mirror of
https://github.com/c9s/bbgo.git
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354 lines
9.6 KiB
Go
354 lines
9.6 KiB
Go
package okex
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import (
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"fmt"
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"strconv"
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"strings"
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"github.com/c9s/bbgo/pkg/exchange/okex/okexapi"
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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 toGlobalSymbol(symbol string) string {
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return strings.ReplaceAll(symbol, "-", "")
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}
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// //go:generate sh -c "echo \"package okex\nvar spotSymbolMap = map[string]string{\n\" $(curl -s -L 'https://okex.com/api/v5/public/instruments?instType=SPOT' | jq -r '.data[] | \"\\(.instId | sub(\"-\" ; \"\") | tojson ): \\( .instId | tojson),\n\"') \"\n}\" > symbols.go"
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//
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//go:generate go run gensymbols.go
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func toLocalSymbol(symbol string) string {
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if s, ok := spotSymbolMap[symbol]; ok {
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return s
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}
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log.Errorf("failed to look up local symbol from %s", symbol)
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return symbol
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}
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func toGlobalTicker(marketTicker okexapi.MarketTicker) *types.Ticker {
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return &types.Ticker{
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Time: marketTicker.Timestamp.Time(),
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Volume: marketTicker.Volume24H,
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Last: marketTicker.Last,
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Open: marketTicker.Open24H,
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High: marketTicker.High24H,
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Low: marketTicker.Low24H,
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Buy: marketTicker.BidPrice,
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Sell: marketTicker.AskPrice,
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}
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}
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func toGlobalBalance(account *okexapi.Account) types.BalanceMap {
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var balanceMap = types.BalanceMap{}
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for _, balanceDetail := range account.Details {
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balanceMap[balanceDetail.Currency] = types.Balance{
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Currency: balanceDetail.Currency,
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Available: balanceDetail.CashBalance,
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Locked: balanceDetail.Frozen,
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}
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}
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return balanceMap
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}
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type WebsocketSubscription struct {
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Channel Channel `json:"channel"`
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InstrumentID string `json:"instId,omitempty"`
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InstrumentType string `json:"instType,omitempty"`
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}
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var CandleChannels = []string{
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"candle1Y",
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"candle6M", "candle3M", "candle1M",
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"candle1W",
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"candle1D", "candle2D", "candle3D", "candle5D",
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"candle12H", "candle6H", "candle4H", "candle2H", "candle1H",
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"candle30m", "candle15m", "candle5m", "candle3m", "candle1m",
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}
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func convertIntervalToCandle(interval types.Interval) string {
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s := interval.String()
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switch s {
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case "1h", "2h", "4h", "6h", "12h", "1d", "3d":
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return "candle" + strings.ToUpper(s)
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case "1m", "5m", "15m", "30m":
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return "candle" + s
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}
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return "candle" + s
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}
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func convertSubscription(s types.Subscription) (WebsocketSubscription, error) {
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// binance uses lower case symbol name,
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// for kline, it's "<symbol>@kline_<interval>"
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// for depth, it's "<symbol>@depth OR <symbol>@depth@100ms"
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switch s.Channel {
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case types.KLineChannel:
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// Channel names are:
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return WebsocketSubscription{
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Channel: Channel(convertIntervalToCandle(s.Options.Interval)),
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InstrumentID: toLocalSymbol(s.Symbol),
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}, nil
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case types.BookChannel:
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if s.Options.Depth != types.DepthLevel400 {
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return WebsocketSubscription{}, fmt.Errorf("%s depth not supported", s.Options.Depth)
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}
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return WebsocketSubscription{
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Channel: ChannelBooks,
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InstrumentID: toLocalSymbol(s.Symbol),
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}, nil
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case types.BookTickerChannel:
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return WebsocketSubscription{
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Channel: ChannelBook5,
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InstrumentID: toLocalSymbol(s.Symbol),
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}, nil
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case types.MarketTradeChannel:
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return WebsocketSubscription{
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Channel: ChannelMarketTrades,
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InstrumentID: toLocalSymbol(s.Symbol),
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}, nil
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}
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return WebsocketSubscription{}, fmt.Errorf("unsupported public stream channel %s", s.Channel)
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}
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func toLocalSideType(side types.SideType) okexapi.SideType {
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return okexapi.SideType(strings.ToLower(string(side)))
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}
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func tradeToGlobal(trade okexapi.Trade) types.Trade {
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side := toGlobalSide(trade.Side)
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return types.Trade{
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ID: uint64(trade.TradeId),
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OrderID: uint64(trade.OrderId),
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Exchange: types.ExchangeOKEx,
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Price: trade.FillPrice,
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Quantity: trade.FillSize,
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QuoteQuantity: trade.FillPrice.Mul(trade.FillSize),
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Symbol: toGlobalSymbol(trade.InstrumentId),
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Side: side,
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IsBuyer: side == types.SideTypeBuy,
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IsMaker: trade.ExecutionType == okexapi.LiquidityTypeMaker,
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Time: types.Time(trade.Timestamp),
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// The fees obtained from the exchange are negative, hence they are forcibly converted to positive.
