Shared exchange functionality (#214)

JKorf · Sep 27, 2024 · b8686d6 · b8686d6
1 parent 5d3de52
commit b8686d6
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Showing 199 changed files with 7,219 additions and 277 deletions.
diff --git a/CryptoExchange.Net.UnitTests/TestImplementations/TestBaseClient.cs b/CryptoExchange.Net.UnitTests/TestImplementations/TestBaseClient.cs
@@ -8,6 +8,7 @@
 using CryptoExchange.Net.Clients;
 using CryptoExchange.Net.Objects;
 using CryptoExchange.Net.Objects.Options;
+using CryptoExchange.Net.SharedApis;
 using CryptoExchange.Net.UnitTests.TestImplementations;
 using Microsoft.Extensions.Logging;
 
@@ -55,7 +56,7 @@ public CallResult<T> Deserialize<T>(string data)
         }
 
         /// <inheritdoc />
-        public override string FormatSymbol(string baseAsset, string quoteAsset) => $"{baseAsset.ToUpperInvariant()}{quoteAsset.ToUpperInvariant()}";
+        public override string FormatSymbol(string baseAsset, string quoteAsset, TradingMode futuresType, DateTime? deliverDate = null) => $"{baseAsset.ToUpperInvariant()}{quoteAsset.ToUpperInvariant()}";
         public override TimeSpan? GetTimeOffset() => null;
         public override TimeSyncInfo GetTimeSyncInfo() => null;
         protected override AuthenticationProvider CreateAuthenticationProvider(ApiCredentials credentials) => throw new NotImplementedException();

diff --git a/CryptoExchange.Net.UnitTests/TestImplementations/TestRestClient.cs b/CryptoExchange.Net.UnitTests/TestImplementations/TestRestClient.cs
@@ -15,6 +15,7 @@
 using CryptoExchange.Net.Objects.Options;
 using Microsoft.Extensions.Logging;
 using CryptoExchange.Net.Clients;
+using CryptoExchange.Net.SharedApis;
 
 namespace CryptoExchange.Net.UnitTests.TestImplementations
 {
@@ -138,7 +139,7 @@ public TestRestApi1Client(TestClientOptions options) : base(new TraceLogger(), n
         }
 
         /// <inheritdoc />
-        public override string FormatSymbol(string baseAsset, string quoteAsset) => $"{baseAsset.ToUpperInvariant()}{quoteAsset.ToUpperInvariant()}";
+        public override string FormatSymbol(string baseAsset, string quoteAsset, TradingMode futuresType, DateTime? deliverDate = null) => $"{baseAsset.ToUpperInvariant()}{quoteAsset.ToUpperInvariant()}";
 
         public async Task<CallResult<T>> Request<T>(CancellationToken ct = default) where T : class
         {
@@ -182,7 +183,7 @@ public TestRestApi2Client(TestClientOptions options) : base(new TraceLogger(), n
         }
 
         /// <inheritdoc />
-        public override string FormatSymbol(string baseAsset, string quoteAsset) => $"{baseAsset.ToUpperInvariant()}{quoteAsset.ToUpperInvariant()}";
+        public override string FormatSymbol(string baseAsset, string quoteAsset, TradingMode futuresType, DateTime? deliverDate = null) => $"{baseAsset.ToUpperInvariant()}{quoteAsset.ToUpperInvariant()}";
 
         public async Task<CallResult<T>> Request<T>(CancellationToken ct = default) where T : class
         {

diff --git a/CryptoExchange.Net.UnitTests/TestImplementations/TestSocketClient.cs b/CryptoExchange.Net.UnitTests/TestImplementations/TestSocketClient.cs
@@ -14,6 +14,7 @@
 using Microsoft.Extensions.Logging;
 using Moq;
 using CryptoExchange.Net.Testing.Implementations;
+using CryptoExchange.Net.SharedApis;
 
 namespace CryptoExchange.Net.UnitTests.TestImplementations
 {
@@ -86,7 +87,7 @@ public TestSubSocketClient(TestSocketOptions options, SocketApiOptions apiOption
         }
 
