mirror of
https://github.com/c9s/bbgo.git
synced 2024-09-20 16:21:09 +00:00
use fixedpoint to parse payload directly
This commit is contained in:
c9s
parent
e5b4af53e6
commit
71a0604e72
|
|
@ -13,7 +13,6 @@ import (
|
|||
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
"github.com/c9s/bbgo/pkg/util"
|
||||
)
|
||||
|
||||
/*
|
||||
|
|
@ -68,20 +67,20 @@ type ExecutionReportEvent struct {
|
|||
OrderCreationTime int64 `json:"O"`
|
||||
|
||||
TimeInForce string `json:"f"`
|
||||
IcebergQuantity string `json:"F"`
|
||||
IcebergQuantity fixedpoint.Value `json:"F"`
|
||||
|
||||
OrderQuantity string `json:"q"`
|
||||
QuoteOrderQuantity string `json:"Q"`
|
||||
OrderQuantity fixedpoint.Value `json:"q"`
|
||||
QuoteOrderQuantity fixedpoint.Value `json:"Q"`
|
||||
|
||||
OrderPrice string `json:"p"`
|
||||
StopPrice string `json:"P"`
|
||||
OrderPrice fixedpoint.Value `json:"p"`
|
||||
StopPrice fixedpoint.Value `json:"P"`
|
||||
|
||||
IsOnBook bool `json:"w"`
|
||||
|
||||
IsMaker bool `json:"m"`
|
||||
Ignore bool `json:"M"`
|
||||
|
||||
CommissionAmount string `json:"n"`
|
||||
CommissionAmount fixedpoint.Value `json:"n"`
|
||||
CommissionAsset string `json:"N"`
|
||||
|
||||
CurrentExecutionType string `json:"x"`
|
||||
|
|
@ -93,13 +92,13 @@ type ExecutionReportEvent struct {
|
|||
TradeID int64 `json:"t"`
|
||||
TransactionTime int64 `json:"T"`
|
||||
|
||||
LastExecutedQuantity string `json:"l"`
|
||||
LastExecutedPrice string `json:"L"`
|
||||
LastExecutedQuantity fixedpoint.Value `json:"l"`
|
||||
LastExecutedPrice fixedpoint.Value `json:"L"`
|
||||
|
||||
CumulativeFilledQuantity string `json:"z"`
|
||||
CumulativeQuoteAssetTransactedQuantity string `json:"Z"`
|
||||
CumulativeFilledQuantity fixedpoint.Value `json:"z"`
|
||||
CumulativeQuoteAssetTransactedQuantity fixedpoint.Value `json:"Z"`
|
||||
|
||||
LastQuoteAssetTransactedQuantity string `json:"Y"`
|
||||
LastQuoteAssetTransactedQuantity fixedpoint.Value `json:"Y"`
|
||||
}
|
||||
|
||||
func (e *ExecutionReportEvent) Order() (*types.Order, error) {
|
||||
|
|
@ -120,13 +119,13 @@ func (e *ExecutionReportEvent) Order() (*types.Order, error) {
|
|||
ClientOrderID: e.ClientOrderID,
|
||||
Side: toGlobalSideType(binance.SideType(e.Side)),
|
||||
Type: toGlobalOrderType(binance.OrderType(e.OrderType)),
|
||||
Quantity: util.MustParseFloat(e.OrderQuantity),
|
||||
Price: util.MustParseFloat(e.OrderPrice),
|
||||
Quantity: e.OrderQuantity.Float64(),
|
||||
Price: e.OrderPrice.Float64(),
|
||||
TimeInForce: e.TimeInForce,
|
||||
},
|
||||
OrderID: uint64(e.OrderID),
|
||||
Status: toGlobalOrderStatus(binance.OrderStatusType(e.CurrentOrderStatus)),
|
||||
ExecutedQuantity: util.MustParseFloat(e.CumulativeFilledQuantity),
|
||||
ExecutedQuantity: e.CumulativeFilledQuantity.Float64(),
|
||||
CreationTime: types.Time(orderCreationTime),
|
||||
}, nil
|
||||
}
|
||||
|
|
@ -143,13 +142,13 @@ func (e *ExecutionReportEvent) Trade() (*types.Trade, error) {
|
|||
Symbol: e.Symbol,
|
||||
OrderID: uint64(e.OrderID),
|
||||
Side: toGlobalSideType(binance.SideType(e.Side)),
|
||||
