Merge pull request #1760 from c9s/chiahung/max/query-depth

FEATURE: [max] add QueryDepth v3 API to query orderbook

pkg/exchange/max/convert.go

@@ -371,3 +371,20 @@ func convertWithdrawStatusV2(state max.WithdrawState) types.WithdrawStatus {
 		return types.WithdrawStatus(state)
 	}
 }
+
+func convertDepth(symbol string, depth *v3.Depth) (snapshot types.SliceOrderBook, finalUpdateID int64, err error) {
+	snapshot.Symbol = symbol
+	snapshot.Time = time.Unix(depth.Timestamp, 0)
+	snapshot.LastUpdateId = depth.LastUpdateId
+
+	finalUpdateID = depth.LastUpdateId
+	for _, entry := range depth.Bids {
+		snapshot.Bids = append(snapshot.Bids, types.PriceVolume{Price: entry[0], Volume: entry[1]})
+	}
+
+	for _, entry := range depth.Asks {
+		snapshot.Asks = append(snapshot.Asks, types.PriceVolume{Price: entry[0], Volume: entry[1]})
+	}
+
+	return snapshot, finalUpdateID, err
+}

pkg/exchange/max/exchange.go

@@ -1134,6 +1134,19 @@ func (e *Exchange) QueryKLines(
 	return kLines, nil
 }
 
+func (e *Exchange) QueryDepth(ctx context.Context, symbol string, limit int) (snapshot types.SliceOrderBook, finalUpdateID int64, err error) {
+	req := e.v3client.NewGetDepthRequest()
+	req.Market(symbol)
+	req.Limit(limit)
+
+	depth, err := req.Do(ctx)
+	if err != nil {
+		return snapshot, finalUpdateID, err
+	}
+
+	return convertDepth(symbol, depth)
+}
+
 var Two = fixedpoint.NewFromInt(2)
 
 func (e *Exchange) QueryAveragePrice(ctx context.Context, symbol string) (fixedpoint.Value, error) {

pkg/exchange/max/maxapi/v3/get_depth_request.go

@@ -0,0 +1,29 @@
+package v3
+
+//go:generate -command GetRequest requestgen -method GET
+
+import (
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/requestgen"
+)
+
+type Depth struct {
+	Timestamp         int64                `json:"timestamp"`
+	LastUpdateVersion int64                `json:"last_update_version"`
+	LastUpdateId      int64                `json:"last_update_id"`
+	Bids              [][]fixedpoint.Value `json:"bids"`
+	Asks              [][]fixedpoint.Value `json:"asks"`
+}
+
+//go:generate GetRequest -url "/api/v3/depth" -type GetDepthRequest -responseType Depth
+type GetDepthRequest struct {
+	client requestgen.APIClient
+
+	market      string `param:"market,required"`
+	limit       *int   `param:"limit"`
+	sortByPrice *bool  `param:"sort_by_price"`
+}
+
+func (s *Client) NewGetDepthRequest() *GetDepthRequest {
+	return &GetDepthRequest{client: s.Client}
+}

