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binance: fix depth event conversion

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This commit is contained in:
c9s 2021-06-28 13:11:10 +08:00
parent fdc5d6a54e
commit c4838f5631
1 changed files with 25 additions and 2 deletions
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27
pkg/exchange/binance/depthframe.go
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@ -7,6 +7,8 @@ import (
"time"
"github.com/adshao/go-binance/v2"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
//go:generate callbackgen -type DepthFrame
@ -212,11 +214,32 @@ func (f *DepthFrame) fetch(ctx context.Context) (*DepthEvent, error) {
}
for _, entry := range response.Bids {
event.Bids = append(event.Bids, DepthEntry{PriceLevel: entry.Price, Quantity: entry.Quantity})
// entry.Price, Quantity: entry.Quantity
price, err := fixedpoint.NewFromString(entry.Price)
if err != nil {
return nil, err
}
quantity, err := fixedpoint.NewFromString(entry.Quantity)
if err != nil {
return nil, err
}
event.Bids = append(event.Bids, types.PriceVolume{Price: price, Volume: quantity})
}
for _, entry := range response.Asks {
event.Asks = append(event.Asks, DepthEntry{PriceLevel: entry.Price, Quantity: entry.Quantity})
price, err := fixedpoint.NewFromString(entry.Price)
if err != nil {
return nil, err
}
quantity, err := fixedpoint.NewFromString(entry.Quantity)
if err != nil {
return nil, err
}
event.Asks = append(event.Asks, types.PriceVolume{Price: price, Volume : quantity})
}
return &event, nil