coinbase/kraken: Add IOC support to SubmitOrder wrappers (thrasher-co…

…rp#1025) * add IOC support to coinbase and kraken wrappers * fix lint * use explicit TimeInForce type * fix kraken param * fix fmt * fix time_in_force
marcofranssen · Sep 19, 2022 · e78287b · e78287b
1 parent f843b7d
commit e78287b
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Showing 6 changed files with 66 additions and 27 deletions.
diff --git a/exchanges/coinbasepro/coinbasepro.go b/exchanges/coinbasepro/coinbasepro.go
@@ -334,7 +334,7 @@ func (c *CoinbasePro) GetHolds(ctx context.Context, accountID string) ([]Account
 // timeInforce - [optional] GTC, GTT, IOC, or FOK (default is GTC)
 // cancelAfter - [optional] min, hour, day * Requires time_in_force to be GTT
 // postOnly - [optional] Post only flag Invalid when time_in_force is IOC or FOK
-func (c *CoinbasePro) PlaceLimitOrder(ctx context.Context, clientRef string, price, amount float64, side, timeInforce, cancelAfter, productID, stp string, postOnly bool) (string, error) {
+func (c *CoinbasePro) PlaceLimitOrder(ctx context.Context, clientRef string, price, amount float64, side string, timeInforce RequestParamsTimeForceType, cancelAfter, productID, stp string, postOnly bool) (string, error) {
 	resp := GeneralizedOrderResponse{}
 	req := make(map[string]interface{})
 	req["type"] = order.Limit.Lower()
@@ -347,7 +347,7 @@ func (c *CoinbasePro) PlaceLimitOrder(ctx context.Context, clientRef string, pri
 		req["cancel_after"] = cancelAfter
 	}
 	if timeInforce != "" {
-		req["time_in_foce"] = timeInforce
+		req["time_in_force"] = timeInforce
 	}
 	if clientRef != "" {
 		req["client_oid"] = clientRef

diff --git a/exchanges/coinbasepro/coinbasepro_types.go b/exchanges/coinbasepro/coinbasepro_types.go
@@ -477,3 +477,14 @@ type wsStatus struct {
 	} `json:"products"`
 	Type string `json:"type"`
 }
+
+// RequestParamsTimeForceType Time in force
+type RequestParamsTimeForceType string
+
+var (
+	// CoinbaseRequestParamsTimeGTC GTC
+	CoinbaseRequestParamsTimeGTC = RequestParamsTimeForceType("GTC")
+
+	// CoinbaseRequestParamsTimeIOC IOC
+	CoinbaseRequestParamsTimeIOC = RequestParamsTimeForceType("IOC")
+)
diff --git a/exchanges/coinbasepro/coinbasepro_wrapper.go b/exchanges/coinbasepro/coinbasepro_wrapper.go
@@ -554,12 +554,16 @@ func (c *CoinbasePro) SubmitOrder(ctx context.Context, s *order.Submit) (*order.
 			fpair.String(),
 			"")
 	case order.Limit:
+		timeInForce := CoinbaseRequestParamsTimeGTC
+		if s.ImmediateOrCancel {
+			timeInForce = CoinbaseRequestParamsTimeIOC
+		}
 		orderID, err = c.PlaceLimitOrder(ctx,
 			"",
 			s.Price,
 			s.Amount,
 			s.Side.Lower(),
-			"",
+			timeInForce,
 			"",
 			fpair.String(),
 			"",

diff --git a/exchanges/kraken/kraken.go b/exchanges/kraken/kraken.go
@@ -952,6 +952,10 @@ func (k *Kraken) AddOrder(ctx context.Context, symbol currency.Pair, side, order
 		params.Set("validate", "true")
 	}
 
+	if args.TimeInForce != "" {
+		params.Set("timeinforce", string(args.TimeInForce))
+	}
+
 	if err := k.SendAuthenticatedHTTPRequest(ctx, exchange.RestSpot, krakenOrderPlace, params, &response); err != nil {
 		return response.Result, err
 	}

diff --git a/exchanges/kraken/kraken_types.go b/exchanges/kraken/kraken_types.go
@@ -409,6 +409,7 @@ type AddOrderOptions struct {
 	ClosePrice     float64
 	ClosePrice2    float64
 	Validate       bool
+	TimeInForce    RequestParamsTimeForceType
 }
 
 // CancelOrderResponse type
@@ -654,24 +655,25 @@ type WsOpenOrderDescription struct {
 
