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Merge pull request #1819 from c9s/kbearXD/max/depth-buffer

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FIX: [max] use the same depth to QueryDepth
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kbearXD 2024-11-15 15:07:45 +08:00 committed by GitHub
commit 02151afc2d
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1 changed files with 36 additions and 23 deletions
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59
pkg/exchange/max/stream.go
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@ -86,33 +86,32 @@ func (s *Stream) SetPrivateChannels(channels []string) {
s.privateChannels = channels
}
func ToLocalDepth(depth types.Depth) int {
if len(depth) > 0 {
switch depth {
case types.DepthLevelFull:
return 50
case types.DepthLevelMedium:
return 20
case types.DepthLevel1:
return 1
case types.DepthLevel5:
return 5
default:
return 20
}
}
return 0
}
func (s *Stream) handleConnect() {
if s.PublicOnly {
cmd := &max.WebsocketCommand{
Action: "subscribe",
}
for _, sub := range s.Subscriptions {
var depth int
if len(sub.Options.Depth) > 0 {
switch sub.Options.Depth {
case types.DepthLevelFull:
depth = 50
case types.DepthLevelMedium:
depth = 20
case types.DepthLevel1:
depth = 1
case types.DepthLevel5:
depth = 5
default:
depth = 20
}
}
depth := ToLocalDepth(sub.Options.Depth)
cmd.Subscriptions = append(cmd.Subscriptions, max.Subscription{
Channel: string(sub.Channel),
@ -122,6 +121,7 @@ func (s *Stream) handleConnect() {
})
}
log.Infof("public subscription commands: %+v", cmd)
if err := s.Conn.WriteJSON(cmd); err != nil {
log.WithError(err).Error("failed to send subscription request")
}
@ -218,10 +218,23 @@ func (s *Stream) handleBookEvent(ex *Exchange) func(e max.BookEvent) {
symbol := toGlobalSymbol(e.Market)
f, ok := s.depthBuffers[symbol]
if !ok {
bookDepth := 0
for _, subscription := range s.Subscriptions {
if subscription.Channel == types.BookChannel && toLocalSymbol(subscription.Symbol) == e.Market {
bookDepth = ToLocalDepth(subscription.Options.Depth)
break
}
}
// the default depth of websocket channel is 50, we need to make sure both RESTful API and WS channel use the same depth
if bookDepth == 0 {
bookDepth = 50
}
f = depth.NewBuffer(func() (types.SliceOrderBook, int64, error) {
log.Infof("fetching %s depth...", e.Market)
log.Infof("fetching %s depth with depth = %d...", e.Market, bookDepth)
// the depth of websocket orderbook event is 50 by default, so we use 50 as limit here
return ex.QueryDepth(context.Background(), e.Market, 50)
return ex.QueryDepth(context.Background(), e.Market, bookDepth)
})
f.SetBufferingPeriod(time.Second)
f.OnReady(func(snapshot types.SliceOrderBook, updates []depth.Update) {