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469 lines
12 KiB
Go
469 lines
12 KiB
Go
package ftx
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import (
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"encoding/json"
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"fmt"
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"hash/crc32"
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"math"
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"strconv"
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"strings"
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"time"
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"github.com/c9s/bbgo/pkg/exchange/ftx/ftxapi"
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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 operation string
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const ping operation = "ping"
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const login operation = "login"
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const subscribe operation = "subscribe"
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const unsubscribe operation = "unsubscribe"
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type channel string
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const orderBookChannel channel = "orderbook"
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const marketTradeChannel channel = "trades"
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const bookTickerChannel channel = "ticker"
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const privateOrdersChannel channel = "orders"
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const privateTradesChannel channel = "fills"
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var errUnsupportedConversion = fmt.Errorf("unsupported conversion")
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/*
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Private:
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order update: `{'op': 'subscribe', 'channel': 'orders'}`
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login: `{"args": { "key": "<api_key>", "sign": "<signature>", "time": <ts> }, "op": "login" }`
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*/
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type websocketRequest struct {
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Operation operation `json:"op"`
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// {'op': 'subscribe', 'channel': 'trades', 'market': 'BTC-PERP'}
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Channel channel `json:"channel,omitempty"`
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Market string `json:"market,omitempty"`
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Login loginArgs `json:"args,omitempty"`
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}
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/*
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{
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"args": {
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"key": "<api_key>",
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"sign": "<signature>",
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"time": <ts>
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},
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"op": "login"
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}
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*/
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type loginArgs struct {
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Key string `json:"key"`
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Signature string `json:"sign"`
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Time int64 `json:"time"`
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SubAccount string `json:"subaccount,omitempty"`
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}
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func newLoginRequest(key, secret string, t time.Time, subaccount string) websocketRequest {
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millis := t.UnixNano() / int64(time.Millisecond)
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return websocketRequest{
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Operation: login,
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Login: loginArgs{
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Key: key,
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Signature: sign(secret, loginBody(millis)),
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Time: millis,
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SubAccount: subaccount,
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},
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}
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}
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func loginBody(millis int64) string {
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return fmt.Sprintf("%dwebsocket_login", millis)
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}
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type respType string
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const pongRespType respType = "pong"
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const errRespType respType = "error"
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const subscribedRespType respType = "subscribed"
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const unsubscribedRespType respType = "unsubscribed"
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const infoRespType respType = "info"
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const partialRespType respType = "partial"
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const updateRespType respType = "update"
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type websocketResponse struct {
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mandatoryFields
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optionalFields
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}
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type mandatoryFields struct {
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Channel channel `json:"channel"`
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Type respType `json:"type"`
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}
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type optionalFields struct {
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Market string `json:"market"`
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// Example: {"type": "error", "code": 404, "msg": "No such market: BTCUSDT"}
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Code int64 `json:"code"`
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Message string `json:"msg"`
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Data json.RawMessage `json:"data"`
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}
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type orderUpdateResponse struct {
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mandatoryFields
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Data ftxapi.Order `json:"data"`
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}
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type trade struct {
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Price fixedpoint.Value `json:"price"`
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Size fixedpoint.Value `json:"size"`
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Side string `json:"side"`
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Liquidation bool `json:"liquidation"`
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Time time.Time `json:"time"`
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}
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type tradeResponse struct {
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mandatoryFields
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Data []trade `json:"data"`
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}
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func (r websocketResponse) toMarketTradeResponse() (t []types.Trade, err error) {
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if r.Channel != marketTradeChannel {
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return t, fmt.Errorf("type %s, channel %s: channel incorrect", r.Type, r.Channel)
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}
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var tds []trade
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if err = json.Unmarshal(r.Data, &tds); err != nil {
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return t, err
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}
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t = make([]types.Trade, len(tds))
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for i, td := range tds {
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tt := &t[i]
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tt.Exchange = types.ExchangeFTX
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tt.Price = td.Price
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tt.Quantity = td.Size
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tt.QuoteQuantity = td.Size
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tt.Symbol = r.Market
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tt.Side = types.SideType(TrimUpperString(string(td.Side)))
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tt.IsBuyer = true
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tt.IsMaker = false
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tt.Time = types.Time(td.Time)
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}
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return t, nil
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}
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func (r websocketResponse) toOrderUpdateResponse() (orderUpdateResponse, error) {
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if r.Channel != privateOrdersChannel {
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return orderUpdateResponse{}, fmt.Errorf("type %s, channel %s: %w", r.Type, r.Channel, errUnsupportedConversion)
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}
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var o orderUpdateResponse
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if err := json.Unmarshal(r.Data, &o.Data); err != nil {
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return orderUpdateResponse{}, err
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}
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o.mandatoryFields = r.mandatoryFields
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return o, nil
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}
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type tradeUpdateResponse struct {
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mandatoryFields
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Data ftxapi.Fill `json:"data"`
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}
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func (r websocketResponse) toTradeUpdateResponse() (tradeUpdateResponse, error) {
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if r.Channel != privateTradesChannel {
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return tradeUpdateResponse{}, fmt.Errorf("type %s, channel %s: %w", r.Type, r.Channel, errUnsupportedConversion)
