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WIP: use depth to build orderbook

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This commit is contained in:
kbearXD 2024-10-04 09:53:28 +08:00
parent 0a6dc7f59f
commit bd83832d2d
4 changed files with 238 additions and 24 deletions
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175
pkg/cmd/orderbook.go
View File

@ -2,6 +2,7 @@ package cmd
import (
"context"
"encoding/json"
"fmt"
"syscall"
"time"
@ -14,6 +15,12 @@ import (
"github.com/c9s/bbgo/pkg/types"
)
type PV struct {
bids types.PriceVolumeSlice
asks types.PriceVolumeSlice
t int64
}
// go run ./cmd/bbgo orderbook --session=binance --symbol=BTCUSDT
var orderbookCmd = &cobra.Command{
Use: "orderbook --session=[exchange_name] --symbol=[pair_name]",
@ -56,9 +63,16 @@ var orderbookCmd = &cobra.Command{
orderBook := types.NewMutexOrderBook(symbol, session.Exchange.Name())
pv1c := make(chan PV, 5000)
pv2c := make(chan PV, 5000)
s := session.Exchange.NewStream()
session.Key = "new"
s2 := session.Exchange.NewStream()
s.SetPublicOnly()
s2.SetPublicOnly()
s.Subscribe(types.BookChannel, symbol, types.SubscribeOptions{})
s2.Subscribe(types.BookChannel, symbol, types.SubscribeOptions{})
s.OnBookSnapshot(func(book types.SliceOrderBook) {
if dumpDepthUpdate {
log.Infof("orderbook snapshot: %s", book.String())
@ -70,11 +84,19 @@ var orderbookCmd = &cobra.Command{
log.WithError(err).Panicf("invalid error book snapshot")
}
if bid, ask, ok := orderBook.BestBidAndAsk(); ok {
log.Infof("ASK | %f x %f / %f x %f | BID | %s",
ask.Volume.Float64(), ask.Price.Float64(),
bid.Price.Float64(), bid.Volume.Float64(),
book.Time.String())
/*
if bid, ask, ok := orderBook.BestBidAndAsk(); ok {
log.Infof("1) ASK | %f x %f / %f x %f | BID | %s",
ask.Volume.Float64(), ask.Price.Float64(),
bid.Price.Float64(), bid.Volume.Float64(),
book.Time.String())
}
*/
pv1c <- PV{
asks: orderBook.SideBook(types.SideTypeSell),
bids: orderBook.SideBook(types.SideTypeBuy),
t: book.LastUpdateId,
}
})
@ -84,11 +106,64 @@ var orderbookCmd = &cobra.Command{
}
orderBook.Update(book)
if bid, ask, ok := orderBook.BestBidAndAsk(); ok {
log.Infof("ASK | %f x %f / %f x %f | BID | %s",
ask.Volume.Float64(), ask.Price.Float64(),
bid.Price.Float64(), bid.Volume.Float64(),
book.Time.String())
/*
if bid, ask, ok := orderBook.BestBidAndAsk(); ok {
log.Infof("1) ASK | %f x %f / %f x %f | BID | %s",
ask.Volume.Float64(), ask.Price.Float64(),
bid.Price.Float64(), bid.Volume.Float64(),
book.Time.String())
}
*/
pv1c <- PV{
asks: orderBook.SideBook(types.SideTypeSell),
bids: orderBook.SideBook(types.SideTypeBuy),
t: book.LastUpdateId,
}
})
s2.OnBookSnapshot(func(book types.SliceOrderBook) {
if dumpDepthUpdate {
log.Infof("orderbook snapshot: %s", book.String())
}
orderBook.Load(book)
if ok, err := orderBook.IsValid(); !ok {
log.WithError(err).Panicf("invalid error book snapshot")
}
/*
if bid, ask, ok := orderBook.BestBidAndAsk(); ok {
log.Infof("2) ASK | %f x %f / %f x %f | BID | %s",
ask.Volume.Float64(), ask.Price.Float64(),
bid.Price.Float64(), bid.Volume.Float64(),
book.Time.String())
}
*/
pv2c <- PV{
asks: orderBook.SideBook(types.SideTypeSell),
bids: orderBook.SideBook(types.SideTypeBuy),
t: book.LastUpdateId,
}
})
s2.OnBookUpdate(func(book types.SliceOrderBook) {
if dumpDepthUpdate {
log.Infof("orderbook update: %s", book.String())
}
orderBook.Update(book)
/*
if bid, ask, ok := orderBook.BestBidAndAsk(); ok {
log.Infof("2) ASK | %f x %f / %f x %f | BID | %s",
ask.Volume.Float64(), ask.Price.Float64(),
bid.Price.Float64(), bid.Volume.Float64(),
book.Time.String())
}
*/
pv2c <- PV{
asks: orderBook.SideBook(types.SideTypeSell),
bids: orderBook.SideBook(types.SideTypeBuy),
t: book.LastUpdateId,
}
})
@ -96,6 +171,9 @@ var orderbookCmd = &cobra.Command{
if err := s.Connect(ctx); err != nil {
return fmt.Errorf("failed to connect to %s", sessionName)
}
if err := s2.Connect(ctx); err != nil {
return fmt.Errorf("failed to connect to %s", sessionName)
}
log.Infof("connected")
defer func() {
@ -103,9 +181,86 @@ var orderbookCmd = &cobra.Command{
if err := s.Close(); err != nil {
log.WithError(err).Errorf("connection close error")
}
if err := s2.Close(); err != nil {
log.WithError(err).Errorf("connection close error")
}
time.Sleep(1 * time.Second)
}()
go func() {
flag := false
for {
select {
case pv1 := <-pv1c:
pv2 := <-pv2c
if flag && pv1.t != pv2.t {
log.Info("skip")
}
for pv1.t != pv2.t {
if pv1.t < pv2.t {
pv1 = <-pv1c
} else {
pv2 = <-pv2c
}
}
log.Infof("version of 1: %d, version of 2: %d", pv1.t, pv2.t)
flag = true
if len(pv1.asks) != len(pv2.asks) {
log.Info("not equal for length")
log.Infof("pv1 asks: %+v", pv1.asks)
log.Infof("pv2 asks: %+v", pv2.asks)
x, _ := json.Marshal(pv1.asks)
log.Infof("pv1 bids: %s", string(x))
y, _ := json.Marshal(pv2.asks)
log.Infof("pv2 bids: %s", string(y))
continue
}
for i := range pv1.asks {
if !pv1.asks[i].Equals(pv2.asks[i]) {
log.Info("not euqal for value")
log.Infof("pv1 asks: %+v", pv1.asks)
log.Infof("pv2 asks: %+v", pv2.asks)
x, _ := json.Marshal(pv1.asks)
log.Infof("pv1 bids: %s", string(x))
y, _ := json.Marshal(pv2.asks)
log.Infof("pv2 bids: %s", string(y))
continue
}
}
if len(pv1.bids) != len(pv2.bids) {
log.Info("not equal for length")
x, _ := json.Marshal(pv1.bids)
log.Infof("pv1 bids: %s", string(x))
y, _ := json.Marshal(pv2.bids)
log.Infof("pv2 bids: %s", string(y))
continue
}
for i := range pv1.bids {
if !pv1.bids[i].Equals(pv2.bids[i]) {
log.Info("not euqal for value")
x, _ := json.Marshal(pv1.bids)
log.Infof("pv1 bids: %s", string(x))
y, _ := json.Marshal(pv2.bids)
log.Infof("pv2 bids: %s", string(y))
continue
}
}
}
}
}()
cmdutil.WaitForSignal(ctx, syscall.SIGINT, syscall.SIGTERM)
return nil
},

