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FEATURE: [max] add QueryDepth v3 API to query orderbook
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parent
a639a5831b
commit
d1c5671a83
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@ -1134,6 +1134,36 @@ func (e *Exchange) QueryKLines(
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return kLines, nil
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}
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func (e *Exchange) QueryDepth(ctx context.Context, symbol string, limit int) (snapshot types.SliceOrderBook, finalUpdateID int64, err error) {
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req := e.v3client.NewGetDepthRequest()
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req.Market(symbol)
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req.Limit(limit)
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depth, err := req.Do(ctx)
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if err != nil {
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return snapshot, finalUpdateID, err
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}
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return convertDepth(symbol, depth)
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}
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func convertDepth(symbol string, depth *v3.Depth) (snapshot types.SliceOrderBook, finalUpdateID int64, err error) {
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snapshot.Symbol = symbol
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snapshot.Time = time.Unix(depth.Timestamp, 0)
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snapshot.LastUpdateId = depth.LastUpdateId
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finalUpdateID = depth.LastUpdateId
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for _, entry := range depth.Bids {
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snapshot.Bids = append(snapshot.Bids, types.PriceVolume{Price: entry[0], Volume: entry[1]})
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}
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for _, entry := range depth.Asks {
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snapshot.Asks = append(snapshot.Asks, types.PriceVolume{Price: entry[0], Volume: entry[1]})
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}
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return snapshot, finalUpdateID, err
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}
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var Two = fixedpoint.NewFromInt(2)
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func (e *Exchange) QueryAveragePrice(ctx context.Context, symbol string) (fixedpoint.Value, error) {
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29
pkg/exchange/max/maxapi/v3/get_depth_request.go
Normal file
29
pkg/exchange/max/maxapi/v3/get_depth_request.go
Normal file
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@ -0,0 +1,29 @@
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package v3
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//go:generate -command GetRequest requestgen -method GET
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import (
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/requestgen"
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)
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type Depth struct {
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Timestamp int64 `json:"timestamp"`
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LastUpdateVersion int64 `json:"last_update_version"`
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LastUpdateId int64 `json:"last_update_id"`
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Bids [][]fixedpoint.Value `json:"bids"`
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Asks [][]fixedpoint.Value `json:"asks"`
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}
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//go:generate GetRequest -url "/api/v3/depth" -type GetDepthRequest -responseType Depth
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type GetDepthRequest struct {
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client requestgen.APIClient
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market string `param:"market,required"`
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limit *int `param:"limit"`
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sortByPrice *bool `param:"sort_by_price"`
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}
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func (s *Client) NewGetDepthRequest() *GetDepthRequest {
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return &GetDepthRequest{client: s.Client}
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}
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212
pkg/exchange/max/maxapi/v3/get_depth_request_requestgen.go
Normal file
212
pkg/exchange/max/maxapi/v3/get_depth_request_requestgen.go
Normal file
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@ -0,0 +1,212 @@
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// Code generated by "requestgen -method GET -url /api/v3/depth -type GetDepthRequest -responseType Depth"; DO NOT EDIT.
