360 lines
9.3 KiB
Go
360 lines
9.3 KiB
Go
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package okex
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import (
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"crypto/hmac"
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"crypto/sha256"
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"encoding/base64"
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"errors"
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"fmt"
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"github.com/bitly/go-simplejson"
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"strconv"
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"time"
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"git.qtrade.icu/coin-quant/exchange/ws"
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. "git.qtrade.icu/coin-quant/trademodel"
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"github.com/mitchellh/mapstructure"
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log "github.com/sirupsen/logrus"
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)
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func (b *OkxTrader) runPrivate() (err error) {
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b.wsUser, err = ws.NewWSConn(WSOkexPrivate, func(ws *ws.WSConn) error {
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login := OPParam{
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OP: "login",
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Args: []interface{}{NewLoginArg(b.cfg.ApiKey, b.cfg.Passphrase, b.cfg.SecretKey)},
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}
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return ws.WriteMsg(login)
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}, b.parseUserMsg)
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return
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}
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type LoginArg struct {
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ApiKey string `json:"apiKey"`
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Passphrase string `json:"passphrase"`
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Timestamp int64 `json:"timestamp"`
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Sign string `json:"sign"`
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}
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func NewLoginArg(apiKey, pass, secret string) *LoginArg {
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a := new(LoginArg)
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a.ApiKey = apiKey
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a.Passphrase = pass
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t := time.Now()
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a.Timestamp = t.Unix()
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src := fmt.Sprintf("%dGET/users/self/verify", a.Timestamp)
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h := hmac.New(sha256.New, []byte(secret))
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h.Write([]byte(src))
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ret := h.Sum(nil)
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n := base64.StdEncoding.EncodedLen(len(ret))
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dst := make([]byte, n)
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base64.StdEncoding.Encode(dst, ret)
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a.Sign = string(dst)
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return a
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}
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type OPArg struct {
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Channel string `json:"channel"`
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InstType string `json:"instType"`
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Uly string `json:"uly,omitempty"`
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InstID string `json:"instId,omitempty"`
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}
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type OPParam struct {
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OP string `json:"op"`
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Args []interface{} `json:"args"`
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}
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func (b *OkxTrader) getSymbolSub() (p OPParam) {
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p.OP = "subscribe"
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p.Args = append(p.Args, OPArg{Channel: "orders", InstType: "ANY"})
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p.Args = append(p.Args, OPArg{Channel: "orders-algo", InstType: "ANY"})
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p.Args = append(p.Args, OPArg{Channel: "algo-advance", InstType: "ANY"})
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p.Args = append(p.Args, OPArg{Channel: "positions", InstType: "ANY"})
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return
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}
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// {"arg":{"channel":"trades","instId":"BSV-USD-210924"},"data":[{"instId":"BSV-USD-210924","tradeId":"1957771","px":"166.5","sz":"22","side":"sell","ts":"1621862533713"}]}
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// {"arg":{"channel":"books","instId":"BSV-USD-210924"},"action":"update","data":[{"asks":[["167.4","54","0","1"]],"bids":[["164.81","0","0","0"],["164.69","79","0","1"]],"ts":"1621862579059","checksum":71082836}]}
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// books5 {"arg":{"channel":"books5","instId":"BSV-USD-210924"},"data":[{"asks":[["166.35","20","0","1"],["166.4","135","0","2"],["166.42","86","0","1"],["166.45","310","0","1"],["166.46","61","0","2"]],"bids":[["166.14","33","0","1"],["166.07","106","0","1"],["166.05","2","0","1"],["166.04","97","0","1"],["165.98","20","0","1"]],"instId":"BSV-USD-210924","ts":"1621862688397"}]}
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func (b *OkxTrader) parseUserMsg(message []byte) (err error) {
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var sj *simplejson.Json
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var evt string
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var channel string
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sj, err = simplejson.NewJson(message)
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if err != nil {
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log.Warnf("parse json error:%s", string(message))
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return
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}
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evtValue, ok := sj.CheckGet("event")
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if ok {
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evt, err = evtValue.String()
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if err != nil {
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log.Warnf("login error:%s %s", string(message), err.Error())
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return
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}
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switch evt {
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case "error":
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log.Errorf("recv error: %s", string(message))
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return
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case "login":
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var code string
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code, err = sj.Get("code").String()
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if code != "0" {
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log.Warnf("login error:%s %s", string(message), err.Error())
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return
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}
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param := b.getSymbolSub()
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err = b.wsUser.WriteMsg(param)
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if err != nil {
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return
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}
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default:
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}
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return
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}
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arg, ok := sj.CheckGet("arg")
