implement private message parsing

bbgo/exchange/max/maxapi/auth.go

@@ -0,0 +1,31 @@
+package max
+
+import (
+	"crypto/hmac"
+	"crypto/sha256"
+	"encoding/hex"
+)
+
+type AuthMessage struct {
+	Action    string `json:"action"`
+	APIKey    string `json:"apiKey"`
+	Nonce     int64  `json:"nonce"`
+	Signature string `json:"signature"`
+	ID        string `json:"id"`
+}
+
+type AuthEvent struct {
+	Event     string
+	ID        string
+	Timestamp int64
+}
+
+func signPayload(payload string, secret string) string {
+	var sig = hmac.New(sha256.New, []byte(secret))
+	_, err := sig.Write([]byte(payload))
+	if err != nil {
+		return ""
+	}
+	return hex.EncodeToString(sig.Sum(nil))
+}
+

bbgo/exchange/max/maxapi/public_websocket.go

@@ -2,8 +2,11 @@ package max
 
 import (
 	"context"
+	"fmt"
 	"time"
 
+	"github.com/google/uuid"
+
 	"github.com/gorilla/websocket"
 	"github.com/pkg/errors"
 	log "github.com/sirupsen/logrus"
@@ -32,10 +35,10 @@ var SubscribeAction = "subscribe"
 var UnsubscribeAction = "unsubscribe"
 
 //go:generate callbackgen -type PublicWebSocketService
-type PublicWebSocketService struct {
+type WebSocketService struct {
-	BaseURL string
+	baseURL, key, secret string
 
-	Conn *websocket.Conn
+	conn *websocket.Conn
 
 	reconnectC chan struct{}
 
@@ -52,38 +55,53 @@ type PublicWebSocketService struct {
 	subscriptionEventCallbacks []func(e SubscriptionEvent)
 }
 
-func NewPublicWebSocketService(wsURL string) *PublicWebSocketService {
+func NewWebSocketService(wsURL string, key, secret string) *WebSocketService {
-	return &PublicWebSocketService{
+	return &WebSocketService{
+		key:        key,
+		secret:     secret,
 		reconnectC: make(chan struct{}, 1),
-		BaseURL:    wsURL,
+		baseURL:    wsURL,
 	}
 }
 
-func (s *PublicWebSocketService) Connect(ctx context.Context) error {
+func (s *WebSocketService) Connect(ctx context.Context) error {
 	// pre-allocate the websocket client, the websocket client can be used for reconnecting.
 	go s.read(ctx)
 	return s.connect(ctx)
 }
 
-func (s *PublicWebSocketService) connect(ctx context.Context) error {
+func (s *WebSocketService) sendAuthMessage() error {
+	nonce := time.Now().UnixNano() / int64(time.Millisecond)
+
+	auth := &AuthMessage{
+		Action:    "auth",
+		APIKey:    s.key,
+		Nonce:     nonce,
+		Signature: signPayload(fmt.Sprintf("%d", nonce), s.secret),
+		ID:        uuid.New().String(),
+	}
+	return s.conn.WriteJSON(auth)
+}
+
+func (s *WebSocketService) connect(ctx context.Context) error {
 	dialer := websocket.DefaultDialer
-	conn, _, err := dialer.DialContext(ctx, s.BaseURL, nil)
+	conn, _, err := dialer.DialContext(ctx, s.baseURL, nil)
 	if err != nil {
 		return err
 	}
 
-	s.Conn = conn
+	s.conn = conn
 	return nil
 }
 
-func (s *PublicWebSocketService) emitReconnect() {
+func (s *WebSocketService) emitReconnect() {
 	select {
 	case s.reconnectC <- struct{}{}:
 	default:
 	}
 }
 
-func (s *PublicWebSocketService) read(ctx context.Context) {
+func (s *WebSocketService) read(ctx context.Context) {
 	for {
 		select {
 		case <-ctx.Done():
@@ -96,7 +114,7 @@ func (s *PublicWebSocketService) read(ctx context.Context) {
 			}
 
 		default:
-			mt, msg, err := s.Conn.ReadMessage()
+			mt, msg, err := s.conn.ReadMessage()
 
 			if err != nil {
 				s.emitReconnect()
@@ -120,7 +138,7 @@ func (s *PublicWebSocketService) read(ctx context.Context) {
 	}
 }
 
