package okex import ( "context" "fmt" "strconv" "time" "github.com/gorilla/websocket" "golang.org/x/time/rate" "github.com/c9s/bbgo/pkg/exchange/okex/okexapi" "github.com/c9s/bbgo/pkg/exchange/retry" "github.com/c9s/bbgo/pkg/types" ) var ( marketTradeLogLimiter = rate.NewLimiter(rate.Every(time.Minute), 1) tradeLogLimiter = rate.NewLimiter(rate.Every(time.Minute), 1) // pingInterval the connection will break automatically if the subscription is not established or data has not been // pushed for more than 30 seconds. Therefore, we set it to 20 seconds. pingInterval = 20 * time.Second ) type WebsocketOp struct { Op WsEventType `json:"op"` Args interface{} `json:"args"` } type WebsocketLogin struct { Key string `json:"apiKey"` Passphrase string `json:"passphrase"` Timestamp string `json:"timestamp"` Sign string `json:"sign"` } //go:generate callbackgen -type Stream -interface type Stream struct { types.StandardStream kLineStream *KLineStream client *okexapi.RestClient balanceProvider types.ExchangeAccountService // public callbacks kLineEventCallbacks []func(candle KLineEvent) bookEventCallbacks []func(book BookEvent) accountEventCallbacks []func(account okexapi.Account) orderTradesEventCallbacks []func(orderTrades []OrderTradeEvent) marketTradeEventCallbacks []func(tradeDetail []MarketTradeEvent) } func NewStream(client *okexapi.RestClient, balanceProvider types.ExchangeAccountService) *Stream { stream := &Stream{ client: client, balanceProvider: balanceProvider, StandardStream: types.NewStandardStream(), kLineStream: NewKLineStream(), } stream.SetParser(parseWebSocketEvent) stream.SetDispatcher(stream.dispatchEvent) stream.SetEndpointCreator(stream.createEndpoint) stream.SetPingInterval(pingInterval) stream.OnBookEvent(stream.handleBookEvent) stream.OnAccountEvent(stream.handleAccountEvent) stream.OnMarketTradeEvent(stream.handleMarketTradeEvent) stream.OnOrderTradesEvent(stream.handleOrderDetailsEvent) stream.OnConnect(stream.handleConnect) stream.OnAuth(stream.subscribePrivateChannels(stream.emitBalanceSnapshot)) stream.kLineStream.OnKLineClosed(stream.EmitKLineClosed) stream.kLineStream.OnKLine(stream.EmitKLine) return stream } func syncSubscriptions(conn *websocket.Conn, subscriptions []types.Subscription, opType WsEventType) error { if opType != WsEventTypeUnsubscribe && opType != WsEventTypeSubscribe { return fmt.Errorf("unexpected subscription type: %v", opType) } logger := log.WithField("opType", opType) var topics []WebsocketSubscription for _, subscription := range subscriptions { topic, err := convertSubscription(subscription) if err != nil { logger.WithError(err).Errorf("convert error, subscription: %+v", subscription) return err } topics = append(topics, topic) } logger.Infof("%s channels: %+v", opType, topics) if err := conn.WriteJSON(WebsocketOp{ Op: opType, Args: topics, }); err != nil { logger.WithError(err).Error("failed to send request") return err } return nil } func (s *Stream) Unsubscribe() { // errors are handled in the syncSubscriptions, so they are skipped here. _ = syncSubscriptions(s.StandardStream.Conn, s.StandardStream.Subscriptions, WsEventTypeUnsubscribe) s.Resubscribe(func(old []types.Subscription) (new []types.Subscription, err error) { // clear the subscriptions return []types.Subscription{}, nil }) s.kLineStream.Unsubscribe() } func (s *Stream) Connect(ctx context.Context) error { if err := s.StandardStream.Connect(ctx); err != nil { return err } if err := s.kLineStream.Connect(ctx); err != nil { return err } return nil } func (s *Stream) Subscribe(channel types.Channel, symbol string, options types.SubscribeOptions) { if channel == types.KLineChannel { s.kLineStream.Subscribe(channel, symbol, options) } else { s.StandardStream.Subscribe(channel, symbol, options) } } func subscribe(conn *websocket.Conn, subs []WebsocketSubscription) { if len(subs) == 0 { return } log.Infof("subscribing channels: %+v", subs) err := conn.WriteJSON(WebsocketOp{ Op: "subscribe", Args: subs, }) if err != nil { log.WithError(err).Error("subscribe error") } } func (s *Stream) handleConnect() { if s.PublicOnly { var subs []WebsocketSubscription for _, subscription := range s.Subscriptions { sub, err := convertSubscription(subscription) if err != nil { log.WithError(err).Errorf("subscription convert error") continue } subs = append(subs, sub) } subscribe(s.StandardStream.Conn, subs) } else { // login as private channel // sign example: // sign=CryptoJS.enc.Base64.Stringify(CryptoJS.HmacSHA256(timestamp +'GET'+'/users/self/verify', secretKey)) msTimestamp := strconv.FormatFloat(float64(time.Now().UnixNano())/float64(time.Second), 'f', -1, 64) payload := msTimestamp + "GET" + "/users/self/verify" sign := okexapi.Sign(payload, s.client.Secret) op := WebsocketOp{ Op: "login", Args: []WebsocketLogin{ { Key: s.client.Key, Passphrase: s.client.Passphrase, Timestamp: msTimestamp, Sign: sign, }, }, } log.Infof("sending okex login request") err := s.Conn.WriteJSON(op) if err != nil { log.WithError(err).Errorf("can not send login message") } } } func (s *Stream) subscribePrivateChannels(next func()) func() { return func() { var subs = []WebsocketSubscription{ {Channel: ChannelAccount}, {Channel: "orders", InstrumentType: string(okexapi.InstrumentTypeSpot)}, } // https://www.okx.com/docs-v5/zh/#overview-websocket-connect // **NOTICE** 2024/06/03 Since the number of channels we are currently subscribed to is far less // than the rate limit of 20, rate limiting is not supported for now. log.Infof("subscribing private channels: %+v", subs) err := s.Conn.WriteJSON(WebsocketOp{ Op: "subscribe", Args: subs, }) if err != nil { log.WithError(err).Error("private channel subscribe error") return } next() } } func (s *Stream) emitBalanceSnapshot() { ctx, cancel := context.WithTimeout(context.Background(), 15*time.Second) defer cancel() var balancesMap types.BalanceMap var err error err = retry.GeneralBackoff(ctx, func() error { balancesMap, err = s.balanceProvider.QueryAccountBalances(ctx) return err }) if err != nil { log.WithError(err).Error("no more attempts to retrieve balances") return } s.EmitBalanceSnapshot(balancesMap) } func (s *Stream) handleOrderDetailsEvent(orderTrades []OrderTradeEvent) { for _, evt := range orderTrades { if evt.TradeId != "" { trade, err := evt.toGlobalTrade() if err != nil { if tradeLogLimiter.Allow() { log.WithError(err).Errorf("failed to convert global trade") } } else { s.EmitTradeUpdate(trade) } } order, err := orderDetailToGlobal(&evt.OrderDetail) if err != nil { if tradeLogLimiter.Allow() { log.WithError(err).Errorf("failed to convert global order") } } else { s.EmitOrderUpdate(*order) } } } func (s *Stream) handleAccountEvent(account okexapi.Account) { balances := toGlobalBalance(&account) s.EmitBalanceUpdate(balances) } func (s *Stream) handleBookEvent(data BookEvent) { book := data.Book() switch data.Action { case ActionTypeSnapshot: s.EmitBookSnapshot(book) case ActionTypeUpdate: s.EmitBookUpdate(book) } } func (s *Stream) handleMarketTradeEvent(data []MarketTradeEvent) { for _, event := range data { trade, err := event.toGlobalTrade() if err != nil { if marketTradeLogLimiter.Allow() { log.WithError(err).Error("failed to convert to market trade") } continue } s.EmitMarketTrade(trade) } } func (s *Stream) createEndpoint(ctx context.Context) (string, error) { var url string if s.PublicOnly { url = okexapi.PublicWebSocketURL } else { url = okexapi.PrivateWebSocketURL } return url, nil } func (s *Stream) dispatchEvent(e interface{}) { switch et := e.(type) { case *WebSocketEvent: if err := et.IsValid(); err != nil { log.Errorf("invalid event: %v", err) return } if et.IsAuthenticated() { s.EmitAuth() } case *BookEvent: // there's "books" for 400 depth and books5 for 5 depth if et.channel != ChannelBooks5 { s.EmitBookEvent(*et) } s.EmitBookTickerUpdate(et.BookTicker()) case *okexapi.Account: s.EmitAccountEvent(*et) case []OrderTradeEvent: s.EmitOrderTradesEvent(et) case []MarketTradeEvent: s.EmitMarketTradeEvent(et) } }