mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
implement private message parsing
This commit is contained in:
parent
94fb026149
commit
0708cee962
31
bbgo/exchange/max/maxapi/auth.go
Normal file
31
bbgo/exchange/max/maxapi/auth.go
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@ -0,0 +1,31 @@
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package max
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import (
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"crypto/hmac"
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"crypto/sha256"
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"encoding/hex"
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)
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type AuthMessage struct {
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Action string `json:"action"`
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APIKey string `json:"apiKey"`
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Nonce int64 `json:"nonce"`
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Signature string `json:"signature"`
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ID string `json:"id"`
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}
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type AuthEvent struct {
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Event string
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ID string
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Timestamp int64
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}
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func signPayload(payload string, secret string) string {
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var sig = hmac.New(sha256.New, []byte(secret))
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_, err := sig.Write([]byte(payload))
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if err != nil {
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return ""
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}
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return hex.EncodeToString(sig.Sum(nil))
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}
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@ -2,8 +2,11 @@ package max
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import (
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"context"
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"fmt"
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"time"
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"github.com/google/uuid"
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"github.com/gorilla/websocket"
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"github.com/pkg/errors"
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log "github.com/sirupsen/logrus"
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@ -32,10 +35,10 @@ var SubscribeAction = "subscribe"
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var UnsubscribeAction = "unsubscribe"
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//go:generate callbackgen -type PublicWebSocketService
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type PublicWebSocketService struct {
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BaseURL string
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type WebSocketService struct {
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baseURL, key, secret string
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Conn *websocket.Conn
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conn *websocket.Conn
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reconnectC chan struct{}
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@ -52,38 +55,53 @@ type PublicWebSocketService struct {
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subscriptionEventCallbacks []func(e SubscriptionEvent)
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}
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func NewPublicWebSocketService(wsURL string) *PublicWebSocketService {
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return &PublicWebSocketService{
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func NewWebSocketService(wsURL string, key, secret string) *WebSocketService {
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return &WebSocketService{
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key: key,
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secret: secret,
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reconnectC: make(chan struct{}, 1),
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BaseURL: wsURL,
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baseURL: wsURL,
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}
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}
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func (s *PublicWebSocketService) Connect(ctx context.Context) error {
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func (s *WebSocketService) Connect(ctx context.Context) error {
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// pre-allocate the websocket client, the websocket client can be used for reconnecting.
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go s.read(ctx)
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return s.connect(ctx)
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}
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func (s *PublicWebSocketService) connect(ctx context.Context) error {
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func (s *WebSocketService) sendAuthMessage() error {
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nonce := time.Now().UnixNano() / int64(time.Millisecond)
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auth := &AuthMessage{
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Action: "auth",
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APIKey: s.key,
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Nonce: nonce,
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Signature: signPayload(fmt.Sprintf("%d", nonce), s.secret),
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ID: uuid.New().String(),
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}
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return s.conn.WriteJSON(auth)
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}
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func (s *WebSocketService) connect(ctx context.Context) error {
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dialer := websocket.DefaultDialer
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conn, _, err := dialer.DialContext(ctx, s.BaseURL, nil)
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conn, _, err := dialer.DialContext(ctx, s.baseURL, nil)
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if err != nil {
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return err
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}
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s.Conn = conn
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s.conn = conn
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return nil
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}
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func (s *PublicWebSocketService) emitReconnect() {
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func (s *WebSocketService) emitReconnect() {
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select {
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case s.reconnectC <- struct{}{}:
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default:
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}
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}
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func (s *PublicWebSocketService) read(ctx context.Context) {
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func (s *WebSocketService) read(ctx context.Context) {
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for {
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select {
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case <-ctx.Done():
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@ -96,7 +114,7 @@ func (s *PublicWebSocketService) read(ctx context.Context) {
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}
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default:
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mt, msg, err := s.Conn.ReadMessage()
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mt, msg, err := s.conn.ReadMessage()
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if err != nil {
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s.emitReconnect()
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@ -120,7 +138,7 @@ func (s *PublicWebSocketService) read(ctx context.Context) {
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}
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}
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func (s *PublicWebSocketService) dispatch(msg interface{}) {
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func (s *WebSocketService) dispatch(msg interface{}) {
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switch e := msg.(type) {
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case *BookEvent:
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s.EmitBookEvent(*e)
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@ -135,18 +153,18 @@ func (s *PublicWebSocketService) dispatch(msg interface{}) {
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}
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}
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func (s *PublicWebSocketService) ClearSubscriptions() {
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func (s *WebSocketService) ClearSubscriptions() {
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s.Subscriptions = nil
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}
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func (s *PublicWebSocketService) Reconnect() {
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func (s *WebSocketService) Reconnect() {
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logger.Info("reconnecting...")
