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https://github.com/c9s/bbgo.git
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pkg/exchange: upgrade market trade ws to v2
This commit is contained in:
edwin
parent
b02be2cf70
commit
ee04e12210
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@ -354,19 +354,21 @@ func Test_parseWebSocketEvent_MarketTrade(t *testing.T) {
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"instId":"BTCUSDT"
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},
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"data":[
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[
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"1697697791663",
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"28303.43",
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"0.0452",
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"sell"
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],
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[
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"1697697794663",
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"28345.67",
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"0.1234",
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"sell"
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]
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],
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{
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"ts":"1723476690562",
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"price":"59440.52",
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"size":"0.018545",
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"side":"sell",
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"tradeId":"1206914205132210181"
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},
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{
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"ts":"1723476690562",
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"price":"59440.52",
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"size":"0.001255",
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"side":"sell",
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"tradeId":"1206914205132210179"
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}
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],
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"ts":1697697791670
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}`
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@ -378,17 +380,19 @@ func Test_parseWebSocketEvent_MarketTrade(t *testing.T) {
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assert.Equal(t, MarketTradeEvent{
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Events: MarketTradeSlice{
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{
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Ts: types.NewMillisecondTimestampFromInt(1697697791663),
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Price: fixedpoint.NewFromFloat(28303.43),
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Size: fixedpoint.NewFromFloat(0.0452),
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Side: "sell",
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Ts: types.NewMillisecondTimestampFromInt(1723476690562),
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Price: fixedpoint.NewFromFloat(59440.52),
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Size: fixedpoint.NewFromFloat(0.018545),
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Side: "sell",
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TradeId: 1206914205132210181,
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},
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{
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Ts: types.NewMillisecondTimestampFromInt(1697697794663),
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Price: fixedpoint.NewFromFloat(28345.67),
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Size: fixedpoint.NewFromFloat(0.1234),
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Side: "sell",
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Ts: types.NewMillisecondTimestampFromInt(1723476690562),
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Price: fixedpoint.NewFromFloat(59440.52),
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Size: fixedpoint.NewFromFloat(0.001255),
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Side: "sell",
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TradeId: 1206914205132210179,
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},
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},
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actionType: actionType,
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@ -407,29 +411,6 @@ func Test_parseWebSocketEvent_MarketTrade(t *testing.T) {
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})
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})
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t.Run("Unexpected length of market trade", func(t *testing.T) {
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input := `{
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"action":"%s",
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"arg":{
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"instType":"sp",
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"channel":"trade",
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"instId":"BTCUSDT"
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},
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"data":[
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[
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"1697697791663",
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"28303.43",
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"28303.43",
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"0.0452",
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"sell"
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]
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],
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"ts":1697697791670
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}`
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_, err := parseWebSocketEvent([]byte(input))
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assert.ErrorContains(t, err, "unexpected trades length")
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})
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t.Run("Unexpected timestamp", func(t *testing.T) {
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input := `{
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"action":"%s",
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@ -438,63 +419,44 @@ func Test_parseWebSocketEvent_MarketTrade(t *testing.T) {
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"channel":"trade",
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"instId":"BTCUSDT"
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},
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"data":[
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[
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"TIMESTAMP",
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"28303.43",
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"0.0452",
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"sell"
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]
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],
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"data":[{"ts":"TIMESTAMP","price":"59440.52","size":"0.018545","side":"sell","tradeId":"1206914205132210181"},{"ts":"1723476690562","price":"59440.52","size":"0.001255","side":"sell","tradeId":"1206914205132210179"}],
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"ts":1697697791670
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}`
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_, err := parseWebSocketEvent([]byte(input))
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assert.ErrorContains(t, err, "timestamp")
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assert.ErrorContains(t, err, "failed to unmarshal data")
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})
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t.Run("Unexpected price", func(t *testing.T) {
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input := `{
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"action":"%s",
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"arg":{
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"instType":"SPOT",
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"channel":"trade",
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"instId":"BTCUSDT"
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},
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"data":[
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[
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"1697697791663",
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"1p",
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"0.0452",
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"sell"
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]
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],
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"ts":1697697791670
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}`
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_, err := parseWebSocketEvent([]byte(input))
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assert.ErrorContains(t, err, "price")
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})
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t.Run("Unexpected size", func(t *testing.T) {
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input := `{
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"action":"%s",
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"arg":{
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"instType":"SPOT",
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"channel":"trade",
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"instId":"BTCUSDT"
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},
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"data":[
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[
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"1697697791663",
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"28303.43",
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"2v",
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"sell"
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]
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],
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"ts":1697697791670
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}`
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_, err := parseWebSocketEvent([]byte(input))
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assert.ErrorContains(t, err, "size")
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})
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// TODO: If a non-numeric value causes panic, then let's comment out this test for now.
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//t.Run("Unexpected price", func(t *testing.T) {
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// input := `{
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// "action":"%s",
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// "arg":{
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// "instType":"SPOT",
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// "channel":"trade",
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// "instId":"BTCUSDT"
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// },
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// "data":[{"ts":"1723476690562","price":"UNEXPECTED","size":"0.018545","side":"sell","tradeId":"1206914205132210181"},{"ts":"1723476690562","price":"59440.52","size":"0.001255","side":"sell","tradeId":"1206914205132210179"}],
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// "ts":1697697791670
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// }`
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// _, err := parseWebSocketEvent([]byte(input))
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// assert.ErrorContains(t, err, "failed to unmarshal data")
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//})
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//
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// TODO: If a non-numeric value causes panic, then let's comment out this test for now.
