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mm/binance: Use filters and withdraw multiple #3093

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mm/binance: Use filters and withdraw multiple #3093

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02892c4
parse binance error responses
buck54321 Nov 18, 2024
6dccd1c
mm/binance: Use filters and withdraw multiple
martonp Nov 21, 2024
3db198f
Buck review updates
martonp Nov 28, 2024
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133 changes: 104 additions & 29 deletions client/mm/libxc/binance.go
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Original file line number Diff line number Diff line change
Expand Up @@ -448,6 +448,11 @@ type tradeInfo struct {
qty uint64
}

type withdrawInfo struct {
minimum uint64
lotSize uint64
}

type binance struct {
log dex.Logger
marketsURL string
Expand All @@ -467,7 +472,7 @@ type binance struct {
// for each chain for which deposits and withdrawals are enabled on
// binance.
tokenIDs atomic.Value // map[string][]uint32, binance coin ID string -> assset IDs
minWithdraw atomic.Value // map[uint32]map[uint32]uint64
minWithdraw atomic.Value // map[uint32]map[uint32]*withdrawInfo

marketSnapshotMtx sync.Mutex
marketSnapshot struct {
Expand Down Expand Up @@ -601,7 +606,7 @@ func (bnc *binance) refreshBalances(ctx context.Context) error {
// enabled on binance and sets the minWithdraw map.
func (bnc *binance) readCoins(coins []*bntypes.CoinInfo) {
tokenIDs := make(map[string][]uint32)
minWithdraw := make(map[uint32]uint64)
minWithdraw := make(map[uint32]*withdrawInfo)
for _, nfo := range coins {
for _, netInfo := range nfo.NetworkList {
symbol := binanceCoinNetworkToDexSymbol(nfo.Coin, netInfo.Network)
Expand All @@ -621,7 +626,11 @@ func (bnc *binance) readCoins(coins []*bntypes.CoinInfo) {
if tkn := asset.TokenInfo(assetID); tkn != nil {
tokenIDs[nfo.Coin] = append(tokenIDs[nfo.Coin], assetID)
}
minWithdraw[assetID] = uint64(math.Round(float64(ui.Conventional.ConversionFactor) * netInfo.WithdrawMin))
minimum := uint64(math.Round(float64(ui.Conventional.ConversionFactor) * netInfo.WithdrawMin))
minWithdraw[assetID] = &withdrawInfo{
minimum: minimum,
lotSize: uint64(math.Round(netInfo.WithdrawIntegerMultiple * float64(ui.Conventional.ConversionFactor))),
}
}
}
bnc.tokenIDs.Store(tokenIDs)
Expand Down Expand Up @@ -649,12 +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 @@ -767,6 +808,16 @@ func (bnc *binance) generateTradeID() string {
return hex.EncodeToString(append(bnc.tradeIDNoncePrefix, nonceB...))
}

// 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 uint64(math.Round(steps * float64(step)))
}

// Trade executes a trade on the CEX. subscriptionID takes an ID returned from
// SubscribeTradeUpdates.
func (bnc *binance) Trade(ctx context.Context, baseID, quoteID uint32, sell bool, rate, qty uint64, subscriptionID int) (*Trade, error) {
Expand All @@ -793,8 +844,22 @@ func (bnc *binance) Trade(ctx context.Context, baseID, quoteID uint32, sell bool
return nil, fmt.Errorf("market not found: %v", slug)
}

price := calc.ConventionalRateAlt(rate, baseCfg.conversionFactor, quoteCfg.conversionFactor)
amt := float64(qty) / float64(baseCfg.conversionFactor)
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)

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()

v := make(url.Values)
Expand All @@ -803,8 +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", strconv.FormatFloat(amt, 'f', market.BaseAssetPrecision, 64))
v.Add("price", strconv.FormatFloat(price, 'f', market.QuoteAssetPrecision, 64))
v.Add("quantity", qtyStr)
v.Add("price", rateStr)

bnc.tradeUpdaterMtx.Lock()
_, found = bnc.tradeUpdaters[subscriptionID]
Expand Down Expand Up @@ -852,18 +917,6 @@ func (bnc *binance) Trade(ctx context.Context, baseID, quoteID uint32, sell bool
}, err
}

func (bnc *binance) assetPrecision(coin string) (int, error) {
for _, market := range bnc.markets.Load().(map[string]*bntypes.Market) {
if market.BaseAsset == coin {
return market.BaseAssetPrecision, nil
}
if market.QuoteAsset == coin {
return market.QuoteAssetPrecision, nil
}
}
return 0, fmt.Errorf("asset %s not found", coin)
}

