mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
pkg/exchange: upgrade kline ws to v2
This commit is contained in:
edwin
parent
4925d8bfd9
commit
b02be2cf70
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@ -8,6 +8,7 @@ import (
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const (
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PrivateWebSocketURL = "wss://ws.bitget.com/v2/ws/private"
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PublicWebSocketURL = "wss://ws.bitget.com/v2/ws/public"
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)
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type APIResponse = bitgetapi.APIResponse
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@ -120,7 +120,7 @@ func (s *Stream) Unsubscribe() {
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func (s *Stream) createEndpoint(_ context.Context) (string, error) {
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var url string
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if s.PublicOnly {
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url = bitgetapi.PublicWebSocketURL
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url = v2.PublicWebSocketURL
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} else {
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url = v2.PrivateWebSocketURL
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}
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@ -245,7 +245,7 @@ func (s *Stream) ping(conn *websocket.Conn) error {
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func convertSubscription(sub types.Subscription) (WsArg, error) {
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arg := WsArg{
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// support spot only
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InstType: instSp,
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InstType: instSpV2,
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Channel: "",
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InstId: sub.Symbol,
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}
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@ -179,7 +179,7 @@ func TestStream_parseWebSocketEvent(t *testing.T) {
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input := `{
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"event":"subscribe",
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"arg":{
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"instType":"sp",
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"instType":"SPOT",
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"channel":"books5",
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"instId":"BTCUSDT"
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}
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@ -191,7 +191,7 @@ func TestStream_parseWebSocketEvent(t *testing.T) {
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assert.Equal(t, WsEvent{
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Event: WsEventSubscribe,
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Arg: WsArg{
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InstType: instSp,
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InstType: instSpV2,
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Channel: ChannelOrderBook5,
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InstId: "BTCUSDT",
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},
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@ -204,7 +204,7 @@ func TestStream_parseWebSocketEvent(t *testing.T) {
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input := `{
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"event":"unsubscribe",
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"arg":{
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"instType":"sp",
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"instType":"SPOT",
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"channel":"books5",
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"instId":"BTCUSDT"
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}
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@ -216,7 +216,7 @@ func TestStream_parseWebSocketEvent(t *testing.T) {
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assert.Equal(t, WsEvent{
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Event: WsEventUnsubscribe,
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Arg: WsArg{
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InstType: instSp,
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InstType: instSpV2,
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Channel: ChannelOrderBook5,
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InstId: "BTCUSDT",
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},
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@ -227,7 +227,7 @@ func TestStream_parseWebSocketEvent(t *testing.T) {
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input := `{
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"event":"error",
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"arg":{
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"instType":"sp",
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"instType":"SPOT",
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"channel":"books5",
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"instId":"BTCUSDT-"
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},
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@ -245,7 +245,7 @@ func TestStream_parseWebSocketEvent(t *testing.T) {
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Msg: "instType:sp,channel:books5,instId:BTCUSDT- doesn't exist",
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Op: "subscribe",
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Arg: WsArg{
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InstType: instSp,
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InstType: instSpV2,
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Channel: ChannelOrderBook5,
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InstId: "BTCUSDT-",
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},
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@ -256,7 +256,7 @@ func TestStream_parseWebSocketEvent(t *testing.T) {
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input := `{
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"action":"%s",
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"arg":{
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"instType":"sp",
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"instType":"SPOT",
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"channel":"books5",
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"instId":"BTCUSDT"
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},
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@ -349,7 +349,7 @@ func Test_parseWebSocketEvent_MarketTrade(t *testing.T) {
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input := `{
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"action":"%s",
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"arg":{
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"instType":"sp",
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"instType":"SPOT",
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"channel":"trade",
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"instId":"BTCUSDT"
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},
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@ -434,7 +434,7 @@ func Test_parseWebSocketEvent_MarketTrade(t *testing.T) {
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input := `{
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"action":"%s",
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"arg":{
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"instType":"sp",
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"instType":"SPOT",
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"channel":"trade",
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"instId":"BTCUSDT"
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},
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@ -456,7 +456,7 @@ func Test_parseWebSocketEvent_MarketTrade(t *testing.T) {
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input := `{
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"action":"%s",
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"arg":{
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"instType":"sp",
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"instType":"SPOT",
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"channel":"trade",
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"instId":"BTCUSDT"
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},
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@ -478,7 +478,7 @@ func Test_parseWebSocketEvent_MarketTrade(t *testing.T) {
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input := `{
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"action":"%s",
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"arg":{
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"instType":"sp",
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"instType":"SPOT",
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"channel":"trade",
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"instId":"BTCUSDT"
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},
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@ -500,7 +500,7 @@ func Test_parseWebSocketEvent_MarketTrade(t *testing.T) {
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input := `{
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"action":"%s",
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"arg":{
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"instType":"sp",
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"instType":"SPOT",
