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136 lines
3.1 KiB
Go
136 lines
3.1 KiB
Go
package ftx
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import (
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"encoding/json"
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"fmt"
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"math"
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"strings"
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"time"
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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 subscribe operation = "subscribe"
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const unsubscribe operation = "unsubscribe"
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type channel string
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const orderbook channel = "orderbook"
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const trades channel = "trades"
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const ticker channel = "ticker"
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// {'op': 'subscribe', 'channel': 'trades', 'market': 'BTC-PERP'}
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type SubscribeRequest struct {
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Operation operation `json:"op"`
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Channel channel `json:"channel"`
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Market string `json:"market"`
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}
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type respType string
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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 mandatoryFields struct {
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Type respType `json:"type"`
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// Channel is mandatory
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Channel channel `json:"channel"`
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// Market is mandatory
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Market string `json:"market"`
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}
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// doc: https://docs.ftx.com/#response-format
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type rawResponse struct {
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mandatoryFields
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// The following fields are optional.
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// Example 1: {"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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func (r rawResponse) toSubscribedResp() subscribedResponse {
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return subscribedResponse{
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mandatoryFields: r.mandatoryFields,
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}
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}
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func (r rawResponse) toDataResponse() (dataResponse, error) {
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o := dataResponse{
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mandatoryFields: r.mandatoryFields,
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}
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if err := json.Unmarshal(r.Data, &o); err != nil {
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return dataResponse{}, err
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}
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sec, dec := math.Modf(o.Time)
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o.Timestamp = time.Unix(int64(sec), int64(dec*1e9))
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return o, nil
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}
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// {"type": "subscribed", "channel": "orderbook", "market": "BTC/USDT"}
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type subscribedResponse struct {
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mandatoryFields
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}
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type dataResponse struct {
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mandatoryFields
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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 int64 `json:"checksum"`
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Bids [][]json.Number `json:"bids"`
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Asks [][]json.Number `json:"asks"`
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}
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func toGlobalOrderBook(r dataResponse) (types.OrderBook, error) {
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bids, err := toPriceVolumeSlice(r.Bids)
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if err != nil {
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return types.OrderBook{}, 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.OrderBook{}, fmt.Errorf("can't convert asks to priceVolumeSlice: %w", err)
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}
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return types.OrderBook{
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// ex. BTC/USDT
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Symbol: 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 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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