// ConfirmWithdrawal checks whether a withdrawal has been completed. If the
// withdrawal has not yet been sent, ErrWithdrawalPending is returned.
func (bnc *binance) ConfirmWithdrawal(ctx context.Context, withdrawalID string, assetID uint32) (uint64, string, error) {
Expand Down Expand Up @@ -917,17 +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)
}

precision, err := bnc.assetPrecision(assetCfg.coin)
lotSize, err := bnc.withdrawLotSize(assetID)
if err != nil {
return "", fmt.Errorf("error getting precision for %s: %w", assetCfg.coin, err)
return "", fmt.Errorf("error getting withdraw lot size for %d: %w", assetID, err)
}

amt := float64(qty) / float64(assetCfg.conversionFactor)
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", strconv.FormatFloat(amt, 'f', precision, 64))
v.Add("amount", qtyStr)

withdrawResp := struct {
ID string `json:"id"`
Expand Down Expand Up @@ -1091,13 +1148,31 @@ func (bnc *binance) Balances(ctx context.Context) (map[uint32]*ExchangeBalance,
return balances, nil
}

func (bnc *binance) minimumWithdraws(baseID, quoteID uint32) (uint64, uint64) {
func (bnc *binance) minimumWithdraws(baseID, quoteID uint32) (base uint64, quote uint64) {
minsI := bnc.minWithdraw.Load()
if minsI == nil {
return 0, 0
}
mins := minsI.(map[uint32]uint64)
return mins[baseID], mins[quoteID]
mins := minsI.(map[uint32]*withdrawInfo)
if baseInfo, found := mins[baseID]; found {
base = baseInfo.minimum
}
if quoteInfo, found := mins[quoteID]; found {
quote = quoteInfo.minimum
}
return
}

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)
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 @@ -1161,6 +1236,7 @@ func (bnc *binance) Markets(ctx context.Context) (map[string]*Market, error) {
}
bnc.marketSnapshot.m = m
bnc.marketSnapshot.stamp = time.Now()

return m, nil
}

Expand Down Expand Up @@ -1248,13 +1324,12 @@ func (bnc *binance) request(ctx context.Context, method, endpoint string, query,

req.Header = header

// bnc.log.Tracef("Sending request: %+v", req)
var errPayload struct {
Code int `json:"code"`
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
43 changes: 33 additions & 10 deletions client/mm/libxc/bntypes/types.go
View file
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Original file line number Diff line number Diff line change
Expand Up @@ -2,14 +2,37 @@ package bntypes

import "encoding/json"

type Filter struct {
Type string `json:"filterType"`

// Price filter
MinPrice float64 `json:"minPrice,string"`
MaxPrice float64 `json:"maxPrice,string"`
TickSize float64 `json:"tickSize,string"`

// Lot size filter
MinQty float64 `json:"minQty,string"`
MaxQty float64 `json:"maxQty,string"`
StepSize float64 `json:"stepSize,string"`
}

type Market struct {
Symbol string `json:"symbol"`
Status string `json:"status"`
BaseAsset string `json:"baseAsset"`
BaseAssetPrecision int `json:"baseAssetPrecision"`
QuoteAsset string `json:"quoteAsset"`
QuoteAssetPrecision int `json:"quoteAssetPrecision"`
OrderTypes []string `json:"orderTypes"`
Symbol string `json:"symbol"`
Status string `json:"status"`
BaseAsset string `json:"baseAsset"`
BaseAssetPrecision int `json:"baseAssetPrecision"`
QuoteAsset string `json:"quoteAsset"`
QuoteAssetPrecision int `json:"quoteAssetPrecision"`
OrderTypes []string `json:"orderTypes"`
Filters []*Filter `json:"filters"`

// Below fields are parsed from Filters.
LotSize uint64
MinQty uint64
MaxQty uint64
RateStep uint64
MinPrice uint64
MaxPrice uint64
}

type Balance struct {
Expand All @@ -34,9 +57,9 @@ type NetworkInfo struct {
// ResetAddressStatus bool `json:"resetAddressStatus"`
// SpecialTips string `json:"specialTips"`
// UnLockConfirm int `json:"unLockConfirm"`
WithdrawEnable bool `json:"withdrawEnable"`
WithdrawFee float64 `json:"withdrawFee,string"`
// WithdrawIntegerMultiple float64 `json:"withdrawIntegerMultiple,string"`
WithdrawEnable bool `json:"withdrawEnable"`
WithdrawFee float64 `json:"withdrawFee,string"`
WithdrawIntegerMultiple float64 `json:"withdrawIntegerMultiple,string"`
// WithdrawMax float64 `json:"withdrawMax,string"`
WithdrawMin float64 `json:"withdrawMin,string"`
// SameAddress bool `json:"sameAddress"`
Comment on lines 63 to 65
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Maybe remove commented.

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I think it's ok.. good to know what other fields there are without having to check the API.

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