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binance: use types.PriceVolumeSlice for depth entry

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This commit is contained in:
c9s 2021-06-28 13:05:17 +08:00
parent dae104cf9f
commit fdc5d6a54e
1 changed files with 22 additions and 51 deletions
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73
pkg/exchange/binance/parse.go
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@ -338,8 +338,8 @@ func IsBookTicker(val *fastjson.Value) bool {
} }
type DepthEntry struct { type DepthEntry struct {
PriceLevel string PriceLevel fixedpoint.Value
Quantity string Quantity fixedpoint.Value
} }
type DepthEvent struct { type DepthEvent struct {
@ -349,8 +349,8 @@ type DepthEvent struct {
FirstUpdateID int64 `json:"U"` FirstUpdateID int64 `json:"U"`
FinalUpdateID int64 `json:"u"` FinalUpdateID int64 `json:"u"`
Bids []DepthEntry Bids types.PriceVolumeSlice `json:"b"`
Asks []DepthEntry Asks types.PriceVolumeSlice `json:"a"`
} }
func (e *DepthEvent) String() (o string) { func (e *DepthEvent) String() (o string) {
@ -359,7 +359,7 @@ func (e *DepthEvent) String() (o string) {
if len(e.Bids) == 0 { if len(e.Bids) == 0 {
o += "empty" o += "empty"
} else { } else {
o += e.Bids[0].PriceLevel o += e.Bids[0].Price.String()
} }
o += "/" o += "/"
@ -367,7 +367,7 @@ func (e *DepthEvent) String() (o string) {
if len(e.Asks) == 0 { if len(e.Asks) == 0 {
o += "empty" o += "empty"
} else { } else {
o += e.Asks[0].PriceLevel o += e.Asks[0].Price.String()
} }
o += fmt.Sprintf(" %d ~ %d", e.FirstUpdateID, e.FinalUpdateID) o += fmt.Sprintf(" %d ~ %d", e.FirstUpdateID, e.FinalUpdateID)
@ -375,54 +375,15 @@ func (e *DepthEvent) String() (o string) {
} }
func (e *DepthEvent) OrderBook() (book types.SliceOrderBook, err error) { func (e *DepthEvent) OrderBook() (book types.SliceOrderBook, err error) {
var quantity, price fixedpoint.Value
book.Symbol = e.Symbol book.Symbol = e.Symbol
// already in descending order // already in descending order
for _, entry := range e.Bids { book.Bids = e.Bids
quantity, err = fixedpoint.NewFromString(entry.Quantity) book.Asks = e.Asks
if err != nil {
log.WithError(err).Errorf("depth quantity parse error: %s", entry.Quantity)
continue
}
price, err = fixedpoint.NewFromString(entry.PriceLevel)
if err != nil {
log.WithError(err).Errorf("depth price parse error: %s", entry.PriceLevel)
continue
}
book.Bids = append(book.Bids, types.PriceVolume{
Price: price,
Volume: quantity,
})
}
// already in ascending order
for _, entry := range e.Asks {
quantity, err = fixedpoint.NewFromString(entry.Quantity)
if err != nil {
log.WithError(err).Errorf("depth quantity parse error: %s", entry.Quantity)
continue
}
price, err = fixedpoint.NewFromString(entry.PriceLevel)
if err != nil {
log.WithError(err).Errorf("depth price parse error: %s", entry.PriceLevel)
continue
}
book.Asks = append(book.Asks, types.PriceVolume{
Price: price,
Volume: quantity,
})
}
return book, err return book, err
} }
func parseDepthEntry(val *fastjson.Value) (*DepthEntry, error) { func parseDepthEntry(val *fastjson.Value) (*types.PriceVolume, error) {
arr, err := val.Array() arr, err := val.Array()
if err != nil { if err != nil {
return nil, err return nil, err
@ -432,9 +393,19 @@ func parseDepthEntry(val *fastjson.Value) (*DepthEntry, error) {
return nil, errors.New("incorrect depth entry element length") return nil, errors.New("incorrect depth entry element length")
} }
return &DepthEntry{ price, err := fixedpoint.NewFromString(string(arr[0].GetStringBytes()))
PriceLevel: string(arr[0].GetStringBytes()), if err != nil {
Quantity: string(arr[1].GetStringBytes()), return nil, err
}
quantity, err := fixedpoint.NewFromString(string(arr[1].GetStringBytes()))
if err != nil {
return nil, err
}
return &types.PriceVolume{
Price: price,
Volume: quantity,
}, nil }, nil
} }