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}
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var t tradeUpdateResponse
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if err := json.Unmarshal(r.Data, &t.Data); err != nil {
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return tradeUpdateResponse{}, err
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}
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t.mandatoryFields = r.mandatoryFields
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return t, nil
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}
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/*
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Private:
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order: {"type": "subscribed", "channel": "orders"}
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Public
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orderbook: {"type": "subscribed", "channel": "orderbook", "market": "BTC/USDT"}
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*/
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type subscribedResponse struct {
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mandatoryFields
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Market string `json:"market"`
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}
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func (s subscribedResponse) String() string {
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return fmt.Sprintf("%s channel is subscribed", strings.TrimSpace(fmt.Sprintf("%s %s", s.Market, s.Channel)))
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}
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// {"type": "subscribed", "channel": "orderbook", "market": "BTC/USDT"}
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func (r websocketResponse) toSubscribedResponse() (subscribedResponse, error) {
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if r.Type != subscribedRespType {
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return subscribedResponse{}, fmt.Errorf("type %s, channel %s: %w", r.Type, r.Channel, errUnsupportedConversion)
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}
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return subscribedResponse{
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mandatoryFields: r.mandatoryFields,
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Market: r.Market,
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}, nil
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}
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// {"type": "error", "code": 400, "msg": "Already logged in"}
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type errResponse struct {
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Code int64 `json:"code"`
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Message string `json:"msg"`
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}
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func (e errResponse) String() string {
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return fmt.Sprintf("%d: %s", e.Code, e.Message)
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}
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func (r websocketResponse) toErrResponse() errResponse {
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return errResponse{
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Code: r.Code,
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Message: r.Message,
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}
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}
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// sample :{"bid": 49194.0, "ask": 49195.0, "bidSize": 0.0775, "askSize": 0.0247, "last": 49200.0, "time": 1640171788.9339821}
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func (r websocketResponse) toBookTickerResponse() (bookTickerResponse, error) {
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if r.Channel != bookTickerChannel {
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return bookTickerResponse{}, fmt.Errorf("type %s, channel %s: %w", r.Type, r.Channel, errUnsupportedConversion)
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}
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var o bookTickerResponse
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if err := json.Unmarshal(r.Data, &o); err != nil {
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return bookTickerResponse{}, err
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}
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o.mandatoryFields = r.mandatoryFields
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o.Market = r.Market
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o.Timestamp = nanoToTime(o.Time)
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return o, nil
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}
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func (r websocketResponse) toPublicOrderBookResponse() (orderBookResponse, error) {
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if r.Channel != orderBookChannel {
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return orderBookResponse{}, fmt.Errorf("type %s, channel %s: %w", r.Type, r.Channel, errUnsupportedConversion)
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}
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var o orderBookResponse
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if err := json.Unmarshal(r.Data, &o); err != nil {
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return orderBookResponse{}, err
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}
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o.mandatoryFields = r.mandatoryFields
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o.Market = r.Market
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o.Timestamp = nanoToTime(o.Time)
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return o, nil
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}
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func nanoToTime(input float64) time.Time {
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sec, dec := math.Modf(input)
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return time.Unix(int64(sec), int64(dec*1e9))
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}
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type orderBookResponse struct {
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mandatoryFields
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Market string `json:"market"`
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Action string `json:"action"`
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Time float64 `json:"time"`
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Timestamp time.Time
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Checksum uint32 `json:"checksum"`
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// best 100 orders. Ex. {[100,1], [50, 2]}
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Bids [][]json.Number `json:"bids"`
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// best 100 orders. Ex. {[51, 1], [102, 3]}
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Asks [][]json.Number `json:"asks"`
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}
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type bookTickerResponse struct {
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mandatoryFields
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Market string `json:"market"`
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Bid fixedpoint.Value `json:"bid"`
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Ask fixedpoint.Value `json:"ask"`
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BidSize fixedpoint.Value `json:"bidSize"`
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AskSize fixedpoint.Value `json:"askSize"`
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Last fixedpoint.Value `json:"last"`
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Time float64 `json:"time"`
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Timestamp time.Time
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}
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// only 100 orders so we use linear search here
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func (r *orderBookResponse) update(orderUpdates orderBookResponse) {
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r.Checksum = orderUpdates.Checksum
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r.updateBids(orderUpdates.Bids)
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r.updateAsks(orderUpdates.Asks)
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}
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func (r *orderBookResponse) updateAsks(asks [][]json.Number) {
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higherPrice := func(dst, src float64) bool {
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return dst < src
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}
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for _, o := range asks {
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if remove := o[1] == "0"; remove {
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r.Asks = removePrice(r.Asks, o[0])
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} else {
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r.Asks = upsertPriceVolume(r.Asks, o, higherPrice)
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}
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}
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}
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func (r *orderBookResponse) updateBids(bids [][]json.Number) {
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lessPrice := func(dst, src float64) bool {
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return dst > src
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}
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for _, o := range bids {
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if remove := o[1] == "0"; remove {
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r.Bids = removePrice(r.Bids, o[0])
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} else {
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r.Bids = upsertPriceVolume(r.Bids, o, lessPrice)
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}
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}
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}
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func upsertPriceVolume(dst [][]json.Number, src []json.Number, priceComparator func(dst float64, src float64) bool) [][]json.Number {
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for i, pv := range dst {
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dstPrice := pv[0]
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srcPrice := src[0]
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// update volume
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if dstPrice == srcPrice {
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pv[1] = src[1]
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return dst
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}
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// The value must be a number which is verified by json.Unmarshal, so the err
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// should never happen.
