mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-14 02:53:50 +00:00
387 lines
9.4 KiB
Go
387 lines
9.4 KiB
Go
package ftx
|
|
|
|
import (
|
|
"encoding/json"
|
|
"fmt"
|
|
"hash/crc32"
|
|
"math"
|
|
"strconv"
|
|
"strings"
|
|
"time"
|
|
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
type operation string
|
|
|
|
const ping operation = "ping"
|
|
const login operation = "login"
|
|
const subscribe operation = "subscribe"
|
|
const unsubscribe operation = "unsubscribe"
|
|
|
|
type channel string
|
|
|
|
const orderBookChannel channel = "orderbook"
|
|
const privateOrdersChannel channel = "orders"
|
|
const privateTradesChannel channel = "fills"
|
|
|
|
var errUnsupportedConversion = fmt.Errorf("unsupported conversion")
|
|
|
|
/*
|
|
Private:
|
|
order update: `{'op': 'subscribe', 'channel': 'orders'}`
|
|
login: `{"args": { "key": "<api_key>", "sign": "<signature>", "time": <ts> }, "op": "login" }`
|
|
|
|
*/
|
|
type websocketRequest struct {
|
|
Operation operation `json:"op"`
|
|
|
|
// {'op': 'subscribe', 'channel': 'trades', 'market': 'BTC-PERP'}
|
|
Channel channel `json:"channel,omitempty"`
|
|
Market string `json:"market,omitempty"`
|
|
|
|
Login loginArgs `json:"args,omitempty"`
|
|
}
|
|
|
|
/*
|
|
{
|
|
"args": {
|
|
"key": "<api_key>",
|
|
"sign": "<signature>",
|
|
"time": <ts>
|
|
},
|
|
"op": "login"
|
|
}
|
|
*/
|
|
type loginArgs struct {
|
|
Key string `json:"key"`
|
|
Signature string `json:"sign"`
|
|
Time int64 `json:"time"`
|
|
SubAccount string `json:"subaccount,omitempty"`
|
|
}
|
|
|
|
func newLoginRequest(key, secret string, t time.Time, subaccount string) websocketRequest {
|
|
millis := t.UnixNano() / int64(time.Millisecond)
|
|
return websocketRequest{
|
|
Operation: login,
|
|
Login: loginArgs{
|
|
Key: key,
|
|
Signature: sign(secret, loginBody(millis)),
|
|
Time: millis,
|
|
SubAccount: subaccount,
|
|
},
|
|
}
|
|
}
|
|
|
|
func loginBody(millis int64) string {
|
|
return fmt.Sprintf("%dwebsocket_login", millis)
|
|
}
|
|
|
|
type respType string
|
|
|
|
const pongRespType respType = "pong"
|
|
const errRespType respType = "error"
|
|
const subscribedRespType respType = "subscribed"
|
|
const unsubscribedRespType respType = "unsubscribed"
|
|
const infoRespType respType = "info"
|
|
const partialRespType respType = "partial"
|
|
const updateRespType respType = "update"
|
|
|
|
type websocketResponse struct {
|
|
mandatoryFields
|
|
|
|
optionalFields
|
|
}
|
|
|
|
type mandatoryFields struct {
|
|
Channel channel `json:"channel"`
|
|
|
|
Type respType `json:"type"`
|
|
}
|
|
|
|
type optionalFields struct {
|
|
Market string `json:"market"`
|
|
|
|
// Example: {"type": "error", "code": 404, "msg": "No such market: BTCUSDT"}
|
|
Code int64 `json:"code"`
|
|
|
|
Message string `json:"msg"`
|
|
|
|
Data json.RawMessage `json:"data"`
|
|
}
|
|
|
|
type orderUpdateResponse struct {
|
|
mandatoryFields
|
|
|
|
Data order `json:"data"`
|
|
}
|
|
|
|
func (r websocketResponse) toOrderUpdateResponse() (orderUpdateResponse, error) {
|
|
if r.Channel != privateOrdersChannel {
|
|
return orderUpdateResponse{}, fmt.Errorf("type %s, channel %s: %w", r.Type, r.Channel, errUnsupportedConversion)
|
|
}
|
|
var o orderUpdateResponse
|
|
if err := json.Unmarshal(r.Data, &o.Data); err != nil {
|
|
return orderUpdateResponse{}, err
|
|
}
|
|
o.mandatoryFields = r.mandatoryFields
|
|
return o, nil
|
|
}
|
|
|
|
type tradeUpdateResponse struct {
|
|
mandatoryFields
|
|
|
|
Data fill `json:"data"`
|
|
}
|
|
|
|
func (r websocketResponse) toTradeUpdateResponse() (tradeUpdateResponse, error) {
|
|
if r.Channel != privateTradesChannel {
|
|
return tradeUpdateResponse{}, fmt.Errorf("type %s, channel %s: %w", r.Type, r.Channel, errUnsupportedConversion)
|
|
}
|
|
var t tradeUpdateResponse
|
|
if err := json.Unmarshal(r.Data, &t.Data); err != nil {
|
|
