}
if qty > lotSizeFilter.MaxQty {
return "", fmt.Errorf("quantity is above max quantity: %v", qty)
}
if lotSizeFilter.StepSize == 0 {
return "", fmt.Errorf("lot size filter step size == 0")
// steppedRate rounds the rate to the nearest integer multiple of the step.
// The minimum returned value is step.
func steppedRate(r, step uint64) uint64 {
steps := math.Round(float64(r) / float64(step))
if steps == 0 {
return step
}

return steppedAmount(qty, lotSizeFilter.StepSize), nil
return uint64(math.Round(steps * float64(step)))
}

// Trade executes a trade on the CEX. subscriptionID takes an ID returned from
Expand Down Expand Up @@ -849,17 +844,21 @@ func (bnc *binance) Trade(ctx context.Context, baseID, quoteID uint32, sell bool
return nil, fmt.Errorf("market not found: %v", slug)
}

convRate := calc.ConventionalRateAlt(rate, baseCfg.conversionFactor, quoteCfg.conversionFactor)
price, err := applyPriceFilter(convRate, market.Filters)
if err != nil {
return nil, fmt.Errorf("error applying price filter: %v", err)
if rate < market.MinPrice || rate > market.MaxPrice {
return nil, fmt.Errorf("rate %v is out of bounds for market %v", rate, slug)
}
rate = steppedRate(rate, market.RateStep)
convRate := calc.ConventionalRateAlt(rate, baseCfg.conversionFactor, quoteCfg.conversionFactor)
ratePrec := int(math.Round(math.Log10(calc.RateEncodingFactor * float64(baseCfg.conversionFactor) / float64(quoteCfg.conversionFactor) / float64(market.RateStep))))
rateStr := strconv.FormatFloat(convRate, 'f', ratePrec, 64)

convQty := float64(qty) / float64(baseCfg.conversionFactor)
quantity, err := applyLotSizeFilter(convQty, market.Filters)
if err != nil {
return nil, fmt.Errorf("error applying lot size filter: %v", err)
if qty < market.MinQty || qty > market.MaxQty {
return nil, fmt.Errorf("quantity %v is out of bounds for market %v", qty, slug)
}
steppedQty := steppedRate(qty, market.LotSize)
convQty := float64(steppedQty) / float64(baseCfg.conversionFactor)
qtyPrec := int(math.Round(math.Log10(float64(baseCfg.conversionFactor) / float64(market.LotSize))))
qtyStr := strconv.FormatFloat(convQty, 'f', qtyPrec, 64)

tradeID := bnc.generateTradeID()

Expand All @@ -869,8 +868,8 @@ func (bnc *binance) Trade(ctx context.Context, baseID, quoteID uint32, sell bool
v.Add("type", "LIMIT")
v.Add("timeInForce", "GTC")
v.Add("newClientOrderId", tradeID)
v.Add("quantity", quantity)
v.Add("price", price)
v.Add("quantity", qtyStr)
v.Add("price", rateStr)

bnc.tradeUpdaterMtx.Lock()
_, found = bnc.tradeUpdaters[subscriptionID]
Expand Down Expand Up @@ -962,44 +961,6 @@ func (bnc *binance) ConfirmWithdrawal(ctx context.Context, withdrawalID string,
return uint64(amt), status.TxID, nil
}

func floatToScaledUint(f float64) (uint64, int) {
str := strconv.FormatFloat(f, 'f', -1, 64)
parts := strings.Split(str, ".")
scaledStr := parts[0]
decimalPlaces := 0
if len(parts) == 2 {
scaledStr += parts[1]
decimalPlaces = len(parts[1])
}
scaledValue, _ := strconv.ParseUint(scaledStr, 10, 64)
return scaledValue, decimalPlaces
}

func scaledUintToString(u uint64, decimalPlaces int) string {
numStr := strconv.FormatUint(u, 10)
if decimalPlaces == 0 {
return numStr
}
length := len(numStr)
if decimalPlaces > length {
leadingZeros := decimalPlaces - length
return "0." + fmt.Sprintf("%0*d%s", leadingZeros, 0, numStr)
} else if decimalPlaces == length {
return "0." + numStr
} else {
return numStr[:length-decimalPlaces] + "." + numStr[length-decimalPlaces:]
}
}

func steppedAmount(amt float64, stepSize float64) string {
steps := uint64(math.Round(amt / stepSize))
if steps == 0 {
steps = 1
}
scaled, prec := floatToScaledUint(stepSize)
return scaledUintToString(steps*scaled, prec)
}

// Withdraw withdraws funds from the CEX to a certain address. onComplete
// is called with the actual amount withdrawn (amt - fees) and the
// transaction ID of the withdrawal.
Expand All @@ -1009,19 +970,21 @@ func (bnc *binance) Withdraw(ctx context.Context, assetID uint32, qty uint64, ad
return "", fmt.Errorf("error getting symbol data for %d: %w", assetID, err)
}

integerMultiple, err := bnc.withdrawIntegerMultiple(assetID)
lotSize, err := bnc.withdrawLotSize(assetID)
if err != nil {
return "", fmt.Errorf("error getting integer multiple for %d: %w", assetID, err)
return "", fmt.Errorf("error getting withdraw lot size for %d: %w", assetID, err)
}

convQty := float64(qty) / float64(assetCfg.conversionFactor)
amt := steppedAmount(convQty, integerMultiple)
steppedQty := steppedRate(qty, lotSize)
convQty := float64(steppedQty) / float64(assetCfg.conversionFactor)
prec := int(math.Round(math.Log10(float64(assetCfg.conversionFactor) / float64(lotSize))))
qtyStr := strconv.FormatFloat(convQty, 'f', prec, 64)

v := make(url.Values)
v.Add("coin", assetCfg.coin)
v.Add("network", assetCfg.chain)
v.Add("address", address)
v.Add("amount", amt)
v.Add("amount", qtyStr)

withdrawResp := struct {
ID string `json:"id"`
Expand Down Expand Up @@ -1200,13 +1163,16 @@ func (bnc *binance) minimumWithdraws(baseID, quoteID uint32) (base uint64, quote
return
}

func (bnc *binance) withdrawIntegerMultiple(assetID uint32) (float64, error) {
func (bnc *binance) withdrawLotSize(assetID uint32) (uint64, error) {
minsI := bnc.minWithdraw.Load()
if minsI == nil {
return 0, fmt.Errorf("no withdraw info")
}
mins := minsI.(map[uint32]*withdrawInfo)
return mins[assetID].integerMultiple, nil
if info, found := mins[assetID]; found {
return info.lotSize, nil
}
return 0, fmt.Errorf("no withdraw info for asset ID %d", assetID)
}

func (bnc *binance) Markets(ctx context.Context) (map[string]*Market, error) {
Expand Down Expand Up @@ -1363,7 +1329,7 @@ func (bnc *binance) request(ctx context.Context, method, endpoint string, query,
Msg string `json:"msg"`
}
if err := dexnet.Do(req, thing, dexnet.WithSizeLimit(1<<24), dexnet.WithErrorParsing(&errPayload)); err != nil {
bnc.log.Errorf("request error from endpoint %q with query = %q, body = %q", endpoint, queryString, bodyString)
bnc.log.Errorf("request error from endpoint %s %q with query = %q, body = %q", method, endpoint, queryString, bodyString)
return fmt.Errorf("%w, bn code = %d, msg = %q", err, errPayload.Code, errPayload.Msg)
}
return nil
Expand Down
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