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if !ok {
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return
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}
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channelValue, ok := arg.CheckGet("channel")
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if !ok {
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return
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}
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channel, err = channelValue.String()
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if err != nil {
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log.Warnf("channelValue %v is not string error:%s", channelValue, err.Error())
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return
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}
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switch channel {
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case "orders":
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var orders []OrderNormal
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orders, err = parseOkexOrder(sj.Get("data"))
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if err != nil {
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log.Warnf("parseOkexOrder error:%s, %s", orders, err.Error())
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return
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}
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for _, v := range orders {
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o := v.GetOrder()
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if o == nil {
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continue
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}
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o.Status = OrderStatusFilled
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b.ordersCache.Delete(v.OrdID)
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b.stopOrdersCache.Delete(v.OrdID)
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if b.tradeCb != nil {
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b.tradeCb(o)
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}
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}
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case "orders-algo":
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// 算法单最终还是会生成一个普通单子
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var algoOrders []AlgoOrder
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algoOrders, err = parseOkexAlgoOrder(sj.Get("data"))
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if err != nil {
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log.Warnf("parseOkexAlgoOrder error:%s, %s", algoOrders, err.Error())
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return
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}
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for _, v := range algoOrders {
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if v.State == "filled" {
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b.stopOrdersCache.Delete(v.AlgoID)
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}
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}
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case "algo-advance":
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case "positions":
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var pos []OKEXPos
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pos, err = parseOkexPos(sj.Get("data"))
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if err != nil {
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log.Warnf("parseOkexPos error:%s, %s", pos, err.Error())
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return
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}
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for _, v := range pos {
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t := v.GetPos()
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if t == nil {
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continue
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}
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if b.positionCb != nil {
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b.positionCb(t)
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}
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}
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default:
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}
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return
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}
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func (o *OrderNormal) GetOrder() (ret *Order) {
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if o.State != "filled" {
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return
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}
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var side = transSide(o.Side)
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ret = &Order{
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OrderID: o.OrdID,
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Symbol: o.InstID,
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// Currency:o.
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Amount: parseFloat(o.Sz),
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Price: parseFloat(o.AvgPx),
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Status: o.State,
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Side: side,
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Time: parseTime(o.FillTime),
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}
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return
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}
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func transSide(oSide string) (side string) {
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switch oSide {
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case "buy":
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side = "long"
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case "sell":
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side = "short"
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default:
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side = oSide
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}
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return
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}
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func parseTime(v string) time.Time {
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n, err := strconv.ParseInt(v, 10, 64)
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if err != nil {
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log.Errorf("parseTime failed: %s", err.Error())
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return time.Now()
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}
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return time.Unix(n/1000, (n%1000)*int64(time.Millisecond))
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}
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// {"accFillSz":"0","amendResult":"","avgPx":"0","cTime":"1639669567849","category":"normal","ccy":"","clOrdId":"","code":"0","execType":"","fee":"0","feeCcy":"USDT","fillFee":"0","fillFeeCcy":"","fillNotionalUsd":"","fillPx":"","fillSz":"0","fillTime":"","instId":"SOL-USDT-SWAP","instType":"SWAP","lever":"10","msg":"","notionalUsd":"185.666","ordId":"391737792421838866","ordType":"limit","pnl":"0","posSide":"short","px":"200","rebate":"0","rebateCcy":"USDT","reduceOnly":"false","reqId":"","side":"sell","slOrdPx":"","slTriggerPx":"","slTriggerPxType":"last","source":"","state":"live","sz":"1","tag":"","tdMode":"isolated","tgtCcy":"","tpOrdPx":"","tpTriggerPx":"","tpTriggerPxType":"last","tradeId":"","uTime":"1639669567849"}
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func parseOkexOrder(sj *simplejson.Json) (orders []OrderNormal, err error) {
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arr, err := sj.Array()
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if err != nil {
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return
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}
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var ret map[string]interface{}
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var ok bool
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for _, v := range arr {
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ret, ok = v.(map[string]interface{})
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if !ok {
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err = errors.New("parseOrderBook error")
