Add GetRecords

broker.go

@@ -14,6 +14,10 @@ type Broker interface {
 	// 获取订单薄(OrderBook)
 	GetOrderBook(symbol string, depth int) (result OrderBook, err error)
 
+	// 获取K线数据
+	// interval: 数据更新频率. 分钟或者关键字1m(minute) 1h 1d 1w 1M(month) 1y 枚举值：1 3 5 15 30 60 120 240 360 720 "5m" "4h" "1d" ...
+	GetRecords(symbol string, interval string, from int64, end int64, limit int) (records []Record, err error)
+
 	// 设置合约类型
 	// currencyPair: 交易对，如: BTC-USD(OKEX) BTC(HBDM)
 	// contractType: W1,W2,Q1,Q2

brokers/bitmex-broker/broker.go

@@ -5,6 +5,7 @@ import (
 	"github.com/frankrap/bitmex-api"
 	"github.com/frankrap/bitmex-api/swagger"
 	"strings"
+	"time"
 )
 
 // BitMEXBroker the BitMEX broker
@@ -55,6 +56,46 @@ func (b *BitMEXBroker) GetOrderBook(symbol string, depth int) (result OrderBook,
 	return
 }
 
+func (b *BitMEXBroker) GetRecords(symbol string, interval string, from int64, end int64, limit int) (records []Record, err error) {
+	//@param "binSize" (string) Time interval to bucket by. Available options: [1m,5m,1h,1d].
+	var binSize string
+	if strings.HasSuffix(interval, "m") {
+		binSize = interval
+	} else if strings.HasSuffix(interval, "h") {
+		binSize = interval
+	} else if strings.HasSuffix(interval, "d") {
+		binSize = interval
+	} else {
+		binSize = interval + "m"
+	}
+	var o []swagger.TradeBin
+	o, err = b.client.GetBucketed(symbol,
+		binSize,
+		false,
+		"",
+		"",
+		float32(limit),
+		-1,
+		false,
+		time.Unix(from, 0),
+		time.Unix(end, 0))
+	if err != nil {
+		return
+	}
+	for _, v := range o {
+		records = append(records, Record{
+			Symbol:    v.Symbol,
+			Timestamp: v.Timestamp,
+			Open:      v.Open,
+			High:      v.High,
+			Low:       v.Low,
+			Close:     v.Close,
+			Volume:    float64(v.Volume),
+		})
+	}
+	return
+}
+
 func (b *BitMEXBroker) SetContractType(currencyPair string, contractType string) (err error) {
 	b.symbol = currencyPair
 	return

brokers/bitmex-broker/broker_test.go

@@ -4,6 +4,7 @@ import (
 	. "github.com/coinrust/crex"
 	"github.com/frankrap/bitmex-api"
 	"testing"
+	"time"
 )
 
 func newBrokerForTest() *BitMEXBroker {
@@ -24,6 +25,21 @@ func TestBitMEXBroker_GetOrderBook(t *testing.T) {
 	t.Logf("%#v", ob)
 }
 
+func TestBitMEXBroker_GetRecords(t *testing.T) {
+	b := newBrokerForTest()
+	start := time.Now().Add(-time.Hour)
+	end := time.Now()
+	records, err := b.GetRecords("XBTUSD",
+		"1m", start.Unix(), end.Unix(), 10)
+	if err != nil {
+		t.Error(err)
+		return
+	}
+	for _, v := range records {
+		t.Logf("%#v", v)
+	}
+}
+
 func TestBitMEXBroker_PlaceOrder(t *testing.T) {
 	b := newBrokerForTest()
 	order, err := b.PlaceOrder("XBTUSD",

brokers/bitmex-sim-broker/broker.go

@@ -70,6 +70,10 @@ func (b *BitMEXSimBroker) GetOrderBook(symbol string, depth int) (result OrderBo
 	return
 }
 
+func (b *BitMEXSimBroker) GetRecords(symbol string, interval string, from int64, end int64, limit int) (records []Record, err error) {
+	return
+}
+
 func (b *BitMEXSimBroker) SetContractType(currencyPair string, contractType string) (err error) {
 	b.symbol = currencyPair
 	return

brokers/bybit-broker/broker.go

@@ -6,6 +6,7 @@ import (
 	"github.com/frankrap/bybit-api/rest"
 	"log"
 	"strings"
+	"time"
 )
 
 // BybitBroker the Bybit broker
@@ -60,6 +61,26 @@ func (b *BybitBroker) GetOrderBook(symbol string, depth int) (result OrderBook,
 	return
 }
 
