diff --git a/pkg/exchange/max/stream.go b/pkg/exchange/max/stream.go index 0ea5b279a..a9cc94321 100644 --- a/pkg/exchange/max/stream.go +++ b/pkg/exchange/max/stream.go @@ -86,33 +86,32 @@ func (s *Stream) SetPrivateChannels(channels []string) { s.privateChannels = channels } +func ToLocalDepth(depth types.Depth) int { + if len(depth) > 0 { + switch depth { + case types.DepthLevelFull: + return 50 + case types.DepthLevelMedium: + return 20 + case types.DepthLevel1: + return 1 + case types.DepthLevel5: + return 5 + default: + return 20 + } + } + + return 0 +} + func (s *Stream) handleConnect() { if s.PublicOnly { cmd := &max.WebsocketCommand{ Action: "subscribe", } for _, sub := range s.Subscriptions { - var depth int - - if len(sub.Options.Depth) > 0 { - switch sub.Options.Depth { - case types.DepthLevelFull: - depth = 50 - - case types.DepthLevelMedium: - depth = 20 - - case types.DepthLevel1: - depth = 1 - - case types.DepthLevel5: - depth = 5 - - default: - depth = 20 - - } - } + depth := ToLocalDepth(sub.Options.Depth) cmd.Subscriptions = append(cmd.Subscriptions, max.Subscription{ Channel: string(sub.Channel), @@ -122,6 +121,7 @@ func (s *Stream) handleConnect() { }) } + log.Infof("public subscription commands: %+v", cmd) if err := s.Conn.WriteJSON(cmd); err != nil { log.WithError(err).Error("failed to send subscription request") } @@ -218,10 +218,23 @@ func (s *Stream) handleBookEvent(ex *Exchange) func(e max.BookEvent) { symbol := toGlobalSymbol(e.Market) f, ok := s.depthBuffers[symbol] if !ok { + bookDepth := 0 + for _, subscription := range s.Subscriptions { + if subscription.Channel == types.BookChannel && toLocalSymbol(subscription.Symbol) == e.Market { + bookDepth = ToLocalDepth(subscription.Options.Depth) + break + } + } + + // the default depth of websocket channel is 50, we need to make sure both RESTful API and WS channel use the same depth + if bookDepth == 0 { + bookDepth = 50 + } + f = depth.NewBuffer(func() (types.SliceOrderBook, int64, error) { - log.Infof("fetching %s depth...", e.Market) + log.Infof("fetching %s depth with depth = %d...", e.Market, bookDepth) // 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) + return ex.QueryDepth(context.Background(), e.Market, bookDepth) }) f.SetBufferingPeriod(time.Second) f.OnReady(func(snapshot types.SliceOrderBook, updates []depth.Update) {