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https://github.com/c9s/bbgo.git
synced 2024-11-25 16:25:16 +00:00
WIP: use depth to build orderbook
This commit is contained in:
parent
0a6dc7f59f
commit
bd83832d2d
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@ -2,6 +2,7 @@ package cmd
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import (
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"context"
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"encoding/json"
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"fmt"
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"syscall"
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"time"
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@ -14,6 +15,12 @@ import (
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"github.com/c9s/bbgo/pkg/types"
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)
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type PV struct {
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bids types.PriceVolumeSlice
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asks types.PriceVolumeSlice
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t int64
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}
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// go run ./cmd/bbgo orderbook --session=binance --symbol=BTCUSDT
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var orderbookCmd = &cobra.Command{
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Use: "orderbook --session=[exchange_name] --symbol=[pair_name]",
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@ -56,9 +63,16 @@ var orderbookCmd = &cobra.Command{
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orderBook := types.NewMutexOrderBook(symbol, session.Exchange.Name())
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pv1c := make(chan PV, 5000)
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pv2c := make(chan PV, 5000)
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s := session.Exchange.NewStream()
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session.Key = "new"
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s2 := session.Exchange.NewStream()
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s.SetPublicOnly()
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s2.SetPublicOnly()
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s.Subscribe(types.BookChannel, symbol, types.SubscribeOptions{})
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s2.Subscribe(types.BookChannel, symbol, types.SubscribeOptions{})
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s.OnBookSnapshot(func(book types.SliceOrderBook) {
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if dumpDepthUpdate {
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log.Infof("orderbook snapshot: %s", book.String())
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@ -70,12 +84,20 @@ var orderbookCmd = &cobra.Command{
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log.WithError(err).Panicf("invalid error book snapshot")
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}
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/*
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if bid, ask, ok := orderBook.BestBidAndAsk(); ok {
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log.Infof("ASK | %f x %f / %f x %f | BID | %s",
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log.Infof("1) ASK | %f x %f / %f x %f | BID | %s",
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ask.Volume.Float64(), ask.Price.Float64(),
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bid.Price.Float64(), bid.Volume.Float64(),
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book.Time.String())
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}
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*/
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pv1c <- PV{
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asks: orderBook.SideBook(types.SideTypeSell),
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bids: orderBook.SideBook(types.SideTypeBuy),
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t: book.LastUpdateId,
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}
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})
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s.OnBookUpdate(func(book types.SliceOrderBook) {
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@ -84,18 +106,74 @@ var orderbookCmd = &cobra.Command{
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}
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orderBook.Update(book)
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/*
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if bid, ask, ok := orderBook.BestBidAndAsk(); ok {
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log.Infof("ASK | %f x %f / %f x %f | BID | %s",
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log.Infof("1) ASK | %f x %f / %f x %f | BID | %s",
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ask.Volume.Float64(), ask.Price.Float64(),
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bid.Price.Float64(), bid.Volume.Float64(),
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book.Time.String())
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}
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*/
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pv1c <- PV{
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asks: orderBook.SideBook(types.SideTypeSell),
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bids: orderBook.SideBook(types.SideTypeBuy),
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t: book.LastUpdateId,
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}
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})
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s2.OnBookSnapshot(func(book types.SliceOrderBook) {
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if dumpDepthUpdate {
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log.Infof("orderbook snapshot: %s", book.String())
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}
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orderBook.Load(book)
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if ok, err := orderBook.IsValid(); !ok {
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log.WithError(err).Panicf("invalid error book snapshot")
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}
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/*
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if bid, ask, ok := orderBook.BestBidAndAsk(); ok {
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log.Infof("2) ASK | %f x %f / %f x %f | BID | %s",
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ask.Volume.Float64(), ask.Price.Float64(),
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bid.Price.Float64(), bid.Volume.Float64(),
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book.Time.String())
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}
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*/
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pv2c <- PV{
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asks: orderBook.SideBook(types.SideTypeSell),
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bids: orderBook.SideBook(types.SideTypeBuy),
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t: book.LastUpdateId,
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}
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})
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s2.OnBookUpdate(func(book types.SliceOrderBook) {
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if dumpDepthUpdate {
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log.Infof("orderbook update: %s", book.String())
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}
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orderBook.Update(book)
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/*
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if bid, ask, ok := orderBook.BestBidAndAsk(); ok {
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log.Infof("2) ASK | %f x %f / %f x %f | BID | %s",
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ask.Volume.Float64(), ask.Price.Float64(),
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bid.Price.Float64(), bid.Volume.Float64(),
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book.Time.String())
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}
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*/
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pv2c <- PV{
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asks: orderBook.SideBook(types.SideTypeSell),
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bids: orderBook.SideBook(types.SideTypeBuy),
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t: book.LastUpdateId,
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}
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})
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log.Infof("connecting...")
