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https://github.com/c9s/bbgo.git
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Merge pull request #145 from c9s/ftx/order-update
feature: emit orderbook update
This commit is contained in:
commit
bd4168d3fc
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@ -37,7 +37,10 @@ var orderbookCmd = &cobra.Command{
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s := ex.NewStream()
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s.Subscribe(types.BookChannel, symbol, types.SubscribeOptions{})
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s.OnBookSnapshot(func(book types.OrderBook) {
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log.Infof("orderbook snapshot: %+v", book)
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log.Infof("orderbook snapshot: %s", book.String())
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})
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s.OnBookUpdate(func(book types.OrderBook) {
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log.Infof("orderbook update: %s", book.String())
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})
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if err := s.Connect(ctx); err != nil {
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26
pkg/exchange/ftx/orderbook_update.json
Normal file
26
pkg/exchange/ftx/orderbook_update.json
Normal file
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@ -0,0 +1,26 @@
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{
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"channel": "orderbook",
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"market": "BTC/USDT",
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"type": "update",
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"data": {
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"time": 1614737706.650016,
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"checksum": 3976343467,
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"bids": [
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[
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48763.0,
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0.5001
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]
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],
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"asks": [
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[
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48826.0,
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0.3385
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],
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[
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48929.0,
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26.8713
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]
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],
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"action": "update"
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}
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}
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@ -23,7 +23,7 @@ func NewStream(key, secret string) *Stream {
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wsService: wss,
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}
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wss.OnMessage(messageHandler{StandardStream: s.StandardStream}.handleMessage)
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wss.OnMessage((&messageHandler{StandardStream: s.StandardStream}).handleMessage)
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return s
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}
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@ -22,11 +22,8 @@ func (h messageHandler) handleMessage(message []byte) {
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switch r.Type {
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case subscribedRespType:
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h.handleSubscribedMessage(r)
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case partialRespType:
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// snapshot of current market data
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h.handleSnapshot(r)
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case updateRespType:
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//log.Infof("update=> %s", string(message))
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case partialRespType, updateRespType:
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h.handleMarketData(r)
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default:
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logger.Errorf("unsupported message type: %+v", r.Type)
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}
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@ -38,11 +35,36 @@ func (h messageHandler) handleSubscribedMessage(response rawResponse) {
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logger.Infof("%s %s is subscribed", r.Market, r.Channel)
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}
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func (h messageHandler) handleSnapshot(response rawResponse) {
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r, err := response.toSnapshotResp()
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func (h *messageHandler) handleMarketData(response rawResponse) {
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r, err := response.toDataResponse()
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if err != nil {
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log.WithError(err).Errorf("failed to convert the partial response to snapshot")
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log.WithError(err).Errorf("failed to convert the partial response to data response")
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return
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}
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switch r.Channel {
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case orderbook:
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h.handleOrderBook(r)
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default:
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log.Errorf("unsupported market data channel %s", r.Channel)
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return
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}
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}
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func (h messageHandler) handleOrderBook(r dataResponse) {
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ob, err := toGlobalOrderBook(r)
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if err != nil {
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log.WithError(err).Errorf("failed to generate orderbook snapshot")
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return
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}
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switch r.Type {
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case partialRespType:
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h.EmitBookSnapshot(ob)
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case updateRespType:
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h.EmitBookUpdate(ob)
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default:
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log.Errorf("unsupported order book data type %s", r.Type)
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return
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}
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h.EmitBookSnapshot(r.toGlobalOrderBook())
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}
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@ -2,6 +2,7 @@ package ftx
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import (
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"encoding/json"
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"fmt"
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"math"
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"strings"
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"time"
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@ -64,13 +65,13 @@ func (r rawResponse) toSubscribedResp() subscribedResponse {
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}
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}
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func (r rawResponse) toSnapshotResp() (snapshotResponse, error) {
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o := snapshotResponse{
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func (r rawResponse) toDataResponse() (dataResponse, error) {
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o := dataResponse{
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mandatoryFields: r.mandatoryFields,
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}
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if err := json.Unmarshal(r.Data, &o); err != nil {
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return snapshotResponse{}, err
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return dataResponse{}, err
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}
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sec, dec := math.Modf(o.Time)
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@ -84,7 +85,7 @@ type subscribedResponse struct {
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mandatoryFields
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}
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type snapshotResponse struct {
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type dataResponse struct {
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mandatoryFields
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Action string `json:"action"`
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@ -93,31 +94,42 @@ type snapshotResponse struct {
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Timestamp time.Time
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Checksum int64 `json:"checksum"`
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Checksum uint32 `json:"checksum"`
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// Best 100 orders
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Bids [][]float64 `json:"bids"`
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Bids [][]json.Number `json:"bids"`
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// Best 100 orders
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Asks [][]float64 `json:"asks"`