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s.emitReconnect()
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}
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// Subscribe is a helper method for building subscription request from the internal mapping types.
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// (Internal public method)
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func (s *PublicWebSocketService) Subscribe(channel string, market string) error {
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func (s *WebSocketService) Subscribe(channel string, market string) error {
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s.AddSubscription(Subscription{
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Channel: channel,
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Market: market,
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@ -155,11 +173,11 @@ func (s *PublicWebSocketService) Subscribe(channel string, market string) error
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}
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// AddSubscription adds the subscription request to the buffer, these requests will be sent to the server right after connecting to the endpoint.
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func (s *PublicWebSocketService) AddSubscription(subscription Subscription) {
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func (s *WebSocketService) AddSubscription(subscription Subscription) {
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s.Subscriptions = append(s.Subscriptions, subscription)
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}
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func (s *PublicWebSocketService) Resubscribe() {
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func (s *WebSocketService) Resubscribe() {
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// Calling Resubscribe() by websocket is not enough to refresh orderbook.
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// We still need to get orderbook snapshot by rest client.
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// Therefore Reconnect() is used to simplify implementation.
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@ -173,7 +191,7 @@ func (s *PublicWebSocketService) Resubscribe() {
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}
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}
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func (s *PublicWebSocketService) SendSubscriptionRequest(action string) error {
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func (s *WebSocketService) SendSubscriptionRequest(action string) error {
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request := WebsocketCommand{
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Action: action,
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Subscriptions: s.Subscriptions,
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@ -181,7 +199,7 @@ func (s *PublicWebSocketService) SendSubscriptionRequest(action string) error {
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logger.Debugf("sending websocket subscription: %+v", request)
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if err := s.Conn.WriteJSON(request); err != nil {
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if err := s.conn.WriteJSON(request); err != nil {
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return errors.Wrap(err, "Failed to send subscribe event")
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}
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@ -189,6 +207,6 @@ func (s *PublicWebSocketService) SendSubscriptionRequest(action string) error {
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}
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// Close web socket connection
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func (s *PublicWebSocketService) Close() error {
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return s.Conn.Close()
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func (s *WebSocketService) Close() error {
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return s.conn.Close()
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}
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@ -1,64 +1,64 @@
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// Code generated by "callbackgen -type PublicWebSocketService"; DO NOT EDIT.
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// Code generated by "callbackgen -type WebSocketService"; DO NOT EDIT.
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package max
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import ()
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func (s *PublicWebSocketService) OnError(cb func(err error)) {
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func (s *WebSocketService) OnError(cb func(err error)) {
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s.errorCallbacks = append(s.errorCallbacks, cb)
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}
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func (s *PublicWebSocketService) EmitError(err error) {
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func (s *WebSocketService) EmitError(err error) {
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for _, cb := range s.errorCallbacks {
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cb(err)
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}
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}
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func (s *PublicWebSocketService) OnMessage(cb func(message []byte)) {
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func (s *WebSocketService) OnMessage(cb func(message []byte)) {
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s.messageCallbacks = append(s.messageCallbacks, cb)
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}
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func (s *PublicWebSocketService) EmitMessage(message []byte) {
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func (s *WebSocketService) EmitMessage(message []byte) {
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for _, cb := range s.messageCallbacks {
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cb(message)
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}
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}
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func (s *PublicWebSocketService) OnBookEvent(cb func(e BookEvent)) {
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func (s *WebSocketService) OnBookEvent(cb func(e BookEvent)) {
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s.bookEventCallbacks = append(s.bookEventCallbacks, cb)
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}
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func (s *PublicWebSocketService) EmitBookEvent(e BookEvent) {
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func (s *WebSocketService) EmitBookEvent(e BookEvent) {
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for _, cb := range s.bookEventCallbacks {
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cb(e)
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}
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}
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func (s *PublicWebSocketService) OnTradeEvent(cb func(e TradeEvent)) {
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func (s *WebSocketService) OnTradeEvent(cb func(e TradeEvent)) {
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s.tradeEventCallbacks = append(s.tradeEventCallbacks, cb)
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}
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func (s *PublicWebSocketService) EmitTradeEvent(e TradeEvent) {
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func (s *WebSocketService) EmitTradeEvent(e TradeEvent) {
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for _, cb := range s.tradeEventCallbacks {
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cb(e)
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}
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}
