Merge pull request #249 from jnlin/ftx/websocket-kline

Implement kline stream and subaccount feature for FTX exchange

examples/max-eqmaker/main.go

@@ -100,7 +100,7 @@ var rootCmd = &cobra.Command{
 		})
 
 		stream.OnBalanceSnapshot(func(balances types.BalanceMap) {
-			log.Infof("balances: %+v",balances)
+			log.Infof("balances: %+v", balances)
 		})
 
 		streambook := types.NewStreamBook(symbol)

pkg/exchange/ftx/convert.go

@@ -20,6 +20,10 @@ func toGlobalSymbol(original string) string {
 }
 
 func toLocalSymbol(original string) string {
+	if symbolMap[original] == "" {
+		return original
+	}
+
 	return symbolMap[original]
 }
 

pkg/exchange/ftx/exchange.go

@@ -87,7 +87,7 @@ func (e *Exchange) PlatformFeeCurrency() string {
 }
 
 func (e *Exchange) NewStream() types.Stream {
-	return NewStream(e.key, e.secret)
+	return NewStream(e.key, e.secret, e.subAccount, e)
 }
 
 func (e *Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) {
@@ -248,7 +248,7 @@ func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *type
 
 	tradeIDs := make(map[int64]struct{})
 
-	var lastTradeID int64
+	lastTradeID := options.LastTradeID
 	var trades []types.Trade
 	symbol = strings.ToUpper(symbol)
 
@@ -267,15 +267,18 @@ func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *type
 		})
 
 		for _, r := range resp.Result {
+			// always update since to avoid infinite loop
+			since = r.Time.Time
+
 			if _, ok := tradeIDs[r.TradeId]; ok {
 				continue
 			}
-			if r.TradeId <= lastTradeID || r.Time.Before(since) || r.Time.After(until) || r.Market != symbol {
+
+			if r.TradeId <= lastTradeID || r.Time.Before(since) || r.Time.After(until) || r.Market != toLocalSymbol(symbol) {
 				continue
 			}
 			tradeIDs[r.TradeId] = struct{}{}
 			lastTradeID = r.TradeId
-			since = r.Time.Time
 
 			t, err := toGlobalTrade(r)
 			if err != nil {

pkg/exchange/ftx/rest.go

@@ -40,6 +40,9 @@ type restRequest struct {
 
 	// payload
 	p map[string]interface{}
+
+	// object id
+	id string
 }
 
 func newRestRequest(c *http.Client, baseURL *url.URL) *restRequest {
@@ -80,13 +83,23 @@ func (r *restRequest) ReferenceURL(refURL string) *restRequest {
 }
 
 func (r *restRequest) buildURL() (*url.URL, error) {
-	refURL, err := url.Parse(r.refURL)
+	u := r.refURL
+	if len(r.id) > 0 {
+		u = u + "/" + r.id
+	}
+	refURL, err := url.Parse(u)
 	if err != nil {
 		return nil, err
 	}
+
 	return r.baseURL.ResolveReference(refURL), nil
 }
 
+func (r *restRequest) ID(id string) *restRequest {
+	r.id = id
+	return r
+}
+
 func (r *restRequest) Payloads(payloads map[string]interface{}) *restRequest {
 	for k, v := range payloads {
 		r.p[k] = v

pkg/exchange/ftx/rest_order_request.go

@@ -68,7 +68,7 @@ func (r *orderRequest) CancelOrderByOrderID(ctx context.Context, orderID uint64)
 	resp, err := r.
 		Method("DELETE").
 		ReferenceURL("api/orders").
-		Payloads(map[string]interface{}{"order_id": orderID}).
+		ID(strconv.FormatUint(orderID, 10)).
 		DoAuthenticatedRequest(ctx)
 	if err != nil {
 		return cancelOrderResponse{}, err
@@ -85,7 +85,7 @@ func (r *orderRequest) CancelOrderByClientID(ctx context.Context, clientID strin
 	resp, err := r.
 		Method("DELETE").
 		ReferenceURL("api/orders/by_client_id").
-		Payloads(map[string]interface{}{"client_order_id": clientID}).
+		ID(clientID).
 		DoAuthenticatedRequest(ctx)
 	if err != nil {
 		return cancelOrderResponse{}, err

pkg/exchange/ftx/stream.go

@@ -17,35 +17,47 @@ const endpoint = "wss://ftx.com/ws/"
 type Stream struct {
 	*types.StandardStream
 
-	ws *service.WebsocketClientBase
+	ws       *service.WebsocketClientBase
+	exchange *Exchange
 
 	// publicOnly can only be configured before connecting
 	publicOnly int32
 
-	key    string
-	secret string
+	key        string
+	secret     string
+	subAccount string
 
 	// subscriptions are only accessed in single goroutine environment, so I don't use mutex to protect them
-	subscriptions []websocketRequest
+	subscriptions      []websocketRequest
+	klineSubscriptions []klineSubscription
 }
 
