mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-25 08:15:15 +00:00
Merge pull request #1344 from bailantaotao/edwin/bitget/public-stream-book
FEATURE: [bitget] support book stream on bitget
This commit is contained in:
bailantaotao
GitHub
commit
f8c47f72bf
165
pkg/exchange/bitget/stream.go
Normal file
165
pkg/exchange/bitget/stream.go
Normal file
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@ -0,0 +1,165 @@
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package bitget
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import (
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"context"
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"encoding/json"
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"fmt"
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"github.com/c9s/bbgo/pkg/exchange/bitget/bitgetapi"
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"github.com/c9s/bbgo/pkg/types"
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)
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//go:generate callbackgen -type Stream
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type Stream struct {
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types.StandardStream
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bookEventCallbacks []func(o BookEvent)
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}
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func NewStream() *Stream {
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stream := &Stream{
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StandardStream: types.NewStandardStream(),
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}
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stream.SetEndpointCreator(stream.createEndpoint)
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stream.SetParser(parseWebSocketEvent)
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stream.SetDispatcher(stream.dispatchEvent)
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stream.OnConnect(stream.handlerConnect)
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stream.OnBookEvent(stream.handleBookEvent)
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return stream
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}
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func (s *Stream) syncSubscriptions(opType WsEventType) error {
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if opType != WsEventUnsubscribe && opType != WsEventSubscribe {
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return fmt.Errorf("unexpected subscription type: %v", opType)
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}
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logger := log.WithField("opType", opType)
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args := []WsArg{}
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for _, subscription := range s.Subscriptions {
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arg, err := convertSubscription(subscription)
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if err != nil {
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logger.WithError(err).Errorf("convert error, subscription: %+v", subscription)
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return err
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}
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args = append(args, arg)
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}
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logger.Infof("%s channels: %+v", opType, args)
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if err := s.Conn.WriteJSON(WsOp{
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Op: opType,
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Args: args,
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}); err != nil {
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logger.WithError(err).Error("failed to send request")
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return err
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}
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return nil
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}
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func (s *Stream) Unsubscribe() {
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// errors are handled in the syncSubscriptions, so they are skipped here.
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_ = s.syncSubscriptions(WsEventUnsubscribe)
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s.Resubscribe(func(old []types.Subscription) (new []types.Subscription, err error) {
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// clear the subscriptions
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return []types.Subscription{}, nil
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})
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}
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func (s *Stream) createEndpoint(_ context.Context) (string, error) {
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var url string
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if s.PublicOnly {
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url = bitgetapi.PublicWebSocketURL
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} else {
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url = bitgetapi.PrivateWebSocketURL
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}
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return url, nil
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}
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func (s *Stream) dispatchEvent(event interface{}) {
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switch e := event.(type) {
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case *WsEvent:
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if err := e.IsValid(); err != nil {
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log.Errorf("invalid event: %v", err)
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}
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case *BookEvent:
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s.EmitBookEvent(*e)
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}
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}
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func (s *Stream) handlerConnect() {
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if s.PublicOnly {
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// errors are handled in the syncSubscriptions, so they are skipped here.
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_ = s.syncSubscriptions(WsEventSubscribe)
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} else {
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log.Error("*** PRIVATE API NOT IMPLEMENTED ***")
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}
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}
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func (s *Stream) handleBookEvent(o BookEvent) {
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for _, book := range o.ToGlobalOrderBooks() {
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switch o.Type {
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case ActionTypeSnapshot:
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s.EmitBookSnapshot(book)
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case ActionTypeUpdate:
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s.EmitBookUpdate(book)
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}
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}
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}
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func convertSubscription(sub types.Subscription) (WsArg, error) {
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arg := WsArg{
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// support spot only
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InstType: instSp,
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Channel: "",
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InstId: sub.Symbol,
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}
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switch sub.Channel {
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case types.BookChannel:
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arg.Channel = ChannelOrderBook5
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switch sub.Options.Depth {
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case types.DepthLevel15:
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arg.Channel = ChannelOrderBook15
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case types.DepthLevel200:
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log.Warn("*** The subscription events for the order book may return fewer than 200 bids/asks at a depth of 200. ***")
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arg.Channel = ChannelOrderBook
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}
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return arg, nil
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}
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return arg, fmt.Errorf("unsupported stream channel: %s", sub.Channel)
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}
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func parseWebSocketEvent(in []byte) (interface{}, error) {
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var event WsEvent
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err := json.Unmarshal(in, &event)
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if err != nil {
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return nil, err
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}
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if event.IsOp() {
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return &event, nil
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}
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switch event.Arg.Channel {
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case ChannelOrderBook, ChannelOrderBook5, ChannelOrderBook15:
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var book BookEvent
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err = json.Unmarshal(event.Data, &book.Events)
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if err != nil {
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return nil, fmt.Errorf("failed to unmarshal data into BookEvent, Arg: %+v Data: %s, err: %w", event.Arg, string(event.Data), err)
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}
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book.Type = event.Action
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book.InstId = event.Arg.InstId
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return &book, nil
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}
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return nil, fmt.Errorf("unhandled websocket event: %+v", string(in))
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}
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15
pkg/exchange/bitget/stream_callbacks.go
Normal file
15
pkg/exchange/bitget/stream_callbacks.go
Normal file
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@ -0,0 +1,15 @@
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// Code generated by "callbackgen -type Stream"; DO NOT EDIT.
