package okex import ( "context" "fmt" "golang.org/x/time/rate" "strconv" "time" "github.com/c9s/bbgo/pkg/exchange/okex/okexapi" "github.com/c9s/bbgo/pkg/types" ) var ( tradeLogLimiter = rate.NewLimiter(rate.Every(time.Minute), 1) ) 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 client *okexapi.RestClient // public callbacks kLineEventCallbacks []func(candle KLineEvent) bookEventCallbacks []func(book BookEvent) accountEventCallbacks []func(account okexapi.Account) orderDetailsEventCallbacks []func(orderDetails []okexapi.OrderDetails) marketTradeEventCallbacks []func(tradeDetail []MarketTradeEvent) } func NewStream(client *okexapi.RestClient) *Stream { stream := &Stream{ client: client, StandardStream: types.NewStandardStream(), } stream.SetParser(parseWebSocketEvent) stream.SetDispatcher(stream.dispatchEvent) stream.SetEndpointCreator(stream.createEndpoint) stream.OnKLineEvent(stream.handleKLineEvent) stream.OnBookEvent(stream.handleBookEvent) stream.OnAccountEvent(stream.handleAccountEvent) stream.OnMarketTradeEvent(stream.handleMarketTradeEvent) stream.OnOrderDetailsEvent(stream.handleOrderDetailsEvent) stream.OnConnect(stream.handleConnect) stream.OnAuth(stream.handleAuth) return stream } func (s *Stream) syncSubscriptions(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 s.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 := s.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. _ = s.syncSubscriptions(WsEventTypeUnsubscribe) s.Resubscribe(func(old []types.Subscription) (new []types.Subscription, err error) { // clear the subscriptions return []types.Subscription{}, nil }) } 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) } if len(subs) == 0 { return } log.Infof("subscribing channels: %+v", subs) err := s.Conn.WriteJSON(WebsocketOp{ Op: "subscribe", Args: subs, }) if err != nil { log.WithError(err).Error("subscribe error") } } 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) handleAuth() { var subs = []WebsocketSubscription{ {Channel: ChannelAccount}, {Channel: "orders", InstrumentType: string(okexapi.InstrumentTypeSpot)}, } 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") } } func (s *Stream) handleOrderDetailsEvent(orderDetails []okexapi.OrderDetails) { detailTrades, detailOrders := segmentOrderDetails(orderDetails) trades, err := toGlobalTrades(detailTrades) if err != nil { log.WithError(err).Errorf("error converting order details into trades") } else { for _, trade := range trades { s.EmitTradeUpdate(trade) } } orders, err := toGlobalOrders(detailOrders) if err != nil { log.WithError(err).Errorf("error converting order details into orders") } else { for _, order := range orders { 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 tradeLogLimiter.Allow() { log.WithError(err).Error("failed to convert to market trade") } continue } s.EmitMarketTrade(trade) } } func (s *Stream) handleKLineEvent(k KLineEvent) { for _, event := range k.Events { kline := event.ToGlobal(types.Interval(k.Interval), k.Symbol) if kline.Closed { s.EmitKLineClosed(kline) } else { s.EmitKLine(kline) } } } 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 != ChannelBook5 { s.EmitBookEvent(*et) } s.EmitBookTickerUpdate(et.BookTicker()) case *KLineEvent: s.EmitKLineEvent(*et) case *okexapi.Account: s.EmitAccountEvent(*et) case []okexapi.OrderDetails: s.EmitOrderDetailsEvent(et) case []MarketTradeEvent: s.EmitMarketTradeEvent(et) } }