Merge pull request #1765 from c9s/chiahung/max/use-depth-to-build-orderbook

FEATURE: [max] use QueryDepth to build orderbook

pkg/exchange/max/exchange.go

@@ -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
 }

pkg/exchange/max/maxapi/public_parser.go

@@ -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))

pkg/exchange/max/stream.go

@@ -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 +68,9 @@ 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)
+	stream.OnBookEvent(stream.handleBookEvent(ex))
 	return stream
 }
 
@@ -156,6 +162,13 @@ 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)
@@ -200,21 +213,38 @@ func (s *Stream) handleTradeEvent(e max.TradeUpdateEvent) {
 	}
 }
 
-func (s *Stream) handleBookEvent(e max.BookEvent) {
-	newBook, err := e.OrderBook()
-	if err != nil {
-		log.WithError(err).Error("book convert error")
-		return
-	}
-
-	newBook.Symbol = toGlobalSymbol(e.Market)
-	newBook.Time = e.Time()
-
-	switch e.Event {
-	case "snapshot":
-		s.EmitBookSnapshot(newBook)
-	case "update":
-		s.EmitBookUpdate(newBook)
+func (s *Stream) handleBookEvent(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
+		}
 	}
 }