Price: util.MustParseFloat(e.LastExecutedPrice),
|
||||
Quantity: util.MustParseFloat(e.LastExecutedQuantity),
|
||||
QuoteQuantity: util.MustParseFloat(e.LastQuoteAssetTransactedQuantity),
|
||||
Price: e.LastExecutedPrice.Float64(),
|
||||
Quantity: e.LastExecutedQuantity.Float64(),
|
||||
QuoteQuantity: e.LastQuoteAssetTransactedQuantity.Float64(),
|
||||
IsBuyer: e.Side == "BUY",
|
||||
IsMaker: e.IsMaker,
|
||||
Time: types.Time(tt),
|
||||
Fee: util.MustParseFloat(e.CommissionAmount),
|
||||
Fee: e.CommissionAmount.Float64(),
|
||||
FeeCurrency: e.CommissionAsset,
|
||||
}, nil
|
||||
}
|
||||
|
|
@ -264,12 +263,12 @@ func parseWebSocketEvent(message []byte) (interface{}, error) {
|
|||
return nil, err
|
||||
}
|
||||
|
||||
//res, err := json.MarshalIndent(message, "", " ")
|
||||
//if err != nil {
|
||||
// res, err := json.MarshalIndent(message, "", " ")
|
||||
// if err != nil {
|
||||
// log.Fatal(err)
|
||||
//}
|
||||
//str := strings.ReplaceAll(string(res), "\\", "")
|
||||
//fmt.Println(str)
|
||||
// }
|
||||
// str := strings.ReplaceAll(string(res), "\\", "")
|
||||
// fmt.Println(str)
|
||||
eventType := string(val.GetStringBytes("e"))
|
||||
if eventType == "" && IsBookTicker(val) {
|
||||
eventType = "bookticker"
|
||||
|
|
@ -348,7 +347,7 @@ func parseWebSocketEvent(message []byte) (interface{}, error) {
|
|||
}
|
||||
|
||||
// IsBookTicker document ref :https://binance-docs.github.io/apidocs/spot/en/#individual-symbol-book-ticker-streams
|
||||
//use key recognition because there's no identify in the content.
|
||||
// use key recognition because there's no identify in the content.
|
||||
func IsBookTicker(val *fastjson.Value) bool {
|
||||
return !val.Exists("e") && val.Exists("u") &&
|
||||
val.Exists("s") && val.Exists("b") &&
|
||||
|
|
@ -611,20 +610,20 @@ type OrderTrade struct {
|
|||
Side string `json:"S"`
|
||||
OrderType string `json:"o"`
|
||||
TimeInForce string `json:"f"`
|
||||
OriginalQuantity string `json:"q"`
|
||||
OriginalPrice string `json:"p"`
|
||||
OriginalQuantity fixedpoint.Value `json:"q"`
|
||||
OriginalPrice fixedpoint.Value `json:"p"`
|
||||
|
||||
AveragePrice string `json:"ap"`
|
||||
StopPrice string `json:"sp"`
|
||||
AveragePrice fixedpoint.Value `json:"ap"`
|
||||
StopPrice fixedpoint.Value `json:"sp"`
|
||||
CurrentExecutionType string `json:"x"`
|
||||
CurrentOrderStatus string `json:"X"`
|
||||
|
||||
OrderId int64 `json:"i"`
|
||||
OrderLastFilledQuantity string `json:"l"`
|
||||
OrderFilledAccumulatedQuantity string `json:"z"`
|
||||
LastFilledPrice string `json:"L"`
|
||||
OrderLastFilledQuantity fixedpoint.Value `json:"l"`
|
||||
OrderFilledAccumulatedQuantity fixedpoint.Value `json:"z"`
|
||||
LastFilledPrice fixedpoint.Value `json:"L"`
|
||||
|
||||
CommissionAmount string `json:"n"`
|
||||
CommissionAmount fixedpoint.Value `json:"n"`
|
||||
CommissionAsset string `json:"N"`
|
||||
|
||||
OrderTradeTime int64 `json:"T"`
|
||||
|
|
@ -709,13 +708,13 @@ func (e *OrderTradeUpdateEvent) OrderFutures() (*types.Order, error) {
|
|||
ClientOrderID: e.OrderTrade.ClientOrderID,
|
||||
