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xdepthmaker: separate a stream for order book
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c9s 2024-11-16 02:47:22 +08:00
parent 9cced25ffb
commit e0d3013866
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1 changed files with 12 additions and 6 deletions
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18
pkg/strategy/xdepthmaker/strategy.go
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@ -323,11 +323,6 @@ func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
panic(err) panic(err)
} }
hedgeSession.Subscribe(types.BookChannel, s.HedgeSymbol, types.SubscribeOptions{
Depth: types.DepthLevelFull,
Speed: types.SpeedLow,
})
hedgeSession.Subscribe(types.KLineChannel, s.HedgeSymbol, types.SubscribeOptions{Interval: "1m"}) hedgeSession.Subscribe(types.KLineChannel, s.HedgeSymbol, types.SubscribeOptions{Interval: "1m"})
hedgeSession.Subscribe(types.KLineChannel, hedgeSession.Exchange.PlatformFeeCurrency()+"USDT", types.SubscribeOptions{Interval: "1m"}) hedgeSession.Subscribe(types.KLineChannel, hedgeSession.Exchange.PlatformFeeCurrency()+"USDT", types.SubscribeOptions{Interval: "1m"})
@ -569,8 +564,19 @@ func (s *Strategy) CrossRun(
return err return err
} }
sourceMarketStream := s.hedgeSession.Exchange.NewStream()
sourceMarketStream.SetPublicOnly()
sourceMarketStream.Subscribe(types.BookChannel, s.HedgeSymbol, types.SubscribeOptions{
Depth: types.DepthLevelFull,
Speed: types.SpeedLow,
})
s.sourceBook = types.NewStreamBook(s.HedgeSymbol, s.hedgeSession.ExchangeName) s.sourceBook = types.NewStreamBook(s.HedgeSymbol, s.hedgeSession.ExchangeName)
s.sourceBook.BindStream(s.hedgeSession.MarketDataStream) s.sourceBook.BindStream(sourceMarketStream)
if err := sourceMarketStream.Connect(ctx); err != nil {
return err
}
s.priceSolver = pricesolver.NewSimplePriceResolver(s.makerSession.Markets()) s.priceSolver = pricesolver.NewSimplePriceResolver(s.makerSession.Markets())
s.priceSolver.BindStream(s.hedgeSession.MarketDataStream) s.priceSolver.BindStream(s.hedgeSession.MarketDataStream)