mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
Merge pull request #1347 from bailantaotao/edwin/bitget/public-stream-trade
FEATURE: [bitget] support market trade stream
This commit is contained in:
commit
09e2b84d36
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@ -13,7 +13,8 @@ import (
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type Stream struct {
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types.StandardStream
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bookEventCallbacks []func(o BookEvent)
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bookEventCallbacks []func(o BookEvent)
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marketTradeEventCallbacks []func(o MarketTradeEvent)
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}
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func NewStream() *Stream {
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@ -27,6 +28,7 @@ func NewStream() *Stream {
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stream.OnConnect(stream.handlerConnect)
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stream.OnBookEvent(stream.handleBookEvent)
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stream.OnMarketTradeEvent(stream.handleMaretTradeEvent)
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return stream
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}
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@ -87,6 +89,9 @@ func (s *Stream) dispatchEvent(event interface{}) {
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case *BookEvent:
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s.EmitBookEvent(*e)
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case *MarketTradeEvent:
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s.EmitMarketTradeEvent(*e)
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}
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}
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@ -101,7 +106,7 @@ func (s *Stream) handlerConnect() {
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func (s *Stream) handleBookEvent(o BookEvent) {
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for _, book := range o.ToGlobalOrderBooks() {
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switch o.Type {
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switch o.actionType {
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case ActionTypeSnapshot:
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s.EmitBookSnapshot(book)
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@ -131,6 +136,10 @@ func convertSubscription(sub types.Subscription) (WsArg, error) {
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arg.Channel = ChannelOrderBook
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}
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return arg, nil
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case types.MarketTradeChannel:
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arg.Channel = ChannelTrade
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return arg, nil
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}
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return arg, fmt.Errorf("unsupported stream channel: %s", sub.Channel)
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@ -156,10 +165,37 @@ func parseWebSocketEvent(in []byte) (interface{}, error) {
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return nil, fmt.Errorf("failed to unmarshal data into BookEvent, Arg: %+v Data: %s, err: %w", event.Arg, string(event.Data), err)
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}
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book.Type = event.Action
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book.InstId = event.Arg.InstId
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book.actionType = event.Action
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book.instId = event.Arg.InstId
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return &book, nil
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case ChannelTrade:
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var trade MarketTradeEvent
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err = json.Unmarshal(event.Data, &trade.Events)
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if err != nil {
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return nil, fmt.Errorf("failed to unmarshal data into MarketTradeEvent, Arg: %+v Data: %s, err: %w", event.Arg, string(event.Data), err)
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}
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trade.actionType = event.Action
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trade.instId = event.Arg.InstId
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return &trade, nil
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}
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return nil, fmt.Errorf("unhandled websocket event: %+v", string(in))
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}
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func (s *Stream) handleMaretTradeEvent(m MarketTradeEvent) {
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if m.actionType == ActionTypeSnapshot {
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// we don't support snapshot event
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return
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}
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for _, trade := range m.Events {
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globalTrade, err := trade.ToGlobal(m.instId)
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if err != nil {
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log.WithError(err).Error("failed to convert to market trade")
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return
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}
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s.EmitMarketTrade(globalTrade)
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}
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}
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@ -13,3 +13,13 @@ func (s *Stream) EmitBookEvent(o BookEvent) {
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cb(o)
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}
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}
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func (s *Stream) OnMarketTradeEvent(cb func(o MarketTradeEvent)) {
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s.marketTradeEventCallbacks = append(s.marketTradeEventCallbacks, cb)
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}
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func (s *Stream) EmitMarketTradeEvent(o MarketTradeEvent) {
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for _, cb := range s.marketTradeEventCallbacks {
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cb(o)
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}
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}
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@ -92,6 +92,20 @@ func TestStream(t *testing.T) {
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c := make(chan struct{})
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<-c
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})
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t.Run("trade test", func(t *testing.T) {
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s.Subscribe(types.MarketTradeChannel, "BTCUSDT", types.SubscribeOptions{})
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s.SetPublicOnly()
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err := s.Connect(context.Background())
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assert.NoError(t, err)
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s.OnMarketTrade(func(trade types.Trade) {
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t.Log("got update", trade)
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})
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c := make(chan struct{})
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<-c
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})
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}
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func TestStream_parseWebSocketEvent(t *testing.T) {
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@ -247,8 +261,8 @@ func TestStream_parseWebSocketEvent(t *testing.T) {
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Checksum: 0,
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},
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},
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Type: actionType,
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InstId: "BTCUSDT",
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actionType: actionType,
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instId: "BTCUSDT",
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}, *book)
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}
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@ -264,6 +278,181 @@ func TestStream_parseWebSocketEvent(t *testing.T) {
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})
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}
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func Test_parseWebSocketEvent_MarketTrade(t *testing.T) {
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t.Run("MarketTrade event", func(t *testing.T) {
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input := `{
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"action":"%s",
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"arg":{
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"instType":"sp",
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"channel":"trade",
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"instId":"BTCUSDT"
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},
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"data":[
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[
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"1697697791663",
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"28303.43",
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"0.0452",
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"sell"
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],
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[
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"1697697794663",
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"28345.67",
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"0.1234",
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"sell"
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]
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],
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"ts":1697697791670
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}`
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eventFn := func(in string, actionType ActionType) {