+func (b *BybitBroker) GetRecords(symbol string, interval string, from int64, end int64, limit int) (records []Record, err error) {
+	var values []rest.OHLC
+	values, err = b.client.GetKLine(symbol, interval, from, limit)
+	if err != nil {
+		return
+	}
+	for _, v := range values {
+		records = append(records, Record{
+			Symbol:    v.Symbol,
+			Timestamp: time.Unix(v.OpenTime, 0),
+			Open:      v.Open,
+			High:      v.High,
+			Low:       v.Low,
+			Close:     v.Close,
+			Volume:    v.Volume,
+		})
+	}
+	return
+}
+
 func (b *BybitBroker) SetContractType(currencyPair string, contractType string) (err error) {
 	b.symbol = currencyPair
 	return

brokers/bybit-broker/broker_test.go

@@ -1,9 +1,19 @@
 package bybit_broker
 
-import "testing"
+import (
+	. "github.com/coinrust/crex"
+	"testing"
+	"time"
+)
+
+func newForTest() Broker {
+	b := NewBroker("https://api-testnet.bybit.com/",
+		"6IASD6KDBdunn5qLpT", "nXjZMUiB3aMiPaQ9EUKYFloYNd0zM39RjRWF")
+	return b
+}
 
 func TestBybitBroker_GetOpenOrders(t *testing.T) {
-	b := NewBroker("https://api-testnet.bybit.com/", "6IASD6KDBdunn5qLpT", "nXjZMUiB3aMiPaQ9EUKYFloYNd0zM39RjRWF")
+	b := newForTest()
 	orders, err := b.GetOpenOrders("BTCUSD")
 	if err != nil {
 		t.Error(err)
@@ -13,3 +23,17 @@ func TestBybitBroker_GetOpenOrders(t *testing.T) {
 		t.Logf("%#v", v)
 	}
 }
+
+func TestBybitBroker_GetRecords(t *testing.T) {
+	b := newForTest()
+	start := time.Now().Add(-time.Hour)
+	records, err := b.GetRecords("BTCUSD",
+		"1", start.Unix(), 0, 10)
+	if err != nil {
+		t.Error(err)
+		return
+	}
+	for _, v := range records {
+		t.Logf("%#v", v)
+	}
+}

brokers/deribit-broker/broker.go

@@ -98,6 +98,36 @@ func (b *DiribitBroker) GetOrderBook(symbol string, depth int) (result OrderBook
 	return
 }
 
+func (b *DiribitBroker) GetRecords(symbol string, interval string, from int64, end int64, limit int) (records []Record, err error) {
+	if end == 0 {
+		end = time.Now().Unix()
+	}
+	params := &models.GetTradingviewChartDataParams{
+		InstrumentName: symbol,
+		StartTimestamp: from * 1000,
+		EndTimestamp:   end * 1000,
+		Resolution:     interval,
+	}
+	var resp models.GetTradingviewChartDataResponse
+	resp, err = b.client.GetTradingviewChartData(params)
+	if err != nil {
+		return
+	}
+	n := len(resp.Ticks)
+	for i := 0; i < n; i++ {
+		records = append(records, Record{
+			Symbol:    symbol,
+			Timestamp: time.Unix(0, resp.Ticks[i]*1e6),
+			Open:      resp.Open[i],
+			High:      resp.High[i],
+			Low:       resp.Low[i],
+			Close:     resp.Close[i],
+			Volume:    resp.Volume[i],
+		})
+	}
+	return
+}
+
 func (b *DiribitBroker) SetContractType(currencyPair string, contractType string) (err error) {
 	return
 }

brokers/deribit-broker/broker_test.go

@@ -20,6 +20,21 @@ func TestDiribitBroker_GetOrderBook(t *testing.T) {
 	b.GetOrderBook("BTC-PERPETUAL", 10)
 }
 
+func TestDiribitBroker_GetRecords(t *testing.T) {
+	b := newBroker()
+	start := time.Now().Add(-time.Hour)
+	end := time.Now().UnixNano() / 1e6
+	records, err := b.GetRecords("BTC-PERPETUAL",
+		"1", start.Unix(), end, 10)
+	if err != nil {
+		t.Error(err)
+		return
+	}
+	for _, v := range records {
+		t.Logf("%#v", v)
+	}
+}
+
 func TestDiribitBroker_Subscribe(t *testing.T) {
 	b := newBroker()
 	//event := "book.ETH-PERPETUAL.100.1.100ms"

brokers/deribit-sim-broker/broker.go

@@ -70,6 +70,10 @@ func (b *DiribitSimBroker) GetOrderBook(symbol string, depth int) (result OrderB
 	return
 }
 
+func (b *DiribitSimBroker) GetRecords(symbol string, interval string, from int64, end int64, limit int) (records []Record, err error) {
+	return
+}
+
 func (b *DiribitSimBroker) SetContractType(pair string, contractType string) (err error) {
 	return
 }

brokers/hbdm-broker/broker.go

@@ -88,6 +88,49 @@ func (b *HBDMBroker) GetOrderBook(symbol string, depth int) (result OrderBook, e
 	return
 }
 
