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Merged
maryarm merged 2 commits into from
Sep 20, 2021
Merged

Feature/1-MVP Kline API ready to merge #70

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5c98397
Close #65: Implemented kline API
Marchosiax Sep 20, 2021
a702ad0
Merge remote-tracking branch 'origin/feature/1-MVP' into feature/1-MVP
Marchosiax Sep 20, 2021
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17 changes: 17 additions & 0 deletions Api/api-core/src/main/kotlin/co/nilin/opex/api/core/inout/CandleData.kt
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@@ -0,0 +1,17 @@
package co.nilin.opex.api.core.inout

import java.time.LocalDateTime

data class CandleData(
val openTime: LocalDateTime,
val closeTime: LocalDateTime,
val open: Double,
val close: Double,
val high: Double,
val low: Double,
val volume: Double,
val quoteAssetVolume: Double,
val trades: Int,
val takerBuyBaseAssetVolume: Double,
val takerBuyQuoteAssetVolume: Double,
)
8 changes: 8 additions & 0 deletions Api/api-core/src/main/kotlin/co/nilin/opex/api/core/spi/MarketQueryHandler.kt
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Expand Up @@ -20,4 +20,12 @@ interface MarketQueryHandler {

suspend fun lastPrice(symbol: String?): List<PriceTickerResponse>

suspend fun getCandleInfo(
symbol: String,
interval: String,
startTime: Long?,
endTime: Long?,
limit: Int
): List<CandleData>

}
1 change: 1 addition & 0 deletions .../api-binance-rest/src/main/kotlin/co/nilin/opex/port/api/binance/config/SecurityConfig.kt
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Expand Up @@ -30,6 +30,7 @@ class SecurityConfig(private val webClient: WebClient) {
.pathMatchers("/v3/trades").permitAll()
.pathMatchers("/v3/ticker/**").permitAll()
.pathMatchers("/v3/exchangeInfo").permitAll()
.pathMatchers("/v3/klines").permitAll()
.pathMatchers(HttpMethod.OPTIONS, "/**").permitAll()
.pathMatchers("/**").hasAuthority("SCOPE_trust")
.anyExchange().authenticated()
Expand Down
66 changes: 48 additions & 18 deletions ...inance-rest/src/main/kotlin/co/nilin/opex/port/api/binance/controller/MarketController.kt
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Expand Up @@ -2,13 +2,10 @@ package co.nilin.opex.port.api.binance.controller

import co.nilin.opex.api.core.spi.MarketQueryHandler
import co.nilin.opex.api.core.spi.SymbolMapper
import co.nilin.opex.port.api.binance.data.OrderBookResponse
import co.nilin.opex.api.core.inout.PriceChangeResponse
import co.nilin.opex.api.core.inout.PriceTickerResponse
import co.nilin.opex.api.core.spi.AccountantProxy
import co.nilin.opex.port.api.binance.data.ExchangeInfoResponse
import co.nilin.opex.port.api.binance.data.ExchangeInfoSymbol
import co.nilin.opex.port.api.binance.data.RecentTradeResponse
import co.nilin.opex.port.api.binance.data.*
import co.nilin.opex.utility.error.data.OpexError
import co.nilin.opex.utility.error.data.OpexException
import co.nilin.opex.utility.error.data.throwError
Expand All @@ -23,8 +20,6 @@ import java.security.Principal
import java.time.Instant
import java.time.LocalDateTime
import java.time.ZoneId
import java.util.*
import java.util.concurrent.TimeUnit
import kotlin.collections.ArrayList

@RestController
Expand All @@ -35,7 +30,7 @@ class MarketController(
) {

private val orderBookValidLimits = arrayListOf(5, 10, 20, 50, 100, 500, 1000, 5000)
private val validDurations = arrayListOf("24h", "7d", "1m")
private val validDurations = arrayListOf("24h", "7d", "1M")

// Limit - Weight
// 5, 10, 20, 50, 100 - 1
Expand Down Expand Up @@ -107,7 +102,7 @@ class MarketController(
}
}

