Add support for quarterly futures for Binance Futures

0xGoerliMainnet · Jun 12, 2020 · 2ad9b27 · 2ad9b27
1 parent b540233
commit 2ad9b27
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Showing 10 changed files with 425 additions and 41 deletions.
diff --git a/lib/cryptoexchange/exchanges/binance_futures/market.rb b/lib/cryptoexchange/exchanges/binance_futures/market.rb
@@ -3,9 +3,10 @@ module BinanceFutures
     class Market < Cryptoexchange::Models::Market
       NAME = 'binance_futures'
       API_URL = 'https://fapi.binance.com/fapi/v1'
+      FUTURES_API_URL = "https://dapi.binance.com/dapi/v1"
 
       def self.trade_page_url(args={})
-        "https://www.binance.com/en/futures/#{args[:inst_id]}"
+        "https://www.binance.com/en/futuresng/#{args[:inst_id]}"
       end
     end
   end

diff --git a/lib/cryptoexchange/exchanges/binance_futures/services/contract_stat.rb b/lib/cryptoexchange/exchanges/binance_futures/services/contract_stat.rb
@@ -9,34 +9,60 @@ def supports_individual_ticker_query?
         end
 
         def fetch(market_pair)
-          contract_info = super(contract_info_url(market_pair))
-          open_interest_info = super(open_interest_url(market_pair))
+          if market_pair.contract_interval == "perpetual"
+            root_api_url = Cryptoexchange::Exchanges::BinanceFutures::Market::API_URL
+            futures_expire_info = nil
+          elsif market_pair.contract_interval == "futures"
+            root_api_url = Cryptoexchange::Exchanges::BinanceFutures::Market::FUTURES_API_URL
+            futures_expire_info = super(futures_expire_url(market_pair))
+            futures_expire_info = futures_expire_info["symbols"].select { |exchange_info| exchange_info["symbol"] == market_pair.inst_id }.first
+          end
+
+          contract_info = super(contract_info_url(root_api_url, market_pair))
+          open_interest_info = super(open_interest_url(root_api_url, market_pair))
+
+          adapt(contract_info, open_interest_info, futures_expire_info, market_pair)
+        end
 
-          adapt(nil, contract_info, open_interest_info, market_pair)
+        def open_interest_url(root_api_url, market_pair)
+          "#{root_api_url}/openInterest?symbol=#{market_pair.inst_id}"
         end
 
-        def open_interest_url(market_pair)
-          "#{Cryptoexchange::Exchanges::BinanceFutures::Market::API_URL}/openInterest?symbol=#{market_pair.inst_id}"
+        def contract_info_url(root_api_url, market_pair)
+          "#{root_api_url}/premiumIndex?symbol=#{market_pair.inst_id}"
         end
 
-        def contract_info_url(market_pair)
-          "#{Cryptoexchange::Exchanges::BinanceFutures::Market::API_URL}/premiumIndex?symbol=#{market_pair.inst_id}"
+        def futures_expire_url(market_pair)
+          "#{Cryptoexchange::Exchanges::BinanceFutures::Market::FUTURES_API_URL}/exchangeInfo"
         end
 
-        def adapt(open_interest, contract_info, open_interest_info, market_pair)
+        def adapt(contract_info, open_interest_info, futures_expire_info, market_pair)
           contract_stat = Cryptoexchange::Models::ContractStat.new
           contract_stat.base      = market_pair.base
           contract_stat.target    = market_pair.target
           contract_stat.market    = BinanceFutures::Market::NAME
-          contract_stat.index     = contract_info['markPrice'].to_f
           contract_stat.index_identifier = nil
           contract_stat.index_name = nil
+
           contract_stat.open_interest = open_interest_info["openInterest"].to_f
-          contract_stat.funding_rate_percentage     = contract_info['lastFundingRate'].to_f * 100
-          contract_stat.next_funding_rate_timestamp     = contract_info['nextFundingTime']/1000
-          contract_stat.funding_rate_percentage_predicted = nil
-          contract_stat.contract_type = "perpetual"
-          contract_stat.payload   =  contract_info
+
+          if market_pair.contract_interval == "perpetual"
+            contract_stat.index     = contract_info['markPrice'].to_f
+            contract_stat.funding_rate_percentage     = contract_info['lastFundingRate'].to_f * 100
+            contract_stat.next_funding_rate_timestamp     = contract_info['nextFundingTime']/1000
+            contract_stat.funding_rate_percentage_predicted = nil
+            contract_stat.contract_type = "perpetual"
+            contract_stat.payload   =  contract_info
+          elsif market_pair.contract_interval == "futures"
+            contract_stat.index     = contract_info[0]['markPrice'].to_f
+            contract_stat.contract_type = "futures"
+            contract_stat.payload   =  contract_info[0]
+
+            expire_timestamp = futures_expire_info['deliveryDate'] / 1000
+            start_timestamp = futures_expire_info['onboardDate'] / 1000
+            contract_stat.expire_timestamp = expire_timestamp
+            contract_stat.start_timestamp = start_timestamp
+          end
           contract_stat
         end
       end

