bbgo_origin/pkg/bbgo/session.go
2022-07-21 12:36:26 +08:00

856 lines
26 KiB
Go

package bbgo
import (
"context"
"fmt"
"strings"
"sync"
"time"
"github.com/slack-go/slack"
"github.com/prometheus/client_golang/prometheus"
log "github.com/sirupsen/logrus"
"github.com/spf13/viper"
"github.com/c9s/bbgo/pkg/cache"
exchange2 "github.com/c9s/bbgo/pkg/exchange"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/service"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
)
// ExchangeSession presents the exchange connection Session
// It also maintains and collects the data returned from the stream.
type ExchangeSession struct {
// ---------------------------
// Session config fields
// ---------------------------
// Exchange Session name
Name string `json:"name,omitempty" yaml:"name,omitempty"`
ExchangeName types.ExchangeName `json:"exchange" yaml:"exchange"`
EnvVarPrefix string `json:"envVarPrefix" yaml:"envVarPrefix"`
Key string `json:"key,omitempty" yaml:"key,omitempty"`
Secret string `json:"secret,omitempty" yaml:"secret,omitempty"`
Passphrase string `json:"passphrase,omitempty" yaml:"passphrase,omitempty"`
SubAccount string `json:"subAccount,omitempty" yaml:"subAccount,omitempty"`
// Withdrawal is used for enabling withdrawal functions
Withdrawal bool `json:"withdrawal,omitempty" yaml:"withdrawal,omitempty"`
MakerFeeRate fixedpoint.Value `json:"makerFeeRate" yaml:"makerFeeRate"`
TakerFeeRate fixedpoint.Value `json:"takerFeeRate" yaml:"takerFeeRate"`
PublicOnly bool `json:"publicOnly,omitempty" yaml:"publicOnly"`
Margin bool `json:"margin,omitempty" yaml:"margin"`
IsolatedMargin bool `json:"isolatedMargin,omitempty" yaml:"isolatedMargin,omitempty"`
IsolatedMarginSymbol string `json:"isolatedMarginSymbol,omitempty" yaml:"isolatedMarginSymbol,omitempty"`
Futures bool `json:"futures,omitempty" yaml:"futures"`
IsolatedFutures bool `json:"isolatedFutures,omitempty" yaml:"isolatedFutures,omitempty"`
IsolatedFuturesSymbol string `json:"isolatedFuturesSymbol,omitempty" yaml:"isolatedFuturesSymbol,omitempty"`
// ---------------------------
// Runtime fields
// ---------------------------
// The exchange account states
Account *types.Account `json:"-" yaml:"-"`
accountMutex sync.Mutex
IsInitialized bool `json:"-" yaml:"-"`
OrderExecutor *ExchangeOrderExecutor `json:"orderExecutor,omitempty" yaml:"orderExecutor,omitempty"`
// UserDataStream is the connection stream of the exchange
UserDataStream types.Stream `json:"-" yaml:"-"`
MarketDataStream types.Stream `json:"-" yaml:"-"`
// Subscriptions
// this is a read-only field when running strategy
Subscriptions map[types.Subscription]types.Subscription `json:"-" yaml:"-"`
Exchange types.Exchange `json:"-" yaml:"-"`
UseHeikinAshi bool `json:"heikinAshi,omitempty" yaml:"heikinAshi,omitempty"`
// Trades collects the executed trades from the exchange
// map: symbol -> []trade
Trades map[string]*types.TradeSlice `json:"-" yaml:"-"`
// markets defines market configuration of a symbol
markets map[string]types.Market
// orderBooks stores the streaming order book
orderBooks map[string]*types.StreamOrderBook
// startPrices is used for backtest
startPrices map[string]fixedpoint.Value
lastPrices map[string]fixedpoint.Value
lastPriceUpdatedAt time.Time
// marketDataStores contains the market data store of each market
marketDataStores map[string]*MarketDataStore
positions map[string]*types.Position
// standard indicators of each market
standardIndicatorSets map[string]*StandardIndicatorSet
orderStores map[string]*OrderStore
usedSymbols map[string]struct{}
initializedSymbols map[string]struct{}
logger *log.Entry
}
func NewExchangeSession(name string, exchange types.Exchange) *ExchangeSession {
userDataStream := exchange.NewStream()
marketDataStream := exchange.NewStream()
marketDataStream.SetPublicOnly()
session := &ExchangeSession{
Name: name,
Exchange: exchange,
UserDataStream: userDataStream,
MarketDataStream: marketDataStream,
