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https://github.com/c9s/bbgo.git
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438 lines
13 KiB
Go
438 lines
13 KiB
Go
package okex
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import (
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"encoding/json"
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"fmt"
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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/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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type Channel string
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const (
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// books: 400 depth levels will be pushed in the initial full snapshot.
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// Incremental data will be pushed every 100 ms for the changes in the order book during that period of time.
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ChannelBooks Channel = "books"
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// ChannelBooks5 is books5
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// 5 depth levels snapshot will be pushed every time.
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// Snapshot data will be pushed every 100 ms when there are changes in the 5 depth levels snapshot.
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ChannelBooks5 Channel = "books5"
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// ChannelBooks50 is books50-l2-tbt:
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// 50 depth levels will be pushed in the initial full snapshot.
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// Incremental data will be pushed every 10 ms for the changes in the order book during that period of time.
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ChannelBooks50 Channel = "books50-l2-tbt"
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// ChannelBooks1 is bbo-tbt
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// 1 depth level snapshot will be pushed every time.
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// Snapshot data will be pushed every 10 ms when there are changes in the 1 depth level snapshot.
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ChannelBooks1 Channel = "bbo-tbt"
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ChannelCandlePrefix Channel = "candle"
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ChannelAccount Channel = "account"
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ChannelMarketTrades Channel = "trades"
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ChannelOrderTrades Channel = "orders"
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)
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type ActionType string
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const (
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ActionTypeSnapshot ActionType = "snapshot"
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ActionTypeUpdate ActionType = "update"
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)
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func parseWebSocketEvent(in []byte) (interface{}, error) {
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var event WebSocketEvent
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err := json.Unmarshal(in, &event)
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if err != nil {
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return nil, err
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}
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if event.Event != "" {
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return &event, nil
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}
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switch event.Arg.Channel {
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case ChannelAccount:
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return parseAccount(event.Data)
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case ChannelBooks, ChannelBooks5:
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var bookEvent BookEvent
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err = json.Unmarshal(event.Data, &bookEvent.Data)
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if err != nil {
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return nil, fmt.Errorf("failed to unmarshal data into BookEvent, Arg: %+v Data: %s, err: %w", event.Arg, string(event.Data), err)
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}
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instId := event.Arg.InstId
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bookEvent.InstrumentID = instId
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bookEvent.Symbol = toGlobalSymbol(instId)
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bookEvent.channel = event.Arg.Channel
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bookEvent.Action = event.ActionType
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return &bookEvent, nil
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case ChannelMarketTrades:
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var trade []MarketTradeEvent
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err = json.Unmarshal(event.Data, &trade)
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if err != nil {
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return nil, fmt.Errorf("failed to unmarshal data into MarketTradeEvent: %+v, err: %w", string(event.Data), err)
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}
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return trade, nil
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case ChannelOrderTrades:
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var orderTrade []OrderTradeEvent
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err := json.Unmarshal(event.Data, &orderTrade)
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if err != nil {
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return nil, err
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}
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return orderTrade, nil
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default:
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if strings.HasPrefix(string(event.Arg.Channel), string(ChannelCandlePrefix)) {
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// TODO: Support kline subscription. The kline requires another URL to subscribe, which is why we cannot
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// support it at this time.