Side: toGlobalFuturesSideType(futures.SideType(e.OrderTrade.Side)),
|
||||
Type: toGlobalFuturesOrderType(futures.OrderType(e.OrderTrade.OrderType)),
|
||||
Quantity: util.MustParseFloat(e.OrderTrade.OriginalQuantity),
|
||||
Price: util.MustParseFloat(e.OrderTrade.OriginalPrice),
|
||||
Quantity: e.OrderTrade.OriginalQuantity.Float64(),
|
||||
Price: e.OrderTrade.OriginalPrice.Float64(),
|
||||
TimeInForce: e.OrderTrade.TimeInForce,
|
||||
},
|
||||
OrderID: uint64(e.OrderTrade.OrderId),
|
||||
Status: toGlobalFuturesOrderStatus(futures.OrderStatusType(e.OrderTrade.CurrentOrderStatus)),
|
||||
ExecutedQuantity: util.MustParseFloat(e.OrderTrade.OrderFilledAccumulatedQuantity),
|
||||
ExecutedQuantity: e.OrderTrade.OrderFilledAccumulatedQuantity.Float64(),
|
||||
CreationTime: types.Time(orderCreationTime),
|
||||
}, nil
|
||||
}
|
||||
|
|
@ -757,12 +756,12 @@ type BookTickerEvent struct {
|
|||
BuySize fixedpoint.Value `json:"B"`
|
||||
Sell fixedpoint.Value `json:"a"`
|
||||
SellSize fixedpoint.Value `json:"A"`
|
||||
//"u":400900217, // order book updateId
|
||||
//"s":"BNBUSDT", // symbol
|
||||
//"b":"25.35190000", // best bid price
|
||||
//"B":"31.21000000", // best bid qty
|
||||
//"a":"25.36520000", // best ask price
|
||||
//"A":"40.66000000" // best ask qty
|
||||
// "u":400900217, // order book updateId
|
||||
// "s":"BNBUSDT", // symbol
|
||||
// "b":"25.35190000", // best bid price
|
||||
// "B":"31.21000000", // best bid qty
|
||||
// "a":"25.36520000", // best ask price
|
||||
// "A":"40.66000000" // best ask qty
|
||||
}
|
||||
|
||||
func (k *BookTickerEvent) BookTicker() types.BookTicker {
|
||||
|
|
|
|||
|
|
@ -5,6 +5,8 @@ import (
|
|||
"testing"
|
||||
|
||||
"github.com/stretchr/testify/assert"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
)
|
||||
|
||||
var jsCommentTrimmer = regexp.MustCompile("(?m)//.*$")
|
||||
|
|
@ -186,15 +188,15 @@ func TestParseOrderUpdate(t *testing.T) {
|
|||
assert.Equal(t, executionReport.OrderType, "LIMIT")
|
||||
assert.Equal(t, executionReport.OrderCreationTime, int64(1499405658657))
|
||||
assert.Equal(t, executionReport.TimeInForce, "GTC")
|
||||
assert.Equal(t, executionReport.IcebergQuantity, "0.00000000")
|
||||
assert.Equal(t, executionReport.OrderQuantity, "1.00000000")
|
||||
assert.Equal(t, executionReport.QuoteOrderQuantity, "2.0")
|
||||
assert.Equal(t, executionReport.OrderPrice, "0.10264410")
|
||||
assert.Equal(t, executionReport.StopPrice, "0.222")
|
||||
assert.Equal(t, executionReport.IcebergQuantity, fixedpoint.MustNewFromString("0.00000000"))
|
||||
assert.Equal(t, executionReport.OrderQuantity, fixedpoint.MustNewFromString("1.00000000"))
|
||||
assert.Equal(t, executionReport.QuoteOrderQuantity, fixedpoint.MustNewFromString("2.0"))
|
||||
assert.Equal(t, executionReport.OrderPrice, fixedpoint.MustNewFromString("0.10264410"))
|
||||
assert.Equal(t, executionReport.StopPrice, fixedpoint.MustNewFromString("0.222"))
|
||||
assert.Equal(t, executionReport.IsOnBook, true)
|
||||
assert.Equal(t, executionReport.IsMaker, false)
|
||||
assert.Equal(t, executionReport.Ignore, true)
|
||||
