bbgo_origin/pkg/exchange/max/maxapi/userdata.go

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package max
import (
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"strings"
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"github.com/pkg/errors"
"github.com/valyala/fastjson"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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type BaseEvent struct {
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Event string `json:"e"`
Timestamp int64 `json:"T"`
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}
type OrderUpdate struct {
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Event string `json:"e"`
ID uint64 `json:"i"`
Side string `json:"sd"`
OrderType OrderType `json:"ot"`
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Price string `json:"p"`
StopPrice string `json:"sp"`
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Volume string `json:"v"`
AveragePrice string `json:"ap"`
State OrderState `json:"S"`
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Market string `json:"M"`
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RemainingVolume string `json:"rv"`
ExecutedVolume string `json:"ev"`
TradesCount int64 `json:"tc"`
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GroupID uint32 `json:"gi"`
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ClientOID string `json:"ci"`
CreatedAtMs int64 `json:"T"`
}
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type OrderUpdateEvent struct {
BaseEvent
Orders []OrderUpdate `json:"o"`
}
func parserOrderUpdate(v *fastjson.Value) OrderUpdate {
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return OrderUpdate{
Event: string(v.GetStringBytes("e")),
ID: v.GetUint64("i"),
Side: string(v.GetStringBytes("sd")),
Market: string(v.GetStringBytes("M")),
OrderType: OrderType(v.GetStringBytes("ot")),
State: OrderState(v.GetStringBytes("S")),
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Price: string(v.GetStringBytes("p")),
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StopPrice: string(v.GetStringBytes("sp")),
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AveragePrice: string(v.GetStringBytes("ap")),
Volume: string(v.GetStringBytes("v")),
RemainingVolume: string(v.GetStringBytes("rv")),
ExecutedVolume: string(v.GetStringBytes("ev")),
TradesCount: v.GetInt64("tc"),
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GroupID: uint32(v.GetInt("gi")),
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ClientOID: string(v.GetStringBytes("ci")),
CreatedAtMs: v.GetInt64("T"),
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}
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}
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func parseOrderUpdateEvent(v *fastjson.Value) *OrderUpdateEvent {
var e OrderUpdateEvent
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e.Event = string(v.GetStringBytes("e"))
e.Timestamp = v.GetInt64("T")
for _, ov := range v.GetArray("o") {
o := parserOrderUpdate(ov)
e.Orders = append(e.Orders, o)
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}
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return &e
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}
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type OrderSnapshotEvent struct {
BaseEvent
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Orders []OrderUpdate `json:"o"`
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}
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func parserOrderSnapshotEvent(v *fastjson.Value) *OrderSnapshotEvent {
var e OrderSnapshotEvent
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e.Event = string(v.GetStringBytes("e"))
e.Timestamp = v.GetInt64("T")
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for _, ov := range v.GetArray("o") {
o := parserOrderUpdate(ov)
e.Orders = append(e.Orders, o)
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}
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return &e
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}
type TradeUpdate struct {
ID uint64 `json:"i"`
Side string `json:"sd"`
Price string `json:"p"`
Volume string `json:"v"`
Market string `json:"M"`
Fee string `json:"f"`
FeeCurrency string `json:"fc"`
Timestamp int64 `json:"T"`
OrderID uint64 `json:"oi"`
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Maker bool `json:"m"`
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}
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func parseTradeUpdate(v *fastjson.Value) TradeUpdate {
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return TradeUpdate{
ID: v.GetUint64("i"),
Side: string(v.GetStringBytes("sd")),
Price: string(v.GetStringBytes("p")),
Volume: string(v.GetStringBytes("v")),
Market: string(v.GetStringBytes("M")),
Fee: string(v.GetStringBytes("f")),
FeeCurrency: string(v.GetStringBytes("fc")),
Timestamp: v.GetInt64("T"),
OrderID: v.GetUint64("oi"),
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Maker: v.GetBool("m"),
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}
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}
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type TradeUpdateEvent struct {
BaseEvent
Trades []TradeUpdate `json:"t"`
}
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func parseTradeUpdateEvent(v *fastjson.Value) *TradeUpdateEvent {
var e TradeUpdateEvent
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e.Event = string(v.GetStringBytes("e"))
