bbgo_origin/pkg/exchange/okex/convert.go

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package okex
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import (
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"fmt"
"strconv"
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"strings"
"github.com/c9s/bbgo/pkg/exchange/okex/okexapi"
"github.com/c9s/bbgo/pkg/types"
"github.com/pkg/errors"
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)
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func toGlobalSymbol(symbol string) string {
return strings.ReplaceAll(symbol, "-", "")
}
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////go:generate sh -c "echo \"package okex\nvar spotSymbolMap = map[string]string{\n\" $(curl -s -L 'https://okex.com/api/v5/public/instruments?instType=SPOT' | jq -r '.data[] | \"\\(.instId | sub(\"-\" ; \"\") | tojson ): \\( .instId | tojson),\n\"') \"\n}\" > symbols.go"
//go:generate go run gensymbols.go
func toLocalSymbol(symbol string) string {
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if s, ok := spotSymbolMap[symbol]; ok {
return s
}
log.Errorf("failed to look up local symbol from %s", symbol)
return symbol
}
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func toGlobalTicker(marketTicker okexapi.MarketTicker) *types.Ticker {
return &types.Ticker{
Time: marketTicker.Timestamp.Time(),
Volume: marketTicker.Volume24H.Float64(),
Last: marketTicker.Last.Float64(),
Open: marketTicker.Open24H.Float64(),
High: marketTicker.High24H.Float64(),
Low: marketTicker.Low24H.Float64(),
Buy: marketTicker.BidPrice.Float64(),
Sell: marketTicker.AskPrice.Float64(),
}
}
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func toGlobalBalance(account *okexapi.Account) types.BalanceMap {
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var balanceMap = types.BalanceMap{}
for _, balanceDetail := range account.Details {
balanceMap[balanceDetail.Currency] = types.Balance{
Currency: balanceDetail.Currency,
Available: balanceDetail.CashBalance,
Locked: balanceDetail.Frozen,
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}
}
return balanceMap
}
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type WebsocketSubscription struct {
Channel string `json:"channel"`
InstrumentID string `json:"instId,omitempty"`
InstrumentType string `json:"instType,omitempty"`
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}
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var CandleChannels = []string{
"candle1Y",
"candle6M", "candle3M", "candle1M",
"candle1W",
"candle1D", "candle2D", "candle3D", "candle5D",
"candle12H", "candle6H", "candle4H", "candle2H", "candle1H",
"candle30m", "candle15m", "candle5m", "candle3m", "candle1m",
}
func convertIntervalToCandle(interval string) string {
switch interval {
case "1h", "2h", "4h", "6h", "12h", "1d", "3d":
return "candle" + strings.ToUpper(interval)
case "1m", "5m", "15m", "30m":
return "candle" + interval
}
return "candle" + interval
}
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func convertSubscription(s types.Subscription) (WebsocketSubscription, error) {
// binance uses lower case symbol name,
// for kline, it's "<symbol>@kline_<interval>"
// for depth, it's "<symbol>@depth OR <symbol>@depth@100ms"
switch s.Channel {
case types.KLineChannel:
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// Channel names are:
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return WebsocketSubscription{
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Channel: convertIntervalToCandle(s.Options.Interval),
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InstrumentID: toLocalSymbol(s.Symbol),
}, nil
case types.BookChannel:
return WebsocketSubscription{
Channel: "books",
InstrumentID: toLocalSymbol(s.Symbol),
}, nil
case types.BookTickerChannel:
return WebsocketSubscription{
Channel: "books5",
InstrumentID: toLocalSymbol(s.Symbol),
}, nil
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}
return WebsocketSubscription{}, fmt.Errorf("unsupported public stream channel %s", s.Channel)
}
func toLocalSideType(side types.SideType) okexapi.SideType {
return okexapi.SideType(strings.ToLower(string(side)))
}
func segmentOrderDetails(orderDetails []okexapi.OrderDetails) (trades, orders []okexapi.OrderDetails) {
