Merge pull request #15 from fremantle-capital/fill-or-kill-and-immedi…

…ate-or-cancel-orders

Add support for FOK & IOC limit orders

fixture/vcr_cassettes/order_limit_buy_fill_or_kill_success.json

@@ -0,0 +1,41 @@
+[
+  {
+    "request": {
+      "body": "price=0.01&quantity=0.1&recvWindow=1000&side=BUY&symbol=LTCBTC&timeInForce=FOK&timestamp=1527290557371&type=LIMIT&signature=***",
+      "headers": {
+        "X-MBX-APIKEY": "***"
+      },
+      "method": "post",
+      "options": [],
+      "request_body": "",
+      "url": "https://api.binance.com/api/v3/order"
+    },
+    "response": {
+      "binary": false,
+      "body": "{\"symbol\":\"LTCBTC\",\"orderId\":47527179,\"clientOrderId\":\"dY67P33S4IxPnJGx5EtuSf\",\"transactTime\":1527290557607,\"price\":\"0.01000000\",\"origQty\":\"0.10000000\",\"executedQty\":\"0.00000000\",\"status\":\"EXPIRED\",\"timeInForce\":\"FOK\",\"type\":\"LIMIT\",\"side\":\"BUY\"}",
+      "headers": {
+        "Content-Type": "application/json",
+        "Transfer-Encoding": "chunked",
+        "Connection": "keep-alive",
+        "Date": "Fri, 25 May 2018 23:22:37 GMT",
+        "Server": "nginx",
+        "Vary": "Accept-Encoding",
+        "Strict-Transport-Security": "max-age=31536000; includeSubdomains",
+        "X-Frame-Options": "SAMEORIGIN",
+        "X-Xss-Protection": "1; mode=block",
+        "X-Content-Type-Options": "nosniff",
+        "Content-Security-Policy": "default-src 'self'",
+        "X-Content-Security-Policy": "default-src 'self'",
+        "X-WebKit-CSP": "default-src 'self'",
+        "Cache-Control": "no-cache, no-store, must-revalidate",
+        "Pragma": "no-cache",
+        "Expires": "0",
+        "X-Cache": "Miss from cloudfront",
+        "Via": "1.1 aa42484f82c16d99015c599631def20c.cloudfront.net (CloudFront)",
+        "X-Amz-Cf-Id": "EUJfEb7dmPCXVDExHIg_zyXCioBbrAvTnUO7W7oM0iXLb5u9RLfC4Q=="
+      },
+      "status_code": 200,
+      "type": "ok"
+    }
+  }
+]

fixture/vcr_cassettes/order_limit_buy_immediate_or_cancel_success.json

@@ -0,0 +1,41 @@
+[
+  {
+    "request": {
+      "body": "price=0.01&quantity=0.1&recvWindow=1000&side=BUY&symbol=LTCBTC&timeInForce=IOC&timestamp=1527291300666&type=LIMIT&signature=***",
+      "headers": {
+        "X-MBX-APIKEY": "***"
+      },
+      "method": "post",
+      "options": [],
+      "request_body": "",
+      "url": "https://api.binance.com/api/v3/order"
+    },
+    "response": {
+      "binary": false,
+      "body": "{\"symbol\":\"LTCBTC\",\"orderId\":47528830,\"clientOrderId\":\"zyMyhtRENlvFHrl4CitDe0\",\"transactTime\":1527291300912,\"price\":\"0.01000000\",\"origQty\":\"0.10000000\",\"executedQty\":\"0.00000000\",\"status\":\"EXPIRED\",\"timeInForce\":\"IOC\",\"type\":\"LIMIT\",\"side\":\"BUY\"}",
+      "headers": {
+        "Content-Type": "application/json",
+        "Transfer-Encoding": "chunked",
+        "Connection": "keep-alive",
+        "Date": "Fri, 25 May 2018 23:35:00 GMT",
+        "Server": "nginx",
+        "Vary": "Accept-Encoding",
+        "Strict-Transport-Security": "max-age=31536000; includeSubdomains",
+        "X-Frame-Options": "SAMEORIGIN",
+        "X-Xss-Protection": "1; mode=block",
+        "X-Content-Type-Options": "nosniff",
+        "Content-Security-Policy": "default-src 'self'",
+        "X-Content-Security-Policy": "default-src 'self'",
+        "X-WebKit-CSP": "default-src 'self'",
+        "Cache-Control": "no-cache, no-store, must-revalidate",
+        "Pragma": "no-cache",
+        "Expires": "0",
+        "X-Cache": "Miss from cloudfront",
+        "Via": "1.1 fb1574d5a6ba2d77d2a656aba08aa3c3.cloudfront.net (CloudFront)",
+        "X-Amz-Cf-Id": "7FpRejCpXjYssWLkFBBSqvrIlcQQUmXaFGh4q1eFUpiWvRc91Ipo2g=="
+      },
+      "status_code": 200,
+      "type": "ok"
+    }
+  }
+]