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Fee: trade.Fee.Abs(),
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FeeCurrency: trade.FeeCurrency,
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IsMargin: false,
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IsFutures: false,
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IsIsolated: false,
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}
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}
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func processMarketBuySize(o *okexapi.OrderDetail) (fixedpoint.Value, error) {
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switch o.State {
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case okexapi.OrderStateLive, okexapi.OrderStateCanceled:
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return fixedpoint.Zero, nil
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case okexapi.OrderStatePartiallyFilled:
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if o.FillPrice.IsZero() {
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return fixedpoint.Zero, fmt.Errorf("fillPrice for a partialFilled should not be zero")
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}
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return o.Size.Div(o.FillPrice), nil
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case okexapi.OrderStateFilled:
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return o.AccumulatedFillSize, nil
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default:
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return fixedpoint.Zero, fmt.Errorf("unexpected status: %s", o.State)
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}
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}
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func orderDetailToGlobal(order *okexapi.OrderDetail) (*types.Order, error) {
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side := toGlobalSide(order.Side)
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orderType, err := toGlobalOrderType(order.OrderType)
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if err != nil {
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return nil, err
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}
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timeInForce := types.TimeInForceGTC
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switch order.OrderType {
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case okexapi.OrderTypeFOK:
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timeInForce = types.TimeInForceFOK
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case okexapi.OrderTypeIOC:
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timeInForce = types.TimeInForceIOC
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}
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orderStatus, err := toGlobalOrderStatus(order.State)
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if err != nil {
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return nil, err
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}
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size := order.Size
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if order.Side == okexapi.SideTypeBuy &&
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order.OrderType == okexapi.OrderTypeMarket &&
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order.TargetCurrency == okexapi.TargetCurrencyQuote {
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size, err = processMarketBuySize(order)
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if err != nil {
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return nil, err
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}
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}
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return &types.Order{
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SubmitOrder: types.SubmitOrder{
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ClientOrderID: order.ClientOrderId,
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Symbol: toGlobalSymbol(order.InstrumentID),
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Side: side,
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Type: orderType,
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Price: order.Price,
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Quantity: size,
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AveragePrice: order.AvgPrice,
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TimeInForce: timeInForce,
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},
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Exchange: types.ExchangeOKEx,
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OrderID: uint64(order.OrderId),
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UUID: strconv.FormatInt(int64(order.OrderId), 10),
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Status: orderStatus,
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OriginalStatus: string(order.State),
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ExecutedQuantity: order.AccumulatedFillSize,
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IsWorking: order.State.IsWorking(),
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CreationTime: types.Time(order.CreatedTime),
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UpdateTime: types.Time(order.UpdatedTime),
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}, nil
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}
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func toGlobalOrderStatus(state okexapi.OrderState) (types.OrderStatus, error) {
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switch state {
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case okexapi.OrderStateCanceled:
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return types.OrderStatusCanceled, nil
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case okexapi.OrderStateLive:
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return types.OrderStatusNew, nil
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case okexapi.OrderStatePartiallyFilled:
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return types.OrderStatusPartiallyFilled, nil
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case okexapi.OrderStateFilled:
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return types.OrderStatusFilled, nil
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}
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return "", fmt.Errorf("unknown or unsupported okex order state: %s", state)
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}
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func toLocalOrderType(orderType types.OrderType) (okexapi.OrderType, error) {
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switch orderType {
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case types.OrderTypeMarket:
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return okexapi.OrderTypeMarket, nil
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case types.OrderTypeLimit:
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return okexapi.OrderTypeLimit, nil
