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exchange: make ftx kline event more reliable
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parent
05323f211f
commit
c0b9cc0f0b
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@ -318,6 +318,10 @@ func (session *ExchangeSession) Init(ctx context.Context, environ *Environment)
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}
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}
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session.MarketDataStream.OnKLine(func(kline types.KLine) {
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log.WithField("marketData", "kline").Infof("kline : %+v", kline)
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})
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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log.WithField("marketData", "kline").Infof("kline closed: %+v", kline)
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})
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@ -135,20 +135,22 @@ func (s *Stream) Subscribe(channel types.Channel, symbol string, option types.Su
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}
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func (s *Stream) pollKLines(ctx context.Context) {
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lastClosed := time.Time{}
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// get current kline candle
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for _, sub := range s.klineSubscriptions {
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klines := getLastClosedKLine(s.exchange, ctx, sub.symbol, sub.interval)
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klines := getLast2KLine(s.exchange, ctx, sub.symbol, sub.interval)
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if len(klines) > 0 {
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// handle mutiple klines, get the latest one
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kline := klines[len(klines)-1]
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s.EmitKLine(kline)
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s.EmitKLineClosed(kline)
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s.EmitKLine(klines[0])
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s.EmitKLineClosed(klines[0])
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s.EmitKLine(klines[1])
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lastClosed = klines[0].StartTime
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}
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}
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// the highest resolution of kline is 1min
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ticker := time.NewTicker(time.Minute)
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ticker := time.NewTicker(time.Second * 30)
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defer ticker.Stop()
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for {
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@ -166,20 +168,23 @@ func (s *Stream) pollKLines(ctx context.Context) {
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// not in the checking time slot, check next subscription
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continue
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}
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klines := getLastClosedKLine(s.exchange, ctx, sub.symbol, sub.interval)
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klines := getLast2KLine(s.exchange, ctx, sub.symbol, sub.interval)
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if len(klines) > 0 {
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// handle mutiple klines, get the latest one
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kline := klines[len(klines)-1]
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s.EmitKLine(kline)
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s.EmitKLineClosed(kline)
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if lastClosed.Unix() < klines[0].StartTime.Unix() {
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s.EmitKLine(klines[0])
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s.EmitKLineClosed(klines[0])
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lastClosed = klines[0].StartTime
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}
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s.EmitKLine(klines[1])
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}
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}
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}
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}
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}
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func getLastClosedKLine(e *Exchange, ctx context.Context, symbol string, interval types.Interval) []types.KLine {
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func getLast2KLine(e *Exchange, ctx context.Context, symbol string, interval types.Interval) []types.KLine {
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// set since to more 30s ago to avoid getting no kline candle
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since := time.Now().Add(time.Duration(interval.Minutes()*-3) * time.Minute)
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klines, err := e.QueryKLines(ctx, symbol, interval, types.KLineQueryOptions{
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@ -191,6 +196,12 @@ func getLastClosedKLine(e *Exchange, ctx context.Context, symbol string, interva
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return klines
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}
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return klines
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}
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func getLastClosedKLine(e *Exchange, ctx context.Context, symbol string, interval types.Interval) []types.KLine {
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// set since to more 30s ago to avoid getting no kline candle
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klines := getLast2KLine(e, ctx, symbol, interval)
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return []types.KLine{klines[0]}
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}
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