mirror of
https://github.com/c9s/bbgo.git
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228 lines
5.2 KiB
Go
228 lines
5.2 KiB
Go
package max
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import (
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"encoding/json"
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"strings"
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"github.com/pkg/errors"
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"github.com/valyala/fastjson"
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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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type BaseEvent struct {
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Event string `json:"e"`
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Timestamp int64 `json:"T"`
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}
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type OrderUpdate struct {
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Event string `json:"e"`
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ID uint64 `json:"i"`
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Side string `json:"sd"`
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OrderType OrderType `json:"ot"`
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Price string `json:"p"`
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StopPrice string `json:"sp"`
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Volume string `json:"v"`
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AveragePrice string `json:"ap"`
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State OrderState `json:"S"`
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Market string `json:"M"`
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RemainingVolume string `json:"rv"`
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ExecutedVolume string `json:"ev"`
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TradesCount int64 `json:"tc"`
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GroupID uint32 `json:"gi"`
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ClientOID string `json:"ci"`
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CreatedAtMs int64 `json:"T"`
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}
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type OrderUpdateEvent struct {
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BaseEvent
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Orders []OrderUpdate `json:"o"`
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}
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func parserOrderUpdate(v *fastjson.Value) OrderUpdate {
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return OrderUpdate{
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Event: string(v.GetStringBytes("e")),
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ID: v.GetUint64("i"),
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Side: string(v.GetStringBytes("sd")),
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Market: string(v.GetStringBytes("M")),
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OrderType: OrderType(v.GetStringBytes("ot")),
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State: OrderState(v.GetStringBytes("S")),
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Price: string(v.GetStringBytes("p")),
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StopPrice: string(v.GetStringBytes("sp")),
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AveragePrice: string(v.GetStringBytes("ap")),
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Volume: string(v.GetStringBytes("v")),
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RemainingVolume: string(v.GetStringBytes("rv")),
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ExecutedVolume: string(v.GetStringBytes("ev")),
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TradesCount: v.GetInt64("tc"),
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GroupID: uint32(v.GetInt("gi")),
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ClientOID: string(v.GetStringBytes("ci")),
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CreatedAtMs: v.GetInt64("T"),
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}
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}
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func parseOrderUpdateEvent(v *fastjson.Value) *OrderUpdateEvent {
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var e OrderUpdateEvent
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e.Event = string(v.GetStringBytes("e"))
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e.Timestamp = v.GetInt64("T")
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for _, ov := range v.GetArray("o") {
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o := parserOrderUpdate(ov)
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e.Orders = append(e.Orders, o)
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}
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return &e
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}
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type OrderSnapshotEvent struct {
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BaseEvent
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Orders []OrderUpdate `json:"o"`
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}
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func parserOrderSnapshotEvent(v *fastjson.Value) *OrderSnapshotEvent {
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var e OrderSnapshotEvent
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e.Event = string(v.GetStringBytes("e"))
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e.Timestamp = v.GetInt64("T")
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for _, ov := range v.GetArray("o") {
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o := parserOrderUpdate(ov)
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e.Orders = append(e.Orders, o)
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}
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return &e
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}
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type TradeUpdate struct {
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ID uint64 `json:"i"`
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Side string `json:"sd"`
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Price string `json:"p"`
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Volume string `json:"v"`
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Market string `json:"M"`
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Fee string `json:"f"`
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FeeCurrency string `json:"fc"`
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Timestamp int64 `json:"T"`
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OrderID uint64 `json:"oi"`
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Maker bool `json:"m"`
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}
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func parseTradeUpdate(v *fastjson.Value) TradeUpdate {
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return TradeUpdate{
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ID: v.GetUint64("i"),
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Side: string(v.GetStringBytes("sd")),
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Price: string(v.GetStringBytes("p")),
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Volume: string(v.GetStringBytes("v")),
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Market: string(v.GetStringBytes("M")),
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Fee: string(v.GetStringBytes("f")),
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FeeCurrency: string(v.GetStringBytes("fc")),
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Timestamp: v.GetInt64("T"),
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OrderID: v.GetUint64("oi"),
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Maker: v.GetBool("m"),
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}
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}
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type TradeUpdateEvent struct {
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BaseEvent
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Trades []TradeUpdate `json:"t"`
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}
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func parseTradeUpdateEvent(v *fastjson.Value) *TradeUpdateEvent {
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var e TradeUpdateEvent
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e.Event = string(v.GetStringBytes("e"))
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e.Timestamp = v.GetInt64("T")
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for _, tv := range v.GetArray("t") {
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e.Trades = append(e.Trades, parseTradeUpdate(tv))
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}
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return &e
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}
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type TradeSnapshot []TradeUpdate
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type TradeSnapshotEvent struct {
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BaseEvent
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Trades []TradeUpdate `json:"t"`
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}
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func parseTradeSnapshotEvent(v *fastjson.Value) *TradeSnapshotEvent {
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var e TradeSnapshotEvent
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e.Event = string(v.GetStringBytes("e"))
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e.Timestamp = v.GetInt64("T")
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for _, tv := range v.GetArray("t") {
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e.Trades = append(e.Trades, parseTradeUpdate(tv))
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}
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return &e
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}
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type BalanceMessage struct {
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Currency string `json:"cu"`
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Available fixedpoint.Value `json:"av"`
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Locked fixedpoint.Value `json:"l"`
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}
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func (m *BalanceMessage) Balance() (*types.Balance, error) {
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return &types.Balance{
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Currency: strings.ToUpper(m.Currency),
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Locked: m.Locked,
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Available: m.Available,
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}, nil
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}
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type AccountUpdateEvent struct {
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BaseEvent
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Balances []BalanceMessage `json:"B"`
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}
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type AccountSnapshotEvent struct {
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BaseEvent
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Balances []BalanceMessage `json:"B"`
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}
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func parseAuthEvent(v *fastjson.Value) (*AuthEvent, error) {
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var e AuthEvent
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var err = json.Unmarshal([]byte(v.String()), &e)
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return &e, err
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}
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func ParseUserEvent(v *fastjson.Value) (interface{}, error) {
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eventType := string(v.GetStringBytes("e"))
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switch eventType {
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case "order_snapshot":
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return parserOrderSnapshotEvent(v), nil
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case "order_update":
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return parseOrderUpdateEvent(v), nil
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case "trade_snapshot":
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return parseTradeSnapshotEvent(v), nil
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case "trade_update":
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return parseTradeUpdateEvent(v), nil
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case "account_snapshot", "account_update":
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var e AccountUpdateEvent
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o := v.String()
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err := json.Unmarshal([]byte(o), &e)
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return &e, err
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case "error":
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logger.Errorf("error %s", v.MarshalTo(nil))
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}
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return nil, errors.Wrapf(ErrMessageTypeNotSupported, "private message %s", v.MarshalTo(nil))
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}
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