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Add MaxNotional and PriceStepSize #4947

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Add MaxNotional and PriceStepSize #4947

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74 changes: 60 additions & 14 deletions xchange-binance/src/main/java/org/knowm/xchange/binance/BinanceAdapters.java
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Original file line number Diff line number Diff line change
Expand Up @@ -483,8 +483,11 @@ public static void adaptFutureExchangeMetaData(
BigDecimal maxQty = null;
BigDecimal stepSize = null;

BigDecimal priceStepSize = null;

BigDecimal counterMinQty = null;
BigDecimal counterMaxQty = null;
BigDecimal counterMaxQtyFallback = null;

Instrument currentCurrencyPair =
new FuturesContract(
Expand All @@ -494,39 +497,57 @@ public static void adaptFutureExchangeMetaData(
for (Filter filter : futureSymbol.getFilters()) {
switch (filter.getFilterType()) {
case "PRICE_FILTER":
priceStepSize = new BigDecimal(filter.getTickSize()).stripTrailingZeros();
pairPrecision = Math.min(pairPrecision, numberOfDecimals(filter.getTickSize()));
counterMaxQty = new BigDecimal(filter.getMaxPrice()).stripTrailingZeros();
// why was here maxPrice as maxQty? used as fallback, but...
counterMaxQtyFallback = new BigDecimal(filter.getMaxPrice()).stripTrailingZeros();
break;
case "LOT_SIZE":
amountPrecision = Math.min(amountPrecision, numberOfDecimals(filter.getStepSize()));
minQty = new BigDecimal(filter.getMinQty()).stripTrailingZeros();
maxQty = new BigDecimal(filter.getMaxQty()).stripTrailingZeros();
stepSize = new BigDecimal(filter.getStepSize()).stripTrailingZeros();
break;
// US Binance
case "MIN_NOTIONAL":
counterMinQty =
(filter.getMinNotional() != null)
? new BigDecimal(filter.getMinNotional()).stripTrailingZeros()
: null;
break;
// NOT US Binance
case "NOTIONAL":
counterMinQty =
(filter.getMinNotional() != null)
? new BigDecimal(filter.getMinNotional()).stripTrailingZeros()
: null;
counterMaxQty =
(filter.getMaxNotional() != null)
? new BigDecimal(filter.getMaxNotional()).stripTrailingZeros()
: null;
break;
}
}

if (counterMaxQty == null) {
counterMaxQty = counterMaxQtyFallback;
}

exchangeMetaData
.getInstruments()
.put(
currentCurrencyPair,
new InstrumentMetaData.Builder()
.minimumAmount(minQty)
.maximumAmount(maxQty)
.counterMinimumAmount(counterMinQty)
.counterMaximumAmount(counterMaxQty)
.volumeScale(amountPrecision)
.priceScale(pairPrecision)
.amountStepSize(stepSize)
.marketOrderEnabled(
Arrays.asList(futureSymbol.getOrderTypes()).contains("MARKET"))
.build());
.minimumAmount(minQty)
.maximumAmount(maxQty)
.counterMinimumAmount(counterMinQty)
.counterMaximumAmount(counterMaxQty)
.volumeScale(amountPrecision)
.priceScale(pairPrecision)
.priceStepSize(priceStepSize)
.amountStepSize(stepSize)
.marketOrderEnabled(Arrays.asList(futureSymbol.getOrderTypes()).contains("MARKET"))
.build());
}
}
}
Expand All @@ -550,30 +571,54 @@ public static ExchangeMetaData adaptExchangeMetaData(
BigDecimal maxQty = null;
BigDecimal stepSize = null;

BigDecimal priceStepSize = null;

BigDecimal counterMinQty = null;
BigDecimal counterMaxQty = null;
BigDecimal counterMaxQtyFallback = null;

CurrencyPair currentCurrencyPair =
new CurrencyPair(symbol.getBaseAsset(), symbol.getQuoteAsset());
new CurrencyPair(symbol.getBaseAsset(), symbol.getQuoteAsset());