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var kLineEvt KLineEvent
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err = json.Unmarshal(event.Data, &kLineEvt.Events)
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if err != nil {
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return nil, fmt.Errorf("failed to unmarshal data into KLineEvent, Arg: %+v Data: %s, err: %w", event.Arg, string(event.Data), err)
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}
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kLineEvt.Channel = event.Arg.Channel
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kLineEvt.InstrumentID = event.Arg.InstId
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kLineEvt.Symbol = toGlobalSymbol(event.Arg.InstId)
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kLineEvt.Interval = strings.ToLower(strings.TrimPrefix(string(event.Arg.Channel), string(ChannelCandlePrefix)))
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return &kLineEvt, nil
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}
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}
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return nil, nil
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}
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type WsEventType string
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const (
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WsEventTypeLogin WsEventType = "login"
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WsEventTypeError WsEventType = "error"
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WsEventTypeSubscribe WsEventType = "subscribe"
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WsEventTypeUnsubscribe WsEventType = "unsubscribe"
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WsEventTypeConnectionInfo WsEventType = "channel-conn-count"
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WsEventTypeConnectionError WsEventType = "channel-conn-count-error"
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)
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type WebSocketEvent struct {
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Event WsEventType `json:"event"`
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Code string `json:"code,omitempty"`
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Message string `json:"msg,omitempty"`
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Arg struct {
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Channel Channel `json:"channel"`
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InstId string `json:"instId"`
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} `json:"arg,omitempty"`
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Data json.RawMessage `json:"data"`
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ActionType ActionType `json:"action"`
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Channel Channel `json:"channel"`
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ConnCount string `json:"connCount"`
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}
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func (w *WebSocketEvent) IsValid() error {
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switch w.Event {
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case WsEventTypeError:
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return fmt.Errorf("websocket request error, code: %s, msg: %s", w.Code, w.Message)
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case WsEventTypeSubscribe, WsEventTypeUnsubscribe:
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return nil
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case WsEventTypeLogin:
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// Actually, this code is unnecessary because the events are either `Subscribe` or `Unsubscribe`, But to avoid bugs
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// in the exchange, we still check.
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if w.Code != "0" || len(w.Message) != 0 {
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return fmt.Errorf("websocket request error, code: %s, msg: %s", w.Code, w.Message)
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}
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return nil
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case WsEventTypeConnectionInfo:
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return nil
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case WsEventTypeConnectionError:
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return fmt.Errorf("connection rate limit exceeded, channel: %s, connCount: %s", w.Channel, w.ConnCount)
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default:
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return fmt.Errorf("unexpected event type: %+v", w)
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}
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}
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func (w *WebSocketEvent) IsAuthenticated() bool {
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return w.Event == WsEventTypeLogin && w.Code == "0"
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}
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type BookEvent struct {
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InstrumentID string
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Symbol string
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Action ActionType
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channel Channel
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Data []struct {
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Bids PriceVolumeOrderSlice `json:"bids"`
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Asks PriceVolumeOrderSlice `json:"asks"`
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MillisecondTimestamp types.MillisecondTimestamp `json:"ts"`
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Checksum int `json:"checksum"`
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}
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}
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func (event *BookEvent) BookTicker() types.BookTicker {
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ticker := types.BookTicker{
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Symbol: event.Symbol,
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}
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if len(event.Data) > 0 {
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if len(event.Data[0].Bids) > 0 {
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ticker.Buy = event.Data[0].Bids[0].Price
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ticker.BuySize = event.Data[0].Bids[0].Volume
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}
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if len(event.Data[0].Asks) > 0 {
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ticker.Sell = event.Data[0].Asks[0].Price
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ticker.SellSize = event.Data[0].Asks[0].Volume
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}
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}
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return ticker
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}
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func (event *BookEvent) Book() types.SliceOrderBook {
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book := types.SliceOrderBook{
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Symbol: event.Symbol,
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}
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if len(event.Data) > 0 {
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book.Time = event.Data[0].MillisecondTimestamp.Time()
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}
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for _, data := range event.Data {
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for _, bid := range data.Bids {
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book.Bids = append(book.Bids, types.PriceVolume{Price: bid.Price, Volume: bid.Volume})
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}
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for _, ask := range data.Asks {
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book.Asks = append(book.Asks, types.PriceVolume{Price: ask.Price, Volume: ask.Volume})
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}
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}
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return book
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}
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type PriceVolumeOrder struct {
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types.PriceVolume
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// NumLiquidated is part of a deprecated feature and it is always "0"
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NumLiquidated int
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// NumOrders is the number of orders at the price.