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return
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}
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var o OrderNormal
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err = mapstructure.Decode(ret, &o)
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if err != nil {
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return
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}
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orders = append(orders, o)
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}
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return
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}
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func parseOkexPos(sj *simplejson.Json) (trades []OKEXPos, err error) {
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arr, err := sj.Array()
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if err != nil {
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return
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}
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var ret map[string]interface{}
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var ok bool
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for _, v := range arr {
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ret, ok = v.(map[string]interface{})
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if !ok {
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err = errors.New("parseOkexTrades error")
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return
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}
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var t OKEXPos
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err = mapstructure.Decode(ret, &t)
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if err != nil {
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return
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}
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trades = append(trades, t)
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}
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return
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}
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type OKEXPos struct {
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Adl string `json:"adl"`
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AvailPos string `json:"availPos"`
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AvgPx string `json:"avgPx"`
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CTime string `json:"cTime"`
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Ccy string `json:"ccy"`
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DeltaBS string `json:"deltaBS"`
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DeltaPA string `json:"deltaPA"`
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GammaBS string `json:"gammaBS"`
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GammaPA string `json:"gammaPA"`
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Imr string `json:"imr"`
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InstID string `json:"instId"`
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InstType string `json:"instType"`
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Interest string `json:"interest"`
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Last string `json:"last"`
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Lever string `json:"lever"`
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Liab string `json:"liab"`
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LiabCcy string `json:"liabCcy"`
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LiqPx string `json:"liqPx"`
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MarkPx string `json:"markPx"`
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Margin string `json:"margin"`
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MgnMode string `json:"mgnMode"`
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MgnRatio string `json:"mgnRatio"`
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Mmr string `json:"mmr"`
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NotionalUsd string `json:"notionalUsd"`
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OptVal string `json:"optVal"`
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PTime string `json:"pTime"`
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Pos string `json:"pos"`
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PosCcy string `json:"posCcy"`
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PosID string `json:"posId"`
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PosSide string `json:"posSide"`
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ThetaBS string `json:"thetaBS"`
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ThetaPA string `json:"thetaPA"`
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TradeID string `json:"tradeId"`
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UTime string `json:"uTime"`
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Upl string `json:"upl"`
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UplRatio string `json:"uplRatio"`
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VegaBS string `json:"vegaBS"`
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VegaPA string `json:"vegaPA"`
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}
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func (ot *OKEXPos) GetPos() (pos *Position) {
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var typ int
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hold := parseFloat(ot.Pos)
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if ot.PosSide == "long" {
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typ = Long
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} else if ot.PosSide == "short" {
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typ = Short
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hold = 0 - hold
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} else if ot.PosSide == "net" {
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if hold > 0 {
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typ = Long
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} else {
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typ = Short
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}
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}
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price := parseFloat(ot.AvgPx)
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pos = &Position{
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Symbol: ot.InstID,
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Type: typ,
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Hold: hold,
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Price: price,
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ProfitRatio: parseFloat(ot.Upl),
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}
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return
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}
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func parseOkexAlgoOrder(sj *simplejson.Json) (orders []AlgoOrder, err error) {
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arr, err := sj.Array()
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if err != nil {
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return
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}
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var ret map[string]interface{}
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var ok bool
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for _, v := range arr {
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ret, ok = v.(map[string]interface{})
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if !ok {
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err = errors.New("parseOrderBook error")
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return
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}
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var o AlgoOrder
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err = mapstructure.Decode(ret, &o)
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if err != nil {
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return
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}
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orders = append(orders, o)
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}
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return
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}
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