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package bitget
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import ()
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func (s *Stream) OnBookEvent(cb func(o BookEvent)) {
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s.bookEventCallbacks = append(s.bookEventCallbacks, cb)
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}
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func (s *Stream) EmitBookEvent(o BookEvent) {
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for _, cb := range s.bookEventCallbacks {
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cb(o)
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}
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}
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313
pkg/exchange/bitget/stream_test.go
Normal file
313
pkg/exchange/bitget/stream_test.go
Normal file
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@ -0,0 +1,313 @@
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package bitget
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import (
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"context"
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"fmt"
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"os"
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"strconv"
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"testing"
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"time"
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"github.com/stretchr/testify/assert"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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func getTestClientOrSkip(t *testing.T) *Stream {
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if b, _ := strconv.ParseBool(os.Getenv("CI")); b {
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t.Skip("skip test for CI")
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}
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return NewStream()
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}
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func TestStream(t *testing.T) {
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t.Skip()
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s := getTestClientOrSkip(t)
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symbols := []string{
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"BTCUSDT",
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"ETHUSDT",
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"DOTUSDT",
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"ADAUSDT",
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"AAVEUSDT",
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"APTUSDT",
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"ATOMUSDT",
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"AXSUSDT",
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"BNBUSDT",
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"SOLUSDT",
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"DOGEUSDT",
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}
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t.Run("book test", func(t *testing.T) {
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s.Subscribe(types.BookChannel, "BTCUSDT", types.SubscribeOptions{
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Depth: types.DepthLevel5,
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})
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s.SetPublicOnly()
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err := s.Connect(context.Background())
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assert.NoError(t, err)
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s.OnBookSnapshot(func(book types.SliceOrderBook) {
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t.Log("got snapshot", len(book.Bids), len(book.Asks), book.Symbol, book.Time, book)
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})
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s.OnBookUpdate(func(book types.SliceOrderBook) {
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t.Log("got update", len(book.Bids), len(book.Asks), book.Symbol, book.Time, book)
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})
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c := make(chan struct{})
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<-c
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})
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t.Run("book test on unsubscribe and reconnect", func(t *testing.T) {
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for _, symbol := range symbols {
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s.Subscribe(types.BookChannel, symbol, types.SubscribeOptions{
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Depth: types.DepthLevel200,
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})
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}
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s.SetPublicOnly()
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err := s.Connect(context.Background())
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assert.NoError(t, err)
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s.OnBookSnapshot(func(book types.SliceOrderBook) {
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t.Log("got snapshot", book)
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})
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s.OnBookUpdate(func(book types.SliceOrderBook) {
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t.Log("got update", book)
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})
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<-time.After(2 * time.Second)
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s.Unsubscribe()
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for _, symbol := range symbols {
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s.Subscribe(types.BookChannel, symbol, types.SubscribeOptions{
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Depth: types.DepthLevel200,
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})
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}
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<-time.After(2 * time.Second)
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s.Reconnect()
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c := make(chan struct{})
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<-c