assert.Equal(t, executionReport.CommissionAmount, "0")
|
||||
assert.Equal(t, executionReport.CommissionAmount, fixedpoint.MustNewFromString("0"))
|
||||
assert.Equal(t, executionReport.CommissionAsset, "")
|
||||
assert.Equal(t, executionReport.CurrentExecutionType, "NEW")
|
||||
assert.Equal(t, executionReport.CurrentOrderStatus, "NEW")
|
||||
|
|
@ -202,11 +204,11 @@ func TestParseOrderUpdate(t *testing.T) {
|
|||
assert.Equal(t, executionReport.Ignored, int64(8641984))
|
||||
assert.Equal(t, executionReport.TradeID, int64(-1))
|
||||
assert.Equal(t, executionReport.TransactionTime, int64(1499405658657))
|
||||
assert.Equal(t, executionReport.LastExecutedQuantity, "0.00000000")
|
||||
assert.Equal(t, executionReport.LastExecutedPrice, "0.00000001")
|
||||
assert.Equal(t, executionReport.CumulativeFilledQuantity, "0.00000000")
|
||||
assert.Equal(t, executionReport.CumulativeQuoteAssetTransactedQuantity, "0.1")
|
||||
assert.Equal(t, executionReport.LastQuoteAssetTransactedQuantity, "0.00000000")
|
||||
assert.Equal(t, executionReport.LastExecutedQuantity, fixedpoint.MustNewFromString("0.00000000"))
|
||||
assert.Equal(t, executionReport.LastExecutedPrice, fixedpoint.MustNewFromString("0.00000001"))
|
||||
assert.Equal(t, executionReport.CumulativeFilledQuantity, fixedpoint.MustNewFromString("0.00000000"))
|
||||
assert.Equal(t, executionReport.CumulativeQuoteAssetTransactedQuantity, fixedpoint.MustNewFromString("0.1"))
|
||||
assert.Equal(t, executionReport.LastQuoteAssetTransactedQuantity, fixedpoint.MustNewFromString("0.00000000"))
|
||||
|
||||
orderUpdate, err := executionReport.Order()
|
||||
assert.NoError(t, err)
|
||||
|
|
@ -395,12 +397,12 @@ func TestParseOrderFuturesUpdate(t *testing.T) {
|
|||
assert.Equal(t, orderTradeEvent.OrderTrade.OrderType, "MARKET")
|
||||
assert.Equal(t, orderTradeEvent.Time, int64(1639933384763))
|
||||
assert.Equal(t, orderTradeEvent.OrderTrade.OrderTradeTime, int64(1639933384755))
|
||||
assert.Equal(t, orderTradeEvent.OrderTrade.OriginalQuantity, "0.001")
|
||||
assert.Equal(t, orderTradeEvent.OrderTrade.OrderLastFilledQuantity, "0.001")
|
||||
assert.Equal(t, orderTradeEvent.OrderTrade.OrderFilledAccumulatedQuantity, "0.001")
|
||||
assert.Equal(t, orderTradeEvent.OrderTrade.OriginalQuantity, fixedpoint.MustNewFromString("0.001"))
|
||||
assert.Equal(t, orderTradeEvent.OrderTrade.OrderLastFilledQuantity, fixedpoint.MustNewFromString("0.001"))
|
||||
assert.Equal(t, orderTradeEvent.OrderTrade.OrderFilledAccumulatedQuantity, fixedpoint.MustNewFromString("0.001"))
|
||||
assert.Equal(t, orderTradeEvent.OrderTrade.CurrentExecutionType, "TRADE")
|
||||
assert.Equal(t, orderTradeEvent.OrderTrade.CurrentOrderStatus, "FILLED")
|
||||
assert.Equal(t, orderTradeEvent.OrderTrade.LastFilledPrice, "47202.40")
|
||||
assert.Equal(t, orderTradeEvent.OrderTrade.LastFilledPrice, fixedpoint.MustNewFromString("47202.40"))
|
||||
assert.Equal(t, orderTradeEvent.OrderTrade.OrderId, int64(38541728873))
|
||||
assert.Equal(t, orderTradeEvent.OrderTrade.TradeId, int64(1741505949))
|
||||
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user