bbgo_origin/pkg/bbgo/marketdatastore.go

89 lines
2.3 KiB
Go

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