diff --git a/lib/cryptoexchange/exchanges/binance_futures/services/market.rb b/lib/cryptoexchange/exchanges/binance_futures/services/market.rb
@@ -9,14 +9,19 @@ def supports_individual_ticker_query?
         end
 
         def fetch
-          output = super(ticker_url)
-          adapt_all(output)
+          perpetual_output = super(perpetual_ticker_url)
+          futures_output = super(futures_ticker_url)
+          adapt_all(perpetual_output) + adapt_all(futures_output)
         end
 
-        def ticker_url
+        def perpetual_ticker_url
           "#{Cryptoexchange::Exchanges::BinanceFutures::Market::API_URL}/ticker/24hr"
         end
 
+        def futures_ticker_url
+          "#{Cryptoexchange::Exchanges::BinanceFutures::Market::FUTURES_API_URL}/ticker/24hr"
+        end
+
         def adapt_all(output)
           pairs_map = {}
           pairs = Cryptoexchange::Exchanges::BinanceFutures::Services::Pairs.new.fetch

diff --git a/lib/cryptoexchange/exchanges/binance_futures/services/order_book.rb b/lib/cryptoexchange/exchanges/binance_futures/services/order_book.rb
@@ -9,12 +9,17 @@ def supports_individual_ticker_query?
         end
 
         def fetch(market_pair)
-          output = super(order_book_url(market_pair))
+          root_api_url = if market_pair.contract_interval == "perpetual"
+            Cryptoexchange::Exchanges::BinanceFutures::Market::API_URL
+          elsif market_pair.contract_interval == "futures"
+            Cryptoexchange::Exchanges::BinanceFutures::Market::FUTURES_API_URL
+          end
+          output = super(order_book_url(root_api_url, market_pair))
           adapt(output, market_pair)
         end
 
-        def order_book_url(market_pair)
-          "#{Cryptoexchange::Exchanges::BinanceFutures::Market::API_URL}/depth?symbol=#{market_pair.inst_id}&limit=500"
+        def order_book_url(root_api_url, market_pair)
+          "#{root_api_url}/depth?symbol=#{market_pair.inst_id}&limit=500"
         end
 
         def adapt(output, market_pair)

diff --git a/lib/cryptoexchange/exchanges/binance_futures/services/pairs.rb b/lib/cryptoexchange/exchanges/binance_futures/services/pairs.rb
@@ -2,16 +2,23 @@ module Cryptoexchange::Exchanges
   module BinanceFutures
     module Services
       class Pairs < Cryptoexchange::Services::Pairs
-        PAIRS_URL = "#{Cryptoexchange::Exchanges::BinanceFutures::Market::API_URL}/exchangeInfo"
+        PERPETUAL_PAIRS_URL = "#{Cryptoexchange::Exchanges::BinanceFutures::Market::API_URL}/exchangeInfo"
+        FUTURES_PAIRS_URL = "#{Cryptoexchange::Exchanges::BinanceFutures::Market::FUTURES_API_URL}/exchangeInfo"
 
         def fetch
-          output = super
-          adapt(output)
+          perpetual_output = fetch_via_api(PERPETUAL_PAIRS_URL)
+          futures_output = fetch_via_api(FUTURES_PAIRS_URL)
+          adapt(perpetual_output, :perpetual) + adapt(futures_output, :futures)
         end
 
-        def adapt(output)
+        def adapt(output, type)
           output["symbols"].map do |pair|
-            next if pair["status"] != "TRADING"
+
+            if type == :perpetual
+              next if pair["status"] != "TRADING"
+            elsif type == :futures
+              next if pair["contractStatus"] != "TRADING"
+            end
 
             base = pair["baseAsset"]
             target = pair["quoteAsset"]
@@ -21,7 +28,7 @@ def adapt(output)
               base: base,
               target: target,
               market: BinanceFutures::Market::NAME,
-              contract_interval: "perpetual",
+              contract_interval: type.to_s,
               inst_id: pair["symbol"]
             )
           end.compact

diff --git a/.../Binance/Futures_integration_specs_fetch_contract_stat_fetch_futures_contract_details.yml b/.../Binance/Futures_integration_specs_fetch_contract_stat_fetch_futures_contract_details.yml
diff --git a/spec/cassettes/vcr_cassettes/Binance/Futures_integration_specs_fetch_pairs.yml b/spec/cassettes/vcr_cassettes/Binance/Futures_integration_specs_fetch_pairs.yml