mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-22 14:55:16 +00:00
okex: refactor okex stream
This commit is contained in:
c9s
parent
9d382a6b8c
commit
96fedfd311
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@ -8,14 +8,15 @@ import (
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"strings"
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"time"
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"github.com/valyala/fastjson"
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"github.com/c9s/bbgo/pkg/exchange/okex/okexapi"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/valyala/fastjson"
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)
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func Parse(str string) (interface{}, error) {
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v, err := fastjson.Parse(str)
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func parseWebSocketEvent(str []byte) (interface{}, error) {
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v, err := fastjson.ParseBytes(str)
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if err != nil {
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return nil, err
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}
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@ -52,7 +53,7 @@ func parseEvent(v *fastjson.Value) (*WebSocketEvent, error) {
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}, nil
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}
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type BookData struct {
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type BookEvent struct {
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InstrumentID string
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Symbol string
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Action string
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@ -63,7 +64,7 @@ type BookData struct {
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channel string
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}
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func (data *BookData) BookTicker() types.BookTicker {
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func (data *BookEvent) BookTicker() types.BookTicker {
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var askBookData BookEntry = data.Asks[0]
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var bidBookData BookEntry = data.Bids[0]
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@ -77,7 +78,7 @@ func (data *BookData) BookTicker() types.BookTicker {
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}
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}
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func (data *BookData) Book() types.SliceOrderBook {
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func (data *BookEvent) Book() types.SliceOrderBook {
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book := types.SliceOrderBook{
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Symbol: data.Symbol,
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}
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@ -130,7 +131,7 @@ func parseBookEntry(v *fastjson.Value) (*BookEntry, error) {
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}, nil
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}
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func parseBookData(v *fastjson.Value) (*BookData, error) {
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func parseBookData(v *fastjson.Value) (*BookEvent, error) {
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instrumentId := string(v.GetStringBytes("arg", "instId"))
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data := v.GetArray("data")
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if len(data) == 0 {
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@ -166,7 +167,7 @@ func parseBookData(v *fastjson.Value) (*BookData, error) {
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bids = append(bids, *entry)
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}
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return &BookData{
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return &BookEvent{
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InstrumentID: instrumentId,
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Symbol: toGlobalSymbol(instrumentId),
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Action: action,
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@ -2,18 +2,13 @@ package okex
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import (
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"context"
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"net"
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"strconv"
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"sync"
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"time"
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"github.com/c9s/bbgo/pkg/exchange/okex/okexapi"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/gorilla/websocket"
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)
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const readTimeout = 15 * time.Second
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type WebsocketOp struct {
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Op string `json:"op"`
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Args interface{} `json:"args"`
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@ -30,18 +25,14 @@ type WebsocketLogin struct {
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type Stream struct {
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types.StandardStream
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Client *okexapi.RestClient
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Conn *websocket.Conn
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connLock sync.Mutex
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connCtx context.Context
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connCancel context.CancelFunc
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client *okexapi.RestClient
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// public callbacks
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candleDataCallbacks []func(candle Candle)
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bookDataCallbacks []func(book BookData)
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candleEventCallbacks []func(candle Candle)
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bookEventCallbacks []func(book BookEvent)
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eventCallbacks []func(event WebSocketEvent)
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accountCallbacks []func(account okexapi.Account)
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orderDetailsCallbacks []func(orderDetails []okexapi.OrderDetails)
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accountEventCallbacks []func(account okexapi.Account)
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orderDetailsEventCallbacks []func(orderDetails []okexapi.OrderDetails)
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lastCandle map[CandleKey]Candle
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}
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@ -53,328 +44,180 @@ type CandleKey struct {
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func NewStream(client *okexapi.RestClient) *Stream {
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stream := &Stream{
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Client: client,
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StandardStream: types.StandardStream{
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ReconnectC: make(chan struct{}, 1),