fixture/vcr_cassettes/order_limit_sell_fill_or_kill_success.json

@@ -0,0 +1,41 @@
+[
+  {
+    "request": {
+      "body": "price=50000&quantity=0.001&recvWindow=1000&side=SELL&symbol=BTCUSDT&timeInForce=FOK&timestamp=1527290985049&type=LIMIT&signature=***",
+      "headers": {
+        "X-MBX-APIKEY": "***"
+      },
+      "method": "post",
+      "options": [],
+      "request_body": "",
+      "url": "https://api.binance.com/api/v3/order"
+    },
+    "response": {
+      "binary": false,
+      "body": "{\"symbol\":\"BTCUSDT\",\"orderId\":108277184,\"clientOrderId\":\"lKYECwEPSTPzurwx6emuN2\",\"transactTime\":1527290985305,\"price\":\"50000.00000000\",\"origQty\":\"0.00100000\",\"executedQty\":\"0.00000000\",\"status\":\"EXPIRED\",\"timeInForce\":\"FOK\",\"type\":\"LIMIT\",\"side\":\"SELL\"}",
+      "headers": {
+        "Content-Type": "application/json",
+        "Transfer-Encoding": "chunked",
+        "Connection": "keep-alive",
+        "Date": "Fri, 25 May 2018 23:29:45 GMT",
+        "Server": "nginx",
+        "Vary": "Accept-Encoding",
+        "Strict-Transport-Security": "max-age=31536000; includeSubdomains",
+        "X-Frame-Options": "SAMEORIGIN",
+        "X-Xss-Protection": "1; mode=block",
+        "X-Content-Type-Options": "nosniff",
+        "Content-Security-Policy": "default-src 'self'",
+        "X-Content-Security-Policy": "default-src 'self'",
+        "X-WebKit-CSP": "default-src 'self'",
+        "Cache-Control": "no-cache, no-store, must-revalidate",
+        "Pragma": "no-cache",
+        "Expires": "0",
+        "X-Cache": "Miss from cloudfront",
+        "Via": "1.1 68807936c056006818525c5da31d108e.cloudfront.net (CloudFront)",
+        "X-Amz-Cf-Id": "w3qEO4sfOGkq_SUsElVerpJPvffAYa-rxZGUfgpZhsoAXlQBqzJwTg=="
+      },
+      "status_code": 200,
+      "type": "ok"
+    }
+  }
+]