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if err := s.Connect(ctx); err != nil {
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return fmt.Errorf("failed to connect to %s", sessionName)
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}
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if err := s2.Connect(ctx); err != nil {
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return fmt.Errorf("failed to connect to %s", sessionName)
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}
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log.Infof("connected")
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defer func() {
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@ -103,9 +181,86 @@ var orderbookCmd = &cobra.Command{
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if err := s.Close(); err != nil {
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log.WithError(err).Errorf("connection close error")
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}
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if err := s2.Close(); err != nil {
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log.WithError(err).Errorf("connection close error")
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}
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time.Sleep(1 * time.Second)
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}()
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go func() {
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flag := false
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for {
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select {
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case pv1 := <-pv1c:
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pv2 := <-pv2c
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if flag && pv1.t != pv2.t {
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log.Info("skip")
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}
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for pv1.t != pv2.t {
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if pv1.t < pv2.t {
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pv1 = <-pv1c
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} else {
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pv2 = <-pv2c
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}
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}
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log.Infof("version of 1: %d, version of 2: %d", pv1.t, pv2.t)
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flag = true
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if len(pv1.asks) != len(pv2.asks) {
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log.Info("not equal for length")
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log.Infof("pv1 asks: %+v", pv1.asks)
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log.Infof("pv2 asks: %+v", pv2.asks)
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x, _ := json.Marshal(pv1.asks)
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log.Infof("pv1 bids: %s", string(x))
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y, _ := json.Marshal(pv2.asks)
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log.Infof("pv2 bids: %s", string(y))
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continue
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}
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for i := range pv1.asks {
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if !pv1.asks[i].Equals(pv2.asks[i]) {
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log.Info("not euqal for value")
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log.Infof("pv1 asks: %+v", pv1.asks)
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log.Infof("pv2 asks: %+v", pv2.asks)
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x, _ := json.Marshal(pv1.asks)
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log.Infof("pv1 bids: %s", string(x))
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y, _ := json.Marshal(pv2.asks)
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log.Infof("pv2 bids: %s", string(y))
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continue
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}
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}
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if len(pv1.bids) != len(pv2.bids) {
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log.Info("not equal for length")
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x, _ := json.Marshal(pv1.bids)
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log.Infof("pv1 bids: %s", string(x))
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y, _ := json.Marshal(pv2.bids)
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log.Infof("pv2 bids: %s", string(y))
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continue
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}
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for i := range pv1.bids {
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if !pv1.bids[i].Equals(pv2.bids[i]) {
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log.Info("not euqal for value")
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x, _ := json.Marshal(pv1.bids)
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log.Infof("pv1 bids: %s", string(x))
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y, _ := json.Marshal(pv2.bids)
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log.Infof("pv2 bids: %s", string(y))
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continue
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}
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}
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}
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}
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}()
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cmdutil.WaitForSignal(ctx, syscall.SIGINT, syscall.SIGTERM)
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return nil
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},
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@ -178,7 +178,7 @@ func (e *Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) {
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}
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func (e *Exchange) NewStream() types.Stream {
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stream := NewStream(e.key, e.secret)
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stream := NewStream(e, e.key, e.secret)
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stream.MarginSettings = e.MarginSettings
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return stream
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}
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@ -170,6 +170,9 @@ type BookEvent struct {
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Timestamp int64 `json:"t"` // Millisecond timestamp
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Bids types.PriceVolumeSlice
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Asks types.PriceVolumeSlice
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FirstUpdateID int64 `json:"fi"`
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LastUpdateID int64 `json:"li"`
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Version int64 `json:"v"`
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}
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func (e *BookEvent) Time() time.Time {
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@ -181,6 +184,7 @@ func (e *BookEvent) OrderBook() (snapshot types.SliceOrderBook, err error) {
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snapshot.Time = e.Time()
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snapshot.Bids = e.Bids
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snapshot.Asks = e.Asks
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snapshot.LastUpdateId = e.LastUpdateID
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return snapshot, nil
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}
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@ -216,6 +220,9 @@ func parseBookEvent(val *fastjson.Value) (event *BookEvent, err error) {
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Market: string(val.GetStringBytes("M")),
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Channel: string(val.GetStringBytes("c")),