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func (s *PublicWebSocketService) OnErrorEvent(cb func(e ErrorEvent)) {
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func (s *WebSocketService) OnErrorEvent(cb func(e ErrorEvent)) {
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s.errorEventCallbacks = append(s.errorEventCallbacks, cb)
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}
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func (s *PublicWebSocketService) EmitErrorEvent(e ErrorEvent) {
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func (s *WebSocketService) EmitErrorEvent(e ErrorEvent) {
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for _, cb := range s.errorEventCallbacks {
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cb(e)
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}
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}
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func (s *PublicWebSocketService) OnSubscriptionEvent(cb func(e SubscriptionEvent)) {
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func (s *WebSocketService) OnSubscriptionEvent(cb func(e SubscriptionEvent)) {
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s.subscriptionEventCallbacks = append(s.subscriptionEventCallbacks, cb)
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}
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func (s *PublicWebSocketService) EmitSubscriptionEvent(e SubscriptionEvent) {
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func (s *WebSocketService) EmitSubscriptionEvent(e SubscriptionEvent) {
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for _, cb := range s.subscriptionEventCallbacks {
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cb(e)
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}
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236
bbgo/exchange/max/maxapi/userdata.go
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236
bbgo/exchange/max/maxapi/userdata.go
Normal file
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package max
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import (
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"github.com/pkg/errors"
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"github.com/valyala/fastjson"
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)
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func ParsePrivateEvent(message []byte) (interface{}, error) {
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var fp fastjson.Parser
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var v, err = fp.ParseBytes(message)
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if err != nil {
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return nil, errors.Wrap(err, "fail to parse account info raw message")
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}
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eventType := string(v.GetStringBytes("e"))
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switch eventType {
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case "order_snapshot":
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return parserOrderSnapshotEvent(v)
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case "order_update":
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return parseOrderUpdateEvent(v)
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case "trade_snapshot":
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return parseTradeSnapshotEvent(v)
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case "trade_update":
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return parseTradeUpdateEvent(v)
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case "account_snapshot":
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return parserAccountSnapshotEvent(v)
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case "account_update":
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return parserAccountUpdateEvent(v)
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case "authenticated":
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return parserAuthEvent(v)
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case "error":
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logger.Errorf("error %s", message)
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}
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return nil, errors.Wrapf(ErrMessageTypeNotSupported, "private message %s", message)
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}
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var (
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errParseOrder = errors.New("failed parse order")
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errParseTrade = errors.New("failed parse trade")
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errParseAccount = errors.New("failed parse account")
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)
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type OrderUpdate struct {
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Event string `json:"e"`
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ID uint64 `json:"i"`
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Side string `json:"sd"`
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OrderType string `json:"ot"`
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Price string `json:"p"`
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Volume string `json:"v"`
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AveragePrice string `json:"ap"`
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State string `json:"S"`
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Market string `json:"M"`
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RemainingVolume string `json:"rv"`
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ExecutedVolume string `json:"ev"`
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TradesCount int64 `json:"tc"`
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GroupID int64 `json:"gi"`
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ClientOID string `json:"ci"`
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CreatedAtMs int64 `json:"T"`
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}
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func parserOrderUpdate(v *fastjson.Value) (OrderUpdate, error) {
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return OrderUpdate{
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Event: string(v.GetStringBytes("e")),
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ID: v.GetUint64("i"),
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Side: string(v.GetStringBytes("sd")),
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Market: string(v.GetStringBytes("M")),
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OrderType: string(v.GetStringBytes("ot")),
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State: string(v.GetStringBytes("S")),
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Price: string(v.GetStringBytes("p")),
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AveragePrice: string(v.GetStringBytes("ap")),
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Volume: string(v.GetStringBytes("v")),
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RemainingVolume: string(v.GetStringBytes("rv")),
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ExecutedVolume: string(v.GetStringBytes("ev")),
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TradesCount: v.GetInt64("tc"),
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GroupID: v.GetInt64("gi"),
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ClientOID: string(v.GetStringBytes("ci")),
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CreatedAtMs: v.GetInt64("T"),
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}, nil
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}
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func parseOrderUpdateEvent(v *fastjson.Value) (OrderUpdate, error) {
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rawOrders := v.GetArray("o")
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if len(rawOrders) == 0 {