         /// <inheritdoc />
-        public override string FormatSymbol(string baseAsset, string quoteAsset) => $"{baseAsset.ToUpperInvariant()}{quoteAsset.ToUpperInvariant()}";
+        public override string FormatSymbol(string baseAsset, string quoteAsset, TradingMode futuresType, DateTime? deliverDate = null) => $"{baseAsset.ToUpperInvariant()}{quoteAsset.ToUpperInvariant()}";
 
         internal IWebsocket CreateSocketInternal(string address)
         {

diff --git a/CryptoExchange.Net/Clients/BaseApiClient.cs b/CryptoExchange.Net/Clients/BaseApiClient.cs
@@ -1,7 +1,9 @@
 using System;
 using CryptoExchange.Net.Authentication;
 using CryptoExchange.Net.Interfaces;
+using CryptoExchange.Net.Objects;
 using CryptoExchange.Net.Objects.Options;
+using CryptoExchange.Net.SharedApis;
 using Microsoft.Extensions.Logging;
 
 namespace CryptoExchange.Net.Clients
@@ -76,7 +78,7 @@ protected BaseApiClient(ILogger logger, bool outputOriginalData, ApiCredentials?
         protected abstract AuthenticationProvider CreateAuthenticationProvider(ApiCredentials credentials);
 
         /// <inheritdoc />
-        public abstract string FormatSymbol(string baseAsset, string quoteAsset);
+        public abstract string FormatSymbol(string baseAsset, string quoteAsset, TradingMode tradingMode, DateTime? deliverDate = null);
 
         /// <inheritdoc />
         public void SetApiCredentials<T>(T credentials) where T : ApiCredentials

diff --git a/CryptoExchange.Net/Clients/RestApiClient.cs b/CryptoExchange.Net/Clients/RestApiClient.cs
@@ -18,7 +18,6 @@
 using CryptoExchange.Net.RateLimiting.Interfaces;
 using CryptoExchange.Net.Requests;
 using Microsoft.Extensions.Logging;
-using Microsoft.Extensions.Options;
 
 namespace CryptoExchange.Net.Clients
 {

diff --git a/CryptoExchange.Net/Clients/SocketApiClient.cs b/CryptoExchange.Net/Clients/SocketApiClient.cs
@@ -8,7 +8,6 @@
 using CryptoExchange.Net.Sockets;
 using Microsoft.Extensions.Logging;
 using System;
-using System.Collections;
 using System.Collections.Concurrent;
 using System.Collections.Generic;
 using System.Linq;

diff --git a/CryptoExchange.Net/Converters/JsonNet/DateTimeConverter.cs b/CryptoExchange.Net/Converters/JsonNet/DateTimeConverter.cs
@@ -1,5 +1,4 @@
-using Microsoft.Extensions.Primitives;
-using Newtonsoft.Json;
+using Newtonsoft.Json;
 using System;
 using System.Diagnostics;
 using System.Diagnostics.CodeAnalysis;

diff --git a/CryptoExchange.Net/Converters/SystemTextJson/DateTimeConverter.cs b/CryptoExchange.Net/Converters/SystemTextJson/DateTimeConverter.cs
@@ -1,5 +1,4 @@
-using Microsoft.Extensions.Primitives;
-using System;
+using System;
 using System.Diagnostics;
 using System.Diagnostics.CodeAnalysis;
 using System.Globalization;

diff --git a/CryptoExchange.Net/Converters/SystemTextJson/NumberStringConverter.cs b/CryptoExchange.Net/Converters/SystemTextJson/NumberStringConverter.cs
@@ -1,5 +1,4 @@
 using System;
-using System.Globalization;
 using System.Text.Json;
 using System.Text.Json.Serialization;
 