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package v3
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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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"net/url"
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"reflect"
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"regexp"
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)
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func (g *GetDepthRequest) Market(market string) *GetDepthRequest {
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g.market = market
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return g
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}
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func (g *GetDepthRequest) Limit(limit int) *GetDepthRequest {
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g.limit = &limit
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return g
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}
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func (g *GetDepthRequest) SortByPrice(sortByPrice bool) *GetDepthRequest {
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g.sortByPrice = &sortByPrice
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return g
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}
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// GetQueryParameters builds and checks the query parameters and returns url.Values
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func (g *GetDepthRequest) GetQueryParameters() (url.Values, error) {
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var params = map[string]interface{}{}
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query := url.Values{}
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for _k, _v := range params {
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query.Add(_k, fmt.Sprintf("%v", _v))
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}
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return query, nil
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}
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// GetParameters builds and checks the parameters and return the result in a map object
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func (g *GetDepthRequest) GetParameters() (map[string]interface{}, error) {
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var params = map[string]interface{}{}
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// check market field -> json key market
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market := g.market
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// TEMPLATE check-required
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if len(market) == 0 {
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return nil, fmt.Errorf("market is required, empty string given")
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}
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// END TEMPLATE check-required
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// assign parameter of market
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params["market"] = market
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// check limit field -> json key limit
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if g.limit != nil {
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limit := *g.limit
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// assign parameter of limit
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params["limit"] = limit
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} else {
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}
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// check sortByPrice field -> json key sort_by_price
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if g.sortByPrice != nil {
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sortByPrice := *g.sortByPrice
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// assign parameter of sortByPrice
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params["sort_by_price"] = sortByPrice
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} else {
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}
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return params, nil
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}
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// GetParametersQuery converts the parameters from GetParameters into the url.Values format
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func (g *GetDepthRequest) GetParametersQuery() (url.Values, error) {
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query := url.Values{}
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params, err := g.GetParameters()
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if err != nil {
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return query, err
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}
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for _k, _v := range params {
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if g.isVarSlice(_v) {
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g.iterateSlice(_v, func(it interface{}) {
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query.Add(_k+"[]", fmt.Sprintf("%v", it))
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})
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} else {
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query.Add(_k, fmt.Sprintf("%v", _v))
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}
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}
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return query, nil
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}
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// GetParametersJSON converts the parameters from GetParameters into the JSON format
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func (g *GetDepthRequest) GetParametersJSON() ([]byte, error) {
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params, err := g.GetParameters()
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if err != nil {
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return nil, err
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}
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return json.Marshal(params)
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}
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// GetSlugParameters builds and checks the slug parameters and return the result in a map object
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func (g *GetDepthRequest) GetSlugParameters() (map[string]interface{}, error) {
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var params = map[string]interface{}{}
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return params, nil
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}
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func (g *GetDepthRequest) applySlugsToUrl(url string, slugs map[string]string) string {
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for _k, _v := range slugs {
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needleRE := regexp.MustCompile(":" + _k + "\\b")
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url = needleRE.ReplaceAllString(url, _v)
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}
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return url
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}
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func (g *GetDepthRequest) iterateSlice(slice interface{}, _f func(it interface{})) {
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sliceValue := reflect.ValueOf(slice)
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for _i := 0; _i < sliceValue.Len(); _i++ {
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it := sliceValue.Index(_i).Interface()
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_f(it)
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}
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}
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func (g *GetDepthRequest) isVarSlice(_v interface{}) bool {
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rt := reflect.TypeOf(_v)
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switch rt.Kind() {
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case reflect.Slice:
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return true
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}
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return false
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}
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func (g *GetDepthRequest) GetSlugsMap() (map[string]string, error) {
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slugs := map[string]string{}
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params, err := g.GetSlugParameters()
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if err != nil {
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return slugs, nil
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}
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for _k, _v := range params {
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slugs[_k] = fmt.Sprintf("%v", _v)
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}
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return slugs, nil
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}
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// GetPath returns the request path of the API
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func (g *GetDepthRequest) GetPath() string {
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return "/api/v3/depth"
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}
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// Do generates the request object and send the request object to the API endpoint
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func (g *GetDepthRequest) Do(ctx context.Context) (*Depth, error) {
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// empty params for GET operation
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var params interface{}
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query, err := g.GetParametersQuery()
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if err != nil {
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return nil, err
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}
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var apiURL string
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apiURL = g.GetPath()
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req, err := g.client.NewRequest(ctx, "GET", apiURL, query, params)
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if err != nil {
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return nil, err
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}
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response, err := g.client.SendRequest(req)
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if err != nil {
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return nil, err
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}
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var apiResponse Depth
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type responseUnmarshaler interface {
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Unmarshal(data []byte) error
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}
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if unmarshaler, ok := interface{}(&apiResponse).(responseUnmarshaler); ok {
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if err := unmarshaler.Unmarshal(response.Body); err != nil {
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return nil, err
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}
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} else {
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// The line below checks the content type, however, some API server might not send the correct content type header,
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// Hence, this is commented for backward compatibility
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// response.IsJSON()
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if err := response.DecodeJSON(&apiResponse); err != nil {
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return nil, err
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}
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}
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type responseValidator interface {
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Validate() error
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}
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if validator, ok := interface{}(&apiResponse).(responseValidator); ok {
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if err := validator.Validate(); err != nil {
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return nil, err
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}
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}
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return &apiResponse, nil
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}
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