Subscriptions: make(map[types.Subscription]types.Subscription),
Account: &types.Account{},
Trades: make(map[string]*types.TradeSlice),
orderBooks: make(map[string]*types.StreamOrderBook),
markets: make(map[string]types.Market),
startPrices: make(map[string]fixedpoint.Value),
lastPrices: make(map[string]fixedpoint.Value),
positions: make(map[string]*types.Position),
marketDataStores: make(map[string]*MarketDataStore),
standardIndicatorSets: make(map[string]*StandardIndicatorSet),
orderStores: make(map[string]*OrderStore),
usedSymbols: make(map[string]struct{}),
initializedSymbols: make(map[string]struct{}),
logger: log.WithField("session", name),
}
session.OrderExecutor = &ExchangeOrderExecutor{
// copy the notification system so that we can route
Session: session,
}
return session
}
func (session *ExchangeSession) GetAccount() (a *types.Account) {
session.accountMutex.Lock()
a = session.Account
session.accountMutex.Unlock()
return a
}
// UpdateAccount locks the account mutex and update the account object
func (session *ExchangeSession) UpdateAccount(ctx context.Context) (*types.Account, error) {
account, err := session.Exchange.QueryAccount(ctx)
if err != nil {
return nil, err
}
session.accountMutex.Lock()
session.Account = account
session.accountMutex.Unlock()
return account, nil
}
// Init initializes the basic data structure and market information by its exchange.
// Note that the subscribed symbols are not loaded in this stage.
func (session *ExchangeSession) Init(ctx context.Context, environ *Environment) error {
if session.IsInitialized {
return ErrSessionAlreadyInitialized
}
var log = log.WithField("session", session.Name)
// load markets first
var disableMarketsCache = false
var markets types.MarketMap
var err error
if util.SetEnvVarBool("DISABLE_MARKETS_CACHE", &disableMarketsCache); disableMarketsCache {
markets, err = session.Exchange.QueryMarkets(ctx)
} else {
markets, err = cache.LoadExchangeMarketsWithCache(ctx, session.Exchange)
if err != nil {
return err
}
}
if len(markets) == 0 {
return fmt.Errorf("market config should not be empty")
}
session.markets = markets
if feeRateProvider, ok := session.Exchange.(types.ExchangeDefaultFeeRates); ok {
defaultFeeRates := feeRateProvider.DefaultFeeRates()
if session.MakerFeeRate.IsZero() {
session.MakerFeeRate = defaultFeeRates.MakerFeeRate
}
if session.TakerFeeRate.IsZero() {
session.TakerFeeRate = defaultFeeRates.TakerFeeRate
}
}
if session.UseHeikinAshi {
session.MarketDataStream = &types.HeikinAshiStream{
StandardStreamEmitter: session.MarketDataStream.(types.StandardStreamEmitter),
}
}
// query and initialize the balances
if !session.PublicOnly {
account, err := session.Exchange.QueryAccount(ctx)
if err != nil {
return err
}
session.accountMutex.Lock()
session.Account = account
session.accountMutex.Unlock()
log.Infof("%s account", session.Name)
account.Balances().Print()
// forward trade updates and order updates to the order executor
session.UserDataStream.OnTradeUpdate(session.OrderExecutor.EmitTradeUpdate)
session.UserDataStream.OnOrderUpdate(session.OrderExecutor.EmitOrderUpdate)
session.UserDataStream.OnBalanceSnapshot(func(balances types.BalanceMap) {
session.accountMutex.Lock()
session.Account.UpdateBalances(balances)
session.accountMutex.Unlock()
})
session.UserDataStream.OnBalanceUpdate(func(balances types.BalanceMap) {
session.accountMutex.Lock()
session.Account.UpdateBalances(balances)
session.accountMutex.Unlock()
})
session.bindConnectionStatusNotification(session.UserDataStream, "user data")
// if metrics mode is enabled, we bind the callbacks to update metrics
if viper.GetBool("metrics") {
session.metricsBalancesUpdater(account.Balances())
session.bindUserDataStreamMetrics(session.UserDataStream)
}
}
// add trade logger
session.UserDataStream.OnTradeUpdate(func(trade types.Trade) {
log.Info(trade.String())
})
if viper.GetBool("debug-kline") {
session.MarketDataStream.OnKLine(func(kline types.KLine) {
