all: add subscribe depth options

pkg/exchange/binance/convert.go

@@ -157,7 +157,7 @@ func toGlobalFuturesBalance(balances []*futures.Balance) types.BalanceMap {
 func toGlobalFuturesPositions(futuresPositions []*futures.AccountPosition) types.FuturesPositionMap {
 	retFuturesPositions := make(types.FuturesPositionMap)
 	for _, futuresPosition := range futuresPositions {
-		retFuturesPositions[futuresPosition.Symbol] = types.FuturesPosition{ //TODO: types.FuturesPosition
+		retFuturesPositions[futuresPosition.Symbol] = types.FuturesPosition{ // TODO: types.FuturesPosition
 			Isolated: futuresPosition.Isolated,
 			PositionRisk: &types.PositionRisk{
 				Leverage: fixedpoint.MustNewFromString(futuresPosition.Leverage),
@@ -172,7 +172,7 @@ func toGlobalFuturesPositions(futuresPositions []*futures.AccountPosition) types
 
 func toGlobalFuturesUserAssets(assets []*futures.AccountAsset) (retAssets map[types.Asset]types.FuturesUserAsset) {
 	for _, asset := range assets {
-		//TODO: or modify to type FuturesAssetMap map[string]FuturesAssetMap
+		// TODO: or modify to type FuturesAssetMap map[string]FuturesAssetMap
 		retAssets[types.Asset{Currency: asset.Asset}] = types.FuturesUserAsset{
 			Asset:                  asset.Asset,
 			InitialMargin:          fixedpoint.MustNewFromString(asset.InitialMargin),
@@ -565,7 +565,28 @@ func convertSubscription(s types.Subscription) string {
 		// depth values: 5, 10, 20
 		// Stream Names: <symbol>@depth<levels> OR <symbol>@depth<levels>@100ms.
 		// Update speed: 1000ms or 100ms
-		return fmt.Sprintf("%s@depth10@100ms", strings.ToLower(s.Symbol))
+		n := strings.ToLower(s.Symbol) + "@depth"
+		switch s.Options.Depth {
+		case types.DepthLevel5:
+			n += "5"
+
+		case types.DepthLevelMedium:
+			n += "20"
+
+		case types.DepthLevelFull:
+		default:
+
+		}
+
+		switch s.Options.Speed {
+		case types.SpeedHigh:
+			n += "@100ms"
+
+		case types.SpeedLow:
+			n += "@1000ms"
+
+		}
+		return n
 	case types.BookTickerChannel:
 		return fmt.Sprintf("%s@bookTicker", strings.ToLower(s.Symbol))
 	}

pkg/exchange/max/stream.go

@@ -7,7 +7,6 @@ import (
 	"encoding/hex"
 	"fmt"
 	"os"
-	"strconv"
 	"time"
 
 	"github.com/google/uuid"
@@ -73,14 +72,19 @@ func (s *Stream) handleConnect() {
 			Action: "subscribe",
 		}
 		for _, sub := range s.Subscriptions {
-			var err error
 			var depth int
 
 			if len(sub.Options.Depth) > 0 {
-				depth, err = strconv.Atoi(sub.Options.Depth)
+				switch sub.Options.Depth {
-				if err != nil {
+				case types.DepthLevelFull:
-					log.WithError(err).Errorf("depth parse error, given %v", sub.Options.Depth)
+					depth = 0
-					continue
+
+				case types.DepthLevelMedium:
+					depth = 20
+
+				case types.DepthLevel5:
+					depth = 5
+
 				}
 			}
 

pkg/types/stream.go

@@ -387,10 +387,29 @@ func (s *StandardStream) Close() error {
 	return nil
 }
 
+type Depth string
+
+const (
+	DepthLevelFull   Depth = "FULL"
+	DepthLevelMedium Depth = "MEDIUM"
+	DepthLevel1      Depth = "1"
+	DepthLevel5      Depth = "5"
+	DepthLevel20     Depth = "20"
+)
+
+type Speed string
+
+const (
+	SpeedHigh   Speed = "HIGH"
+	SpeedMedium Speed = "MEDIUM"
+	SpeedLow    Speed = "LOW"
+)
+
 // SubscribeOptions provides the standard stream options
 type SubscribeOptions struct {
 	Interval string `json:"interval,omitempty"`
-	Depth    string `json:"depth,omitempty"`
+	Depth    Depth  `json:"depth,omitempty"`
+	Speed    Speed  `json:"speed,omitempty"`
 }
 
 func (o SubscribeOptions) String() string {
@@ -398,7 +417,7 @@ func (o SubscribeOptions) String() string {
 		return o.Interval
 	}
 
-	return o.Depth
+	return string(o.Depth)
 }
 
 type Subscription struct {