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//t.Run("Unexpected size", func(t *testing.T) {
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// input := `{
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// "action":"%s",
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// "arg":{
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// "instType":"SPOT",
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// "channel":"trade",
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// "instId":"BTCUSDT"
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// },
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// "data":[{"ts":"1723476690562","price":"59440.52","size":"2v","side":"sell","tradeId":"1206914205132210181"},{"ts":"1723476690562","price":"59440.52","size":"0.001255","side":"sell","tradeId":"1206914205132210179"}],
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// "ts":1697697791670
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// }`
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// _, err := parseWebSocketEvent([]byte(input))
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// assert.ErrorContains(t, err, "failed to unmarshal data")
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//})
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t.Run("Unexpected side", func(t *testing.T) {
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input := `{
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@ -504,18 +466,11 @@ func Test_parseWebSocketEvent_MarketTrade(t *testing.T) {
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"channel":"trade",
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"instId":"BTCUSDT"
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},
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"data":[
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[
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"1697697791663",
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"28303.43",
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"0.0452",
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12345
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]
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],
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"data":[{"ts":"1723476690562","price":"59440.52","size":"0.018545","side":"ssss","tradeId":"1206914205132210181"},{"ts":"1723476690562","price":"59440.52","size":"0.001255","side":"sell","tradeId":"1206914205132210179"}],
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"ts":1697697791670
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}`
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_, err := parseWebSocketEvent([]byte(input))
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assert.ErrorContains(t, err, "side")
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assert.ErrorContains(t, err, "failed to unmarshal data")
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})
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}
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@ -162,6 +162,22 @@ const (
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SideSell SideType = "sell"
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)
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func (s *SideType) UnmarshalJSON(b []byte) error {
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var a string
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err := json.Unmarshal(b, &a)
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if err != nil {
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return err
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}
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switch SideType(a) {
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case SideSell, SideBuy:
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*s = SideType(a)
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return nil
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default:
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return fmt.Errorf("unexpected side type: %s", b)
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}
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}
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func (s SideType) ToGlobal() (types.SideType, error) {
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switch s {
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case SideBuy:
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@ -174,77 +190,15 @@ func (s SideType) ToGlobal() (types.SideType, error) {
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}
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type MarketTrade struct {
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Ts types.MillisecondTimestamp
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Price fixedpoint.Value
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Size fixedpoint.Value
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Side SideType
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Ts types.MillisecondTimestamp
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Price fixedpoint.Value
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Size fixedpoint.Value
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Side SideType
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TradeId types.StrInt64
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}
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type MarketTradeSlice []MarketTrade
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func (m *MarketTradeSlice) UnmarshalJSON(b []byte) error {
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if m == nil {
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return errors.New("nil pointer of market trade slice")
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}
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s, err := parseMarketTradeSliceJSON(b)
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if err != nil {
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return err
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}
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*m = s
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return nil
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}
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// ParseMarketTradeSliceJSON tries to parse a 2 dimensional string array into a MarketTradeSlice
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//
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// [
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//
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// [
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// "1697694819663",
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// "28312.97",
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// "0.1653",
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// "sell"
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// ],
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// [
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// "1697694818663",
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// "28313",
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// "0.1598",
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// "buy"
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// ]
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//
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// ]
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func parseMarketTradeSliceJSON(in []byte) (slice MarketTradeSlice, err error) {
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var rawTrades [][]json.RawMessage
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err = json.Unmarshal(in, &rawTrades)
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if err != nil {
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return slice, err
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}
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for _, raw := range rawTrades {
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if len(raw) != 4 {
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return nil, fmt.Errorf("unexpected trades length: %d, data: %q", len(raw), raw)
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}
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var trade MarketTrade
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if err = json.Unmarshal(raw[0], &trade.Ts); err != nil {
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return nil, fmt.Errorf("failed to unmarshal into timestamp: %q", raw[0])
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}
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if err = json.Unmarshal(raw[1], &trade.Price); err != nil {
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return nil, fmt.Errorf("failed to unmarshal into price: %q", raw[1])
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}
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if err = json.Unmarshal(raw[2], &trade.Size); err != nil {
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return nil, fmt.Errorf("failed to unmarshal into size: %q", raw[2])
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}
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if err = json.Unmarshal(raw[3], &trade.Side); err != nil {
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return nil, fmt.Errorf("failed to unmarshal into side: %q", raw[3])
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}
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slice = append(slice, trade)
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}
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return slice, nil
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}
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func (m MarketTrade) ToGlobal(symbol string) (types.Trade, error) {
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side, err := m.Side.ToGlobal()
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if err != nil {
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@ -252,7 +206,7 @@ func (m MarketTrade) ToGlobal(symbol string) (types.Trade, error) {
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}
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return types.Trade{
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ID: 0, // not supported
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ID: uint64(m.TradeId),
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OrderID: 0, // not supported
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Exchange: types.ExchangeBitget,
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Price: m.Price,
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