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89 lines
2.3 KiB
Go
89 lines
2.3 KiB
Go
package bbgo
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import "github.com/c9s/bbgo/pkg/types"
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// MarketDataStore receives and maintain the public market data
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//go:generate callbackgen -type MarketDataStore
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type MarketDataStore struct {
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Symbol string
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// KLineWindows stores all loaded klines per interval
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KLineWindows map[types.Interval]types.KLineWindow `json:"-"`
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kLineWindowUpdateCallbacks []func(interval types.Interval, kline types.KLineWindow)
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orderBook *types.StreamOrderBook
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orderBookUpdateCallbacks []func(orderBook *types.StreamOrderBook)
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}
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func NewMarketDataStore(symbol string) *MarketDataStore {
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return &MarketDataStore{
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Symbol: symbol,
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orderBook: types.NewStreamBook(symbol),
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// KLineWindows stores all loaded klines per interval
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KLineWindows: make(map[types.Interval]types.KLineWindow, len(types.SupportedIntervals)), // 12 interval, 1m,5m,15m,30m,1h,2h,4h,6h,12h,1d,3d,1w
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}
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}
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func (store *MarketDataStore) SetKLineWindows(windows map[types.Interval]types.KLineWindow) {
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store.KLineWindows = windows
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}
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func (store *MarketDataStore) OrderBook() types.OrderBook {
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return store.orderBook.Copy()
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}
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// KLinesOfInterval returns the kline window of the given interval
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func (store *MarketDataStore) KLinesOfInterval(interval types.Interval) (kLines types.KLineWindow, ok bool) {
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kLines, ok = store.KLineWindows[interval]
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return kLines, ok
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}
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func (store *MarketDataStore) handleOrderBookUpdate(book types.OrderBook) {
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if book.Symbol != store.Symbol {
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return
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}
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store.orderBook.Update(book)
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store.EmitOrderBookUpdate(store.orderBook)
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}
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func (store *MarketDataStore) handleOrderBookSnapshot(book types.OrderBook) {
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if book.Symbol != store.Symbol {
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return
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}
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store.orderBook.Load(book)
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}
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func (store *MarketDataStore) BindStream(stream types.Stream) {
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stream.OnKLineClosed(store.handleKLineClosed)
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stream.OnBookSnapshot(store.handleOrderBookSnapshot)
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stream.OnBookUpdate(store.handleOrderBookUpdate)
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store.orderBook.BindStream(stream)
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}
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func (store *MarketDataStore) handleKLineClosed(kline types.KLine) {
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if kline.Symbol != store.Symbol {
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return
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}
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store.AddKLine(kline)
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}
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func (store *MarketDataStore) AddKLine(kline types.KLine) {
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window, ok := store.KLineWindows[kline.Interval]
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if !ok {
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window = types.KLineWindow{kline}
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} else {
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window.Add(kline)
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}
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store.KLineWindows[kline.Interval] = window
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store.EmitKLineWindowUpdate(kline.Interval, window)
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}
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