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