okex: convert book data to book snapshot and book update

pkg/exchange/okex/parse.go

@@ -6,6 +6,7 @@ import (
 	"strconv"
 
 	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
 	"github.com/valyala/fastjson"
 )
 
@@ -54,6 +55,22 @@ type BookData struct {
 	Checksum             int
 }
 
+func (data *BookData) Book() types.SliceOrderBook {
+	book := types.SliceOrderBook{
+		Symbol: data.Symbol,
+	}
+
+	for _, bid := range data.Bids {
+		book.Bids = append(book.Bids, types.PriceVolume{Price: bid.Price, Volume: bid.Volume})
+	}
+
+	for _, ask := range data.Asks {
+		book.Asks = append(book.Asks, types.PriceVolume{Price: ask.Price, Volume: ask.Volume})
+	}
+
+	return book
+}
+
 type BookEntry struct {
 	Price         fixedpoint.Value
 	Volume        fixedpoint.Value

pkg/exchange/okex/stream.go

@@ -28,7 +28,10 @@ type Stream struct {
 
 	publicOnly bool
 
-	klineCallbacks []func()
+	// public callbacks
+	cancelDataCallbacks []func()
+	bookDataCallbacks   []func(data BookData)
+	eventCallbacks      []func(event WebSocketEvent)
 }
 
 func NewStream(client *okexapi.RestClient) *Stream {
@@ -39,6 +42,16 @@ func NewStream(client *okexapi.RestClient) *Stream {
 		},
 	}
 
+	stream.OnBookData(func(data BookData) {
+		book := data.Book()
+		switch data.Action {
+		case "snapshot":
+			stream.EmitBookSnapshot(book)
+		case "update":
+			stream.EmitBookUpdate(book)
+		}
+	})
+
 	stream.OnConnect(func() {
 		var subs []WebsocketSubscription
 		for _, subscription := range stream.Subscriptions {
@@ -213,7 +226,17 @@ func (s *Stream) read(ctx context.Context) {
 				log.WithError(err).Error("message parse error")
 			}
 
-			log.Infof("%+v", e)
+			if e != nil {
+				log.Infof("%+v", e)
+
+				switch et := e.(type) {
+				case *WebSocketEvent:
+					s.EmitEvent(*et)
+
+				case *BookData:
+					s.EmitBookData(*et)
+				}
+			}
 		}
 	}
 }

pkg/exchange/okex/stream_callbacks.go

@@ -4,16 +4,40 @@ package okex
 
 import ()
 
-func (s *Stream) OnKline(cb func()) {
-	s.klineCallbacks = append(s.klineCallbacks, cb)
+func (s *Stream) OnCancelData(cb func()) {
+	s.cancelDataCallbacks = append(s.cancelDataCallbacks, cb)
 }
 
-func (s *Stream) EmitKline() {
-	for _, cb := range s.klineCallbacks {
+func (s *Stream) EmitCancelData() {
+	for _, cb := range s.cancelDataCallbacks {
 		cb()
 	}
 }
 
-type StreamEventHub interface {
-	OnKline(cb func())
+func (s *Stream) OnBookData(cb func(data BookData)) {
+	s.bookDataCallbacks = append(s.bookDataCallbacks, cb)
+}
+
+func (s *Stream) EmitBookData(data BookData) {
+	for _, cb := range s.bookDataCallbacks {
+		cb(data)
+	}
+}
+
+func (s *Stream) OnEvent(cb func(event WebSocketEvent)) {
+	s.eventCallbacks = append(s.eventCallbacks, cb)
+}
+
+func (s *Stream) EmitEvent(event WebSocketEvent) {
+	for _, cb := range s.eventCallbacks {
+		cb(event)
+	}
+}
+
+type StreamEventHub interface {
+	OnCancelData(cb func())
+
+	OnBookData(cb func(data BookData))
+
+	OnEvent(cb func(event WebSocketEvent))
 }