-func (s *PublicWebSocketService) dispatch(msg interface{}) {
+func (s *WebSocketService) dispatch(msg interface{}) {
 	switch e := msg.(type) {
 	case *BookEvent:
 		s.EmitBookEvent(*e)
@@ -135,18 +153,18 @@ func (s *PublicWebSocketService) dispatch(msg interface{}) {
 	}
 }
 
-func (s *PublicWebSocketService) ClearSubscriptions() {
+func (s *WebSocketService) ClearSubscriptions() {
 	s.Subscriptions = nil
 }
 
-func (s *PublicWebSocketService) Reconnect() {
+func (s *WebSocketService) Reconnect() {
 	logger.Info("reconnecting...")
 	s.emitReconnect()
 }
 
 // Subscribe is a helper method for building subscription request from the internal mapping types.
 // (Internal public method)
-func (s *PublicWebSocketService) Subscribe(channel string, market string) error {
+func (s *WebSocketService) Subscribe(channel string, market string) error {
 	s.AddSubscription(Subscription{
 		Channel: channel,
 		Market:  market,
@@ -155,11 +173,11 @@ func (s *PublicWebSocketService) Subscribe(channel string, market string) error
 }
 
 // AddSubscription adds the subscription request to the buffer, these requests will be sent to the server right after connecting to the endpoint.
-func (s *PublicWebSocketService) AddSubscription(subscription Subscription) {
+func (s *WebSocketService) AddSubscription(subscription Subscription) {
 	s.Subscriptions = append(s.Subscriptions, subscription)
 }
 
-func (s *PublicWebSocketService) Resubscribe() {
+func (s *WebSocketService) Resubscribe() {
 	// Calling Resubscribe() by websocket is not enough to refresh orderbook.
 	// We still need to get orderbook snapshot by rest client.
 	// Therefore Reconnect() is used to simplify implementation.
@@ -173,7 +191,7 @@ func (s *PublicWebSocketService) Resubscribe() {
 	}
 }
 
-func (s *PublicWebSocketService) SendSubscriptionRequest(action string) error {
+func (s *WebSocketService) SendSubscriptionRequest(action string) error {
 	request := WebsocketCommand{
 		Action:        action,
 		Subscriptions: s.Subscriptions,
@@ -181,7 +199,7 @@ func (s *PublicWebSocketService) SendSubscriptionRequest(action string) error {
 
 	logger.Debugf("sending websocket subscription: %+v", request)
 
-	if err := s.Conn.WriteJSON(request); err != nil {
+	if err := s.conn.WriteJSON(request); err != nil {
 		return errors.Wrap(err, "Failed to send subscribe event")
 	}
 
@@ -189,6 +207,6 @@ func (s *PublicWebSocketService) SendSubscriptionRequest(action string) error {
 }
 
 // Close web socket connection
-func (s *PublicWebSocketService) Close() error {
+func (s *WebSocketService) Close() error {
-	return s.Conn.Close()
+	return s.conn.Close()
 }

bbgo/exchange/max/maxapi/publicwebsocketservice_callbacks.go

@@ -1,64 +1,64 @@
-// Code generated by "callbackgen -type PublicWebSocketService"; DO NOT EDIT.
+// Code generated by "callbackgen -type WebSocketService"; DO NOT EDIT.
 
 package max
 
 import ()
 
-func (s *PublicWebSocketService) OnError(cb func(err error)) {
+func (s *WebSocketService) OnError(cb func(err error)) {
 	s.errorCallbacks = append(s.errorCallbacks, cb)
 }
 
-func (s *PublicWebSocketService) EmitError(err error) {
+func (s *WebSocketService) EmitError(err error) {
 	for _, cb := range s.errorCallbacks {
 		cb(err)
 	}
 }
 
-func (s *PublicWebSocketService) OnMessage(cb func(message []byte)) {
+func (s *WebSocketService) OnMessage(cb func(message []byte)) {
 	s.messageCallbacks = append(s.messageCallbacks, cb)
 }
 
-func (s *PublicWebSocketService) EmitMessage(message []byte) {
+func (s *WebSocketService) EmitMessage(message []byte) {
 	for _, cb := range s.messageCallbacks {
 		cb(message)
 	}
 }
 
