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https://github.com/c9s/bbgo.git
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implement orderbook updater
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parent
5619deffb2
commit
d29725119f
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@ -6,6 +6,9 @@ import (
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"github.com/pkg/errors"
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"github.com/valyala/fastjson"
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"github.com/c9s/bbgo/pkg/bbgo/fixedpoint"
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"github.com/c9s/bbgo/pkg/bbgo/types"
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)
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var ErrIncorrectBookEntryElementLength = errors.New("incorrect book entry element length")
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@ -105,6 +108,28 @@ func (e *BookEvent) Time() time.Time {
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return time.Unix(0, e.Timestamp*int64(time.Millisecond))
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}
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func (e *BookEvent) OrderBook() (snapshot types.OrderBook, err error) {
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for _, bid := range e.Bids {
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pv, err := bid.PriceVolumePair()
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if err != nil {
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return snapshot, err
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}
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snapshot.Bids = append(snapshot.Bids, pv)
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}
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for _, ask := range e.Asks {
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pv, err := ask.PriceVolumePair()
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if err != nil {
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return snapshot, err
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}
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snapshot.Asks = append(snapshot.Asks, pv)
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}
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return snapshot, nil
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}
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func parseBookEvent(val *fastjson.Value) (*BookEvent, error) {
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event := BookEvent{
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Event: string(val.GetStringBytes("e")),
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@ -136,6 +161,20 @@ type BookEntry struct {
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Volume string
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}
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func (e *BookEntry) PriceVolumePair() (pv types.PriceVolumePair, err error) {
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pv.Price, err = fixedpoint.NewFromString(e.Price)
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if err != nil {
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return pv, err
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}
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pv.Volume, err = fixedpoint.NewFromString(e.Volume)
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if err != nil {
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return pv, err
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}
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return pv, err
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}
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// parseBookEntries parses JSON struct like `[["233330", "0.33"], ....]`
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func parseBookEntries(vals []*fastjson.Value, side int, t time.Time) (entries []BookEntry, err error) {
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for _, entry := range vals {
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@ -151,8 +190,8 @@ func parseBookEntries(vals []*fastjson.Value, side int, t time.Time) (entries []
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entries = append(entries, BookEntry{
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Side: side,
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Time: t,
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Price: pv[0].String(),
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Volume: pv[1].String(),
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Price: string(pv[0].GetStringBytes()),
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Volume: string(pv[1].GetStringBytes()),
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})
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}
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@ -211,5 +250,3 @@ func parseSubscriptionEvent(val *fastjson.Value) (*SubscriptionEvent, error) {
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return &event, nil
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}
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@ -65,6 +65,20 @@ func NewWebSocketService(wsURL string, key, secret string) *WebSocketService {
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}
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func (s *WebSocketService) Connect(ctx context.Context) error {
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s.OnConnect(func(c *websocket.Conn) {
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if err := s.SendSubscriptionRequest(SubscribeAction); err != nil {
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s.EmitError(err)
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logger.WithError(err).Error("failed to subscribe")
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}
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})
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s.OnConnect(func(conn *websocket.Conn) {
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if err := s.Auth(); err != nil {
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s.EmitError(err)
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logger.WithError(err).Error("failed to send auth request")
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}
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})
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// pre-allocate the websocket client, the websocket client can be used for reconnecting.
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if err := s.connect(ctx) ; err != nil {
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return err
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@ -94,6 +108,9 @@ func (s *WebSocketService) connect(ctx context.Context) error {
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s.conn = conn
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s.EmitConnect(conn)
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return nil
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}
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140
bbgo/types/orderbook.go
Normal file
140
bbgo/types/orderbook.go
Normal file
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@ -0,0 +1,140 @@
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package types
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import (
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"fmt"
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"sort"
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"github.com/c9s/bbgo/pkg/bbgo/fixedpoint"
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)
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type PriceVolumePair struct {
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Price fixedpoint.Value
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Volume fixedpoint.Value
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}
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func (p PriceVolumePair) String() string {
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return fmt.Sprintf("PriceVolumePair{ price: %f, volume: %f }", p.Price.Float64(), p.Volume.Float64())
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}
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type PriceVolumePairSlice []PriceVolumePair
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func (ps PriceVolumePairSlice) Len() int { return len(ps) }
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func (ps PriceVolumePairSlice) Less(i, j int) bool { return ps[i].Price < ps[j].Price }
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func (ps PriceVolumePairSlice) Swap(i, j int) { ps[i], ps[j] = ps[j], ps[i] }
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// Trim removes the pairs that volume = 0
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func (ps PriceVolumePairSlice) Trim() (newps PriceVolumePairSlice) {
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for _, pv := range ps {
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if pv.Volume > 0 {
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newps = append(newps, pv)
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}
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}
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return newps
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}
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func (ps PriceVolumePairSlice) Copy() PriceVolumePairSlice {
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// this is faster than make
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return append(ps[:0:0], ps...)