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},
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lastCandle: make(map[CandleKey]Candle),
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client: client,
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StandardStream: types.NewStandardStream(),
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lastCandle: make(map[CandleKey]Candle),
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}
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stream.OnCandleData(func(candle Candle) {
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key := CandleKey{Channel: candle.Channel, InstrumentID: candle.InstrumentID}
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kline := candle.KLine()
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stream.SetParser(parseWebSocketEvent)
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stream.SetDispatcher(stream.dispatchEvent)
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stream.SetEndpointCreator(stream.createEndpoint)
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// check if we need to close previous kline
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lastCandle, ok := stream.lastCandle[key]
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if ok && candle.StartTime.After(lastCandle.StartTime) {
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lastKline := lastCandle.KLine()
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lastKline.Closed = true
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stream.EmitKLineClosed(lastKline)
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stream.OnCandleEvent(stream.handleCandleEvent)
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stream.OnBookEvent(stream.handleBookEvent)
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stream.OnAccountEvent(stream.handleAccountEvent)
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stream.OnOrderDetailsEvent(stream.handleOrderDetailsEvent)
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stream.OnEvent(stream.handleEvent)
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stream.OnConnect(stream.handleConnect)
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return stream
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}
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func (s *Stream) handleConnect() {
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if s.PublicOnly {
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var subs []WebsocketSubscription
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for _, subscription := range s.Subscriptions {
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sub, err := convertSubscription(subscription)
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if err != nil {
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log.WithError(err).Errorf("subscription convert error")
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continue
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}
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subs = append(subs, sub)
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}
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if len(subs) == 0 {
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return
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}
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stream.EmitKLine(kline)
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stream.lastCandle[key] = candle
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})
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log.Infof("subscribing channels: %+v", subs)
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err := s.Conn.WriteJSON(WebsocketOp{
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Op: "subscribe",
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Args: subs,
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})
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stream.OnBookData(func(data BookData) {
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book := data.Book()
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switch data.Action {
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case "snapshot":
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stream.EmitBookSnapshot(book)
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case "update":
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stream.EmitBookUpdate(book)
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}
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})
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stream.OnAccount(func(account okexapi.Account) {
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balances := toGlobalBalance(&account)
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stream.EmitBalanceSnapshot(balances)
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})
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stream.OnOrderDetails(func(orderDetails []okexapi.OrderDetails) {
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detailTrades, detailOrders := segmentOrderDetails(orderDetails)
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trades, err := toGlobalTrades(detailTrades)
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if err != nil {
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log.WithError(err).Errorf("error converting order details into trades")
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} else {
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for _, trade := range trades {
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stream.EmitTradeUpdate(trade)
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}
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log.WithError(err).Error("subscribe error")
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}
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} else {
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// login as private channel
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// sign example:
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// sign=CryptoJS.enc.Base64.Stringify(CryptoJS.HmacSHA256(timestamp +'GET'+'/users/self/verify', secretKey))
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msTimestamp := strconv.FormatFloat(float64(time.Now().UnixNano())/float64(time.Second), 'f', -1, 64)
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payload := msTimestamp + "GET" + "/users/self/verify"
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sign := okexapi.Sign(payload, s.client.Secret)
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op := WebsocketOp{
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Op: "login",
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Args: []WebsocketLogin{
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{
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Key: s.client.Key,
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Passphrase: s.client.Passphrase,
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Timestamp: msTimestamp,
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Sign: sign,
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},
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},
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}
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orders, err := toGlobalOrders(detailOrders)
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log.Infof("sending okex login request")
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err := s.Conn.WriteJSON(op)
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if err != nil {
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log.WithError(err).Errorf("error converting order details into orders")