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})
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}
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func TestStream_parseWebSocketEvent(t *testing.T) {
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t.Run("op subscribe event", func(t *testing.T) {
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input := `{
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"event":"subscribe",
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"arg":{
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"instType":"sp",
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"channel":"books5",
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"instId":"BTCUSDT"
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}
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}`
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res, err := parseWebSocketEvent([]byte(input))
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assert.NoError(t, err)
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opEvent, ok := res.(*WsEvent)
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assert.True(t, ok)
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assert.Equal(t, WsEvent{
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Event: WsEventSubscribe,
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Arg: WsArg{
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InstType: instSp,
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Channel: ChannelOrderBook5,
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InstId: "BTCUSDT",
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},
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}, *opEvent)
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assert.NoError(t, opEvent.IsValid())
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})
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t.Run("op unsubscribe event", func(t *testing.T) {
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input := `{
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"event":"unsubscribe",
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"arg":{
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"instType":"sp",
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"channel":"books5",
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"instId":"BTCUSDT"
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}
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}`
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res, err := parseWebSocketEvent([]byte(input))
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assert.NoError(t, err)
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opEvent, ok := res.(*WsEvent)
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assert.True(t, ok)
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assert.Equal(t, WsEvent{
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Event: WsEventUnsubscribe,
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Arg: WsArg{
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InstType: instSp,
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Channel: ChannelOrderBook5,
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InstId: "BTCUSDT",
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},
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}, *opEvent)
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})
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t.Run("op error event", func(t *testing.T) {
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input := `{
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"event":"error",
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"arg":{
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"instType":"sp",
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"channel":"books5",
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"instId":"BTCUSDT-"
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},
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"code":30001,
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"msg":"instType:sp,channel:books5,instId:BTCUSDT- doesn't exist",
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"op":"subscribe"
|
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}`
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res, err := parseWebSocketEvent([]byte(input))
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assert.NoError(t, err)
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opEvent, ok := res.(*WsEvent)
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assert.True(t, ok)
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assert.Equal(t, WsEvent{
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Event: WsEventError,
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Code: 30001,
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Msg: "instType:sp,channel:books5,instId:BTCUSDT- doesn't exist",
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Op: "subscribe",
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Arg: WsArg{
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InstType: instSp,
|
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Channel: ChannelOrderBook5,
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InstId: "BTCUSDT-",
|
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},
|
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}, *opEvent)
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})
|
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|
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t.Run("Orderbook event", 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":"books5",
|
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"instId":"BTCUSDT"
|
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},
|
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"data":[
|
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{
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"asks":[
|
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[
|
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"28350.78",
|
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"0.2082"
|
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],
|
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[
|
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"28350.80",
|
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"0.2081"
|