-func (s *PublicWebSocketService) OnBookEvent(cb func(e BookEvent)) {
+func (s *WebSocketService) OnBookEvent(cb func(e BookEvent)) {
 	s.bookEventCallbacks = append(s.bookEventCallbacks, cb)
 }
 
-func (s *PublicWebSocketService) EmitBookEvent(e BookEvent) {
+func (s *WebSocketService) EmitBookEvent(e BookEvent) {
 	for _, cb := range s.bookEventCallbacks {
 		cb(e)
 	}
 }
 
-func (s *PublicWebSocketService) OnTradeEvent(cb func(e TradeEvent)) {
+func (s *WebSocketService) OnTradeEvent(cb func(e TradeEvent)) {
 	s.tradeEventCallbacks = append(s.tradeEventCallbacks, cb)
 }
 
-func (s *PublicWebSocketService) EmitTradeEvent(e TradeEvent) {
+func (s *WebSocketService) EmitTradeEvent(e TradeEvent) {
 	for _, cb := range s.tradeEventCallbacks {
 		cb(e)
 	}
 }
 
-func (s *PublicWebSocketService) OnErrorEvent(cb func(e ErrorEvent)) {
+func (s *WebSocketService) OnErrorEvent(cb func(e ErrorEvent)) {
 	s.errorEventCallbacks = append(s.errorEventCallbacks, cb)
 }
 
-func (s *PublicWebSocketService) EmitErrorEvent(e ErrorEvent) {
+func (s *WebSocketService) EmitErrorEvent(e ErrorEvent) {
 	for _, cb := range s.errorEventCallbacks {
 		cb(e)
 	}
 }
 
-func (s *PublicWebSocketService) OnSubscriptionEvent(cb func(e SubscriptionEvent)) {
+func (s *WebSocketService) OnSubscriptionEvent(cb func(e SubscriptionEvent)) {
 	s.subscriptionEventCallbacks = append(s.subscriptionEventCallbacks, cb)
 }
 
-func (s *PublicWebSocketService) EmitSubscriptionEvent(e SubscriptionEvent) {
+func (s *WebSocketService) EmitSubscriptionEvent(e SubscriptionEvent) {
 	for _, cb := range s.subscriptionEventCallbacks {
 		cb(e)
 	}

