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Merge pull request #494 from zenixls2/feature/ftx_pub_trade
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commit
42a503c0f9
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@ -111,25 +111,36 @@ func (s *Stream) addSubscription(request websocketRequest) {
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}
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func (s *Stream) Subscribe(channel types.Channel, symbol string, option types.SubscribeOptions) {
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if channel == types.BookChannel {
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switch channel {
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case types.BookChannel:
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s.addSubscription(websocketRequest{
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Operation: subscribe,
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Channel: orderBookChannel,
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Market: toLocalSymbol(TrimUpperString(symbol)),
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})
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} else if channel == types.BookTickerChannel {
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return
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case types.BookTickerChannel:
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s.addSubscription(websocketRequest{
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Operation: subscribe,
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Channel: bookTickerChannel,
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Market: toLocalSymbol(TrimUpperString(symbol)),
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})
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} else if channel == types.KLineChannel {
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return
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case types.KLineChannel:
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// FTX does not support kline channel, do polling
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interval := types.Interval(option.Interval)
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ks := klineSubscription{symbol: symbol, interval: interval}
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s.klineSubscriptions = append(s.klineSubscriptions, ks)
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} else {
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panic("only support book/kline channel now")
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return
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case types.MarketTradeChannel:
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s.addSubscription(websocketRequest{
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Operation: subscribe,
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Channel: marketTradeChannel,
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Market: toLocalSymbol(TrimUpperString(symbol)),
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})
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return
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default:
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panic("only support book/kline/trade channel now")
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}
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}
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@ -31,6 +31,8 @@ func (h *messageHandler) handleMessage(message []byte) {
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h.handleOrderBook(r)
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case bookTickerChannel:
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h.handleBookTicker(r)
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case marketTradeChannel:
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h.handleMarketTrade(r)
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case privateOrdersChannel:
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h.handlePrivateOrders(r)
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case privateTradesChannel:
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@ -83,6 +85,21 @@ func (h *messageHandler) handleOrderBook(response websocketResponse) {
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}
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}
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func (h *messageHandler) handleMarketTrade(response websocketResponse) {
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if response.Type == subscribedRespType {
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h.handleSubscribedMessage(response)
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return
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}
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trades, err := response.toMarketTradeResponse()
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if err != nil {
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logger.WithError(err).Errorf("failed to generate market trade %v", response)
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return
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}
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for _, trade := range trades {
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h.EmitMarketTrade(trade)
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}
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}
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func (h *messageHandler) handleBookTicker(response websocketResponse) {
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if response.Type == subscribedRespType {
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h.handleSubscribedMessage(response)
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@ -24,6 +24,7 @@ const unsubscribe operation = "unsubscribe"
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type channel string
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const orderBookChannel channel = "orderbook"
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const marketTradeChannel channel = "trades"
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const bookTickerChannel channel = "ticker"
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const privateOrdersChannel channel = "orders"
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const privateTradesChannel channel = "fills"
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@ -119,6 +120,42 @@ type orderUpdateResponse struct {
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Data ftxapi.Order `json:"data"`
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}
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type trade struct {
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Price fixedpoint.Value `json:"price"`
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Size fixedpoint.Value `json:"size"`
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Side string `json:"side"`
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Liquidation bool `json:"liquidation"`
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Time time.Time `json:"time"`
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}
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type tradeResponse struct {
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mandatoryFields
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Data []trade `json:"data"`
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}
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func (r websocketResponse) toMarketTradeResponse() (t []types.Trade, err error) {
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if r.Channel != marketTradeChannel {
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return t, fmt.Errorf("type %s, channel %s: channel incorrect", r.Type, r.Channel)
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}
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var tds []trade
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if err = json.Unmarshal(r.Data, &tds); err != nil {
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return t, err
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}
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t = make([]types.Trade, len(tds))
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for i, td := range tds {
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tt := &t[i]
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tt.Exchange = types.ExchangeFTX
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tt.Price = td.Price
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tt.Quantity = td.Size
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tt.QuoteQuantity = td.Size
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tt.Symbol = r.Market
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tt.Side = types.SideType(TrimUpperString(string(td.Side)))
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tt.IsBuyer = true
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tt.IsMaker = false
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tt.Time = types.Time(td.Time)
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}
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return t, nil
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}
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func (r websocketResponse) toOrderUpdateResponse() (orderUpdateResponse, error) {
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if r.Channel != privateOrdersChannel {
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return orderUpdateResponse{}, fmt.Errorf("type %s, channel %s: %w", r.Type, r.Channel, errUnsupportedConversion)
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@ -150,7 +187,7 @@ func (r websocketResponse) toTradeUpdateResponse() (tradeUpdateResponse, error)
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}
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/*
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Private:
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Private:
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order: {"type": "subscribed", "channel": "orders"}
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Public
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