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} else {
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for _, order := range orders {
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stream.EmitOrderUpdate(order)
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}
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log.WithError(err).Errorf("can not send login message")
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}
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})
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}
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}
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stream.OnEvent(func(event WebSocketEvent) {
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switch event.Event {
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case "login":
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if event.Code == "0" {
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var subs = []WebsocketSubscription{
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{Channel: "account"},
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{Channel: "orders", InstrumentType: string(okexapi.InstrumentTypeSpot)},
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}
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log.Infof("subscribing private channels: %+v", subs)
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err := stream.Conn.WriteJSON(WebsocketOp{
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Op: "subscribe",
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Args: subs,
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})
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if err != nil {
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log.WithError(err).Error("private channel subscribe error")
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}
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}
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}
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})
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stream.OnConnect(func() {
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if stream.PublicOnly {
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var subs []WebsocketSubscription
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for _, subscription := range stream.Subscriptions {
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sub, err := convertSubscription(subscription)
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if err != nil {
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log.WithError(err).Errorf("subscription convert error")
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continue
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}
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subs = append(subs, sub)
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}
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if len(subs) == 0 {
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return
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func (s *Stream) handleEvent(event WebSocketEvent) {
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switch event.Event {
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case "login":
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if event.Code == "0" {
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var subs = []WebsocketSubscription{
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{Channel: "account"},
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{Channel: "orders", InstrumentType: string(okexapi.InstrumentTypeSpot)},
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}
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log.Infof("subscribing channels: %+v", subs)
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err := stream.Conn.WriteJSON(WebsocketOp{
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log.Infof("subscribing private channels: %+v", subs)
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err := s.Conn.WriteJSON(WebsocketOp{
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Op: "subscribe",
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Args: subs,
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})
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if err != nil {
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log.WithError(err).Error("subscribe error")
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}
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} else {
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// login as private channel
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// sign example:
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// sign=CryptoJS.enc.Base64.Stringify(CryptoJS.HmacSHA256(timestamp +'GET'+'/users/self/verify', secretKey))
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msTimestamp := strconv.FormatFloat(float64(time.Now().UnixNano())/float64(time.Second), 'f', -1, 64)
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payload := msTimestamp + "GET" + "/users/self/verify"
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sign := okexapi.Sign(payload, stream.Client.Secret)
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op := WebsocketOp{
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Op: "login",
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Args: []WebsocketLogin{
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{
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Key: stream.Client.Key,
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Passphrase: stream.Client.Passphrase,
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Timestamp: msTimestamp,
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Sign: sign,
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},
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},
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}
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log.Infof("sending okex login request")
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err := stream.Conn.WriteJSON(op)
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if err != nil {
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log.WithError(err).Errorf("can not send login message")
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log.WithError(err).Error("private channel subscribe error")
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}
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}
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})
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return stream
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}
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}
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func (s *Stream) Close() error {
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return nil
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}
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func (s *Stream) handleOrderDetailsEvent(orderDetails []okexapi.OrderDetails) {
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detailTrades, detailOrders := segmentOrderDetails(orderDetails)
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func (s *Stream) Connect(ctx context.Context) error {
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err := s.connect(ctx)
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trades, err := toGlobalTrades(detailTrades)
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if err != nil {
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return err
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log.WithError(err).Errorf("error converting order details into trades")
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} else {