2
pkg/exchange/max/exchange.go
View File

@ -178,7 +178,7 @@ func (e *Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) {
}
func (e *Exchange) NewStream() types.Stream {
stream := NewStream(e.key, e.secret)
stream := NewStream(e, e.key, e.secret)
stream.MarginSettings = e.MarginSettings
return stream
}

27
pkg/exchange/max/maxapi/public_parser.go
View File

@ -164,12 +164,15 @@ func parsePublicTradeEvent(val *fastjson.Value) (*PublicTradeEvent, error) {
}
type BookEvent struct {
Event string `json:"e"`
Market string `json:"M"`
Channel string `json:"c"`
Timestamp int64 `json:"t"` // Millisecond timestamp
Bids types.PriceVolumeSlice
Asks types.PriceVolumeSlice
Event string `json:"e"`
Market string `json:"M"`
Channel string `json:"c"`
Timestamp int64 `json:"t"` // Millisecond timestamp
Bids types.PriceVolumeSlice
Asks types.PriceVolumeSlice
FirstUpdateID int64 `json:"fi"`
LastUpdateID int64 `json:"li"`
Version int64 `json:"v"`
}
func (e *BookEvent) Time() time.Time {
@ -181,6 +184,7 @@ func (e *BookEvent) OrderBook() (snapshot types.SliceOrderBook, err error) {
snapshot.Time = e.Time()
snapshot.Bids = e.Bids
snapshot.Asks = e.Asks
snapshot.LastUpdateId = e.LastUpdateID
return snapshot, nil
}
@ -212,10 +216,13 @@ func parseKLineEvent(val *fastjson.Value) (*KLineEvent, error) {
func parseBookEvent(val *fastjson.Value) (event *BookEvent, err error) {
event = &BookEvent{
Event: string(val.GetStringBytes("e")),
Market: string(val.GetStringBytes("M")),
Channel: string(val.GetStringBytes("c")),
Timestamp: val.GetInt64("T"),
Event: string(val.GetStringBytes("e")),
Market: string(val.GetStringBytes("M")),
Channel: string(val.GetStringBytes("c")),
Timestamp: val.GetInt64("T"),
FirstUpdateID: val.GetInt64("fi"),
LastUpdateID: val.GetInt64("li"),
Version: val.GetInt64("v"),
}
// t := time.Unix(0, event.Timestamp*int64(time.Millisecond))