log.WithField("marketData", "kline").Infof("kline: %+v", kline)
})
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
log.WithField("marketData", "kline").Infof("kline closed: %+v", kline)
})
}
// update last prices
if session.UseHeikinAshi {
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
if _, ok := session.startPrices[kline.Symbol]; !ok {
session.startPrices[kline.Symbol] = kline.Open
}
session.lastPrices[kline.Symbol] = session.MarketDataStream.(*types.HeikinAshiStream).LastOrigin[kline.Symbol][kline.Interval].Close
})
} else {
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
if _, ok := session.startPrices[kline.Symbol]; !ok {
session.startPrices[kline.Symbol] = kline.Open
}
session.lastPrices[kline.Symbol] = kline.Close
})
}
session.MarketDataStream.OnMarketTrade(func(trade types.Trade) {
session.lastPrices[trade.Symbol] = trade.Price
})
session.IsInitialized = true
return nil
}
func (session *ExchangeSession) InitSymbols(ctx context.Context, environ *Environment) error {
if err := session.initUsedSymbols(ctx, environ); err != nil {
return err
}
return nil
}
// initUsedSymbols uses usedSymbols to initialize the related data structure
func (session *ExchangeSession) initUsedSymbols(ctx context.Context, environ *Environment) error {
for symbol := range session.usedSymbols {
if err := session.initSymbol(ctx, environ, symbol); err != nil {
return err
}
}
return nil
}
// initSymbol loads trades for the symbol, bind stream callbacks, init positions, market data store.
// please note, initSymbol can not be called for the same symbol for twice
func (session *ExchangeSession) initSymbol(ctx context.Context, environ *Environment, symbol string) error {
if _, ok := session.initializedSymbols[symbol]; ok {
// return fmt.Errorf("symbol %s is already initialized", symbol)
return nil
}
market, ok := session.markets[symbol]
if !ok {
return fmt.Errorf("market %s is not defined", symbol)
}
var err error
var trades []types.Trade
if environ.SyncService != nil && environ.BacktestService == nil {
tradingFeeCurrency := session.Exchange.PlatformFeeCurrency()
if strings.HasPrefix(symbol, tradingFeeCurrency) {
trades, err = environ.TradeService.QueryForTradingFeeCurrency(session.Exchange.Name(), symbol, tradingFeeCurrency)
} else {
trades, err = environ.TradeService.Query(service.QueryTradesOptions{
Exchange: session.Exchange.Name(),
Symbol: symbol,
Ordering: "DESC",
Limit: 100,
})
}
if err != nil {
return err
}
trades = types.SortTradesAscending(trades)
log.Infof("symbol %s: %d trades loaded", symbol, len(trades))
}
session.Trades[symbol] = &types.TradeSlice{Trades: trades}
session.UserDataStream.OnTradeUpdate(func(trade types.Trade) {
if trade.Symbol == symbol {
session.Trades[symbol].Append(trade)
}
})
position := &types.Position{
Symbol: symbol,
BaseCurrency: market.BaseCurrency,
QuoteCurrency: market.QuoteCurrency,
}
position.AddTrades(trades)
position.BindStream(session.UserDataStream)
session.positions[symbol] = position
orderStore := NewOrderStore(symbol)
orderStore.AddOrderUpdate = true
orderStore.BindStream(session.UserDataStream)
session.orderStores[symbol] = orderStore
if _, ok := session.marketDataStores[symbol]; !ok {
marketDataStore := NewMarketDataStore(symbol)
marketDataStore.BindStream(session.MarketDataStream)
session.marketDataStores[symbol] = marketDataStore
}
marketDataStore := session.marketDataStores[symbol]
if _, ok := session.standardIndicatorSets[symbol]; !ok {
standardIndicatorSet := NewStandardIndicatorSet(symbol, session.MarketDataStream, marketDataStore)
session.standardIndicatorSets[symbol] = standardIndicatorSet
}
// used kline intervals by the given symbol
var klineSubscriptions = map[types.Interval]struct{}{}
// always subscribe the 1m kline so we can make sure the connection persists.
klineSubscriptions[types.Interval1m] = struct{}{}
// Aggregate the intervals that we are using in the subscriptions.
