Binance spot OCO orders via CCXT implicit API

binance_spot_oco_order_using_ccxt.ts

import { Exchange, Order } from 'ccxt';

/**
 * Create a spot OCO order using CCXT implicit API for Binance.
 *
 * An OCO order (one-cancels-the-other) contains a take profit and a stop loss
 * order for the same amount.
 *
 * @link https://developers.binance.com/docs/binance-spot-api-docs/rest-api/trading-endpoints#new-order-list---oco-trade
 *
 * @param {Exchange} exchange - The exchange object
 * @param {string} symbol - The symbol of the market
 * @param {'buy' | 'sell'} side - The side of the order
 * @param {number} amount - The amount of the order
 * @param {number} takeProfitTriggerPrice - The trigger price of the take profit order
 * @param {number} stopLossTriggerPrice - The trigger price of the stop loss order
 * @param {number} [takeProfitLimitPrice] - The limit price of the take profit order
 * @param {number} [stopLossLimitPrice] - The limit price of the stop loss order
 * @returns {[Order, Order]} - The two orders created
 */
export async function createBinanceOcoOrder(
    exchange: Exchange,
    symbol: string,
    side: 'buy' | 'sell',
    amount: number,
    takeProfitTriggerPrice: number,
    stopLossTriggerPrice: number,
    takeProfitLimitPrice?: number,
    stopLossLimitPrice?: number,
): Promise<[Order, Order]> {
    // Fetch market object
    const markets = await exchange.loadMarkets();
    const market = markets[symbol];
    if (!market) {
        throw new Error(`Market ${symbol} not found`);
    }

    // Determine parameters to send Binance
    const args: any = {
        symbol: market.id,
        side: side.toUpperCase(),
        quantity: exchange.amountToPrecision(symbol, amount),
    };

    if (side === 'sell') {
        // Above order is a take profit order
        args.aboveType = takeProfitLimitPrice ? 'TAKE_PROFIT_LIMIT' : 'TAKE_PROFIT';
        args.aboveStopPrice = exchange.priceToPrecision(symbol, takeProfitTriggerPrice);
        if (takeProfitLimitPrice) {
            args.abovePrice = exchange.priceToPrecision(symbol, takeProfitLimitPrice);
            args.aboveTimeInForce = 'GTC';
        }
        // Below order is a stop loss order
        args.belowType = stopLossLimitPrice ? 'STOP_LOSS_LIMIT' : 'STOP_LOSS';
        args.belowStopPrice = exchange.priceToPrecision(symbol, stopLossTriggerPrice);
        if (stopLossLimitPrice) {
            args.belowPrice = exchange.priceToPrecision(symbol, stopLossLimitPrice);
            args.belowTimeInForce = 'GTC';
        }
    } else {
        // Above order is a stop loss order
        args.aboveType = stopLossLimitPrice ? 'STOP_LOSS_LIMIT' : 'STOP_LOSS';
        args.aboveStopPrice = exchange.priceToPrecision(symbol, stopLossTriggerPrice);
        if (stopLossLimitPrice) {
            args.abovePrice = exchange.priceToPrecision(symbol, stopLossLimitPrice);
            args.aboveTimeInForce = 'GTC';
        }
        // Below order is a take profit order
        args.belowType = takeProfitLimitPrice ? 'TAKE_PROFIT_LIMIT' : 'TAKE_PROFIT';
        args.belowStopPrice = exchange.priceToPrecision(symbol, takeProfitTriggerPrice);
        if (takeProfitLimitPrice) {
            args.belowPrice = exchange.priceToPrecision(symbol, takeProfitLimitPrice);
            args.belowTimeInForce = 'GTC';
        }
    }
    // Send the request to Binance
    const response = await (exchange as any).privatePostOrderListOco(args);

    // Parse the response into two orders
    try {
        const binanceOrders = response.orderReports;
        return binanceOrders.map((o: any) => exchange.parseOrder(o));
    } catch (error) {
        console.error(error);
        throw new Error(`createBinanceOcoOrder: Could not parse orders from Binance response.  Response: ${response}`);
    }
}