112 lines
2.3 KiB
Go
112 lines
2.3 KiB
Go
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package exchange
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import (
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"errors"
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"sort"
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"time"
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. "git.qtrade.icu/coin-quant/trademodel"
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"github.com/sirupsen/logrus"
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)
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const (
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WatchTypeCandle = "candle"
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WatchTypeDepth = "depth"
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WatchTypeTradeMarket = "trade_market"
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WatchTypeTrade = "trade"
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WatchTypePosition = "position"
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WatchTypeBalance = "balance"
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)
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var (
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ErrRetry = errors.New("need retry")
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)
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type WatchParam struct {
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Type string
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Param map[string]string
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}
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func WatchCandle(symbol, binSize string) WatchParam {
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return WatchParam{
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Type: WatchTypeCandle,
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Param: map[string]string{"symbol": symbol, "bin": binSize},
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}
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}
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type WatchFn func(interface{})
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type FetchLimit struct {
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Duration string
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Limit int
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}
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// ExchangeInfo exchange info
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type ExchangeInfo struct {
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Name string
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Value string
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Desc string
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KLineLimit FetchLimit
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OrderLimit FetchLimit
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}
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type Exchange interface {
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Info() ExchangeInfo
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Symbols() ([]Symbol, error)
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Start() error
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Stop() error
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// Watch exchange event, call multiple times for different event
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Watch(WatchParam, WatchFn) error
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// Kline get klines
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GetKline(symbol, bSize string, start, end time.Time) (data []*Candle, err error)
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// for trade
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ProcessOrder(act TradeAction) (ret *Order, err error)
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CancelAllOrders() (orders []*Order, err error)
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CancelOrder(old *Order) (orders *Order, err error)
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}
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func KlineChan(e Exchange, symbol, bSize string, start, end time.Time) (dataCh chan *Candle, errCh chan error) {
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dataCh = make(chan *Candle, 1024*10)
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errCh = make(chan error, 1)
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go func() {
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defer func() {
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close(dataCh)
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close(errCh)
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}()
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tStart := start
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tEnd := end
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var nPrevStart int64
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for {
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klines, err := e.GetKline(symbol, bSize, tStart, tEnd)
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if err != nil {
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if errors.Is(err, ErrRetry) {
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time.Sleep(time.Second * 5)
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continue
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}
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errCh <- err
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return
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}
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sort.Slice(klines, func(i, j int) bool {
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return klines[i].Start < klines[j].Start
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})
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for _, v := range klines {
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if v.Start <= nPrevStart {
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continue
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}
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dataCh <- v
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tStart = v.Time()
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}
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if tStart.Sub(tEnd) >= 0 || tStart.Unix() <= nPrevStart || len(klines) == 0 {
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logrus.Info("KlineChan finished: [%s]-[%s], last datatime: %s", start, end, tStart)
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break
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}
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nPrevStart = tStart.Unix()
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}
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}()
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return
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}
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