+func (b *HBDMBroker) GetRecords(symbol string, interval string, from int64, end int64, limit int) (records []Record, err error) {
+	var period string
+	if strings.HasSuffix(interval, "m") {
+		period = interval[:len(interval)-1] + "min"
+	} else if strings.HasSuffix(interval, "h") {
+		period = interval[:len(interval)-1] + "hour"
+	} else if strings.HasSuffix(interval, "d") {
+		period = interval[:len(interval)-1] + "day"
+	} else if strings.HasSuffix(interval, "d") {
+		period = interval[:len(interval)-1] + "day"
+	} else if strings.HasSuffix(interval, "w") {
+		//period = interval[:len(interval)-1]+"week"
+	} else if strings.HasSuffix(interval, "M") {
+		period = interval[:len(interval)-1] + "mon"
+	} else {
+		period = interval + "min"
+	}
+	// 1min, 5min, 15min, 30min, 60min, 4hour, 1day, 1mon
+	var ret hbdm.KLineResult
+	ret, err = b.client.GetKLine(b.symbol, period, limit, from, end)
+	if err != nil {
+		return
+	}
+	if ret.Status != StatusOK {
+		err = fmt.Errorf("error code=%v msg=%v",
+			ret.ErrCode,
+			ret.ErrMsg)
+		return
+	}
+	for _, v := range ret.Data {
+		records = append(records, Record{
+			Symbol:    symbol,
+			Timestamp: time.Unix(int64(v.ID), 0),
+			Open:      v.Open,
+			High:      v.High,
+			Low:       v.Low,
+			Close:     v.Close,
+			Volume:    float64(v.Vol),
+		})
+	}
+	return
+}
+
 // 设置合约类型
 // pair: BTC/ETH/...
 func (b *HBDMBroker) SetContractType(pair string, contractType string) (err error) {

brokers/hbdm-broker/broker_test.go

@@ -5,6 +5,7 @@ import (
 	"github.com/spf13/viper"
 	"log"
 	"testing"
+	"time"
 )
 
 func newTestBroker() Broker {
@@ -42,6 +43,27 @@ func TestHBDMBroker_GetOrderBook(t *testing.T) {
 	t.Logf("%#v", ob)
 }
 
+func TestHBDMBroker_GetRecords(t *testing.T) {
+	b := newTestBroker()
+	b.SetContractType("BTC", ContractTypeW1)
+	symbol, err := b.GetContractID()
+	if err != nil {
+		t.Error(err)
+		return
+	}
+	t.Logf("%v", symbol)
+	start := time.Now().Add(-time.Hour)
+	end := time.Now()
+	records, err := b.GetRecords(symbol,
+		"1m", start.Unix(), end.Unix(), 10)
+	if err != nil {
+		return
+	}
+	for _, v := range records {
+		t.Logf("%#v", v)
+	}
+}
+
 func TestHBDMBroker_GetContractID(t *testing.T) {
 	b := newTestBroker()
 	b.SetContractType("BTC", ContractTypeW1)

brokers/hbdm-swap-broker/broker.go

@@ -84,6 +84,49 @@ func (b *HBDMSwapBroker) GetOrderBook(symbol string, depth int) (result OrderBoo
 	return
 }
 
+func (b *HBDMSwapBroker) GetRecords(symbol string, interval string, from int64, end int64, limit int) (records []Record, err error) {
+	var period string
+	if strings.HasSuffix(interval, "m") {
+		period = interval[:len(interval)-1] + "min"
+	} else if strings.HasSuffix(interval, "h") {
+		period = interval[:len(interval)-1] + "hour"
+	} else if strings.HasSuffix(interval, "d") {
+		period = interval[:len(interval)-1] + "day"
+	} else if strings.HasSuffix(interval, "d") {
+		period = interval[:len(interval)-1] + "day"
+	} else if strings.HasSuffix(interval, "w") {
+		//period = interval[:len(interval)-1]+"week"
+	} else if strings.HasSuffix(interval, "M") {
+		period = interval[:len(interval)-1] + "mon"
+	} else {
+		period = interval + "min"
+	}
+	// 1min, 5min, 15min, 30min, 60min, 4hour, 1day, 1mon
+	var ret hbdmswap.KLineResult
+	ret, err = b.client.GetKLine(symbol, period, limit, from, end)
+	if err != nil {
+		return
+	}
+	if ret.Status != StatusOK {
+		//err = fmt.Errorf("error code=%v msg=%v",
+		//	ret.ErrCode,
+		//	ret.ErrMsg)
+		return
+	}
+	for _, v := range ret.Data {
+		records = append(records, Record{
+			Symbol:    symbol,
+			Timestamp: time.Unix(int64(v.ID), 0),
+			Open:      v.Open,
+			High:      v.High,
+			Low:       v.Low,
+			Close:     v.Close,
+			Volume:    float64(v.Vol),
+		})
+	}
+	return
+}
+
 // 设置合约类型
 func (b *HBDMSwapBroker) SetContractType(pair string, contractType string) (err error) {
 	return