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ftx: unmarshal orderbook snapshot

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This commit is contained in:
ycdesu 2021-03-01 08:13:21 +08:00
parent 45528fa219
commit 253810556e
3 changed files with 888 additions and 1 deletions
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814
pkg/exchange/ftx/orderbook_snapshot.json Normal file
View File

@ -0,0 +1,814 @@
{
"channel": "orderbook",
"market": "BTC/USDT",
"type": "partial",
"data": {
"time": 1614520368.9313016,
"checksum": 2150525410,
"bids": [
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]
],
"asks": [
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],
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],
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],
[
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],
[
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],
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],
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],
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],
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],
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],
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[
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[
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[
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],
[
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],
[
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],
[
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],
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],
[
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[
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],
[
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],
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],
[
44983.0,
0.001
],
[
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],
[
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],
[
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],
[
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],
[
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]
],
"action": "partial"
}
}

54
pkg/exchange/ftx/websocket_messages.go
View File

@ -1,6 +1,11 @@
package ftx
import "encoding/json"
import (
"encoding/json"
"fmt"
"math"
"time"
)
type operation string
@ -56,7 +61,54 @@ func (r rawResponse) toSubscribedResp() subscribedResponse {
}
}
func (r rawResponse) toSnapshotResp() (snapshotResponse, error) {
o := snapshotResponse{
mandatoryFields: r.mandatoryFields,
}
if err := json.Unmarshal(r.Data["action"], &o.Action); err != nil {
return snapshotResponse{}, fmt.Errorf("failed to unmarshal data.action field: %w", err)
}
var t float64
if err := json.Unmarshal(r.Data["time"], &t); err != nil {
return snapshotResponse{}, fmt.Errorf("failed to unmarshal data.time field: %w", err)
}
sec, dec := math.Modf(t)
o.Time = time.Unix(int64(sec), int64(dec*1e9))
if err := json.Unmarshal(r.Data["checksum"], &o.Checksum); err != nil {
return snapshotResponse{}, fmt.Errorf("failed to unmarshal data.checksum field: %w", err)
}
if err := json.Unmarshal(r.Data["bids"], &o.Bids); err != nil {
return snapshotResponse{}, fmt.Errorf("failed to unmarshal data.bids field: %w", err)
}
if err := json.Unmarshal(r.Data["asks"], &o.Asks); err != nil {
return snapshotResponse{}, fmt.Errorf("failed to unmarshal data.asks field: %w", err)
}
return o, nil
}
// {"type": "subscribed", "channel": "orderbook", "market": "BTC/USDT"}
type subscribedResponse struct {
mandatoryFields
}
type snapshotResponse struct {
mandatoryFields
Action string
Time time.Time
Checksum int64
// Best 100 orders
Bids [][]float64
// Best 100 orders
Asks [][]float64
}

21
pkg/exchange/ftx/websocket_messages_test.go
View File

@ -2,6 +2,7 @@ package ftx
import (
"encoding/json"
"io/ioutil"
"testing"
"github.com/stretchr/testify/assert"
@ -16,3 +17,23 @@ func Test_rawResponse_toSubscribedResp(t *testing.T) {
assert.Equal(t, orderbook, r.Channel)
assert.Equal(t, "BTC/USDT", r.Market)
}
func Test_rawResponse_toSnapshotResp(t *testing.T) {
f, err := ioutil.ReadFile("./orderbook_snapshot.json")
assert.NoError(t, err)
var m rawResponse
assert.NoError(t, json.Unmarshal(f, &m))
r, err := m.toSnapshotResp()
assert.NoError(t, err)
assert.Equal(t, partialRespType, r.Type)
assert.Equal(t, orderbook, r.Channel)
assert.Equal(t, "BTC/USDT", r.Market)
assert.Equal(t, int64(1614520368), r.Time.Unix())
assert.Equal(t, int64(2150525410), r.Checksum)
assert.Len(t, r.Bids, 100)
assert.Equal(t, []float64{44555.0, 3.3968}, r.Bids[0])
assert.Equal(t, []float64{44554.0, 0.0561}, r.Bids[1])
assert.Len(t, r.Asks, 100)
assert.Equal(t, []float64{44574.0, 0.4591}, r.Asks[0])
assert.Equal(t, []float64{44579.0, 0.15}, r.Asks[1])
}