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for _, trade := range trades {
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s.EmitTradeUpdate(trade)
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}
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}
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// start one re-connector goroutine with the base context
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go s.Reconnector(ctx)
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s.EmitStart()
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return nil
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}
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func (s *Stream) Reconnector(ctx context.Context) {
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for {
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select {
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case <-ctx.Done():
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return
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case <-s.ReconnectC:
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log.Warnf("received reconnect signal, reconnecting...")
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time.Sleep(3 * time.Second)
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if err := s.connect(ctx); err != nil {
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log.WithError(err).Errorf("connect error, try to reconnect again...")
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s.Reconnect()
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}
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orders, err := toGlobalOrders(detailOrders)
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if err != nil {
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log.WithError(err).Errorf("error converting order details into orders")
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} else {
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for _, order := range orders {
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s.EmitOrderUpdate(order)
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}
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}
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}
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func (s *Stream) connect(ctx context.Context) error {
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// when in public mode, the listen key is an empty string
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func (s *Stream) handleAccountEvent(account okexapi.Account) {
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balances := toGlobalBalance(&account)
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s.EmitBalanceSnapshot(balances)
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}
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func (s *Stream) handleBookEvent(data BookEvent) {
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book := data.Book()
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switch data.Action {
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case "snapshot":
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s.EmitBookSnapshot(book)
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case "update":
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s.EmitBookUpdate(book)
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}
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}
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func (s *Stream) handleCandleEvent(candle Candle) {
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key := CandleKey{Channel: candle.Channel, InstrumentID: candle.InstrumentID}
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kline := candle.KLine()
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// check if we need to close previous kline
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lastCandle, ok := s.lastCandle[key]
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if ok && candle.StartTime.After(lastCandle.StartTime) {
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lastKline := lastCandle.KLine()
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lastKline.Closed = true
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s.EmitKLineClosed(lastKline)
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}
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s.EmitKLine(kline)
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s.lastCandle[key] = candle
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}
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func (s *Stream) createEndpoint(ctx context.Context) (string, error) {
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var url string
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if s.PublicOnly {
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url = okexapi.PublicWebSocketURL
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} else {
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url = okexapi.PrivateWebSocketURL
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}
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conn, err := s.StandardStream.Dial(ctx, url)
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if err != nil {
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return err
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}
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log.Infof("websocket connected: %s", url)
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// should only start one connection one time, so we lock the mutex
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s.connLock.Lock()
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// ensure the previous context is cancelled
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if s.connCancel != nil {
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s.connCancel()
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}
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// create a new context
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s.connCtx, s.connCancel = context.WithCancel(ctx)
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conn.SetReadDeadline(time.Now().Add(readTimeout))
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conn.SetPongHandler(func(string) error {
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conn.SetReadDeadline(time.Now().Add(readTimeout))
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return nil
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})
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s.Conn = conn
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s.connLock.Unlock()
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s.EmitConnect()
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go s.read(s.connCtx)
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go s.ping(s.connCtx)
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return nil
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return url, nil
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}
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func (s *Stream) read(ctx context.Context) {
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defer func() {
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if s.connCancel != nil {
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s.connCancel()
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func (s *Stream) dispatchEvent(e interface{}) {
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switch et := e.(type) {
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case *WebSocketEvent:
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s.EmitEvent(*et)
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case *BookEvent:
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// there's "books" for 400 depth and books5 for 5 depth
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if et.channel != "books5" {
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s.EmitBookEvent(*et)
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}
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s.EmitDisconnect()
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}()
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s.EmitBookTickerUpdate(et.BookTicker())
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case *Candle:
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s.EmitCandleEvent(*et)
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for {
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select {
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case *okexapi.Account:
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s.EmitAccountEvent(*et)
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case <-ctx.Done():
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return
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case []okexapi.OrderDetails:
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s.EmitOrderDetailsEvent(et)
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default:
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s.connLock.Lock()
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conn := s.Conn
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s.connLock.Unlock()
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if err := conn.SetReadDeadline(time.Now().Add(readTimeout)); err != nil {
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log.WithError(err).Errorf("set read deadline error: %s", err.Error())
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}
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mt, message, err := conn.ReadMessage()
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if err != nil {
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// if it's a network timeout error, we should re-connect
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switch err := err.(type) {
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// if it's a websocket related error
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case *websocket.CloseError:
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if err.Code == websocket.CloseNormalClosure {
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return
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}
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// for unexpected close error, we should re-connect
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// emit reconnect to start a new connection
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s.Reconnect()
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return
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case net.Error:
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log.WithError(err).Error("network error")
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s.Reconnect()
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return
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default:
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||||
log.WithError(err).Error("unexpected connection error")
|
||||
s.Reconnect()
|
||||
return
|
||||
}
|
||||
}
|
||||
|
||||
// skip non-text messages
|
||||
if mt != websocket.TextMessage {
|
||||
continue
|
||||
}
|
||||
|
||||
e, err := Parse(string(message))
|
||||
if err != nil {
|
||||
log.WithError(err).Error("message parse error")
|
||||
}
|
||||
|
||||
if e != nil {
|
||||
switch et := e.(type) {
|
||||
case *WebSocketEvent:
|
||||
s.EmitEvent(*et)
|
||||
|
||||
case *BookData:
|
||||
// there's "books" for 400 depth and books5 for 5 depth
|
||||
if et.channel != "books5" {
|
||||
s.EmitBookData(*et)
|
||||
}
|
||||
s.EmitBookTickerUpdate(et.BookTicker())
|
||||
case *Candle:
|
||||
s.EmitCandleData(*et)
|
||||
|
||||
case *okexapi.Account:
|
||||
s.EmitAccount(*et)
|
||||
|
||||
case []okexapi.OrderDetails:
|
||||
s.EmitOrderDetails(et)
|
||||
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
func (s *Stream) ping(ctx context.Context) {
|
||||
pingTicker := time.NewTicker(readTimeout / 2)
|
||||
defer pingTicker.Stop()
|
||||
|
||||
for {
|
||||
select {
|
||||
|
||||
case <-ctx.Done():
|
||||
log.Debug("ping worker stopped")
|
||||
return
|
||||
|
||||
case <-pingTicker.C:
|
||||
s.connLock.Lock()
|
||||
conn := s.Conn
|
||||
s.connLock.Unlock()
|
||||
|
||||
if err := conn.WriteControl(websocket.PingMessage, nil, time.Now().Add(3*time.Second)); err != nil {
|
||||
log.WithError(err).Error("ping error", err)
|
||||
s.Reconnect()
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
|
|
|||
|
|
@ -6,22 +6,22 @@ import (
|
|||
"github.com/c9s/bbgo/pkg/exchange/okex/okexapi"
|
||||
)
|
||||
|
||||
func (s *Stream) OnCandleData(cb func(candle Candle)) {
|
||||
s.candleDataCallbacks = append(s.candleDataCallbacks, cb)
|
||||
func (s *Stream) OnCandleEvent(cb func(candle Candle)) {
|
||||
s.candleEventCallbacks = append(s.candleEventCallbacks, cb)
|
||||
}
|
||||
|
||||
func (s *Stream) EmitCandleData(candle Candle) {
|
||||
for _, cb := range s.candleDataCallbacks {
|
||||
func (s *Stream) EmitCandleEvent(candle Candle) {
|
||||
for _, cb := range s.candleEventCallbacks {
|
||||
cb(candle)
|
||||
}
|
||||
}
|
||||
|
||||
func (s *Stream) OnBookData(cb func(book BookData)) {
|
||||
s.bookDataCallbacks = append(s.bookDataCallbacks, cb)
|
||||
func (s *Stream) OnBookEvent(cb func(book BookEvent)) {
|
||||
s.bookEventCallbacks = append(s.bookEventCallbacks, cb)
|
||||
}
|
||||
|
||||
func (s *Stream) EmitBookData(book BookData) {
|
||||
for _, cb := range s.bookDataCallbacks {
|
||||
func (s *Stream) EmitBookEvent(book BookEvent) {
|
||||
for _, cb := range s.bookEventCallbacks {
|
||||
cb(book)
|
||||
}
|
||||
}
|
||||
|
|
@ -36,34 +36,34 @@ func (s *Stream) EmitEvent(event WebSocketEvent) {
|
|||
}
|
||||
}
|
||||
|
||||
func (s *Stream) OnAccount(cb func(account okexapi.Account)) {
|
||||
s.accountCallbacks = append(s.accountCallbacks, cb)
|
||||
func (s *Stream) OnAccountEvent(cb func(account okexapi.Account)) {
|
||||
s.accountEventCallbacks = append(s.accountEventCallbacks, cb)
|
||||
}
|
||||
|
||||
func (s *Stream) EmitAccount(account okexapi.Account) {
|
||||
for _, cb := range s.accountCallbacks {
|
||||
func (s *Stream) EmitAccountEvent(account okexapi.Account) {
|
||||
for _, cb := range s.accountEventCallbacks {
|
||||
cb(account)
|
||||
}
|
||||
}
|
||||
|
||||
func (s *Stream) OnOrderDetails(cb func(orderDetails []okexapi.OrderDetails)) {
|
||||
s.orderDetailsCallbacks = append(s.orderDetailsCallbacks, cb)
|
||||
func (s *Stream) OnOrderDetailsEvent(cb func(orderDetails []okexapi.OrderDetails)) {
|
||||
s.orderDetailsEventCallbacks = append(s.orderDetailsEventCallbacks, cb)
|
||||
}
|
||||
|
||||
func (s *Stream) EmitOrderDetails(orderDetails []okexapi.OrderDetails) {
|
||||
for _, cb := range s.orderDetailsCallbacks {
|
||||
func (s *Stream) EmitOrderDetailsEvent(orderDetails []okexapi.OrderDetails) {
|
||||
for _, cb := range s.orderDetailsEventCallbacks {
|
||||
cb(orderDetails)
|
||||
}
|
||||
}
|
||||
|
||||
type StreamEventHub interface {
|
||||
OnCandleData(cb func(candle Candle))
|
||||
OnCandleEvent(cb func(candle Candle))
|
||||
|
||||
OnBookData(cb func(book BookData))
|
||||
OnBookEvent(cb func(book BookEvent))
|
||||
|
||||
OnEvent(cb func(event WebSocketEvent))
|
||||
|
||||
OnAccount(cb func(account okexapi.Account))
|
||||
OnAccountEvent(cb func(account okexapi.Account))
|
||||
|
||||
OnOrderDetails(cb func(orderDetails []okexapi.OrderDetails))
|
||||
OnOrderDetailsEvent(cb func(orderDetails []okexapi.OrderDetails))
|
||||
}
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user