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res, err := parseWebSocketEvent([]byte(in))
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assert.NoError(t, err)
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book, ok := res.(*MarketTradeEvent)
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assert.True(t, ok)
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assert.Equal(t, MarketTradeEvent{
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Events: MarketTradeSlice{
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{
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Ts: types.NewMillisecondTimestampFromInt(1697697791663),
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Price: fixedpoint.NewFromFloat(28303.43),
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Size: fixedpoint.NewFromFloat(0.0452),
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Side: "sell",
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},
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{
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Ts: types.NewMillisecondTimestampFromInt(1697697794663),
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Price: fixedpoint.NewFromFloat(28345.67),
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Size: fixedpoint.NewFromFloat(0.1234),
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Side: "sell",
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},
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},
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actionType: actionType,
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instId: "BTCUSDT",
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}, *book)
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}
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t.Run("snapshot type", func(t *testing.T) {
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snapshotInput := fmt.Sprintf(input, ActionTypeSnapshot)
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eventFn(snapshotInput, ActionTypeSnapshot)
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})
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t.Run("update type", func(t *testing.T) {
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snapshotInput := fmt.Sprintf(input, ActionTypeUpdate)
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eventFn(snapshotInput, ActionTypeUpdate)
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})
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})
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t.Run("Unexpected length of market trade", func(t *testing.T) {
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input := `{
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"action":"%s",
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"arg":{
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"instType":"sp",
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"channel":"trade",
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"instId":"BTCUSDT"
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},
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"data":[
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[
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"1697697791663",
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"28303.43",
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"28303.43",
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"0.0452",
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"sell"
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]
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],
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"ts":1697697791670
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}`
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_, err := parseWebSocketEvent([]byte(input))
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assert.ErrorContains(t, err, "unexpected trades length")
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})
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t.Run("Unexpected timestamp", func(t *testing.T) {
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input := `{
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"action":"%s",
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"arg":{
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"instType":"sp",
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"channel":"trade",
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"instId":"BTCUSDT"
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},
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"data":[
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[
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"TIMESTAMP",
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"28303.43",
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"0.0452",
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"sell"
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]
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],
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"ts":1697697791670
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}`
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_, err := parseWebSocketEvent([]byte(input))
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assert.ErrorContains(t, err, "timestamp")
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})
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t.Run("Unexpected price", func(t *testing.T) {
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input := `{
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"action":"%s",
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"arg":{
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"instType":"sp",
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"channel":"trade",
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"instId":"BTCUSDT"
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},
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"data":[
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[
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"1697697791663",
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"1p",
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"0.0452",
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"sell"
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]
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],
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"ts":1697697791670
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}`
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_, err := parseWebSocketEvent([]byte(input))
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assert.ErrorContains(t, err, "price")
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})
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t.Run("Unexpected size", func(t *testing.T) {
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input := `{
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"action":"%s",
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"arg":{
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"instType":"sp",
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"channel":"trade",
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"instId":"BTCUSDT"
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},
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"data":[
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[
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"1697697791663",
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"28303.43",
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"2v",
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"sell"
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]
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],
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"ts":1697697791670
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}`
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_, err := parseWebSocketEvent([]byte(input))
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assert.ErrorContains(t, err, "size")
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})
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t.Run("Unexpected side", func(t *testing.T) {
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input := `{
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"action":"%s",
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"arg":{
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"instType":"sp",
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"channel":"trade",
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"instId":"BTCUSDT"
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},
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"data":[
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[
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"1697697791663",
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"28303.43",
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"0.0452",
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12345
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]
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],
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"ts":1697697791670
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}`
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_, err := parseWebSocketEvent([]byte(input))
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assert.ErrorContains(t, err, "side")
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})
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}
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func Test_convertSubscription(t *testing.T) {
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t.Run("BookChannel.ChannelOrderBook5", func(t *testing.T) {
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res, err := convertSubscription(types.Subscription{
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@ -310,4 +499,17 @@ func Test_convertSubscription(t *testing.T) {
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InstId: "BTCUSDT",
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}, res)
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})
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t.Run("TradeChannel", func(t *testing.T) {
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res, err := convertSubscription(types.Subscription{
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Symbol: "BTCUSDT",
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Channel: types.MarketTradeChannel,
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Options: types.SubscribeOptions{},
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})
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assert.NoError(t, err)
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assert.Equal(t, WsArg{
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InstType: instSp,