58
pkg/exchange/max/stream.go
View File

@ -11,6 +11,7 @@ import (
"github.com/google/uuid"
"github.com/c9s/bbgo/pkg/depth"
max "github.com/c9s/bbgo/pkg/exchange/max/maxapi"
"github.com/c9s/bbgo/pkg/types"
)
@ -40,19 +41,24 @@ type Stream struct {
accountSnapshotEventCallbacks []func(e max.AccountSnapshotEvent)
accountUpdateEventCallbacks []func(e max.AccountUpdateEvent)
// depthBuffers is used for storing the depth info
depthBuffers map[string]*depth.Buffer
}
func NewStream(key, secret string) *Stream {
func NewStream(ex *Exchange, key, secret string) *Stream {
stream := &Stream{
StandardStream: types.NewStandardStream(),
key: key,
// pragma: allowlist nextline secret
secret: secret,
secret: secret,
depthBuffers: make(map[string]*depth.Buffer),
}
stream.SetEndpointCreator(stream.getEndpoint)
stream.SetParser(max.ParseMessage)
stream.SetDispatcher(stream.dispatchEvent)
stream.OnConnect(stream.handleConnect)
stream.OnDisconnect(stream.handleDisconnect)
stream.OnAuthEvent(func(e max.AuthEvent) {
log.Infof("max websocket connection authenticated: %+v", e)
stream.EmitAuth()
@ -62,9 +68,13 @@ func NewStream(key, secret string) *Stream {
stream.OnOrderSnapshotEvent(stream.handleOrderSnapshotEvent)
stream.OnOrderUpdateEvent(stream.handleOrderUpdateEvent)
stream.OnTradeUpdateEvent(stream.handleTradeEvent)
stream.OnBookEvent(stream.handleBookEvent)
stream.OnAccountSnapshotEvent(stream.handleAccountSnapshotEvent)
stream.OnAccountUpdateEvent(stream.handleAccountUpdateEvent)
if key == "new" {
stream.OnBookEvent(stream.handleBookEventNew(ex))
} else {
stream.OnBookEvent(stream.handleBookEvent)
}
return stream
}
@ -156,6 +166,13 @@ func (s *Stream) handleConnect() {
}
}
func (s *Stream) handleDisconnect() {
log.Debugf("resetting depth snapshots...")
for _, f := range s.depthBuffers {
f.Reset()
}
}
func (s *Stream) handleKLineEvent(e max.KLineEvent) {
kline := e.KLine.KLine()
s.EmitKLine(kline)
@ -218,6 +235,41 @@ func (s *Stream) handleBookEvent(e max.BookEvent) {
}
}
func (s *Stream) handleBookEventNew(ex *Exchange) func(e max.BookEvent) {
return func(e max.BookEvent) {
symbol := toGlobalSymbol(e.Market)
f, ok := s.depthBuffers[symbol]
if ok {
err := f.AddUpdate(types.SliceOrderBook{
Symbol: toGlobalSymbol(e.Market),
Time: e.Time(),
Bids: e.Bids,
Asks: e.Asks,
}, e.FirstUpdateID, e.LastUpdateID)
if err != nil {
log.WithError(err).Errorf("found missing %s update event", e.Market)
}
} else {
f = depth.NewBuffer(func() (types.SliceOrderBook, int64, error) {
log.Infof("fetching %s depth...", e.Market)
// the depth of websocket orderbook event is 50 by default, so we use 50 as limit here
return ex.QueryDepth(context.Background(), e.Market, 50)
})
f.SetBufferingPeriod(time.Second)
f.OnReady(func(snapshot types.SliceOrderBook, updates []depth.Update) {
s.EmitBookSnapshot(snapshot)
for _, u := range updates {
s.EmitBookUpdate(u.Object)
}
})
f.OnPush(func(update depth.Update) {
s.EmitBookUpdate(update.Object)
})
s.depthBuffers[symbol] = f
}
}
}
func (s *Stream) handleAccountSnapshotEvent(e max.AccountSnapshotEvent) {
snapshot := map[string]types.Balance{}
for _, bm := range e.Balances {