for _, sub := range session.Subscriptions {
switch sub.Channel {
case types.BookChannel:
book := types.NewStreamBook(sub.Symbol)
book.BindStream(session.MarketDataStream)
session.orderBooks[sub.Symbol] = book
case types.KLineChannel:
if sub.Options.Interval == "" {
continue
}
if sub.Symbol == symbol {
klineSubscriptions[types.Interval(sub.Options.Interval)] = struct{}{}
}
}
}
for interval := range klineSubscriptions {
// avoid querying the last unclosed kline
endTime := environ.startTime
kLines, err := session.Exchange.QueryKLines(ctx, symbol, interval, types.KLineQueryOptions{
EndTime: &endTime,
Limit: 1000, // indicators need at least 100
})
if err != nil {
return err
}
if len(kLines) == 0 {
log.Warnf("no kline data for %s %s (end time <= %s)", symbol, interval, environ.startTime)
continue
}
// update last prices by the given kline
lastKLine := kLines[len(kLines)-1]
if interval == types.Interval1m {
log.Infof("last kline %+v", lastKLine)
session.lastPrices[symbol] = lastKLine.Close
}
for _, k := range kLines {
// let market data store trigger the update, so that the indicator could be updated too.
marketDataStore.AddKLine(k)
}
}
log.Infof("%s last price: %v", symbol, session.lastPrices[symbol])
session.initializedSymbols[symbol] = struct{}{}
return nil
}
func (session *ExchangeSession) StandardIndicatorSet(symbol string) (*StandardIndicatorSet, bool) {
set, ok := session.standardIndicatorSets[symbol]
if !ok {
if store, ok2 := session.MarketDataStore(symbol); ok2 {
set = NewStandardIndicatorSet(symbol, session.MarketDataStream, store)
session.standardIndicatorSets[symbol] = set
return set, true
}
}
return set, ok
}
func (session *ExchangeSession) Position(symbol string) (pos *types.Position, ok bool) {
pos, ok = session.positions[symbol]
if ok {
return pos, ok
}
market, ok := session.markets[symbol]
if !ok {
return nil, false
}
pos = &types.Position{
Symbol: symbol,
BaseCurrency: market.BaseCurrency,
QuoteCurrency: market.QuoteCurrency,
}
ok = true
session.positions[symbol] = pos
return pos, ok
}
func (session *ExchangeSession) Positions() map[string]*types.Position {
return session.positions
}
// MarketDataStore returns the market data store of a symbol
func (session *ExchangeSession) MarketDataStore(symbol string) (s *MarketDataStore, ok bool) {
s, ok = session.marketDataStores[symbol]
if !ok {
s = NewMarketDataStore(symbol)
s.BindStream(session.MarketDataStream)
session.marketDataStores[symbol] = s
return s, true
}
return s, ok
}
// OrderBook returns the personal orderbook of a symbol
func (session *ExchangeSession) OrderBook(symbol string) (s *types.StreamOrderBook, ok bool) {
s, ok = session.orderBooks[symbol]
return s, ok
}
func (session *ExchangeSession) StartPrice(symbol string) (price fixedpoint.Value, ok bool) {
price, ok = session.startPrices[symbol]
return price, ok
}
func (session *ExchangeSession) LastPrice(symbol string) (price fixedpoint.Value, ok bool) {
price, ok = session.lastPrices[symbol]
return price, ok
}
func (session *ExchangeSession) AllLastPrices() map[string]fixedpoint.Value {
return session.lastPrices
}
func (session *ExchangeSession) LastPrices() map[string]fixedpoint.Value {
return session.lastPrices
}
func (session *ExchangeSession) Market(symbol string) (market types.Market, ok bool) {
market, ok = session.markets[symbol]
return market, ok
}
func (session *ExchangeSession) Markets() map[string]types.Market {
return session.markets
}
func (session *ExchangeSession) OrderStore(symbol string) (store *OrderStore, ok bool) {
store, ok = session.orderStores[symbol]
return store, ok
}
func (session *ExchangeSession) OrderStores() map[string]*OrderStore {
return session.orderStores
}
// Subscribe save the subscription info, later it will be assigned to the stream
func (session *ExchangeSession) Subscribe(channel types.Channel, symbol string, options types.SubscribeOptions) *ExchangeSession {
if channel == types.KLineChannel && len(options.Interval) == 0 {
panic("subscription interval for kline can not be empty")
}
sub := types.Subscription{
Channel: channel,
Symbol: symbol,
Options: options,
}
// add to the loaded symbol table
session.usedSymbols[symbol] = struct{}{}
session.Subscriptions[sub] = sub
return session
}
func (session *ExchangeSession) FormatOrder(order types.SubmitOrder) (types.SubmitOrder, error) {
market, ok := session.Market(order.Symbol)
if !ok {
return order, fmt.Errorf("market is not defined: %s", order.Symbol)
}
order.Market = market
return order, nil
}
func (session *ExchangeSession) UpdatePrices(ctx context.Context, currencies []string, fiat string) (err error) {
// TODO: move this cache check to the http routes
// if session.lastPriceUpdatedAt.After(time.Now().Add(-time.Hour)) {
// return nil
// }
var symbols []string
for _, c := range currencies {
symbols = append(symbols, c+fiat) // BTC/USDT
symbols = append(symbols, fiat+c) // USDT/TWD
}
tickers, err := session.Exchange.QueryTickers(ctx, symbols...)