for (Filter filter : symbol.getFilters()) {
switch (filter.getFilterType()) {
case "PRICE_FILTER":
priceStepSize = new BigDecimal(filter.getTickSize()).stripTrailingZeros();
pairPrecision = Math.min(pairPrecision, numberOfDecimals(filter.getTickSize()));
counterMaxQty = new BigDecimal(filter.getMaxPrice()).stripTrailingZeros();
// why was here maxPrice as maxQty? used as fallback, but...
counterMaxQtyFallback = new BigDecimal(filter.getMaxPrice()).stripTrailingZeros();
break;
case "LOT_SIZE":
amountPrecision = Math.min(amountPrecision, numberOfDecimals(filter.getStepSize()));
minQty = new BigDecimal(filter.getMinQty()).stripTrailingZeros();
maxQty = new BigDecimal(filter.getMaxQty()).stripTrailingZeros();
stepSize = new BigDecimal(filter.getStepSize()).stripTrailingZeros();
break;
// US Binance
case "MIN_NOTIONAL":
counterMinQty = new BigDecimal(filter.getMinNotional()).stripTrailingZeros();
counterMinQty =
(filter.getMinNotional() != null)
? new BigDecimal(filter.getMinNotional()).stripTrailingZeros()
: null;
break;
// NOT US Binance
case "NOTIONAL":
counterMinQty =
(filter.getMinNotional() != null)
? new BigDecimal(filter.getMinNotional()).stripTrailingZeros()
: null;
counterMaxQty =
(filter.getMaxNotional() != null)
? new BigDecimal(filter.getMaxNotional()).stripTrailingZeros()
: null;
break;
}
}

if (counterMaxQty == null) {
counterMaxQty = counterMaxQtyFallback;
}

instruments.put(
currentCurrencyPair,
new InstrumentMetaData.Builder()
Expand All @@ -584,6 +629,7 @@ public static ExchangeMetaData adaptExchangeMetaData(
.counterMaximumAmount(counterMaxQty)
.volumeScale(amountPrecision)
.priceScale(pairPrecision)
.priceStepSize(priceStepSize)
.amountStepSize(stepSize)
.marketOrderEnabled(Arrays.asList(symbol.getOrderTypes()).contains("MARKET"))
.build());
Expand Down
13 changes: 13 additions & 0 deletions xchange-binance/src/main/java/org/knowm/xchange/binance/dto/meta/exchangeinfo/Filter.java
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Original file line number Diff line number Diff line change
Expand Up @@ -17,6 +17,8 @@ public class Filter {

private String minNotional;

private String maxNotional;

public String getMaxPrice() {
return maxPrice;
}
Expand Down Expand Up @@ -81,6 +83,14 @@ public void setMinNotional(String minNotional) {
this.minNotional = minNotional;
}

public String getMaxNotional() {
return maxNotional;
}

public void setMaxNotional(String maxNotional) {
this.maxNotional = maxNotional;
}

@Override
public String toString() {
return "Filter{"
Expand Down Expand Up @@ -108,6 +118,9 @@ public String toString() {
+ ", minNotional='"
+ minNotional
+ '\''
+ ", maxNotional='"
+ maxNotional
+ '\''
+ '}';
}
}
4 changes: 4 additions & 0 deletions xchange-binance/src/test/java/org/knowm/xchange/binance/us/ExchangeMetaDataIntegration.java
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Original file line number Diff line number Diff line change
Expand Up @@ -22,17 +22,21 @@ public static void fetchMetaData() throws Exception {
public void testEthBtcPairMetaData() {
InstrumentMetaData pairMetaData = metaData.getInstruments().get(CurrencyPair.ETH_BTC);
assertThat(pairMetaData.getPriceScale()).isEqualByComparingTo(5);
assertThat(pairMetaData.getPriceStepSize()).isEqualByComparingTo("0.00001");
assertThat(pairMetaData.getMinimumAmount()).isEqualByComparingTo("0.0001");
assertThat(pairMetaData.getMaximumAmount().longValueExact()).isEqualTo(100000);
assertThat(pairMetaData.getCounterMinimumAmount()).isEqualByComparingTo("0.0001");
assertThat(pairMetaData.getAmountStepSize()).isEqualByComparingTo("0.0001");
}

@Test
public void testLtcBtcPairMetaData() {
InstrumentMetaData pairMetaData = metaData.getInstruments().get(new CurrencyPair("LTC/BTC"));
assertThat(pairMetaData.getPriceScale()).isEqualByComparingTo(6);
assertThat(pairMetaData.getPriceStepSize()).isEqualByComparingTo("0.000001");
assertThat(pairMetaData.getMinimumAmount()).isEqualByComparingTo("0.001");
assertThat(pairMetaData.getMaximumAmount().longValueExact()).isEqualTo(100000);
assertThat(pairMetaData.getCounterMinimumAmount()).isEqualByComparingTo("0.0001");
assertThat(pairMetaData.getAmountStepSize()).isEqualByComparingTo("0.001");
}
}