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dstPriceNum, err := strconv.ParseFloat(string(dstPrice), 64)
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if err != nil {
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logger.WithError(err).Errorf("unexpected price %s", dstPrice)
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continue
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}
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srcPriceNum, err := strconv.ParseFloat(string(srcPrice), 64)
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if err != nil {
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logger.WithError(err).Errorf("unexpected price updates %s", srcPrice)
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continue
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}
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if !priceComparator(dstPriceNum, srcPriceNum) {
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return insertAt(dst, i, src)
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}
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}
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return append(dst, src)
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}
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func insertAt(dst [][]json.Number, id int, pv []json.Number) (result [][]json.Number) {
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result = append(result, dst[:id]...)
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result = append(result, pv)
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result = append(result, dst[id:]...)
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return
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}
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func removePrice(dst [][]json.Number, price json.Number) [][]json.Number {
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for i, pv := range dst {
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if pv[0] == price {
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return append(dst[:i], dst[i+1:]...)
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}
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}
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return dst
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}
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func (r orderBookResponse) verifyChecksum() error {
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if crc32Val := crc32.ChecksumIEEE([]byte(checksumString(r.Bids, r.Asks))); crc32Val != r.Checksum {
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return fmt.Errorf("expected checksum %d, actual checksum %d: %w", r.Checksum, crc32Val, errUnmatchedChecksum)
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}
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return nil
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}
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// <best_bid_price>:<best_bid_size>:<best_ask_price>:<best_ask_size>...
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func checksumString(bids, asks [][]json.Number) string {
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sb := strings.Builder{}
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appendNumber := func(pv []json.Number) {
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if sb.Len() != 0 {
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sb.WriteString(":")
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}
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sb.WriteString(string(pv[0]))
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sb.WriteString(":")
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sb.WriteString(string(pv[1]))
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}
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bidsLen := len(bids)
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asksLen := len(asks)
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for i := 0; i < bidsLen || i < asksLen; i++ {
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if i < bidsLen {
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appendNumber(bids[i])
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}
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if i < asksLen {
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appendNumber(asks[i])
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}
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}
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return sb.String()
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}
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var errUnmatchedChecksum = fmt.Errorf("unmatched checksum")
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func toGlobalOrderBook(r orderBookResponse) (types.SliceOrderBook, error) {
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bids, err := toPriceVolumeSlice(r.Bids)
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if err != nil {
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return types.SliceOrderBook{}, fmt.Errorf("can't convert bids to priceVolumeSlice: %w", err)
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}
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asks, err := toPriceVolumeSlice(r.Asks)
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if err != nil {
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return types.SliceOrderBook{}, fmt.Errorf("can't convert asks to priceVolumeSlice: %w", err)
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}
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return types.SliceOrderBook{
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// ex. BTC/USDT
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Symbol: toGlobalSymbol(strings.ToUpper(r.Market)),
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Bids: bids,
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Asks: asks,
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}, nil
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}
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func toGlobalBookTicker(r bookTickerResponse) (types.BookTicker, error) {
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return types.BookTicker{
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// ex. BTC/USDT
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Symbol: toGlobalSymbol(strings.ToUpper(r.Market)),
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// Time: r.Timestamp,
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Buy: r.Bid,
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BuySize: r.BidSize,
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Sell: r.Ask,
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SellSize: r.AskSize,
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// Last: r.Last,
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}, nil
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}
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func toPriceVolumeSlice(orders [][]json.Number) (types.PriceVolumeSlice, error) {
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var pv types.PriceVolumeSlice
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for _, o := range orders {
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p, err := fixedpoint.NewFromString(string(o[0]))
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if err != nil {
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return nil, fmt.Errorf("can't convert price %+v to fixedpoint: %w", o[0], err)
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}
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v, err := fixedpoint.NewFromString(string(o[1]))
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if err != nil {
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return nil, fmt.Errorf("can't convert volume %+v to fixedpoint: %w", o[0], err)
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}
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pv = append(pv, types.PriceVolume{Price: p, Volume: v})
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}
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return pv, nil
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}
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