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}
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func (ps *PriceVolumePairSlice) UpdateOrInsert(newPair PriceVolumePair, descending bool) {
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var newps = UpdateOrInsertPriceVolumePair(*ps, newPair, descending)
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*ps = newps
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}
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func (ps *PriceVolumePairSlice) RemoveByPrice(price fixedpoint.Value, descending bool) {
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var newps = RemovePriceVolumePair(*ps, price, descending)
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*ps = newps
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}
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// FindPriceVolumePair finds the pair by the given price, this function is a read-only
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// operation, so we use the value receiver to avoid copy value from the pointer
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// If the price is not found, it will return the index where the price can be inserted at.
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// true for descending (bid orders), false for ascending (ask orders)
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func FindPriceVolumePair(slice []PriceVolumePair, price fixedpoint.Value, descending bool) (int, PriceVolumePair) {
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idx := sort.Search(len(slice), func(i int) bool {
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if descending {
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return slice[i].Price <= price
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}
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return slice[i].Price >= price
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})
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if idx >= len(slice) || slice[idx].Price != price {
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return idx, PriceVolumePair{}
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}
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return idx, slice[idx]
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}
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//true for descending (bid orders), false for ascending (ask orders)
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func UpdateOrInsertPriceVolumePair(slice []PriceVolumePair, pvPair PriceVolumePair, descending bool) []PriceVolumePair {
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price := pvPair.Price
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if len(slice) == 0 {
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return append(slice, pvPair)
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}
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idx, _ := FindPriceVolumePair(slice, price, descending)
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if idx >= len(slice) || slice[idx].Price != price {
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return InsertPriceVolumePairAt(slice, pvPair, idx)
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} else {
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slice[idx].Volume = pvPair.Volume
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return slice
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}
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}
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func InsertPriceVolumePairAt(slice []PriceVolumePair, pvPair PriceVolumePair, idx int) []PriceVolumePair {
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rear := append([]PriceVolumePair{}, slice[idx:]...)
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slice = append(slice[:idx], pvPair)
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return append(slice, rear...)
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}
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func RemovePriceVolumePair(slice []PriceVolumePair, price fixedpoint.Value, descending bool) []PriceVolumePair {
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idx, matched := FindPriceVolumePair(slice, price, descending)
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if matched.Price != price {
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return slice
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}
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return append(slice[:idx], slice[idx+1:]...)
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}
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type OrderBook struct {
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Symbol string
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Bids PriceVolumePairSlice
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Asks PriceVolumePairSlice
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}
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func (b *OrderBook) UpdateAsks(pvs PriceVolumePairSlice) {
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for _, pv := range pvs {
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b.Asks.UpdateOrInsert(pv, false)
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}
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}
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func (b *OrderBook) UpdateBids(pvs PriceVolumePairSlice) {
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for _, pv := range pvs {
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b.Bids.UpdateOrInsert(pv, true)
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}
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}
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func (b *OrderBook) Load(book OrderBook) {
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b.Bids = nil
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b.Asks = nil
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b.Update(book)
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}
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func (b *OrderBook) Update(book OrderBook) {
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b.UpdateBids(book.Bids)
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b.UpdateAsks(book.Asks)
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}
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func (b *OrderBook) Print() {
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fmt.Printf("BOOK %s\n", b.Symbol)
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fmt.Printf("ASKS:\n")
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for i := len(b.Asks) - 1 ; i >= 0 ; i-- {
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fmt.Printf("- ASK: %s\n", b.Asks[i].String())
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}
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fmt.Printf("BIDS:\n")
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for _, bid := range b.Bids {
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fmt.Printf("- BID: %s\n", bid.String())
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}
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}
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