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NumOrders int
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}
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type PriceVolumeOrderSlice []PriceVolumeOrder
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func (slice *PriceVolumeOrderSlice) UnmarshalJSON(b []byte) error {
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s, err := ParsePriceVolumeOrderSliceJSON(b)
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if err != nil {
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return err
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}
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*slice = s
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return nil
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}
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// ParsePriceVolumeOrderSliceJSON tries to parse a 2 dimensional string array into a PriceVolumeOrderSlice
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//
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// [["8476.98", "415", "0", "13"], ["8477", "7", "0", "2"], ... ]
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func ParsePriceVolumeOrderSliceJSON(b []byte) (slice PriceVolumeOrderSlice, err error) {
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var as [][]fixedpoint.Value
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err = json.Unmarshal(b, &as)
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if err != nil {
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return slice, fmt.Errorf("failed to unmarshal price volume order slice: %w", err)
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}
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for _, a := range as {
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var pv PriceVolumeOrder
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pv.Price = a[0]
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pv.Volume = a[1]
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pv.NumLiquidated = a[2].Int()
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pv.NumOrders = a[3].Int()
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slice = append(slice, pv)
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}
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return slice, nil
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}
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func kLineToGlobal(k okexapi.KLine, interval types.Interval, symbol string) types.KLine {
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startTime := k.StartTime.Time()
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return types.KLine{
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Exchange: types.ExchangeOKEx,
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Symbol: symbol,
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StartTime: types.Time(startTime),
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EndTime: types.Time(startTime.Add(interval.Duration() - time.Millisecond)),
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Interval: interval,
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Open: k.OpenPrice,
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Close: k.ClosePrice,
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High: k.HighestPrice,
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Low: k.LowestPrice,
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Volume: k.Volume,
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QuoteVolume: k.VolumeInCurrency, // not supported
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TakerBuyBaseAssetVolume: fixedpoint.Zero, // not supported
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TakerBuyQuoteAssetVolume: fixedpoint.Zero, // not supported
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LastTradeID: 0, // not supported
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NumberOfTrades: 0, // not supported
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Closed: !k.Confirm.IsZero(),
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}
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}
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type KLineEvent struct {
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Events okexapi.KLineSlice
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InstrumentID string
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Symbol string
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Interval string
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Channel Channel
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}
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func parseAccount(v []byte) (*okexapi.Account, error) {
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var accounts []okexapi.Account
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err := json.Unmarshal(v, &accounts)
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if err != nil {
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return nil, err
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}
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if len(accounts) == 0 {
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return &okexapi.Account{}, nil
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}
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return &accounts[0], nil
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}
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type OrderTradeEvent struct {
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okexapi.OrderDetail
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Code types.StrInt64 `json:"code"`
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Msg string `json:"msg"`
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AmendResult string `json:"amendResult"`
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ExecutionType okexapi.LiquidityType `json:"execType"`
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// FillFee last filled fee amount or rebate amount:
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// Negative number represents the user transaction fee charged by the platform;
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// Positive number represents rebate
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FillFee fixedpoint.Value `json:"fillFee"`
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// FillFeeCurrency last filled fee currency or rebate currency.
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// It is fee currency when fillFee is less than 0; It is rebate currency when fillFee>=0.
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FillFeeCurrency string `json:"fillFeeCcy"`
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// FillNotionalUsd Filled notional value in USD of order
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FillNotionalUsd fixedpoint.Value `json:"fillNotionalUsd"`
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FillPnl fixedpoint.Value `json:"fillPnl"`
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// NotionalUsd Estimated national value in USD of order
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NotionalUsd fixedpoint.Value `json:"notionalUsd"`
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// ReqId Client Request ID as assigned by the client for order amendment. "" will be returned if there is no order amendment.
