okex: fix order book subscription channels

pkg/exchange/okex/convert.go

@@ -81,9 +81,6 @@ func convertIntervalToCandle(interval types.Interval) string {
 }
 
 func convertSubscription(s types.Subscription) (WebsocketSubscription, error) {
-	// binance uses lower case symbol name,
-	// for kline, it's "<symbol>@kline_<interval>"
-	// for depth, it's "<symbol>@depth OR <symbol>@depth@100ms"
 	switch s.Channel {
 	case types.KLineChannel:
 		// Channel names are:
@@ -93,17 +90,32 @@ func convertSubscription(s types.Subscription) (WebsocketSubscription, error) {
 		}, nil
 
 	case types.BookChannel:
-		if s.Options.Depth != types.DepthLevel400 {
-			return WebsocketSubscription{}, fmt.Errorf("%s depth not supported", s.Options.Depth)
+		ch := ChannelBooks
+
+		switch s.Options.Depth {
+		case types.DepthLevelFull:
+			ch = ChannelBooks
+
+		case types.DepthLevelMedium:
+			ch = ChannelBooks50
+
+		case types.DepthLevel50:
+			ch = ChannelBooks50
+
+		case types.DepthLevel5:
+			ch = ChannelBooks5
+
+		case types.DepthLevel1:
+			ch = ChannelBooks1
 		}
 
 		return WebsocketSubscription{
-			Channel:      ChannelBooks,
+			Channel:      ch,
 			InstrumentID: toLocalSymbol(s.Symbol),
 		}, nil
 	case types.BookTickerChannel:
 		return WebsocketSubscription{
-			Channel:      ChannelBook5,
+			Channel:      ChannelBooks5,
 			InstrumentID: toLocalSymbol(s.Symbol),
 		}, nil
 	case types.MarketTradeChannel:

pkg/exchange/okex/parse.go

@@ -15,8 +15,25 @@ import (
 type Channel string
 
 const (
-	ChannelBooks        Channel = "books"
-	ChannelBook5        Channel = "book5"
+	// books: 400 depth levels will be pushed in the initial full snapshot.
+	// Incremental data will be pushed every 100 ms for the changes in the order book during that period of time.
+	ChannelBooks Channel = "books"
+
+	// ChannelBooks5 is books5
+	// 5 depth levels snapshot will be pushed every time.
+	// Snapshot data will be pushed every 100 ms when there are changes in the 5 depth levels snapshot.
+	ChannelBooks5 Channel = "books5"
+
+	// ChannelBooks50 is books50-l2-tbt:
+	// 50 depth levels will be pushed in the initial full snapshot.
+	// Incremental data will be pushed every 10 ms for the changes in the order book during that period of time.
+	ChannelBooks50 Channel = "books50-l2-tbt"
+
+	// ChannelBooks1 is bbo-tbt
+	// 1 depth level snapshot will be pushed every time.
+	// Snapshot data will be pushed every 10 ms when there are changes in the 1 depth level snapshot.
+	ChannelBooks1 Channel = "bbo-tbt"
+
 	ChannelCandlePrefix Channel = "candle"
 	ChannelAccount      Channel = "account"
 	ChannelMarketTrades Channel = "trades"
@@ -44,7 +61,7 @@ func parseWebSocketEvent(in []byte) (interface{}, error) {
 	case ChannelAccount:
 		return parseAccount(event.Data)
 
-	case ChannelBooks, ChannelBook5:
+	case ChannelBooks, ChannelBooks5:
 		var bookEvent BookEvent
 		err = json.Unmarshal(event.Data, &bookEvent.Data)
 		if err != nil {

pkg/exchange/okex/stream.go

@@ -303,7 +303,7 @@ func (s *Stream) dispatchEvent(e interface{}) {
 
 	case *BookEvent:
 		// there's "books" for 400 depth and books5 for 5 depth
-		if et.channel != ChannelBook5 {
+		if et.channel != ChannelBooks5 {
 			s.EmitBookEvent(*et)
 		}
 		s.EmitBookTickerUpdate(et.BookTicker())