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Timestamp: val.GetInt64("T"),
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FirstUpdateID: val.GetInt64("fi"),
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LastUpdateID: val.GetInt64("li"),
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Version: val.GetInt64("v"),
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}
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// t := time.Unix(0, event.Timestamp*int64(time.Millisecond))
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@ -11,6 +11,7 @@ import (
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"github.com/google/uuid"
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"github.com/c9s/bbgo/pkg/depth"
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max "github.com/c9s/bbgo/pkg/exchange/max/maxapi"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -40,19 +41,24 @@ type Stream struct {
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accountSnapshotEventCallbacks []func(e max.AccountSnapshotEvent)
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accountUpdateEventCallbacks []func(e max.AccountUpdateEvent)
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// depthBuffers is used for storing the depth info
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depthBuffers map[string]*depth.Buffer
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}
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func NewStream(key, secret string) *Stream {
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func NewStream(ex *Exchange, key, secret string) *Stream {
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stream := &Stream{
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StandardStream: types.NewStandardStream(),
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key: key,
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// pragma: allowlist nextline secret
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secret: secret,
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depthBuffers: make(map[string]*depth.Buffer),
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}
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stream.SetEndpointCreator(stream.getEndpoint)
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stream.SetParser(max.ParseMessage)
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stream.SetDispatcher(stream.dispatchEvent)
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stream.OnConnect(stream.handleConnect)
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stream.OnDisconnect(stream.handleDisconnect)
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stream.OnAuthEvent(func(e max.AuthEvent) {
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log.Infof("max websocket connection authenticated: %+v", e)
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stream.EmitAuth()
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@ -62,9 +68,13 @@ func NewStream(key, secret string) *Stream {
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stream.OnOrderSnapshotEvent(stream.handleOrderSnapshotEvent)
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stream.OnOrderUpdateEvent(stream.handleOrderUpdateEvent)
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stream.OnTradeUpdateEvent(stream.handleTradeEvent)
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stream.OnBookEvent(stream.handleBookEvent)
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stream.OnAccountSnapshotEvent(stream.handleAccountSnapshotEvent)
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stream.OnAccountUpdateEvent(stream.handleAccountUpdateEvent)
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if key == "new" {
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stream.OnBookEvent(stream.handleBookEventNew(ex))
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} else {
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stream.OnBookEvent(stream.handleBookEvent)
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}
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return stream
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}
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@ -156,6 +166,13 @@ func (s *Stream) handleConnect() {
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}
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}
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func (s *Stream) handleDisconnect() {
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log.Debugf("resetting depth snapshots...")
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for _, f := range s.depthBuffers {
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f.Reset()
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}
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}
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func (s *Stream) handleKLineEvent(e max.KLineEvent) {
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kline := e.KLine.KLine()
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s.EmitKLine(kline)
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@ -218,6 +235,41 @@ func (s *Stream) handleBookEvent(e max.BookEvent) {
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}
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}
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func (s *Stream) handleBookEventNew(ex *Exchange) func(e max.BookEvent) {
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return func(e max.BookEvent) {
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symbol := toGlobalSymbol(e.Market)
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f, ok := s.depthBuffers[symbol]
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if ok {
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err := f.AddUpdate(types.SliceOrderBook{
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Symbol: toGlobalSymbol(e.Market),
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Time: e.Time(),
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Bids: e.Bids,
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Asks: e.Asks,
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}, e.FirstUpdateID, e.LastUpdateID)
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if err != nil {
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log.WithError(err).Errorf("found missing %s update event", e.Market)
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}
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} else {
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f = depth.NewBuffer(func() (types.SliceOrderBook, int64, error) {
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log.Infof("fetching %s depth...", e.Market)
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// the depth of websocket orderbook event is 50 by default, so we use 50 as limit here
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return ex.QueryDepth(context.Background(), e.Market, 50)
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})
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f.SetBufferingPeriod(time.Second)
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f.OnReady(func(snapshot types.SliceOrderBook, updates []depth.Update) {
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s.EmitBookSnapshot(snapshot)
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for _, u := range updates {
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s.EmitBookUpdate(u.Object)
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}
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})
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f.OnPush(func(update depth.Update) {
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s.EmitBookUpdate(update.Object)
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})
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s.depthBuffers[symbol] = f
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}
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}
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}
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func (s *Stream) handleAccountSnapshotEvent(e max.AccountSnapshotEvent) {
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snapshot := map[string]types.Balance{}
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for _, bm := range e.Balances {
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