mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
357 lines
8.1 KiB
Go
357 lines
8.1 KiB
Go
package okex
|
|
|
|
import (
|
|
"encoding/json"
|
|
"errors"
|
|
"fmt"
|
|
"strconv"
|
|
"strings"
|
|
"time"
|
|
|
|
"github.com/valyala/fastjson"
|
|
|
|
"github.com/c9s/bbgo/pkg/exchange/okex/okexapi"
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
func parseWebSocketEvent(str []byte) (interface{}, error) {
|
|
v, err := fastjson.ParseBytes(str)
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
if v.Exists("event") {
|
|
return parseEvent(v)
|
|
}
|
|
|
|
if v.Exists("data") {
|
|
return parseData(v)
|
|
}
|
|
|
|
return nil, nil
|
|
}
|
|
|
|
type WebSocketEvent struct {
|
|
Event string `json:"event"`
|
|
Code string `json:"code,omitempty"`
|
|
Message string `json:"msg,omitempty"`
|
|
Arg interface{} `json:"arg,omitempty"`
|
|
}
|
|
|
|
func parseEvent(v *fastjson.Value) (*WebSocketEvent, error) {
|
|
// event could be "subscribe", "unsubscribe" or "error"
|
|
event := string(v.GetStringBytes("event"))
|
|
code := string(v.GetStringBytes("code"))
|
|
message := string(v.GetStringBytes("msg"))
|
|
arg := v.GetObject("arg")
|
|
return &WebSocketEvent{
|
|
Event: event,
|
|
Code: code,
|
|
Message: message,
|
|
Arg: arg,
|
|
}, nil
|
|
}
|
|
|
|
type BookEvent struct {
|
|
InstrumentID string
|
|
Symbol string
|
|
Action string
|
|
Bids []BookEntry
|
|
Asks []BookEntry
|
|
MillisecondTimestamp int64
|
|
Checksum int
|
|
channel string
|
|
}
|
|
|
|
func (data *BookEvent) BookTicker() types.BookTicker {
|
|
ticker := types.BookTicker{
|
|
Symbol: data.Symbol,
|
|
}
|
|
|
|
if len(data.Bids) > 0 {
|
|
ticker.Buy = data.Bids[0].Price
|
|
ticker.BuySize = data.Bids[0].Volume
|
|
}
|
|
|
|
if len(data.Asks) > 0 {
|
|
ticker.Sell = data.Asks[0].Price
|
|
ticker.SellSize = data.Asks[0].Volume
|
|
}
|
|
|
|
return ticker
|
|
}
|
|
|
|
func (data *BookEvent) Book() types.SliceOrderBook {
|
|
book := types.SliceOrderBook{
|
|
Symbol: data.Symbol,
|
|
Time: types.NewMillisecondTimestampFromInt(data.MillisecondTimestamp).Time(),
|
|
}
|
|
|
|
for _, bid := range data.Bids {
|
|
book.Bids = append(book.Bids, types.PriceVolume{Price: bid.Price, Volume: bid.Volume})
|
|
}
|
|
|
|
for _, ask := range data.Asks {
|
|
book.Asks = append(book.Asks, types.PriceVolume{Price: ask.Price, Volume: ask.Volume})
|
|
}
|
|
|
|
return book
|
|
}
|
|
|
|
type BookEntry struct {
|
|
Price fixedpoint.Value
|
|
Volume fixedpoint.Value
|
|
NumLiquidated int
|
|
NumOrders int
|
|
}
|
|
|
|
func parseBookEntry(v *fastjson.Value) (*BookEntry, error) {
|
|
arr, err := v.Array()
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
if len(arr) < 4 {
|
|
return nil, fmt.Errorf("unexpected book entry size: %d", len(arr))
|
|
}
|
|
|
|
price := fixedpoint.Must(fixedpoint.NewFromString(string(arr[0].GetStringBytes())))
|
|
volume := fixedpoint.Must(fixedpoint.NewFromString(string(arr[1].GetStringBytes())))
|
|
numLiquidated, err := strconv.Atoi(string(arr[2].GetStringBytes()))
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
numOrders, err := strconv.Atoi(string(arr[3].GetStringBytes()))
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
return &BookEntry{
|
|
Price: price,
|
|
Volume: volume,
|
|
NumLiquidated: numLiquidated,
|
|
NumOrders: numOrders,
|
|
}, nil
|
|
}
|
|
|
|
func parseBookData(v *fastjson.Value) (*BookEvent, error) {
|
|
instrumentId := string(v.GetStringBytes("arg", "instId"))
|
|
data := v.GetArray("data")
|
|
if len(data) == 0 {
|
|
return nil, errors.New("empty data payload")
|
|
}
|
|
|
|
// "snapshot" or "update"
|
|
action := string(v.GetStringBytes("action"))
|
|
|
|
millisecondTimestamp, err := strconv.ParseInt(string(data[0].GetStringBytes("ts")), 10, 64)
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
checksum := data[0].GetInt("checksum")
|
|
|
|
var asks []BookEntry
|
|
var bids []BookEntry
|
|
|
|
for _, v := range data[0].GetArray("asks") {
|
|
entry, err := parseBookEntry(v)
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
asks = append(asks, *entry)
|
|
}
|
|
|
|
for _, v := range data[0].GetArray("bids") {
|
|
entry, err := parseBookEntry(v)
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
bids = append(bids, *entry)
|
|
}
|
|
|
|
return &BookEvent{
|
|
InstrumentID: instrumentId,
|
|
Symbol: toGlobalSymbol(instrumentId),
|
|
Action: action,
|
|
Bids: bids,
|
|
Asks: asks,
|
|
Checksum: checksum,
|
|
MillisecondTimestamp: millisecondTimestamp,
|
|
}, nil
|
|
}
|
|
|
|
type Candle struct {
|
|
Channel string
|
|
InstrumentID string
|
|
Symbol string
|
|
Interval string
|
|
Open fixedpoint.Value
|
|
High fixedpoint.Value
|
|
Low fixedpoint.Value
|
|
Close fixedpoint.Value
|
|
|
|
// Trading volume, with a unit of contact.