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case types.OrderTypeLimitMaker:
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return okexapi.OrderTypePostOnly, nil
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}
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return "", fmt.Errorf("unknown or unsupported okex order type: %s", orderType)
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}
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func toGlobalOrderType(orderType okexapi.OrderType) (types.OrderType, error) {
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// IOC, FOK are only allowed with limit order type, so we assume the order type is always limit order for FOK, IOC orders
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switch orderType {
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case okexapi.OrderTypeMarket:
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return types.OrderTypeMarket, nil
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case okexapi.OrderTypeLimit, okexapi.OrderTypeFOK, okexapi.OrderTypeIOC:
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return types.OrderTypeLimit, nil
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case okexapi.OrderTypePostOnly:
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return types.OrderTypeLimitMaker, nil
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}
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return "", fmt.Errorf("unknown or unsupported okex order type: %s", orderType)
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}
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func toLocalInterval(interval types.Interval) (string, error) {
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if _, ok := SupportedIntervals[interval]; !ok {
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return "", fmt.Errorf("interval %s is not supported", interval)
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}
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in, ok := ToLocalInterval[interval]
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if !ok {
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return "", fmt.Errorf("interval %s is not supported, got local interval %s", interval, in)
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}
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return in, nil
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}
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func toGlobalSide(side okexapi.SideType) (s types.SideType) {
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switch string(side) {
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case "sell":
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s = types.SideTypeSell
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case "buy":
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s = types.SideTypeBuy
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}
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return s
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}
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func toGlobalOrder(okexOrder *okexapi.OrderDetails) (*types.Order, error) {
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orderID, err := strconv.ParseInt(okexOrder.OrderID, 10, 64)
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if err != nil {
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return nil, err
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}
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side := toGlobalSide(okexOrder.Side)
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orderType, err := toGlobalOrderType(okexOrder.OrderType)
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if err != nil {
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return nil, err
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}
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timeInForce := types.TimeInForceGTC
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switch okexOrder.OrderType {
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case okexapi.OrderTypeFOK:
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timeInForce = types.TimeInForceFOK
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case okexapi.OrderTypeIOC:
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timeInForce = types.TimeInForceIOC
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}
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orderStatus, err := toGlobalOrderStatus(okexOrder.State)
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if err != nil {
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return nil, err
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}
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isWorking := false
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switch orderStatus {
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case types.OrderStatusNew, types.OrderStatusPartiallyFilled:
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isWorking = true
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}
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isMargin := false
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if okexOrder.InstrumentType == okexapi.InstrumentTypeMARGIN {
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isMargin = true
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}
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return &types.Order{
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SubmitOrder: types.SubmitOrder{
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ClientOrderID: okexOrder.ClientOrderID,
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Symbol: toGlobalSymbol(okexOrder.InstrumentID),
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Side: side,
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Type: orderType,
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Price: okexOrder.Price,
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Quantity: okexOrder.Quantity,
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StopPrice: fixedpoint.Zero, // not supported yet
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TimeInForce: timeInForce,
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},
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Exchange: types.ExchangeOKEx,
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OrderID: uint64(orderID),
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Status: orderStatus,
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ExecutedQuantity: okexOrder.FilledQuantity,
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IsWorking: isWorking,
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CreationTime: types.Time(okexOrder.CreationTime),
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UpdateTime: types.Time(okexOrder.UpdateTime),
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IsMargin: isMargin,
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IsIsolated: false,
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}, nil
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}
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