bbgo/exchange/max/maxapi/userdata.go

@@ -0,0 +1,236 @@
+package max
+
+import (
+	"github.com/pkg/errors"
+	"github.com/valyala/fastjson"
+)
+
+func ParsePrivateEvent(message []byte) (interface{}, error) {
+	var fp fastjson.Parser
+	var v, err = fp.ParseBytes(message)
+	if err != nil {
+		return nil, errors.Wrap(err, "fail to parse account info raw message")
+	}
+
+	eventType := string(v.GetStringBytes("e"))
+	switch eventType {
+	case "order_snapshot":
+		return parserOrderSnapshotEvent(v)
+
+	case "order_update":
+		return parseOrderUpdateEvent(v)
+
+	case "trade_snapshot":
+		return parseTradeSnapshotEvent(v)
+
+	case "trade_update":
+		return parseTradeUpdateEvent(v)
+
+	case "account_snapshot":
+		return parserAccountSnapshotEvent(v)
+
+	case "account_update":
+		return parserAccountUpdateEvent(v)
+
+	case "authenticated":
+		return parserAuthEvent(v)
+
+	case "error":
+		logger.Errorf("error %s", message)
+	}
+
+	return nil, errors.Wrapf(ErrMessageTypeNotSupported, "private message %s", message)
+}
+
+var (
+	errParseOrder   = errors.New("failed parse order")
+	errParseTrade   = errors.New("failed parse trade")
+	errParseAccount = errors.New("failed parse account")
+)
+
+type OrderUpdate struct {
+	Event        string `json:"e"`
+	ID           uint64 `json:"i"`
+	Side         string `json:"sd"`
+	OrderType    string `json:"ot"`
+	Price        string `json:"p"`
+	Volume       string `json:"v"`
+	AveragePrice string `json:"ap"`
+	State        string `json:"S"`
+	Market       string `json:"M"`
+
+	RemainingVolume string `json:"rv"`
+	ExecutedVolume  string `json:"ev"`
+
+	TradesCount int64 `json:"tc"`
+
+	GroupID     int64  `json:"gi"`
+	ClientOID   string `json:"ci"`
+	CreatedAtMs int64  `json:"T"`
+}
+
+func parserOrderUpdate(v *fastjson.Value) (OrderUpdate, error) {
+	return OrderUpdate{
+		Event:           string(v.GetStringBytes("e")),
+		ID:              v.GetUint64("i"),
+		Side:            string(v.GetStringBytes("sd")),
+		Market:          string(v.GetStringBytes("M")),
+		OrderType:       string(v.GetStringBytes("ot")),
+		State:           string(v.GetStringBytes("S")),
+		Price:           string(v.GetStringBytes("p")),
+		AveragePrice:    string(v.GetStringBytes("ap")),
+		Volume:          string(v.GetStringBytes("v")),
+		RemainingVolume: string(v.GetStringBytes("rv")),
+		ExecutedVolume:  string(v.GetStringBytes("ev")),
+		TradesCount:     v.GetInt64("tc"),
+		GroupID:         v.GetInt64("gi"),
+		ClientOID:       string(v.GetStringBytes("ci")),
+		CreatedAtMs:     v.GetInt64("T"),
+	}, nil
+}
+
+func parseOrderUpdateEvent(v *fastjson.Value) (OrderUpdate, error) {
+	rawOrders := v.GetArray("o")
+	if len(rawOrders) == 0 {
+		return OrderUpdate{}, errParseOrder
+	}
+
+	return parserOrderUpdate(rawOrders[0])
+}
+
+type OrderSnapshot []OrderUpdate
+
+func parserOrderSnapshotEvent(v *fastjson.Value) (orderSnapshot OrderSnapshot, err error) {
+	var errCount int
+
+	rawOrders := v.GetArray("o")
+	for _, ov := range rawOrders {
+		o, e := parserOrderUpdate(ov)
+		if e != nil {
+			errCount++
+			err = e
+		} else {
+			orderSnapshot = append(orderSnapshot, o)
+		}
+	}
+
+	if errCount > 0 {
+		err = errors.Wrapf(err, "failed to parse order snapshot. %d errors in order snapshot. The last error: ", errCount)
+	}
+
+	return
+}
+
+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"`
+}
+
+func parseTradeUpdate(v *fastjson.Value) (TradeUpdate, error) {
+	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"),
+	}, nil
+}
+
+func parseTradeUpdateEvent(v *fastjson.Value) (TradeUpdate, error) {
+	rawTrades := v.GetArray("t")
+	if len(rawTrades) == 0 {
+		return TradeUpdate{}, errParseTrade
+	}
+
+	return parseTradeUpdate(rawTrades[0])
+}
+
+type TradeSnapshot []TradeUpdate
+
+func parseTradeSnapshotEvent(v *fastjson.Value) (tradeSnapshot TradeSnapshot, err error) {
+	var errCount int
+
+	rawTrades := v.GetArray("t")
+	for _, tv := range rawTrades {
+		t, e := parseTradeUpdate(tv)
+		if e != nil {
+			errCount++
+			err = e
+		} else {
+			tradeSnapshot = append(tradeSnapshot, t)
+		}
+	}
+
+	if errCount > 0 {
+		err = errors.Wrapf(err, "failed to parse trade snapshot. %d errors in trade snapshot. The last error: ", errCount)
+	}
+
+	return
+}
+
+type Balance struct {
+	Currency  string `json:"cu"`
+	Available string `json:"av"`
+	Locked    string `json:"l"`
+}
+
+func parseBalance(v *fastjson.Value) (Balance, error) {
+	return Balance{
+		Currency:  string(v.GetStringBytes("cu")),
+		Available: string(v.GetStringBytes("av")),
+		Locked:    string(v.GetStringBytes("l")),
+	}, nil
+}
+
+func parserAccountUpdateEvent(v *fastjson.Value) (Balance, error) {
+	rawBalances := v.GetArray("B")
+	if len(rawBalances) == 0 {
+		return Balance{}, errParseAccount
+	}
+
+	return parseBalance(rawBalances[0])
+}
+
+type BalanceSnapshot []Balance
+
+func parserAccountSnapshotEvent(v *fastjson.Value) (balanceSnapshot BalanceSnapshot, err error) {
+	var errCount int
+
+	rawBalances := v.GetArray("B")
+	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
+}