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Channel: ChannelTrade,
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InstId: "BTCUSDT",
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}, res)
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})
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}
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@ -2,8 +2,10 @@ package bitget
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import (
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"encoding/json"
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"errors"
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"fmt"
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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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@ -23,6 +25,7 @@ const (
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ChannelOrderBook5 ChannelType = "books5"
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// ChannelOrderBook15 top 15 order book of "books" that begins from bid1/ask1
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ChannelOrderBook15 ChannelType = "books15"
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ChannelTrade ChannelType = "trade"
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)
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type WsArg struct {
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@ -119,15 +122,15 @@ type BookEvent struct {
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}
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// internal use
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Type ActionType
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InstId string
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actionType ActionType
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instId string
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}
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func (e *BookEvent) ToGlobalOrderBooks() []types.SliceOrderBook {
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books := make([]types.SliceOrderBook, len(e.Events))
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for i, event := range e.Events {
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books[i] = types.SliceOrderBook{
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Symbol: e.InstId,
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Symbol: e.instId,
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Bids: event.Bids,
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Asks: event.Asks,
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Time: event.Ts.Time(),
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@ -136,3 +139,124 @@ func (e *BookEvent) ToGlobalOrderBooks() []types.SliceOrderBook {
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return books
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}
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type SideType string
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const (
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SideBuy SideType = "buy"
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SideSell SideType = "sell"
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)
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func (s SideType) ToGlobal() (types.SideType, error) {
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switch s {
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case SideBuy:
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return types.SideTypeBuy, nil
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case SideSell:
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return types.SideTypeSell, nil
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default:
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return "", fmt.Errorf("unexpceted side type: %s", s)
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}
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}
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type MarketTrade struct {
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Ts types.MillisecondTimestamp
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Price fixedpoint.Value
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Size fixedpoint.Value
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Side SideType
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}
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type MarketTradeSlice []MarketTrade
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func (m *MarketTradeSlice) UnmarshalJSON(b []byte) error {
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if m == nil {
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return errors.New("nil pointer of market trade slice")
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}
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s, err := parseMarketTradeSliceJSON(b)
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if err != nil {
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return err
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}
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*m = s
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return nil
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}
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// ParseMarketTradeSliceJSON tries to parse a 2 dimensional string array into a MarketTradeSlice
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//
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// [
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//
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// [
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// "1697694819663",
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// "28312.97",
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// "0.1653",
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// "sell"
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// ],
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// [
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// "1697694818663",
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// "28313",
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// "0.1598",
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// "buy"
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// ]
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//
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// ]
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func parseMarketTradeSliceJSON(in []byte) (slice MarketTradeSlice, err error) {
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var rawTrades [][]json.RawMessage
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err = json.Unmarshal(in, &rawTrades)
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if err != nil {
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return slice, err
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}
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for _, raw := range rawTrades {
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if len(raw) != 4 {
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return nil, fmt.Errorf("unexpected trades length: %d, data: %q", len(raw), raw)
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}
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var trade MarketTrade
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if err = json.Unmarshal(raw[0], &trade.Ts); err != nil {
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return nil, fmt.Errorf("failed to unmarshal into timestamp: %q", raw[0])
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}
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if err = json.Unmarshal(raw[1], &trade.Price); err != nil {
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return nil, fmt.Errorf("failed to unmarshal into price: %q", raw[1])
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}
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if err = json.Unmarshal(raw[2], &trade.Size); err != nil {
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return nil, fmt.Errorf("failed to unmarshal into size: %q", raw[2])
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}
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if err = json.Unmarshal(raw[3], &trade.Side); err != nil {
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return nil, fmt.Errorf("failed to unmarshal into side: %q", raw[3])
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}
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slice = append(slice, trade)
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}
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return slice, nil
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}
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func (m MarketTrade) ToGlobal(symbol string) (types.Trade, error) {
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side, err := m.Side.ToGlobal()
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if err != nil {
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return types.Trade{}, err
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}
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return types.Trade{
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ID: 0, // not supported
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OrderID: 0, // not supported
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Exchange: types.ExchangeBitget,
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Price: m.Price,
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Quantity: m.Size,
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QuoteQuantity: m.Price.Mul(m.Size),
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Symbol: symbol,
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Side: side,
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IsBuyer: side == types.SideTypeBuy,
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IsMaker: false, // not supported
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Time: types.Time(m.Ts.Time()),
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Fee: fixedpoint.Zero, // not supported
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FeeCurrency: "", // not supported
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}, nil
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}
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type MarketTradeEvent struct {
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Events MarketTradeSlice
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|
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// internal use
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actionType ActionType
|
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instId string
|
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}
|
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|
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