@GetMapping("/v3/ticker/{duration:24h|7d|1m}")
@GetMapping("/v3/ticker/{duration:24h|7d|1M}")
suspend fun priceChange(
@PathVariable("duration")
duration: String,
Expand All @@ -122,16 +117,7 @@ class MarketController(
if (!validDurations.contains(duration))
throwError(OpexError.InvalidPriceChangeDuration)

val now = Date().time
val before = when (duration) {
"24h" -> Date(now - TimeUnit.DAYS.toMillis(1))
"7d" -> Date(now - TimeUnit.DAYS.toMillis(7))
"1m" -> Date(now - TimeUnit.DAYS.toMillis(31))
else -> Date(now - TimeUnit.DAYS.toMillis(1))
}

val instant = Instant.ofEpochMilli(before.time)
val startDate = LocalDateTime.ofInstant(instant, ZoneId.systemDefault())
val startDate = Interval.findByLabel(duration)?.getLocalDateTime() ?: Interval.Day.getLocalDateTime()

return if (symbol.isNullOrEmpty())
marketQueryHandler.getTradeTickerData(startDate)
Expand Down Expand Up @@ -173,4 +159,48 @@ class MarketController(
return ExchangeInfoResponse(symbols = pairConfigs)
}

// Weight(IP): 1
@GetMapping("/v3/klines")
suspend fun klines(
@RequestParam("symbol")
symbol: String,
@RequestParam("interval")
interval: String,
@RequestParam("startTime", required = false)
startTime: Long?,
@RequestParam("endTime", required = false)
endTime: Long?,
@RequestParam("limit", required = false)
limit: Int? // Default 500; max 1000.
): List<List<Any>> {
val validLimit = limit ?: 500
val localSymbol = symbolMapper.unmap(symbol) ?: throw OpexException(OpexError.SymbolNotFound)
if (validLimit !in 1..1000)
throwError(OpexError.InvalidLimitForRecentTrades)

val i = Interval.findByLabel(interval) ?: throw OpexException(OpexError.InvalidInterval)

val list = ArrayList<ArrayList<Any>>()
marketQueryHandler.getCandleInfo(localSymbol, "${i.duration} ${i.unit}", startTime, endTime, validLimit)
.forEach {
list.add(
arrayListOf(
it.openTime.atZone(ZoneId.systemDefault()).toInstant().toEpochMilli(),
it.open.toString(),
it.high.toString(),
it.low.toString(),
it.close.toString(),
it.volume.toString(),
it.closeTime.atZone(ZoneId.systemDefault()).toInstant().toEpochMilli(),
it.quoteAssetVolume.toString(),
it.trades,
it.takerBuyBaseAssetVolume.toString(),
it.takerBuyQuoteAssetVolume.toString(),
"0.0"
)
)
}
return list
}

}
42 changes: 42 additions & 0 deletions ...pi-ports/api-binance-rest/src/main/kotlin/co/nilin/opex/port/api/binance/data/Interval.kt
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package co.nilin.opex.port.api.binance.data

import java.time.Instant
import java.time.LocalDateTime
import java.time.ZoneId
import java.util.*
import java.util.concurrent.TimeUnit

enum class Interval(val label: String, val unit: TimeUnit, val duration: Long) {

Minute("1m", TimeUnit.MINUTES, 1),
ThreeMinutes("3m", TimeUnit.MINUTES, 3),
FiveMinutes("5m", TimeUnit.MINUTES, 5),
FifteenMinutes("15m", TimeUnit.MINUTES, 15),
ThirtyMinutes("30m", TimeUnit.MINUTES, 30),
Hour("1h", TimeUnit.HOURS, 1),
TwoHours("2h", TimeUnit.HOURS, 2),
FourHours("4h", TimeUnit.HOURS, 4),
SixHours("6h", TimeUnit.HOURS, 6),
EightHours("8h", TimeUnit.HOURS, 8),
TwelveHours("12h", TimeUnit.HOURS, 12),
TwentyFourHours("24h", TimeUnit.HOURS, 24),
Day("1d", TimeUnit.DAYS, 1),
ThreeDays("3d", TimeUnit.DAYS, 3),
Week("1w", TimeUnit.DAYS, 7),
Month("1M", TimeUnit.DAYS, 31);