e.Timestamp = v.GetInt64("T")
for _, tv := range v.GetArray("t") {
e.Trades = append(e.Trades, parseTradeUpdate(tv))
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}
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return &e
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}
type TradeSnapshot []TradeUpdate
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type TradeSnapshotEvent struct {
BaseEvent
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Trades []TradeUpdate `json:"t"`
}
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func parseTradeSnapshotEvent(v *fastjson.Value) *TradeSnapshotEvent {
var e TradeSnapshotEvent
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e.Event = string(v.GetStringBytes("e"))
e.Timestamp = v.GetInt64("T")
for _, tv := range v.GetArray("t") {
e.Trades = append(e.Trades, parseTradeUpdate(tv))
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}
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return &e
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}
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type BalanceMessage struct {
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Currency string `json:"cu"`
Available string `json:"av"`
Locked string `json:"l"`
}
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func (m *BalanceMessage) Balance() (*types.Balance, error) {
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available, err := fixedpoint.NewFromString(m.Available)
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if err != nil {
return nil, err
}
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locked, err := fixedpoint.NewFromString(m.Locked)
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if err != nil {
return nil, err
}
return &types.Balance{
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Currency: strings.ToUpper(m.Currency),
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Locked: locked,
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Available: available,
}, nil
}
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func parseBalance(v *fastjson.Value) BalanceMessage {
return BalanceMessage{
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Currency: string(v.GetStringBytes("cu")),
Available: string(v.GetStringBytes("av")),
Locked: string(v.GetStringBytes("l")),
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}
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}
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type AccountUpdateEvent struct {
BaseEvent
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Balances []BalanceMessage `json:"B"`
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}
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func parserAccountUpdateEvent(v *fastjson.Value) *AccountUpdateEvent {
var e AccountUpdateEvent
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e.Event = string(v.GetStringBytes("e"))
e.Timestamp = v.GetInt64("T")
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for _, bv := range v.GetArray("B") {
e.Balances = append(e.Balances, parseBalance(bv))
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}
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return &e
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}
type AccountSnapshotEvent struct {
BaseEvent
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Balances []BalanceMessage `json:"B"`
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}
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func parserAccountSnapshotEvent(v *fastjson.Value) *AccountSnapshotEvent {
var e AccountSnapshotEvent
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e.Event = string(v.GetStringBytes("e"))
e.Timestamp = v.GetInt64("T")
for _, bv := range v.GetArray("B") {
e.Balances = append(e.Balances, parseBalance(bv))
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}
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return &e
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}
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func parseAuthEvent(v *fastjson.Value) *AuthEvent {
return &AuthEvent{
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Event: string(v.GetStringBytes("e")),
ID: string(v.GetStringBytes("i")),
Timestamp: v.GetInt64("T"),
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}
}
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func ParseUserEvent(v *fastjson.Value) (interface{}, error) {
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eventType := string(v.GetStringBytes("e"))
switch eventType {
case "order_snapshot":
return parserOrderSnapshotEvent(v), nil
case "order_update":
return parseOrderUpdateEvent(v), nil
case "trade_snapshot":
return parseTradeSnapshotEvent(v), nil
case "trade_update":
return parseTradeUpdateEvent(v), nil
case "account_snapshot":
return parserAccountSnapshotEvent(v), nil
case "account_update":
return parserAccountUpdateEvent(v), nil
case "authenticated":
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return parseAuthEvent(v), nil
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case "error":
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logger.Errorf("error %s", v.MarshalTo(nil))
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}
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return nil, errors.Wrapf(ErrMessageTypeNotSupported, "private message %s", v.MarshalTo(nil))
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}