diff --git a/CryptoExchange.Net/Converters/SystemTextJson/ObjectStringConverter.cs b/CryptoExchange.Net/Converters/SystemTextJson/ObjectStringConverter.cs
@@ -1,11 +1,6 @@
 using System;
-using System.Collections.Generic;
-using System.Diagnostics;
-using System.Runtime.Serialization;
-using System.Text;
 using System.Text.Json.Serialization;
 using System.Text.Json;
-using System.Globalization;
 
 namespace CryptoExchange.Net.Converters.SystemTextJson
 {

diff --git a/CryptoExchange.Net/CryptoExchange.Net.csproj b/CryptoExchange.Net/CryptoExchange.Net.csproj
@@ -35,7 +35,7 @@
     <ContinuousIntegrationBuild>true</ContinuousIntegrationBuild>
   </PropertyGroup>
   <ItemGroup Label="Deterministic Build" Condition="'$(Configuration)' == 'Release'">
-    <PackageReference Include="Microsoft.SourceLink.GitHub" Version="1.0.0">
+    <PackageReference Include="Microsoft.SourceLink.GitHub" Version="8.0.0">
       <PrivateAssets>all</PrivateAssets>
       <IncludeAssets>runtime; build; native; contentfiles; analyzers; buildtransitive</IncludeAssets>
     </PackageReference>

diff --git a/CryptoExchange.Net/ExchangeHelpers.cs b/CryptoExchange.Net/ExchangeHelpers.cs
@@ -1,7 +1,11 @@
 using CryptoExchange.Net.Objects;
+using CryptoExchange.Net.SharedApis;
 using System;
+using System.Collections.Generic;
+using System.Runtime.CompilerServices;
 using System.Security.Cryptography;
 using System.Threading;
+using System.Threading.Tasks;
 
 namespace CryptoExchange.Net
 {
@@ -12,6 +16,22 @@ public static class ExchangeHelpers
     {
         private const string _allowedRandomChars = "ABCDEFGHIJKLMONOPQRSTUVWXYZabcdefghijklmonopqrstuvwxyz0123456789";
 
+        private static readonly Dictionary<int, string> _monthSymbols = new Dictionary<int, string>()
+        {
+            { 1, "F" },
+            { 2, "G" },
+            { 3, "H" },
+            { 4, "J" },
+            { 5, "K" },
+            { 6, "M" },
+            { 7, "N" },
+            { 8, "Q" },
+            { 9, "U" },
+            { 10, "V" },
+            { 11, "X" },
+            { 12, "Z" },
+        };
+
         /// <summary>
         /// The last used id, use NextId() to get the next id and up this
         /// </summary>
@@ -55,6 +75,11 @@ public static decimal AdjustValueStep(decimal min, decimal max, decimal? step, R
             {
                 value -= offset;
             }
+            else if(roundingType == RoundingType.Up)
+            {
+                if (offset != 0)
+                    value += (step.Value - offset);
+            }
             else
             {
                 if (offset < step / 2)
@@ -107,17 +132,23 @@ public static decimal RoundToSignificantDigits(decimal value, int digits, Roundi
         }
 
         /// <summary>
-        /// Rounds a value down to 
+        /// Rounds a value down 
         /// </summary>
-        /// <param name="i"></param>
-        /// <param name="decimalPlaces"></param>
-        /// <returns></returns>
         public static decimal RoundDown(decimal i, double decimalPlaces)
         {
             var power = Convert.ToDecimal(Math.Pow(10, decimalPlaces));
             return Math.Floor(i * power) / power;
         }
 