private fun getOffsetTime() = unit.toMillis(duration)

fun getDate() = Date(Date().time - getOffsetTime())

fun getLocalDateTime(): LocalDateTime = with(Instant.ofEpochMilli(getDate().time)) {
LocalDateTime.ofInstant(this, ZoneId.systemDefault())
}

companion object {
fun findByLabel(label: String): Interval? {
return values().find { it.label == label }
}
}

}
12 changes: 12 additions & 0 deletions ...rsister-postgres/src/main/kotlin/co/nilin/opex/port/api/postgres/config/PostgresConfig.kt
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Expand Up @@ -60,6 +60,18 @@ class PostgresConfig(db: DatabaseClient) {
INSERT INTO symbol_maps(symbol, value) VALUES('btc_usdt', 'BTCUSDT') ON CONFLICT DO NOTHING;
INSERT INTO symbol_maps(symbol, value) VALUES('eth_usdt', 'ETHUSDT') ON CONFLICT DO NOTHING;
INSERT INTO symbol_maps(symbol, value) VALUES('eth_btc', 'ETHBTC') ON CONFLICT DO NOTHING;

create or replace function interval_generator(start_ts timestamp without TIME ZONE, end_ts timestamp without TIME ZONE, round_interval INTERVAL)
returns TABLE(start_time timestamp without TIME ZONE, end_time timestamp without TIME ZONE) as $$
BEGIN
return query
SELECT
(n) start_time,
(n + round_interval) end_time
FROM generate_series(date_trunc('minute', start_ts), end_ts, round_interval) n;
END
$$
LANGUAGE 'plpgsql';
"""
val initDb = db.sql { sql }
initDb // initialize the database
Expand Down
41 changes: 41 additions & 0 deletions ...persister-postgres/src/main/kotlin/co/nilin/opex/port/api/postgres/dao/TradeRepository.kt
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@@ -1,5 +1,6 @@
package co.nilin.opex.port.api.postgres.dao

import co.nilin.opex.port.api.postgres.model.CandleInfoData
import co.nilin.opex.port.api.postgres.model.TradeModel
import co.nilin.opex.port.api.postgres.model.TradeTickerData
import kotlinx.coroutines.flow.Flow
Expand Down Expand Up @@ -106,4 +107,44 @@ interface TradeRepository : ReactiveCrudRepository<TradeModel, Long> {

@Query("select * from trades where create_date in (select max(create_date) from trades group by symbol)")
fun findAllGroupBySymbol(): Flux<TradeModel>

@Query(
"""
with intervals as (select * from interval_generator((:startTime), (:endTime), :interval ::INTERVAL))
select
f.start_time as open_time,
f.end_time as close_time,
(select taker_price from trades tt where tt.create_date >= f.start_time and tt.create_date < f.end_time order by tt.create_date asc limit 1) as open,
max(t.taker_price) as high,
min(t.taker_price) as low,
(select taker_price from trades tt where tt.create_date >= f.start_time and tt.create_date < f.end_time order by tt.create_date desc limit 1) as close,
sum(t.matched_quantity) as volume,
count(id) as trades
from trades t
right join intervals f
on t.create_date >= f.start_time and t.create_date < f.end_time
where symbol = :symbol or symbol is null
group by f.start_time, f.end_time
order by f.end_time desc
limit :limit
"""
)
suspend fun candleData(
@Param("symbol")
symbol: String,
@Param("interval")
interval: String,
@Param("startTime")
startTime: LocalDateTime,
@Param("endTime")
endTime: LocalDateTime,
@Param("limit")
limit: Int,
): Flux<CandleInfoData>