for _, orderDetail := range orderDetails {
if len(orderDetail.LastTradeID) > 0 {
trades = append(trades, orderDetail)
}
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orders = append(orders, orderDetail)
}
return trades, orders
}
func toGlobalTrades(orderDetails []okexapi.OrderDetails) ([]types.Trade, error) {
var trades []types.Trade
for _, orderDetail := range orderDetails {
tradeID, err := strconv.ParseInt(orderDetail.LastTradeID, 10, 64)
if err != nil {
return trades, errors.Wrapf(err, "error parsing tradeId value: %s", orderDetail.LastTradeID)
}
orderID, err := strconv.ParseInt(orderDetail.OrderID, 10, 64)
if err != nil {
return trades, errors.Wrapf(err, "error parsing ordId value: %s", orderDetail.OrderID)
}
side := types.SideType(strings.ToUpper(string(orderDetail.Side)))
trades = append(trades, types.Trade{
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ID: uint64(tradeID),
OrderID: uint64(orderID),
Exchange: types.ExchangeOKEx,
Price: orderDetail.LastFilledPrice.Float64(),
Quantity: orderDetail.LastFilledQuantity.Float64(),
QuoteQuantity: orderDetail.LastFilledPrice.Float64() * orderDetail.LastFilledQuantity.Float64(),
Symbol: toGlobalSymbol(orderDetail.InstrumentID),
Side: side,
IsBuyer: side == types.SideTypeBuy,
IsMaker: orderDetail.ExecutionType == "M",
Time: types.Time(orderDetail.LastFilledTime),
Fee: orderDetail.LastFilledFee.Float64(),
FeeCurrency: orderDetail.LastFilledFeeCurrency,
IsMargin: false,
IsIsolated: false,
})
}
return trades, nil
}
func toGlobalOrders(orderDetails []okexapi.OrderDetails) ([]types.Order, error) {
var orders []types.Order
for _, orderDetail := range orderDetails {
orderID, err := strconv.ParseInt(orderDetail.OrderID, 10, 64)
if err != nil {
return orders, err
}
side := types.SideType(strings.ToUpper(string(orderDetail.Side)))
orderType, err := toGlobalOrderType(orderDetail.OrderType)
if err != nil {
return orders, err
}
timeInForce := "GTC"
switch orderDetail.OrderType {
case okexapi.OrderTypeFOK:
timeInForce = "FOK"
case okexapi.OrderTypeIOC:
timeInForce = "IOC"
}
orderStatus, err := toGlobalOrderStatus(orderDetail.State)
if err != nil {
return orders, err
}
isWorking := false
switch orderStatus {
case types.OrderStatusNew, types.OrderStatusPartiallyFilled:
isWorking = true
}
orders = append(orders, types.Order{
SubmitOrder: types.SubmitOrder{
ClientOrderID: orderDetail.ClientOrderID,
Symbol: toGlobalSymbol(orderDetail.InstrumentID),
Side: side,
Type: orderType,
Price: orderDetail.Price.Float64(),
Quantity: orderDetail.Quantity.Float64(),
StopPrice: 0, // not supported yet
TimeInForce: timeInForce,
},
Exchange: types.ExchangeOKEx,
OrderID: uint64(orderID),
Status: orderStatus,
ExecutedQuantity: orderDetail.FilledQuantity.Float64(),
IsWorking: isWorking,
CreationTime: types.Time(orderDetail.CreationTime),
UpdateTime: types.Time(orderDetail.UpdateTime),
IsMargin: false,
IsIsolated: false,
})
}
return orders, nil
}
func toGlobalOrderStatus(state okexapi.OrderState) (types.OrderStatus, error) {
switch state {
case okexapi.OrderStateCanceled:
return types.OrderStatusCanceled, nil
case okexapi.OrderStateLive:
return types.OrderStatusNew, nil
case okexapi.OrderStatePartiallyFilled:
return types.OrderStatusPartiallyFilled, nil
case okexapi.OrderStateFilled:
return types.OrderStatusFilled, nil
}
return "", fmt.Errorf("unknown or unsupported okex order state: %s", state)
}
func toLocalOrderType(orderType types.OrderType) (okexapi.OrderType, error) {
switch orderType {
case types.OrderTypeMarket:
return okexapi.OrderTypeMarket, nil
case types.OrderTypeLimit:
return okexapi.OrderTypeLimit, nil
case types.OrderTypeLimitMaker:
return okexapi.OrderTypePostOnly, nil
}
return "", fmt.Errorf("unknown or unsupported okex order type: %s", orderType)
}
func toGlobalOrderType(orderType okexapi.OrderType) (types.OrderType, error) {
switch orderType {
case okexapi.OrderTypeMarket:
return types.OrderTypeMarket, nil
case okexapi.OrderTypeLimit:
return types.OrderTypeLimit, nil
case okexapi.OrderTypePostOnly:
return types.OrderTypeLimitMaker, nil
case okexapi.OrderTypeFOK:
case okexapi.OrderTypeIOC:
}
return "", fmt.Errorf("unknown or unsupported okex order type: %s", orderType)
}