|
|
// If it is a derivatives contract, the value is the number of contracts.
|
|
// If it is SPOT/MARGIN, the value is the amount of trading currency.
|
|
Volume fixedpoint.Value
|
|
|
|
// Trading volume, with a unit of currency.
|
|
// If it is a derivatives contract, the value is the number of settlement currency.
|
|
// If it is SPOT/MARGIN, the value is the number of quote currency.
|
|
VolumeInCurrency fixedpoint.Value
|
|
|
|
MillisecondTimestamp int64
|
|
|
|
StartTime time.Time
|
|
}
|
|
|
|
func (c *Candle) KLine() types.KLine {
|
|
interval := types.Interval(c.Interval)
|
|
endTime := c.StartTime.Add(interval.Duration() - 1*time.Millisecond)
|
|
return types.KLine{
|
|
Exchange: types.ExchangeOKEx,
|
|
Interval: interval,
|
|
Open: c.Open,
|
|
High: c.High,
|
|
Low: c.Low,
|
|
Close: c.Close,
|
|
Volume: c.Volume,
|
|
QuoteVolume: c.VolumeInCurrency,
|
|
StartTime: types.Time(c.StartTime),
|
|
EndTime: types.Time(endTime),
|
|
}
|
|
}
|
|
|
|
func parseCandle(channel string, v *fastjson.Value) (*Candle, error) {
|
|
instrumentID := string(v.GetStringBytes("arg", "instId"))
|
|
data, err := v.Get("data").Array()
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
if len(data) == 0 {
|
|
return nil, errors.New("candle data is empty")
|
|
}
|
|
|
|
arr, err := data[0].Array()
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
if len(arr) < 7 {
|
|
return nil, fmt.Errorf("unexpected candle data length: %d", len(arr))
|
|
}
|
|
|
|
interval := strings.ToLower(strings.TrimPrefix(channel, "candle"))
|
|
|
|
timestamp, err := strconv.ParseInt(string(arr[0].GetStringBytes()), 10, 64)
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
open, err := fixedpoint.NewFromString(string(arr[1].GetStringBytes()))
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
high, err := fixedpoint.NewFromString(string(arr[2].GetStringBytes()))
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
low, err := fixedpoint.NewFromString(string(arr[3].GetStringBytes()))
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
cls, err := fixedpoint.NewFromString(string(arr[4].GetStringBytes()))
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
vol, err := fixedpoint.NewFromString(string(arr[5].GetStringBytes()))
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
volCurrency, err := fixedpoint.NewFromString(string(arr[6].GetStringBytes()))
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
candleTime := time.Unix(0, timestamp*int64(time.Millisecond))
|
|
return &Candle{
|
|
Channel: channel,
|
|
InstrumentID: instrumentID,
|
|
Symbol: toGlobalSymbol(instrumentID),
|
|
Interval: interval,
|
|
Open: open,
|
|
High: high,
|
|
Low: low,
|
|
Close: cls,
|
|
Volume: vol,
|
|
VolumeInCurrency: volCurrency,
|
|
MillisecondTimestamp: timestamp,
|
|
StartTime: candleTime,
|
|
}, nil
|
|
}
|
|
|
|
func parseAccount(v *fastjson.Value) (*okexapi.Account, error) {
|
|
data := v.Get("data").MarshalTo(nil)
|
|
|
|
var accounts []okexapi.Account
|
|
err := json.Unmarshal(data, &accounts)
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
if len(accounts) == 0 {
|
|
return nil, errors.New("empty account data")
|
|
}
|
|
|
|
return &accounts[0], nil
|
|
}
|
|
|
|
func parseOrder(v *fastjson.Value) ([]okexapi.OrderDetails, error) {
|
|
data := v.Get("data").MarshalTo(nil)
|
|
|
|
var orderDetails []okexapi.OrderDetails
|
|
err := json.Unmarshal(data, &orderDetails)
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
return orderDetails, nil
|
|
}
|
|
|
|
func parseData(v *fastjson.Value) (interface{}, error) {
|
|
|
|
channel := string(v.GetStringBytes("arg", "channel"))
|
|
|
|
switch channel {
|
|
case "books5":
|
|
data, err := parseBookData(v)
|
|
data.channel = channel
|
|
return data, err
|
|
case "books":
|
|
data, err := parseBookData(v)
|
|
data.channel = channel
|
|
return data, err
|
|
case "account":
|
|
return parseAccount(v)
|
|
case "orders":
|
|
return parseOrder(v)
|
|
default:
|
|
if strings.HasPrefix(channel, "candle") {
|
|
data, err := parseCandle(channel, v)
|
|
return data, err
|
|
}
|
|
|
|
}
|
|
|
|
return nil, nil
|
|
}
|