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return OrderUpdate{}, errParseOrder
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}
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return parserOrderUpdate(rawOrders[0])
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}
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type OrderSnapshot []OrderUpdate
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func parserOrderSnapshotEvent(v *fastjson.Value) (orderSnapshot OrderSnapshot, err error) {
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var errCount int
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rawOrders := v.GetArray("o")
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for _, ov := range rawOrders {
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o, e := parserOrderUpdate(ov)
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if e != nil {
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errCount++
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err = e
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} else {
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orderSnapshot = append(orderSnapshot, o)
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}
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}
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if errCount > 0 {
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err = errors.Wrapf(err, "failed to parse order snapshot. %d errors in order snapshot. The last error: ", errCount)
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}
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return
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}
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type TradeUpdate struct {
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ID uint64 `json:"i"`
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Side string `json:"sd"`
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Price string `json:"p"`
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Volume string `json:"v"`
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Market string `json:"M"`
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Fee string `json:"f"`
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FeeCurrency string `json:"fc"`
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Timestamp int64 `json:"T"`
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OrderID uint64 `json:"oi"`
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}
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func parseTradeUpdate(v *fastjson.Value) (TradeUpdate, error) {
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return TradeUpdate{
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ID: v.GetUint64("i"),
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Side: string(v.GetStringBytes("sd")),
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Price: string(v.GetStringBytes("p")),
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Volume: string(v.GetStringBytes("v")),
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Market: string(v.GetStringBytes("M")),
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Fee: string(v.GetStringBytes("f")),
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FeeCurrency: string(v.GetStringBytes("fc")),
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Timestamp: v.GetInt64("T"),
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OrderID: v.GetUint64("oi"),
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}, nil
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}
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func parseTradeUpdateEvent(v *fastjson.Value) (TradeUpdate, error) {
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rawTrades := v.GetArray("t")
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if len(rawTrades) == 0 {
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return TradeUpdate{}, errParseTrade
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}
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return parseTradeUpdate(rawTrades[0])
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}
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type TradeSnapshot []TradeUpdate
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func parseTradeSnapshotEvent(v *fastjson.Value) (tradeSnapshot TradeSnapshot, err error) {
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var errCount int
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rawTrades := v.GetArray("t")
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for _, tv := range rawTrades {
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t, e := parseTradeUpdate(tv)
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if e != nil {
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errCount++
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err = e
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} else {
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tradeSnapshot = append(tradeSnapshot, t)
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}
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}
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if errCount > 0 {
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err = errors.Wrapf(err, "failed to parse trade snapshot. %d errors in trade snapshot. The last error: ", errCount)
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}
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return
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}
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type Balance struct {
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Currency string `json:"cu"`
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Available string `json:"av"`
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Locked string `json:"l"`
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}
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func parseBalance(v *fastjson.Value) (Balance, error) {
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return Balance{
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Currency: string(v.GetStringBytes("cu")),
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Available: string(v.GetStringBytes("av")),
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Locked: string(v.GetStringBytes("l")),
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}, nil
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}
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func parserAccountUpdateEvent(v *fastjson.Value) (Balance, error) {
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rawBalances := v.GetArray("B")
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if len(rawBalances) == 0 {
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return Balance{}, errParseAccount
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}
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return parseBalance(rawBalances[0])
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}
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type BalanceSnapshot []Balance
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func parserAccountSnapshotEvent(v *fastjson.Value) (balanceSnapshot BalanceSnapshot, err error) {
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var errCount int
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rawBalances := v.GetArray("B")
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||||
for _, bv := range rawBalances {
|
||||
b, e := parseBalance(bv)
|
||||
if e != nil {
|
||||
errCount++
|
||||
err = e
|
||||
} else {
|
||||
balanceSnapshot = append(balanceSnapshot, b)
|
||||
}
|
||||
}
|
||||
|
||||
if errCount > 0 {
|
||||
err = errors.Wrapf(err, "failed to parse balance snapshot. %d errors in balance snapshot. The last error: ", errCount)
|
||||
}
|
||||
|
||||
return
|
||||
}
|
||||
|
||||
func parserAuthEvent(v *fastjson.Value) (AuthEvent, error) {
|
||||
return AuthEvent{
|
||||
Event: string(v.GetStringBytes("e")),
|
||||
ID: string(v.GetStringBytes("i")),
|
||||
Timestamp: v.GetInt64("T"),
|
||||
}, nil
|
||||
}
|
Loading…
Reference in New Issue
Block a user