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Asks [][]json.Number `json:"asks"`
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}
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func (r snapshotResponse) toGlobalOrderBook() types.OrderBook {
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func toGlobalOrderBook(r dataResponse) (types.OrderBook, error) {
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bids, err := toPriceVolumeSlice(r.Bids)
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if err != nil {
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return types.OrderBook{}, fmt.Errorf("can't convert bids to priceVolumeSlice: %w", err)
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}
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asks, err := toPriceVolumeSlice(r.Asks)
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if err != nil {
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return types.OrderBook{}, fmt.Errorf("can't convert asks to priceVolumeSlice: %w", err)
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}
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return types.OrderBook{
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// ex. BTC/USDT
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Symbol: strings.ToUpper(r.Market),
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Bids: toPriceVolumeSlice(r.Bids),
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Asks: toPriceVolumeSlice(r.Asks),
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}
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Bids: bids,
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Asks: asks,
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}, nil
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}
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func toPriceVolumeSlice(orders [][]float64) types.PriceVolumeSlice {
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func toPriceVolumeSlice(orders [][]json.Number) (types.PriceVolumeSlice, error) {
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var pv types.PriceVolumeSlice
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for _, o := range orders {
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pv = append(pv, types.PriceVolume{
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Price: fixedpoint.NewFromFloat(o[0]),
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Volume: fixedpoint.NewFromFloat(o[1]),
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})
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p, err := fixedpoint.NewFromString(string(o[0]))
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if err != nil {
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return nil, fmt.Errorf("can't convert price %+v to fixedpoint: %w", o[0], err)
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}
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v, err := fixedpoint.NewFromString(string(o[1]))
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if err != nil {
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return nil, fmt.Errorf("can't convert volume %+v to fixedpoint: %w", o[0], err)
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}
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pv = append(pv, types.PriceVolume{Price: p, Volume: v})
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}
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return pv
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return pv, nil
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}
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@ -21,35 +21,35 @@ func Test_rawResponse_toSubscribedResp(t *testing.T) {
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assert.Equal(t, "BTC/USDT", r.Market)
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}
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func Test_rawResponse_toSnapshotResp(t *testing.T) {
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func Test_rawResponse_toDataResponse(t *testing.T) {
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f, err := ioutil.ReadFile("./orderbook_snapshot.json")
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assert.NoError(t, err)
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var m rawResponse
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assert.NoError(t, json.Unmarshal(f, &m))
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r, err := m.toSnapshotResp()
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r, err := m.toDataResponse()
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assert.NoError(t, err)
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assert.Equal(t, partialRespType, r.Type)
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assert.Equal(t, orderbook, r.Channel)
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assert.Equal(t, "BTC/USDT", r.Market)
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assert.Equal(t, int64(1614520368), r.Timestamp.Unix())
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assert.Equal(t, int64(2150525410), r.Checksum)
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assert.Equal(t, uint32(2150525410), r.Checksum)
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assert.Len(t, r.Bids, 100)
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assert.Equal(t, []float64{44555.0, 3.3968}, r.Bids[0])
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assert.Equal(t, []float64{44554.0, 0.0561}, r.Bids[1])
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assert.Equal(t, []json.Number{"44555.0", "3.3968"}, r.Bids[0])
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assert.Equal(t, []json.Number{"44554.0", "0.0561"}, r.Bids[1])
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assert.Len(t, r.Asks, 100)
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assert.Equal(t, []float64{44574.0, 0.4591}, r.Asks[0])
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assert.Equal(t, []float64{44579.0, 0.15}, r.Asks[1])
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assert.Equal(t, []json.Number{"44574.0", "0.4591"}, r.Asks[0])
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assert.Equal(t, []json.Number{"44579.0", "0.15"}, r.Asks[1])
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}
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func Test_snapshotResponse_toGlobalOrderBook(t *testing.T) {
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func Test_DataResponse_toGlobalOrderBook(t *testing.T) {
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f, err := ioutil.ReadFile("./orderbook_snapshot.json")
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assert.NoError(t, err)
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var m rawResponse
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assert.NoError(t, json.Unmarshal(f, &m))
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r, err := m.toSnapshotResp()
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r, err := m.toDataResponse()
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assert.NoError(t, err)
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b := r.toGlobalOrderBook()
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b, err := toGlobalOrderBook(r)
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assert.NoError(t, err)
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assert.Equal(t, "BTC/USDT", b.Symbol)
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isValid, err := b.IsValid()
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@ -75,4 +75,6 @@ func Test_snapshotResponse_toGlobalOrderBook(t *testing.T) {
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Price: fixedpoint.MustNewFromString("45010.0"),
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Volume: fixedpoint.MustNewFromString("0.0003"),
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}, b.Asks[99])
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}
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@ -3,6 +3,7 @@ package types
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import (
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"fmt"
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"sort"
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"strings"
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"sync"
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"github.com/pkg/errors"
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@ -227,16 +228,30 @@ func (b *OrderBook) Update(book OrderBook) {
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}
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func (b *OrderBook) Print() {
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fmt.Printf("BOOK %s\n", b.Symbol)
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fmt.Printf("ASKS:\n")
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fmt.Printf(b.String())
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}
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func (b *OrderBook) String() string {
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sb := strings.Builder{}
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sb.WriteString("BOOK ")
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sb.WriteString(b.Symbol)
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sb.WriteString("\n")
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sb.WriteString("ASKS:\n")
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for i := len(b.Asks) - 1; i >= 0; i-- {
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fmt.Printf("- ASK: %s\n", b.Asks[i].String())
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sb.WriteString("- ASK: ")
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sb.WriteString(b.Asks[i].String())
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sb.WriteString("\n")
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}
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fmt.Printf("BIDS:\n")
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sb.WriteString("BIDS:\n")
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for _, bid := range b.Bids {
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fmt.Printf("- BID: %s\n", bid.String())
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sb.WriteString("- BID: ")
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sb.WriteString(bid.String())
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sb.WriteString("\n")
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}
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return sb.String()
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}
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type MutexOrderBook struct {
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