-func NewStream(key, secret string) *Stream {
+type klineSubscription struct {
+	symbol   string
+	interval types.Interval
+}
+
+func NewStream(key, secret string, subAccount string, e *Exchange) *Stream {
 	s := &Stream{
+		exchange:       e,
 		key:            key,
 		secret:         secret,
+		subAccount:     subAccount,
 		StandardStream: &types.StandardStream{},
 		ws:             service.NewWebsocketClientBase(endpoint, 3*time.Second),
 	}
 
 	s.ws.OnMessage((&messageHandler{StandardStream: s.StandardStream}).handleMessage)
 	s.ws.OnConnected(func(conn *websocket.Conn) {
-		subs := []websocketRequest{newLoginRequest(s.key, s.secret, time.Now())}
+		subs := []websocketRequest{newLoginRequest(s.key, s.secret, time.Now(), s.subAccount)}
 		subs = append(subs, s.subscriptions...)
 		for _, sub := range subs {
 			if err := conn.WriteJSON(sub); err != nil {
 				s.ws.EmitError(fmt.Errorf("failed to send subscription: %+v", sub))
 			}
 		}
+
+		s.EmitConnect()
 	})
 
 	return s
@@ -60,6 +72,8 @@ func (s *Stream) Connect(ctx context.Context) error {
 	if err := s.ws.Connect(ctx); err != nil {
 		return err
 	}
+	s.EmitStart()
+	go s.pollKLines(ctx)
 
 	go func() {
 		// https://docs.ftx.com/?javascript#request-process
@@ -102,15 +116,77 @@ func (s *Stream) SetPublicOnly() {
 	atomic.StoreInt32(&s.publicOnly, 1)
 }
 
-func (s *Stream) Subscribe(channel types.Channel, symbol string, _ types.SubscribeOptions) {
-	if channel != types.BookChannel {
-		panic("only support book channel now")
+func (s *Stream) Subscribe(channel types.Channel, symbol string, option types.SubscribeOptions) {
+	if channel == types.BookChannel {
+		s.addSubscription(websocketRequest{
+			Operation: subscribe,
+			Channel:   orderBookChannel,
+			Market:    toLocalSymbol(TrimUpperString(symbol)),
+		})
+
+	} else if channel == types.KLineChannel {
+		// FTX does not support kline channel, do polling
+		interval := types.Interval(option.Interval)
+		ks := klineSubscription{symbol: symbol, interval: interval}
+		s.klineSubscriptions = append(s.klineSubscriptions, ks)
+	} else {
+		panic("only support book/kline channel now")
 	}
-	s.addSubscription(websocketRequest{
-		Operation: subscribe,
-		Channel:   orderBookChannel,
-		Market:    toLocalSymbol(TrimUpperString(symbol)),
+}
+
+func (s *Stream) pollKLines(ctx context.Context) {
+	// get current kline candle
+	for _, sub := range s.klineSubscriptions {
+		klines := getLastKLine(s.exchange, ctx, sub.symbol, sub.interval)
+
+		if len(klines) >= 0 {
+			// handle mutiple klines, get the latest one
+			s.EmitKLineClosed(klines[len(klines)-1])
+		}
+	}
+
+	// the highest resolution of kline is 1min
+	ticker := time.NewTicker(time.Minute)
+	defer ticker.Stop()
+
+	for {
+		select {
+		case <-ctx.Done():
+			if err := ctx.Err(); err != nil {
+				logger.WithError(err).Errorf("pollKLines goroutine is terminated")
+			}
+			return
+		case <-ticker.C:
+			now := time.Now().Truncate(time.Minute)
+			for _, sub := range s.klineSubscriptions {
+				subTime := now.Truncate(sub.interval.Duration())
+				if now != subTime {
+					// not in the checking time slot, check next subscription
+					continue
+				}
+				klines := getLastKLine(s.exchange, ctx, sub.symbol, sub.interval)
+
+				if len(klines) >= 0 {
+					// handle mutiple klines, get the latest one
+					s.EmitKLineClosed(klines[len(klines)-1])
+				}
+			}
+		}
+	}
+}
+
+func getLastKLine(e *Exchange, ctx context.Context, symbol string, interval types.Interval) []types.KLine {
+	// set since to more 30s ago to avoid getting no kline candle
+	since := time.Now().Add(time.Duration(-1*(interval.Minutes()*60+30)) * time.Second)
+	klines, err := e.QueryKLines(ctx, symbol, interval, types.KLineQueryOptions{
+		StartTime: &since,
 	})
+	if err != nil {
+		logger.WithError(err).Errorf("failed to get kline data")
+		return klines
+	}
+
+	return klines
 }
 
 func (s *Stream) Close() error {

pkg/exchange/ftx/websocket_messages.go

@@ -58,17 +58,18 @@ type loginArgs struct {
 	Key        string `json:"key"`
 	Signature  string `json:"sign"`
 	Time       int64  `json:"time"`
-	SubAccount string `json:"subaccount"`
+	SubAccount string `json:"subaccount,omitempty"`
 }
 
-func newLoginRequest(key, secret string, t time.Time) websocketRequest {
+func newLoginRequest(key, secret string, t time.Time, subaccount string) websocketRequest {
 	millis := t.UnixNano() / int64(time.Millisecond)
 	return websocketRequest{
 		Operation: login,
 		Login: loginArgs{
-			Key:       key,
-			Signature: sign(secret, loginBody(millis)),
-			Time:      millis,
+			Key:        key,
+			Signature:  sign(secret, loginBody(millis)),
+			Time:       millis,
+			SubAccount: subaccount,
 		},
 	}
 }

pkg/exchange/ftx/websocket_messages_test.go

@@ -180,7 +180,7 @@ func Test_insertAt(t *testing.T) {
 
 func Test_newLoginRequest(t *testing.T) {
 	// From API doc: https://docs.ftx.com/?javascript#authentication-2
-	r := newLoginRequest("", "Y2QTHI23f23f23jfjas23f23To0RfUwX3H42fvN-", time.Unix(0, 1557246346499*int64(time.Millisecond)))
+	r := newLoginRequest("", "Y2QTHI23f23f23jfjas23f23To0RfUwX3H42fvN-", time.Unix(0, 1557246346499*int64(time.Millisecond)), "")
 	expectedSignature := "d10b5a67a1a941ae9463a60b285ae845cdeac1b11edc7da9977bef0228b96de9"
 	assert.Equal(t, expectedSignature, r.Login.Signature)
 	jsonStr, err := json.Marshal(r)