+        /// <summary>
+        /// Rounds a value up
+        /// </summary>
+        public static decimal RoundUp(decimal i, double decimalPlaces)
+        {
+            var power = Convert.ToDecimal(Math.Pow(10, decimalPlaces));
+            return Math.Ceiling(i * power) / power;
+        }
+
         /// <summary>
         /// Strips any trailing zero's of a decimal value, useful when converting the value to string.
         /// </summary>
@@ -177,5 +208,70 @@ public static string AppendRandomString(string source, int totalLength)
 
             return source + RandomString(totalLength - source.Length);
         }
+
+        /// <summary>
+        /// Get the month representation for futures symbol based on the delivery month
+        /// </summary>
+        /// <param name="time">Delivery time</param>
+        /// <returns></returns>
+        public static string GetDeliveryMonthSymbol(DateTime time) => _monthSymbols[time.Month];
+
+        /// <summary>
+        /// Execute multiple requests to retrieve multiple pages of the result set
+        /// </summary>
+        /// <typeparam name="T">Type of the client</typeparam>
+        /// <typeparam name="U">Type of the request</typeparam>
+        /// <param name="paginatedFunc">The func to execute with each request</param>
+        /// <param name="request">The request parameters</param>
+        /// <param name="ct">Cancellation token</param>
+        /// <returns></returns>
+        public static async IAsyncEnumerable<ExchangeWebResult<IEnumerable<T>>> ExecutePages<T, U>(Func<U, INextPageToken?, CancellationToken, Task<ExchangeWebResult<IEnumerable<T>>>> paginatedFunc, U request, [EnumeratorCancellation]CancellationToken ct = default)
+        {
+            var result = new List<T>();
+            ExchangeWebResult<IEnumerable<T>> batch;
+            INextPageToken? nextPageToken = null;
+            while (true)
+            {
+                batch = await paginatedFunc(request, nextPageToken, ct).ConfigureAwait(false);
+                yield return batch;
+                if (!batch || ct.IsCancellationRequested)
+                    break;
+
+                result.AddRange(batch.Data);
+                nextPageToken = batch.NextPageToken;
+                if (nextPageToken == null)
+                    break;
+            }
+        }
+
+        /// <summary>
+        /// Apply the rules (price and quantity step size and decimals precision, min/max quantity) from the symbol to the quantity and price
+        /// </summary>
+        /// <param name="symbol">The symbol as retrieved from the exchange</param>
+        /// <param name="quantity">Quantity to trade</param>
+        /// <param name="price">Price to trade at</param>
+        /// <param name="adjustedQuantity">Quantity adjusted to match all trading rules</param>
+        /// <param name="adjustedPrice">Price adjusted to match all trading rules</param>
+        public static void ApplySymbolRules(SharedSpotSymbol symbol, decimal quantity, decimal? price, out decimal adjustedQuantity, out decimal? adjustedPrice)
+        {
+            adjustedPrice = price;
+            adjustedQuantity = quantity;
+            var minNotionalAdjust = false;
+
+            if (price != null)
+            {
+                adjustedPrice = AdjustValueStep(0, decimal.MaxValue, symbol.PriceStep, RoundingType.Down, price.Value);
+                adjustedPrice = symbol.PriceDecimals.HasValue ? RoundDown(price.Value, symbol.PriceDecimals.Value) : adjustedPrice;
+                if (adjustedPrice != 0 && adjustedPrice * quantity < symbol.MinNotionalValue)
+                {
+                    adjustedQuantity = symbol.MinNotionalValue.Value / adjustedPrice.Value;
+                    minNotionalAdjust = true;
+                }
+            }
+
+            adjustedQuantity = AdjustValueStep(symbol.MinTradeQuantity ?? 0, symbol.MaxTradeQuantity ?? decimal.MaxValue, symbol.QuantityStep, minNotionalAdjust ? RoundingType.Up : RoundingType.Down, adjustedQuantity);
+            adjustedQuantity = symbol.QuantityDecimals.HasValue ? (minNotionalAdjust ? RoundUp(adjustedQuantity, symbol.QuantityDecimals.Value) : RoundDown(adjustedQuantity, symbol.QuantityDecimals.Value)) : adjustedQuantity;
+
+        }
     }
 }