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ReqId string `json:"reqId"`
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LastPrice fixedpoint.Value `json:"lastPx"`
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// QuickMgnType Quick Margin type, Only applicable to Quick Margin Mode of isolated margin
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// manual, auto_borrow, auto_repay
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QuickMgnType string `json:"quickMgnType"`
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// AmendSource Source of the order amendation.
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AmendSource string `json:"amendSource"`
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// CancelSource Source of the order cancellation.
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CancelSource string `json:"cancelSource"`
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// Only applicable to options; return "" for other instrument types
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FillPriceVolume string `json:"fillPxVol"`
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FillPriceUsd string `json:"fillPxUsd"`
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FillMarkVolume string `json:"fillMarkVol"`
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FillFwdPrice string `json:"fillFwdPx"`
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FillMarkPrice string `json:"fillMarkPx"`
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}
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func (o *OrderTradeEvent) toGlobalTrade() (types.Trade, error) {
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side := toGlobalSide(o.Side)
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tradeId, err := strconv.ParseUint(o.TradeId, 10, 64)
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if err != nil {
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return types.Trade{}, fmt.Errorf("unexpected trade id [%s] format: %w", o.TradeId, err)
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}
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return types.Trade{
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ID: tradeId,
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OrderID: uint64(o.OrderId),
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Exchange: types.ExchangeOKEx,
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Price: o.FillPrice,
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Quantity: o.FillSize,
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QuoteQuantity: o.FillPrice.Mul(o.FillSize),
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Symbol: toGlobalSymbol(o.InstrumentID),
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Side: side,
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IsBuyer: side == types.SideTypeBuy,
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IsMaker: o.ExecutionType == okexapi.LiquidityTypeMaker,
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Time: types.Time(o.FillTime.Time()),
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// charged by the platform is positive in our design, so added the `Neg()`.
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Fee: o.FillFee.Neg(),
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FeeCurrency: o.FeeCurrency,
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FeeDiscounted: false,
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}, nil
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}
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func toGlobalSideType(side okexapi.SideType) (types.SideType, error) {
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switch side {
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case okexapi.SideTypeBuy:
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return types.SideTypeBuy, nil
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case okexapi.SideTypeSell:
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return types.SideTypeSell, nil
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default:
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return types.SideType(side), fmt.Errorf("unexpected side: %s", side)
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}
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}
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type MarketTradeEvent struct {
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InstId string `json:"instId"`
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TradeId types.StrInt64 `json:"tradeId"`
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Px fixedpoint.Value `json:"px"`
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Sz fixedpoint.Value `json:"sz"`
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Side okexapi.SideType `json:"side"`
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Timestamp types.MillisecondTimestamp `json:"ts"`
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Count types.StrInt64 `json:"count"`
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}
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func (m *MarketTradeEvent) toGlobalTrade() (types.Trade, error) {
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symbol := toGlobalSymbol(m.InstId)
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if symbol == "" {
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return types.Trade{}, fmt.Errorf("unexpected inst id: %s", m.InstId)
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}
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side, err := toGlobalSideType(m.Side)
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if err != nil {
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return types.Trade{}, err
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}
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return types.Trade{
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ID: uint64(m.TradeId),
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OrderID: 0, // not supported
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Exchange: types.ExchangeOKEx,
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Price: m.Px,
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Quantity: m.Sz,
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QuoteQuantity: m.Px.Mul(m.Sz),
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Symbol: symbol,
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Side: side,
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IsBuyer: side == types.SideTypeBuy,
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IsMaker: false, // not supported
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Time: types.Time(m.Timestamp.Time()),
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Fee: fixedpoint.Zero, // not supported
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FeeCurrency: "", // not supported
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}, nil
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}
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type ConnectionInfoEvent struct {
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Event string `json:"event"`
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Channel Channel `json:"channel"`
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ConnCount string `json:"connCount"`
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ConnId string `json:"connId"`
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}
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