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"channel":"trade",
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"instId":"BTCUSDT"
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},
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@ -524,12 +524,12 @@ func Test_parseWebSocketEvent_KLine(t *testing.T) {
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input := `{
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"action":"%s",
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"arg":{
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"instType":"sp",
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"instType":"SPOT",
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"channel":"candle5m",
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"instId":"BTCUSDT"
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},
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"data":[
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["1698744600000","34361.49","34458.98","34355.53","34416.41","99.6631"]
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["1698744600000","34361.49","34458.98","34355.53","34416.41","99.6631", "123456", "123"]
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],
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"ts":1697697791670
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}`
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@ -549,6 +549,7 @@ func Test_parseWebSocketEvent_KLine(t *testing.T) {
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LowestPrice: fixedpoint.NewFromFloat(34355.53),
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ClosePrice: fixedpoint.NewFromFloat(34416.41),
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Volume: fixedpoint.NewFromFloat(99.6631),
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QuoteVolume: fixedpoint.NewFromFloat(123456),
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},
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},
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actionType: actionType,
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@ -571,12 +572,12 @@ func Test_parseWebSocketEvent_KLine(t *testing.T) {
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input := `{
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"action":"%s",
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"arg":{
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"instType":"sp",
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"instType":"SPOT",
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"channel":"candle5m",
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"instId":"BTCUSDT"
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},
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"data":[
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["1698744600000","34361.45","34458.98","34355.53","34416.41","99.6631", "123456"]
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["1698744600000","34361.49","34458.98","34355.53","34416.41","99.6631", "123456", "123", "123"]
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],
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"ts":1697697791670
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}`
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@ -588,12 +589,12 @@ func Test_parseWebSocketEvent_KLine(t *testing.T) {
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input := `{
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"action":"%s",
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"arg":{
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"instType":"sp",
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"instType":"SPOT",
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"channel":"candle5m",
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"instId":"BTCUSDT"
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},
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"data":[
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["timestamp","34361.49","34458.98","34355.53","34416.41","99.6631"]
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["timestamp","34361.49","34458.98","34355.53","34416.41","99.6631", "123456", "123"]
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],
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"ts":1697697791670
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}`
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@ -605,12 +606,12 @@ func Test_parseWebSocketEvent_KLine(t *testing.T) {
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input := `{
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"action":"%s",
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"arg":{
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"instType":"sp",
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"instType":"SPOT",
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"channel":"candle5m",
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"instId":"BTCUSDT"
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},
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"data":[
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["1698744600000","1p","34458.98","34355.53","34416.41","99.6631"]
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["1698744600000","1p","34458.98","34355.53","34416.41","99.6631", "123456", "123"]
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],
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"ts":1697697791670
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}`
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@ -622,12 +623,12 @@ func Test_parseWebSocketEvent_KLine(t *testing.T) {
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input := `{
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"action":"%s",
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"arg":{
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"instType":"sp",
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"instType":"SPOT",
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"channel":"candle5m",
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"instId":"BTCUSDT"
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},
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"data":[
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["1698744600000","34361.45","3p","34355.53","34416.41","99.6631"]
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["1698744600000","34361.49","3p","34355.53","34416.41","99.6631", "123456", "123"]
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],
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"ts":1697697791670
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}`
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@ -639,12 +640,12 @@ func Test_parseWebSocketEvent_KLine(t *testing.T) {
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input := `{
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"action":"%s",
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"arg":{
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"instType":"sp",
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"instType":"SPOT",
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"channel":"candle5m",
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"instId":"BTCUSDT"
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},
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"data":[
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["1698744600000","34361.45","34458.98","1p","34416.41","99.6631"]
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["1698744600000","34361.49","34458.98","1p","34416.41","99.6631", "123456", "123"]
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],
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"ts":1697697791670
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}`
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@ -656,12 +657,12 @@ func Test_parseWebSocketEvent_KLine(t *testing.T) {
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input := `{
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"action":"%s",
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"arg":{
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"instType":"sp",
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"instType":"SPOT",
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"channel":"candle5m",
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"instId":"BTCUSDT"
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},
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"data":[
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["1698744600000","34361.45","34458.98","34355.53","1c","99.6631"]
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["1698744600000","34361.49","34458.98","34355.53","1c","99.6631", "123456", "123"]
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],
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"ts":1697697791670
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}`
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@ -673,12 +674,12 @@ func Test_parseWebSocketEvent_KLine(t *testing.T) {
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input := `{
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"action":"%s",
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"arg":{
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"instType":"sp",
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"instType":"SPOT",
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"channel":"candle5m",
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"instId":"BTCUSDT"
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},
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"data":[
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["1698744600000","34361.45","34458.98","34355.53","34416.41", "1v"]