pkg/exchange/max/maxapi/v3/get_depth_request_requestgen.go

@@ -0,0 +1,212 @@
+// Code generated by "requestgen -method GET -url /api/v3/depth -type GetDepthRequest -responseType Depth"; DO NOT EDIT.
+
+package v3
+
+import (
+	"context"
+	"encoding/json"
+	"fmt"
+	"net/url"
+	"reflect"
+	"regexp"
+)
+
+func (g *GetDepthRequest) Market(market string) *GetDepthRequest {
+	g.market = market
+	return g
+}
+
+func (g *GetDepthRequest) Limit(limit int) *GetDepthRequest {
+	g.limit = &limit
+	return g
+}
+
+func (g *GetDepthRequest) SortByPrice(sortByPrice bool) *GetDepthRequest {
+	g.sortByPrice = &sortByPrice
+	return g
+}
+
+// GetQueryParameters builds and checks the query parameters and returns url.Values
+func (g *GetDepthRequest) GetQueryParameters() (url.Values, error) {
+	var params = map[string]interface{}{}
+
+	query := url.Values{}
+	for _k, _v := range params {
+		query.Add(_k, fmt.Sprintf("%v", _v))
+	}
+
+	return query, nil
+}
+
+// GetParameters builds and checks the parameters and return the result in a map object
+func (g *GetDepthRequest) GetParameters() (map[string]interface{}, error) {
+	var params = map[string]interface{}{}
+	// check market field -> json key market
+	market := g.market
+
+	// TEMPLATE check-required
+	if len(market) == 0 {
+		return nil, fmt.Errorf("market is required, empty string given")
+	}
+	// END TEMPLATE check-required
+
+	// assign parameter of market
+	params["market"] = market
+	// check limit field -> json key limit
+	if g.limit != nil {
+		limit := *g.limit
+
+		// assign parameter of limit
+		params["limit"] = limit
+	} else {
+	}
+	// check sortByPrice field -> json key sort_by_price
+	if g.sortByPrice != nil {
+		sortByPrice := *g.sortByPrice
+
+		// assign parameter of sortByPrice
+		params["sort_by_price"] = sortByPrice
+	} else {
+	}
+
+	return params, nil
+}
+
+// GetParametersQuery converts the parameters from GetParameters into the url.Values format
+func (g *GetDepthRequest) GetParametersQuery() (url.Values, error) {
+	query := url.Values{}
+
+	params, err := g.GetParameters()
+	if err != nil {
+		return query, err
+	}
+
+	for _k, _v := range params {
+		if g.isVarSlice(_v) {
+			g.iterateSlice(_v, func(it interface{}) {
+				query.Add(_k+"[]", fmt.Sprintf("%v", it))
+			})
+		} else {
+			query.Add(_k, fmt.Sprintf("%v", _v))
+		}
+	}
+
+	return query, nil
+}
+
+// GetParametersJSON converts the parameters from GetParameters into the JSON format
+func (g *GetDepthRequest) GetParametersJSON() ([]byte, error) {
+	params, err := g.GetParameters()
+	if err != nil {
+		return nil, err
+	}
+
+	return json.Marshal(params)
+}
+
+// GetSlugParameters builds and checks the slug parameters and return the result in a map object
+func (g *GetDepthRequest) GetSlugParameters() (map[string]interface{}, error) {
+	var params = map[string]interface{}{}
+
+	return params, nil
+}
+
+func (g *GetDepthRequest) applySlugsToUrl(url string, slugs map[string]string) string {
+	for _k, _v := range slugs {
+		needleRE := regexp.MustCompile(":" + _k + "\\b")
+		url = needleRE.ReplaceAllString(url, _v)
+	}
+
+	return url
+}
+
+func (g *GetDepthRequest) iterateSlice(slice interface{}, _f func(it interface{})) {
+	sliceValue := reflect.ValueOf(slice)
+	for _i := 0; _i < sliceValue.Len(); _i++ {
+		it := sliceValue.Index(_i).Interface()
+		_f(it)
+	}
+}
+
+func (g *GetDepthRequest) isVarSlice(_v interface{}) bool {
+	rt := reflect.TypeOf(_v)
+	switch rt.Kind() {
+	case reflect.Slice:
+		return true
+	}
+	return false
+}
+
+func (g *GetDepthRequest) GetSlugsMap() (map[string]string, error) {
+	slugs := map[string]string{}
+	params, err := g.GetSlugParameters()
+	if err != nil {
+		return slugs, nil
+	}
+
+	for _k, _v := range params {
+		slugs[_k] = fmt.Sprintf("%v", _v)
+	}
+
+	return slugs, nil
+}
+
+// GetPath returns the request path of the API
+func (g *GetDepthRequest) GetPath() string {
+	return "/api/v3/depth"
+}
+
+// Do generates the request object and send the request object to the API endpoint
+func (g *GetDepthRequest) Do(ctx context.Context) (*Depth, error) {
+
+	// empty params for GET operation
+	var params interface{}
+	query, err := g.GetParametersQuery()
+	if err != nil {
+		return nil, err
+	}
+
+	var apiURL string
+
+	apiURL = g.GetPath()
+
+	req, err := g.client.NewRequest(ctx, "GET", apiURL, query, params)
+	if err != nil {
+		return nil, err
+	}
+
+	response, err := g.client.SendRequest(req)
+	if err != nil {
+		return nil, err
+	}
+
+	var apiResponse Depth
+
+	type responseUnmarshaler interface {
+		Unmarshal(data []byte) error
+	}
+
+	if unmarshaler, ok := interface{}(&apiResponse).(responseUnmarshaler); ok {
+		if err := unmarshaler.Unmarshal(response.Body); err != nil {
+			return nil, err
+		}
+	} else {
+		// The line below checks the content type, however, some API server might not send the correct content type header,
+		// Hence, this is commented for backward compatibility
+		// response.IsJSON()
+		if err := response.DecodeJSON(&apiResponse); err != nil {
+			return nil, err
+		}
+	}
+
+	type responseValidator interface {
+		Validate() error
+	}
+
+	if validator, ok := interface{}(&apiResponse).(responseValidator); ok {
+		if err := validator.Validate(); err != nil {
+			return nil, err
+		}
+	}
+	return &apiResponse, nil
+}