return tradeUpdateResponse{}, err
|
|
}
|
|
t.mandatoryFields = r.mandatoryFields
|
|
return t, nil
|
|
}
|
|
|
|
/*
|
|
Private:
|
|
order: {"type": "subscribed", "channel": "orders"}
|
|
|
|
Public
|
|
orderbook: {"type": "subscribed", "channel": "orderbook", "market": "BTC/USDT"}
|
|
|
|
*/
|
|
type subscribedResponse struct {
|
|
mandatoryFields
|
|
|
|
Market string `json:"market"`
|
|
}
|
|
|
|
func (s subscribedResponse) String() string {
|
|
return fmt.Sprintf("`%s` channel is subsribed", strings.TrimSpace(fmt.Sprintf("%s %s", s.Market, s.Channel)))
|
|
}
|
|
|
|
// {"type": "subscribed", "channel": "orderbook", "market": "BTC/USDT"}
|
|
func (r websocketResponse) toSubscribedResponse() (subscribedResponse, error) {
|
|
if r.Type != subscribedRespType {
|
|
return subscribedResponse{}, fmt.Errorf("type %s, channel %s: %w", r.Type, r.Channel, errUnsupportedConversion)
|
|
}
|
|
|
|
return subscribedResponse{
|
|
mandatoryFields: r.mandatoryFields,
|
|
Market: r.Market,
|
|
}, nil
|
|
}
|
|
|
|
// {"type": "error", "code": 400, "msg": "Already logged in"}
|
|
type errResponse struct {
|
|
Code int64 `json:"code"`
|
|
Message string `json:"msg"`
|
|
}
|
|
|
|
func (e errResponse) String() string {
|
|
return fmt.Sprintf("%d: %s", e.Code, e.Message)
|
|
}
|
|
|
|
func (r websocketResponse) toErrResponse() errResponse {
|
|
return errResponse{
|
|
Code: r.Code,
|
|
Message: r.Message,
|
|
}
|
|
}
|
|
|
|
func (r websocketResponse) toPublicOrderBookResponse() (orderBookResponse, error) {
|
|
if r.Channel != orderBookChannel {
|
|
return orderBookResponse{}, fmt.Errorf("type %s, channel %s: %w", r.Type, r.Channel, errUnsupportedConversion)
|
|
}
|
|
|
|
var o orderBookResponse
|
|
if err := json.Unmarshal(r.Data, &o); err != nil {
|
|
return orderBookResponse{}, err
|
|
}
|
|
|
|
o.mandatoryFields = r.mandatoryFields
|
|
o.Market = r.Market
|
|
o.Timestamp = nanoToTime(o.Time)
|
|
|
|
return o, nil
|
|
}
|
|
|
|
func nanoToTime(input float64) time.Time {
|
|
sec, dec := math.Modf(input)
|
|
return time.Unix(int64(sec), int64(dec*1e9))
|
|
}
|
|
|
|
type orderBookResponse struct {
|
|
mandatoryFields
|
|
|
|
Market string `json:"market"`
|
|
|
|
Action string `json:"action"`
|
|
|
|
Time float64 `json:"time"`
|
|
|
|
Timestamp time.Time
|
|
|
|
Checksum uint32 `json:"checksum"`
|
|
|
|
// best 100 orders. Ex. {[100,1], [50, 2]}
|
|
Bids [][]json.Number `json:"bids"`
|
|
|
|
// best 100 orders. Ex. {[51, 1], [102, 3]}
|
|
Asks [][]json.Number `json:"asks"`
|
|
}
|
|
|
|
// only 100 orders so we use linear search here
|
|
func (r *orderBookResponse) update(orderUpdates orderBookResponse) {
|
|
r.Checksum = orderUpdates.Checksum
|
|
r.updateBids(orderUpdates.Bids)
|
|
r.updateAsks(orderUpdates.Asks)
|
|
}
|
|
|
|
func (r *orderBookResponse) updateAsks(asks [][]json.Number) {
|
|
higherPrice := func(dst, src float64) bool {
|
|
return dst < src
|
|
}
|
|
for _, o := range asks {
|
|
if remove := o[1] == "0"; remove {
|
|
r.Asks = removePrice(r.Asks, o[0])
|
|
} else {
|
|
r.Asks = upsertPriceVolume(r.Asks, o, higherPrice)
|
|
}
|
|
}
|
|
}
|
|
|
|
func (r *orderBookResponse) updateBids(bids [][]json.Number) {
|
|
lessPrice := func(dst, src float64) bool {
|
|
return dst > src
|
|
}
|
|
for _, o := range bids {
|
|
if remove := o[1] == "0"; remove {
|
|
r.Bids = removePrice(r.Bids, o[0])
|
|
} else {
|
|
r.Bids = upsertPriceVolume(r.Bids, o, lessPrice)
|
|
}
|
|
}
|
|
}
|
|
|
|
func upsertPriceVolume(dst [][]json.Number, src []json.Number, priceComparator func(dst float64, src float64) bool) [][]json.Number {
|
|
for i, pv := range dst {
|
|
dstPrice := pv[0]
|
|
srcPrice := src[0]
|
|
|
|
// update volume
|
|
if dstPrice == srcPrice {
|
|
pv[1] = src[1]
|
|
return dst
|
|
}
|
|
|
|
// The value must be a number which is verified by json.Unmarshal, so the err
|
|
// should never happen.