fixture/vcr_cassettes/order_limit_sell_immediate_or_cancel_success.json

@@ -0,0 +1,41 @@
+[
+  {
+    "request": {
+      "body": "price=50000&quantity=0.001&recvWindow=1000&side=SELL&symbol=BTCUSDT&timeInForce=IOC&timestamp=1527291410866&type=LIMIT&signature=***",
+      "headers": {
+        "X-MBX-APIKEY": "***"
+      },
+      "method": "post",
+      "options": [],
+      "request_body": "",
+      "url": "https://api.binance.com/api/v3/order"
+    },
+    "response": {
+      "binary": false,
+      "body": "{\"symbol\":\"BTCUSDT\",\"orderId\":108279070,\"clientOrderId\":\"roSkLhwX9KCgYqr4yFPx1V\",\"transactTime\":1527291411088,\"price\":\"50000.00000000\",\"origQty\":\"0.00100000\",\"executedQty\":\"0.00000000\",\"status\":\"EXPIRED\",\"timeInForce\":\"IOC\",\"type\":\"LIMIT\",\"side\":\"SELL\"}",
+      "headers": {
+        "Content-Type": "application/json",
+        "Transfer-Encoding": "chunked",
+        "Connection": "keep-alive",
+        "Date": "Fri, 25 May 2018 23:36:51 GMT",
+        "Server": "nginx",
+        "Vary": "Accept-Encoding",
+        "Strict-Transport-Security": "max-age=31536000; includeSubdomains",
+        "X-Frame-Options": "SAMEORIGIN",
+        "X-Xss-Protection": "1; mode=block",
+        "X-Content-Type-Options": "nosniff",
+        "Content-Security-Policy": "default-src 'self'",
+        "X-Content-Security-Policy": "default-src 'self'",
+        "X-WebKit-CSP": "default-src 'self'",
+        "Cache-Control": "no-cache, no-store, must-revalidate",
+        "Pragma": "no-cache",
+        "Expires": "0",
+        "X-Cache": "Miss from cloudfront",
+        "Via": "1.1 51f2e50a0d2a5ee1d9c830bf417b2713.cloudfront.net (CloudFront)",
+        "X-Amz-Cf-Id": "BX8-X-VXYRrjfwPJ8H-Gx4sgVhcoBDZ7WlOiWn-u0SWuW2h0e5Rhpw=="
+      },
+      "status_code": 200,
+      "type": "ok"
+    }
+  }
+]

lib/binance.ex

@@ -311,22 +311,29 @@ defmodule Binance do
 
   Returns `{:ok, %{}}` or `{:error, reason}`
   """
-  def order_limit_buy(%Binance.TradePair{from: from, to: to} = symbol, quantity, price)
+  def order_limit_buy(symbol, quantity, price, time_in_force \\ "GTC")
+
+  def order_limit_buy(
+        %Binance.TradePair{from: from, to: to} = symbol,
+        quantity,
+        price,
+        time_in_force
+      )
       when is_number(quantity)
       when is_number(price)
       when is_binary(from)
       when is_binary(to) do
     case find_symbol(symbol) do
-      {:ok, binance_symbol} -> order_limit_buy(binance_symbol, quantity, price)
+      {:ok, binance_symbol} -> order_limit_buy(binance_symbol, quantity, price, time_in_force)
       e -> e
     end
   end
 
-  def order_limit_buy(symbol, quantity, price)
+  def order_limit_buy(symbol, quantity, price, time_in_force)
       when is_binary(symbol)
       when is_number(quantity)
       when is_number(price) do
-    create_order(symbol, "BUY", "LIMIT", quantity, price, "GTC")
+    create_order(symbol, "BUY", "LIMIT", quantity, price, time_in_force)
     |> parse_order_response
   end
 
@@ -337,22 +344,29 @@ defmodule Binance do
 
   Returns `{:ok, %{}}` or `{:error, reason}`
   """
-  def order_limit_sell(%Binance.TradePair{from: from, to: to} = symbol, quantity, price)
+  def order_limit_sell(symbol, quantity, price, time_in_force \\ "GTC")
+
+  def order_limit_sell(
+        %Binance.TradePair{from: from, to: to} = symbol,
+        quantity,
+        price,
+        time_in_force
+      )
       when is_number(quantity)
       when is_number(price)
       when is_binary(from)
       when is_binary(to) do
     case find_symbol(symbol) do
-      {:ok, binance_symbol} -> order_limit_sell(binance_symbol, quantity, price)
+      {:ok, binance_symbol} -> order_limit_sell(binance_symbol, quantity, price, time_in_force)
       e -> e
     end
   end
 