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]
|
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],
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"bids":[
|
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[
|
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"28350.70",
|
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"0.5585"
|
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],
|
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[
|
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"28350.67",
|
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"6.8175"
|
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]
|
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],
|
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"checksum":0,
|
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"ts":"1697593934630"
|
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}
|
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],
|
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"ts":1697593934630
|
||||
}`
|
||||
|
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eventFn := func(in string, actionType ActionType) {
|
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res, err := parseWebSocketEvent([]byte(in))
|
||||
assert.NoError(t, err)
|
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book, ok := res.(*BookEvent)
|
||||
assert.True(t, ok)
|
||||
assert.Equal(t, BookEvent{
|
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Events: []struct {
|
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Asks types.PriceVolumeSlice `json:"asks"`
|
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// Order book on buy side, descending order
|
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Bids types.PriceVolumeSlice `json:"bids"`
|
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Ts types.MillisecondTimestamp `json:"ts"`
|
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Checksum int `json:"checksum"`
|
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}{
|
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{
|
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Asks: []types.PriceVolume{
|
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{
|
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Price: fixedpoint.NewFromFloat(28350.78),
|
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Volume: fixedpoint.NewFromFloat(0.2082),
|
||||
},
|
||||
{
|
||||
Price: fixedpoint.NewFromFloat(28350.80),
|
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Volume: fixedpoint.NewFromFloat(0.2081),
|
||||
},
|
||||
},
|
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Bids: []types.PriceVolume{
|
||||
{
|
||||
Price: fixedpoint.NewFromFloat(28350.70),
|
||||
Volume: fixedpoint.NewFromFloat(0.5585),
|
||||
},
|
||||
{
|
||||
Price: fixedpoint.NewFromFloat(28350.67),
|
||||
Volume: fixedpoint.NewFromFloat(6.8175),
|
||||
},
|
||||
},
|
||||
Ts: types.NewMillisecondTimestampFromInt(1697593934630),
|
||||
Checksum: 0,
|
||||
},
|
||||
},
|
||||
Type: actionType,
|
||||
InstId: "BTCUSDT",
|
||||
}, *book)
|
||||
}
|
||||
|
||||
t.Run("snapshot type", func(t *testing.T) {
|
||||
snapshotInput := fmt.Sprintf(input, ActionTypeSnapshot)
|
||||
eventFn(snapshotInput, ActionTypeSnapshot)
|
||||
})
|
||||
|
||||
t.Run("update type", func(t *testing.T) {
|
||||
snapshotInput := fmt.Sprintf(input, ActionTypeUpdate)
|
||||
eventFn(snapshotInput, ActionTypeUpdate)
|
||||
})
|
||||
})
|
||||
}
|
||||
|
||||
func Test_convertSubscription(t *testing.T) {
|
||||
t.Run("BookChannel.ChannelOrderBook5", func(t *testing.T) {
|
||||
res, err := convertSubscription(types.Subscription{
|
||||
Symbol: "BTCUSDT",
|
||||
Channel: types.BookChannel,
|
||||
Options: types.SubscribeOptions{
|
||||
Depth: types.DepthLevel5,
|
||||
},
|
||||
})
|
||||
assert.NoError(t, err)
|
||||
assert.Equal(t, WsArg{
|
||||
InstType: instSp,
|
||||
Channel: ChannelOrderBook5,
|
||||
InstId: "BTCUSDT",
|
||||
}, res)
|
||||
})
|
||||
t.Run("BookChannel.DepthLevel15", func(t *testing.T) {
|
||||
res, err := convertSubscription(types.Subscription{
|
||||
Symbol: "BTCUSDT",
|
||||
Channel: types.BookChannel,
|
||||
Options: types.SubscribeOptions{
|
||||
Depth: types.DepthLevel15,
|
||||
},
|
||||
})
|
||||
assert.NoError(t, err)
|
||||
assert.Equal(t, WsArg{
|
||||
InstType: instSp,
|
||||
Channel: ChannelOrderBook15,
|
||||
InstId: "BTCUSDT",
|
||||
}, res)
|
||||
})
|
||||
t.Run("BookChannel.DepthLevel200", func(t *testing.T) {
|
||||
res, err := convertSubscription(types.Subscription{
|
||||
Symbol: "BTCUSDT",
|
||||
Channel: types.BookChannel,
|
||||
Options: types.SubscribeOptions{
|
||||
Depth: types.DepthLevel200,
|
||||
},
|
||||
})
|
||||
assert.NoError(t, err)
|
||||
assert.Equal(t, WsArg{
|
||||
InstType: instSp,
|
||||
Channel: ChannelOrderBook,
|
||||
InstId: "BTCUSDT",
|
||||
}, res)
|
||||
})
|
||||
}
|
||||
138
pkg/exchange/bitget/types.go
Normal file
138
pkg/exchange/bitget/types.go
Normal file
|
|
@ -0,0 +1,138 @@
|
|||
package bitget
|
||||
|
||||
import (
|
||||
"encoding/json"
|
||||
"fmt"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
type InstType string
|
||||
|
||||
const (
|
||||
instSp InstType = "sp"
|
||||
)
|
||||
|
||||
type ChannelType string
|
||||
|
||||
const (
|
||||
// ChannelOrderBook snapshot and update might return less than 200 bids/asks as per symbol's orderbook various from
|
||||
// each other; The number of bids/asks is not a fixed value and may vary in the future
|
||||
ChannelOrderBook ChannelType = "books"
|
||||
// ChannelOrderBook5 top 5 order book of "books" that begins from bid1/ask1
|
||||
ChannelOrderBook5 ChannelType = "books5"
|
||||
// ChannelOrderBook15 top 15 order book of "books" that begins from bid1/ask1
|
||||
ChannelOrderBook15 ChannelType = "books15"
|
||||
)
|
||||
|
||||
type WsArg struct {
|
||||
InstType InstType `json:"instType"`
|
||||
Channel ChannelType `json:"channel"`
|
||||
// InstId Instrument ID. e.q. BTCUSDT, ETHUSDT
|
||||
InstId string `json:"instId"`
|
||||
}
|
||||
|
||||
type WsEventType string
|
||||
|
||||
const (
|
||||
WsEventSubscribe WsEventType = "subscribe"
|
||||
WsEventUnsubscribe WsEventType = "unsubscribe"
|
||||
WsEventError WsEventType = "error"
|
||||
)
|
||||
|
||||
type WsOp struct {
|
||||
Op WsEventType `json:"op"`
|
||||
Args []WsArg `json:"args"`
|
||||
}
|
||||
|
||||
// WsEvent is the lowest level of event type. We use this struct to convert the received data, so that we will know
|
||||
// whether the event belongs to `op` or `data`.