|
|
dstPriceNum, err := strconv.ParseFloat(string(dstPrice), 64)
|
|
if err != nil {
|
|
logger.WithError(err).Errorf("unexpected price %s", dstPrice)
|
|
continue
|
|
}
|
|
srcPriceNum, err := strconv.ParseFloat(string(srcPrice), 64)
|
|
if err != nil {
|
|
logger.WithError(err).Errorf("unexpected price updates %s", srcPrice)
|
|
continue
|
|
}
|
|
|
|
if !priceComparator(dstPriceNum, srcPriceNum) {
|
|
return insertAt(dst, i, src)
|
|
}
|
|
}
|
|
|
|
return append(dst, src)
|
|
}
|
|
|
|
func insertAt(dst [][]json.Number, id int, pv []json.Number) (result [][]json.Number) {
|
|
result = append(result, dst[:id]...)
|
|
result = append(result, pv)
|
|
result = append(result, dst[id:]...)
|
|
return
|
|
}
|
|
|
|
func removePrice(dst [][]json.Number, price json.Number) [][]json.Number {
|
|
for i, pv := range dst {
|
|
if pv[0] == price {
|
|
return append(dst[:i], dst[i+1:]...)
|
|
}
|
|
}
|
|
|
|
return dst
|
|
}
|
|
|
|
func (r orderBookResponse) verifyChecksum() error {
|
|
if crc32Val := crc32.ChecksumIEEE([]byte(checksumString(r.Bids, r.Asks))); crc32Val != r.Checksum {
|
|
return fmt.Errorf("expected checksum %d, actual checksum %d: %w", r.Checksum, crc32Val, errUnmatchedChecksum)
|
|
}
|
|
return nil
|
|
}
|
|
|
|
// <best_bid_price>:<best_bid_size>:<best_ask_price>:<best_ask_size>...
|
|
func checksumString(bids, asks [][]json.Number) string {
|
|
sb := strings.Builder{}
|
|
appendNumber := func(pv []json.Number) {
|
|
if sb.Len() != 0 {
|
|
sb.WriteString(":")
|
|
}
|
|
sb.WriteString(string(pv[0]))
|
|
sb.WriteString(":")
|
|
sb.WriteString(string(pv[1]))
|
|
}
|
|
|
|
bidsLen := len(bids)
|
|
asksLen := len(asks)
|
|
for i := 0; i < bidsLen || i < asksLen; i++ {
|
|
if i < bidsLen {
|
|
appendNumber(bids[i])
|
|
}
|
|
if i < asksLen {
|
|
appendNumber(asks[i])
|
|
}
|
|
}
|
|
return sb.String()
|
|
}
|
|
|
|
var errUnmatchedChecksum = fmt.Errorf("unmatched checksum")
|
|
|
|
func toGlobalOrderBook(r orderBookResponse) (types.SliceOrderBook, error) {
|
|
bids, err := toPriceVolumeSlice(r.Bids)
|
|
if err != nil {
|
|
return types.SliceOrderBook{}, fmt.Errorf("can't convert bids to priceVolumeSlice: %w", err)
|
|
}
|
|
asks, err := toPriceVolumeSlice(r.Asks)
|
|
if err != nil {
|
|
return types.SliceOrderBook{}, fmt.Errorf("can't convert asks to priceVolumeSlice: %w", err)
|
|
}
|
|
return types.SliceOrderBook{
|
|
// ex. BTC/USDT
|
|
Symbol: toGlobalSymbol(strings.ToUpper(r.Market)),
|
|
Bids: bids,
|
|
Asks: asks,
|
|
}, nil
|
|
}
|
|
|
|
func toPriceVolumeSlice(orders [][]json.Number) (types.PriceVolumeSlice, error) {
|
|
var pv types.PriceVolumeSlice
|
|
for _, o := range orders {
|
|
p, err := fixedpoint.NewFromString(string(o[0]))
|
|
if err != nil {
|
|
return nil, fmt.Errorf("can't convert price %+v to fixedpoint: %w", o[0], err)
|
|
}
|
|
v, err := fixedpoint.NewFromString(string(o[1]))
|
|
if err != nil {
|
|
return nil, fmt.Errorf("can't convert volume %+v to fixedpoint: %w", o[0], err)
|
|
}
|
|
pv = append(pv, types.PriceVolume{Price: p, Volume: v})
|
|
}
|
|
return pv, nil
|
|
}
|