-  def order_limit_sell(symbol, quantity, price)
+  def order_limit_sell(symbol, quantity, price, time_in_force)
       when is_binary(symbol)
       when is_number(quantity)
       when is_number(price) do
-    create_order(symbol, "SELL", "LIMIT", quantity, price, "GTC")
+    create_order(symbol, "SELL", "LIMIT", quantity, price, time_in_force)
     |> parse_order_response
   end
 

test/binance_test.exs

@@ -107,6 +107,44 @@ defmodule BinanceTest do
         assert response.type == "LIMIT"
       end
     end
+
+    test "can create an order with a fill or kill duration" do
+      use_cassette "order_limit_buy_fill_or_kill_success" do
+        assert {:ok, %Binance.OrderResponse{} = response} =
+                 Binance.order_limit_buy("LTCBTC", 0.1, 0.01, "FOK")
+
+        assert response.client_order_id == "dY67P33S4IxPnJGx5EtuSf"
+        assert response.executed_qty == "0.00000000"
+        assert response.order_id == 47_527_179
+        assert response.orig_qty == "0.10000000"
+        assert response.price == "0.01000000"
+        assert response.side == "BUY"
+        assert response.status == "EXPIRED"
+        assert response.symbol == "LTCBTC"
+        assert response.time_in_force == "FOK"
+        assert response.transact_time == 1_527_290_557_607
+        assert response.type == "LIMIT"
+      end
+    end
+
+    test "can create an order with am immediate or cancel duration" do
+      use_cassette "order_limit_buy_immediate_or_cancel_success" do
+        assert {:ok, %Binance.OrderResponse{} = response} =
+                 Binance.order_limit_buy("LTCBTC", 0.1, 0.01, "IOC")
+
+        assert response.client_order_id == "zyMyhtRENlvFHrl4CitDe0"
+        assert response.executed_qty == "0.00000000"
+        assert response.order_id == 47_528_830
+        assert response.orig_qty == "0.10000000"
+        assert response.price == "0.01000000"
+        assert response.side == "BUY"
+        assert response.status == "EXPIRED"
+        assert response.symbol == "LTCBTC"
+        assert response.time_in_force == "IOC"
+        assert response.transact_time == 1_527_291_300_912
+        assert response.type == "LIMIT"
+      end
+    end
   end
 
   describe ".order_limit_sell" do
@@ -128,5 +166,43 @@ defmodule BinanceTest do
         assert response.type == "LIMIT"
       end
     end
+
+    test "can create an order with a fill or kill duration" do
+      use_cassette "order_limit_sell_fill_or_kill_success" do
+        assert {:ok, %Binance.OrderResponse{} = response} =
+                 Binance.order_limit_sell("BTCUSDT", 0.001, 50_000, "FOK")
+
+        assert response.client_order_id == "lKYECwEPSTPzurwx6emuN2"
+        assert response.executed_qty == "0.00000000"
+        assert response.order_id == 108_277_184
+        assert response.orig_qty == "0.00100000"
+        assert response.price == "50000.00000000"
+        assert response.side == "SELL"
+        assert response.status == "EXPIRED"
+        assert response.symbol == "BTCUSDT"
+        assert response.time_in_force == "FOK"
+        assert response.transact_time == 1_527_290_985_305
+        assert response.type == "LIMIT"
+      end
+    end
+
+    test "can create an order with am immediate or cancel duration" do
+      use_cassette "order_limit_sell_immediate_or_cancel_success" do
+        assert {:ok, %Binance.OrderResponse{} = response} =
+                 Binance.order_limit_sell("BTCUSDT", 0.001, 50_000, "IOC")
+
+        assert response.client_order_id == "roSkLhwX9KCgYqr4yFPx1V"
+        assert response.executed_qty == "0.00000000"
+        assert response.order_id == 108_279_070
+        assert response.orig_qty == "0.00100000"
+        assert response.price == "50000.00000000"
+        assert response.side == "SELL"
+        assert response.status == "EXPIRED"
+        assert response.symbol == "BTCUSDT"
+        assert response.time_in_force == "IOC"
+        assert response.transact_time == 1_527_291_411_088
+        assert response.type == "LIMIT"
+      end
+    end
   end
 end