 // WsAddOrderRequest request type for ws adding order
 type WsAddOrderRequest struct {
-	Event           string  `json:"event"`
-	Token           string  `json:"token"`
-	RequestID       int64   `json:"reqid,omitempty"` // Optional, client originated ID reflected in response message.
-	OrderType       string  `json:"ordertype"`
-	OrderSide       string  `json:"type"`
-	Pair            string  `json:"pair"`
-	Price           float64 `json:"price,string,omitempty"`  // optional
-	Price2          float64 `json:"price2,string,omitempty"` // optional
-	Volume          float64 `json:"volume,string,omitempty"`
-	Leverage        float64 `json:"leverage,omitempty"`         // optional
-	OFlags          string  `json:"oflags,omitempty"`           // optional
-	StartTime       string  `json:"starttm,omitempty"`          // optional
-	ExpireTime      string  `json:"expiretm,omitempty"`         // optional
-	UserReferenceID string  `json:"userref,omitempty"`          // optional
-	Validate        string  `json:"validate,omitempty"`         // optional
-	CloseOrderType  string  `json:"close[ordertype],omitempty"` // optional
-	ClosePrice      float64 `json:"close[price],omitempty"`     // optional
-	ClosePrice2     float64 `json:"close[price2],omitempty"`    // optional
+	Event           string                     `json:"event"`
+	Token           string                     `json:"token"`
+	RequestID       int64                      `json:"reqid,omitempty"` // Optional, client originated ID reflected in response message.
+	OrderType       string                     `json:"ordertype"`
+	OrderSide       string                     `json:"type"`
+	Pair            string                     `json:"pair"`
+	Price           float64                    `json:"price,string,omitempty"`  // optional
+	Price2          float64                    `json:"price2,string,omitempty"` // optional
+	Volume          float64                    `json:"volume,string,omitempty"`
+	Leverage        float64                    `json:"leverage,omitempty"`         // optional
+	OFlags          string                     `json:"oflags,omitempty"`           // optional
+	StartTime       string                     `json:"starttm,omitempty"`          // optional
+	ExpireTime      string                     `json:"expiretm,omitempty"`         // optional
+	UserReferenceID string                     `json:"userref,omitempty"`          // optional
+	Validate        string                     `json:"validate,omitempty"`         // optional
+	CloseOrderType  string                     `json:"close[ordertype],omitempty"` // optional
+	ClosePrice      float64                    `json:"close[price],omitempty"`     // optional
+	ClosePrice2     float64                    `json:"close[price2],omitempty"`    // optional
+	TimeInForce     RequestParamsTimeForceType `json:"timeinforce,omitempty"`      // optional
 }
 
 // WsAddOrderResponse response data for ws order
@@ -708,3 +710,14 @@ type OrderVars struct {
 	OrderType order.Type
 	Fee       float64
 }
+
+// RequestParamsTimeForceType Time in force
+type RequestParamsTimeForceType string
+
+var (
+	// KrakenRequestParamsTimeGTC GTC
+	KrakenRequestParamsTimeGTC = RequestParamsTimeForceType("GTC")
+
+	// KrakenRequestParamsTimeIOC IOC
+	KrakenRequestParamsTimeIOC = RequestParamsTimeForceType("IOC")
+)
diff --git a/exchanges/kraken/kraken_wrapper.go b/exchanges/kraken/kraken_wrapper.go
@@ -726,14 +726,19 @@ func (k *Kraken) SubmitOrder(ctx context.Context, s *order.Submit) (*order.Submi
 	status := order.New
 	switch s.AssetType {
 	case asset.Spot:
+		timeInForce := KrakenRequestParamsTimeGTC
+		if s.ImmediateOrCancel {
+			timeInForce = KrakenRequestParamsTimeIOC
+		}
 		if k.Websocket.CanUseAuthenticatedWebsocketForWrapper() {
 			s.Pair.Delimiter = "/" // required pair format: ISO 4217-A3
 			orderID, err = k.wsAddOrder(&WsAddOrderRequest{
-				OrderType: s.Type.Lower(),
-				OrderSide: s.Side.Lower(),
-				Pair:      s.Pair.String(),
-				Price:     s.Price,
-				Volume:    s.Amount,
+				OrderType:   s.Type.Lower(),
+				OrderSide:   s.Side.Lower(),
+				Pair:        s.Pair.String(),
+				Price:       s.Price,
+				Volume:      s.Amount,
+				TimeInForce: timeInForce,
 			})
 			if err != nil {
 				return nil, err
@@ -748,7 +753,9 @@ func (k *Kraken) SubmitOrder(ctx context.Context, s *order.Submit) (*order.Submi
 				s.Price,
 				0,
 				0,
-				&AddOrderOptions{})
+				&AddOrderOptions{
+					TimeInForce: timeInForce,
+				})
 			if err != nil {
 				return nil, err
 			}