@Query("select * from trades order by create_date desc limit 1")
suspend fun findLastByCreateDate(): Mono<TradeModel>

@Query("select * from trades order by create_date asc limit 1")
suspend fun findFirstByCreateDate(): Mono<TradeModel>
}
44 changes: 44 additions & 0 deletions ...r-postgres/src/main/kotlin/co/nilin/opex/port/api/postgres/impl/MarketQueryHandlerImpl.kt
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Expand Up @@ -16,6 +16,7 @@ import kotlinx.coroutines.reactive.awaitFirstOrElse
import kotlinx.coroutines.reactive.awaitFirstOrNull
import org.springframework.stereotype.Component
import java.lang.Exception
import java.time.Instant
import java.time.LocalDateTime
import java.time.ZoneId
import java.time.ZoneOffset
Expand Down Expand Up @@ -125,6 +126,49 @@ class MarketQueryHandlerImpl(

}

override suspend fun getCandleInfo(
symbol: String,
interval: String,
startTime: Long?,
endTime: Long?,
limit: Int
): List<CandleData> {
val st = if (startTime == null)
tradeRepository.findFirstByCreateDate().awaitFirstOrNull()?.createDate
?: LocalDateTime.now()
else
with(Instant.ofEpochMilli(startTime)) {
LocalDateTime.ofInstant(this, ZoneId.systemDefault())
}

val et = if (endTime == null)
tradeRepository.findLastByCreateDate().awaitFirstOrNull()?.createDate
?: LocalDateTime.now()
else
with(Instant.ofEpochMilli(endTime)) {
LocalDateTime.ofInstant(this, ZoneId.systemDefault())
}

return tradeRepository.candleData(symbol, interval, st, et, limit)
.collectList()
.awaitFirstOrElse { emptyList() }
.map {
CandleData(
it.openTime,
it.closeTime,
it.open ?: 0.0,
it.close ?: 0.0,
it.high ?: 0.0,
it.low ?: 0.0,
it.volume ?: 0.0,
0.0,
it.trades,
0.0,
0.0
)
}
}

private fun OrderModel.asQueryOrderResponse() = QueryOrderResponse(
symbol,
ouid,
Expand Down
17 changes: 17 additions & 0 deletions ...ersister-postgres/src/main/kotlin/co/nilin/opex/port/api/postgres/model/CandleInfoData.kt
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package co.nilin.opex.port.api.postgres.model

import org.springframework.data.relational.core.mapping.Column
import java.time.LocalDateTime

data class CandleInfoData(
@Column("open_time")
val openTime: LocalDateTime,
@Column("close_time")
val closeTime: LocalDateTime,
val open: Double?,
val close: Double?,
val high: Double?,
val low: Double?,
val volume: Double?,
val trades: Int,
)
3 changes: 2 additions & 1 deletion Utility/error-handler/src/main/kotlin/co/nilin/opex/utility/error/data/OpexError.kt
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Expand Up @@ -33,7 +33,8 @@ enum class OpexError(val code: Int, val message: String?, val status: HttpStatus
InvalidLimitForOrderBook(7003, "Valid limits: [5, 10, 20, 50, 100, 500, 1000, 5000]", HttpStatus.BAD_REQUEST),
InvalidLimitForRecentTrades(7004, "Valid limits: 1 min - 1000 max", HttpStatus.BAD_REQUEST),
InvalidPriceChangeDuration(7005, "Valid durations: [24h, 7d, 1m]", HttpStatus.BAD_REQUEST),
CancelOrderNotAllowed(7006, "Canceling this order is not allowed", HttpStatus.FORBIDDEN);
CancelOrderNotAllowed(7006, "Canceling this order is not allowed", HttpStatus.FORBIDDEN),
InvalidInterval(7007, "Invalid interval", HttpStatus.BAD_REQUEST);

companion object {
fun findByCode(code: Int?): OpexError? {
Expand Down