|
||||
type WsEvent struct {
|
||||
// for comment event
|
||||
Arg WsArg `json:"arg"`
|
||||
|
||||
// for op event
|
||||
Event WsEventType `json:"event"`
|
||||
Code int `json:"code"`
|
||||
Msg string `json:"msg"`
|
||||
Op string `json:"op"`
|
||||
|
||||
// for data event
|
||||
Action ActionType `json:"action"`
|
||||
Data json.RawMessage `json:"data"`
|
||||
}
|
||||
|
||||
// IsOp represents the data event will be empty
|
||||
func (w *WsEvent) IsOp() bool {
|
||||
return w.Action == "" && len(w.Data) == 0
|
||||
}
|
||||
|
||||
func (w *WsEvent) IsValid() error {
|
||||
switch w.Event {
|
||||
case WsEventError:
|
||||
return fmt.Errorf("websocket request error, op: %s, code: %d, msg: %s", w.Op, w.Code, w.Msg)
|
||||
|
||||
case WsEventSubscribe, WsEventUnsubscribe:
|
||||
// Actually, this code is unnecessary because the events are either `Subscribe` or `Unsubscribe`, But to avoid bugs
|
||||
// in the exchange, we still check.
|
||||
if w.Code != 0 || len(w.Msg) != 0 {
|
||||
return fmt.Errorf("unexpected websocket %s event, code: %d, msg: %s", w.Event, w.Code, w.Msg)
|
||||
}
|
||||
return nil
|
||||
|
||||
default:
|
||||
return fmt.Errorf("unexpected event type: %+v", w)
|
||||
}
|
||||
}
|
||||
|
||||
type ActionType string
|
||||
|
||||
const (
|
||||
ActionTypeSnapshot ActionType = "snapshot"
|
||||
ActionTypeUpdate ActionType = "update"
|
||||
)
|
||||
|
||||
// {
|
||||
// "asks":[
|
||||
// [
|
||||
// "28350.78",
|
||||
// "0.2082"
|
||||
// ],
|
||||
// ],
|
||||
// "bids":[
|
||||
// [
|
||||
// "28350.70",
|
||||
// "0.5585"
|
||||
// ],
|
||||
// ],
|
||||
// "checksum":0,
|
||||
// "ts":"1697593934630"
|
||||
// }
|
||||
type BookEvent struct {
|
||||
Events []struct {
|
||||
// Order book on sell side, ascending order
|
||||
Asks types.PriceVolumeSlice `json:"asks"`
|
||||
// Order book on buy side, descending order
|
||||
Bids types.PriceVolumeSlice `json:"bids"`
|
||||
Ts types.MillisecondTimestamp `json:"ts"`
|
||||
Checksum int `json:"checksum"`
|
||||
}
|
||||
|
||||
// internal use
|
||||
Type ActionType
|
||||
InstId string
|
||||
}
|
||||
|
||||
func (e *BookEvent) ToGlobalOrderBooks() []types.SliceOrderBook {
|
||||
books := make([]types.SliceOrderBook, len(e.Events))
|
||||
for i, event := range e.Events {
|
||||
books[i] = types.SliceOrderBook{
|
||||
Symbol: e.InstId,
|
||||
Bids: event.Bids,
|
||||
Asks: event.Asks,
|
||||
Time: event.Ts.Time(),
|
||||
}
|
||||
}
|
||||
|
||||
return books
|
||||
}
|
||||
|
|
@ -523,6 +523,7 @@ const (
|
|||
DepthLevelMedium Depth = "MEDIUM"
|
||||
DepthLevel1 Depth = "1"
|
||||
DepthLevel5 Depth = "5"
|
||||
DepthLevel15 Depth = "15"
|
||||
DepthLevel20 Depth = "20"
|
||||
DepthLevel50 Depth = "50"
|
||||
DepthLevel200 Depth = "200"
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user