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["1698744600000","34361.49","34458.98","34355.53","34416.41","1v", "123456", "123"]
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],
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"ts":1697697791670
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}`
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@ -698,7 +699,7 @@ func Test_convertSubscription(t *testing.T) {
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})
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assert.NoError(t, err)
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assert.Equal(t, WsArg{
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InstType: instSp,
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InstType: instSpV2,
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Channel: ChannelOrderBook5,
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InstId: "BTCUSDT",
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}, res)
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@ -713,7 +714,7 @@ func Test_convertSubscription(t *testing.T) {
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})
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assert.NoError(t, err)
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assert.Equal(t, WsArg{
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InstType: instSp,
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InstType: instSpV2,
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Channel: ChannelOrderBook15,
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InstId: "BTCUSDT",
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}, res)
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@ -728,7 +729,7 @@ func Test_convertSubscription(t *testing.T) {
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})
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assert.NoError(t, err)
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assert.Equal(t, WsArg{
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InstType: instSp,
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InstType: instSpV2,
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Channel: ChannelOrderBook,
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InstId: "BTCUSDT",
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}, res)
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@ -741,7 +742,7 @@ func Test_convertSubscription(t *testing.T) {
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})
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assert.NoError(t, err)
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assert.Equal(t, WsArg{
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InstType: instSp,
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InstType: instSpV2,
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Channel: ChannelTrade,
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InstId: "BTCUSDT",
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}, res)
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@ -757,7 +758,7 @@ func Test_convertSubscription(t *testing.T) {
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})
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assert.NoError(t, err)
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assert.Equal(t, WsArg{
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InstType: instSp,
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InstType: instSpV2,
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Channel: ChannelType(localInterval),
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InstId: "BTCUSDT",
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}, res)
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@ -14,7 +14,6 @@ import (
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type InstType string
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const (
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instSp InstType = "sp"
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instSpV2 InstType = "SPOT"
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)
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@ -285,9 +284,12 @@ var (
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types.Interval30m: "candle30m",
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types.Interval1h: "candle1H",
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types.Interval4h: "candle4H",
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types.Interval12h: "candle12H",
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types.Interval1d: "candle1D",
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types.Interval1w: "candle1W",
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types.Interval6h: "candle6Hutc",
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types.Interval12h: "candle12Hutc",
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types.Interval1d: "candle1Dutc",
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types.Interval3d: "candle3Dutc",
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types.Interval1w: "candle1Wutc",
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types.Interval1mo: "candle1Mutc",
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}
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toGlobalInterval = map[string]types.Interval{
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@ -297,9 +299,12 @@ var (
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"candle30m": types.Interval30m,
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"candle1H": types.Interval1h,
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"candle4H": types.Interval4h,
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"candle12H": types.Interval12h,
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"candle1D": types.Interval1d,
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"candle1W": types.Interval1w,
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"candle6Hutc": types.Interval6h,
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"candle12Hutc": types.Interval12h,
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"candle1Dutc": types.Interval1d,
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"candle3Dutc": types.Interval3d,
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"candle1Wutc": types.Interval1w,
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"candle1Mutc": types.Interval1mo,
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}
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// we align utc time zone
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@ -345,6 +350,7 @@ type KLine struct {
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LowestPrice fixedpoint.Value
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ClosePrice fixedpoint.Value
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Volume fixedpoint.Value
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QuoteVolume fixedpoint.Value
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}
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func (k KLine) ToGlobal(interval types.Interval, symbol string) types.KLine {
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@ -361,7 +367,7 @@ func (k KLine) ToGlobal(interval types.Interval, symbol string) types.KLine {
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High: k.HighestPrice,
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Low: k.LowestPrice,
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Volume: k.Volume,
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QuoteVolume: fixedpoint.Zero, // not supported
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QuoteVolume: k.QuoteVolume,
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TakerBuyBaseAssetVolume: fixedpoint.Zero, // not supported
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TakerBuyQuoteAssetVolume: fixedpoint.Zero, // not supported
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LastTradeID: 0, // not supported
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@ -400,9 +406,10 @@ func parseKLineSliceJSON(in []byte) (slice KLineSlice, err error) {
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}
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for _, raw := range rawKLines {
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if len(raw) != 6 {
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if len(raw) != 8 {
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return nil, fmt.Errorf("unexpected kline length: %d, data: %q", len(raw), raw)
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}
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// even though it supports 8 fields, we only parse the ones we need.
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var kline KLine
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if err = json.Unmarshal(raw[0], &kline.StartTime); err != nil {
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return nil, fmt.Errorf("failed to unmarshal into timestamp: %q", raw[0])
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@ -422,6 +429,9 @@ func parseKLineSliceJSON(in []byte) (slice KLineSlice, err error) {
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if err = json.Unmarshal(raw[5], &kline.Volume); err != nil {
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return nil, fmt.Errorf("failed to unmarshal into volume: %q", raw[5])
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}
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if err = json.Unmarshal(raw[6], &kline.QuoteVolume); err != nil {
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return nil, fmt.Errorf("failed to unmarshal into quote volume: %q", raw[6])
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}
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slice = append(slice, kline)
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}
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