if err != nil || len(tickers) == 0 {
return err
}
var lastTime time.Time
for k, v := range tickers {
// for {Crypto}/USDT markets
session.lastPrices[k] = v.Last
if v.Time.After(lastTime) {
lastTime = v.Time
}
}
session.lastPriceUpdatedAt = lastTime
return err
}
func (session *ExchangeSession) FindPossibleSymbols() (symbols []string, err error) {
// If the session is an isolated margin session, there will be only the isolated margin symbol
if session.Margin && session.IsolatedMargin {
return []string{
session.IsolatedMarginSymbol,
}, nil
}
var balances = session.GetAccount().Balances()
var fiatAssets []string
for _, currency := range types.FiatCurrencies {
if balance, ok := balances[currency]; ok && balance.Total().Sign() > 0 {
fiatAssets = append(fiatAssets, currency)
}
}
var symbolMap = map[string]struct{}{}
for _, market := range session.Markets() {
// ignore the markets that are not fiat currency markets
if !util.StringSliceContains(fiatAssets, market.QuoteCurrency) {
continue
}
// ignore the asset that we don't have in the balance sheet
balance, hasAsset := balances[market.BaseCurrency]
if !hasAsset || balance.Total().IsZero() {
continue
}
symbolMap[market.Symbol] = struct{}{}
}
for s := range symbolMap {
symbols = append(symbols, s)
}
return symbols, nil
}
// InitExchange initialize the exchange instance and allocate memory for fields
// In this stage, the session var could be loaded from the JSON config, so the pointer fields are still nil
// The Init method will be called after this stage, environment.Init will call the session.Init method later.
func (session *ExchangeSession) InitExchange(name string, ex types.Exchange) error {
var err error
var exchangeName = session.ExchangeName
if ex == nil {
if session.PublicOnly {
ex, err = exchange2.NewPublic(exchangeName)
} else {
if session.Key != "" && session.Secret != "" {
ex, err = exchange2.NewStandard(exchangeName, session.Key, session.Secret, session.Passphrase, session.SubAccount)
} else {
ex, err = exchange2.NewWithEnvVarPrefix(exchangeName, session.EnvVarPrefix)
}
}
}
if err != nil {
return err
}
// configure exchange
if session.Margin {
marginExchange, ok := ex.(types.MarginExchange)
if !ok {
return fmt.Errorf("exchange %s does not support margin", exchangeName)
}
if session.IsolatedMargin {
marginExchange.UseIsolatedMargin(session.IsolatedMarginSymbol)
} else {
marginExchange.UseMargin()
}
}
if session.Futures {
futuresExchange, ok := ex.(types.FuturesExchange)
if !ok {
return fmt.Errorf("exchange %s does not support futures", exchangeName)
}
if session.IsolatedFutures {
futuresExchange.UseIsolatedFutures(session.IsolatedFuturesSymbol)
} else {
futuresExchange.UseFutures()
}
}
session.Name = name
session.Exchange = ex
session.UserDataStream = ex.NewStream()
session.MarketDataStream = ex.NewStream()
session.MarketDataStream.SetPublicOnly()
// pointer fields
session.Subscriptions = make(map[types.Subscription]types.Subscription)
session.Account = &types.Account{}
session.Trades = make(map[string]*types.TradeSlice)
session.orderBooks = make(map[string]*types.StreamOrderBook)
session.markets = make(map[string]types.Market)
session.lastPrices = make(map[string]fixedpoint.Value)
session.startPrices = make(map[string]fixedpoint.Value)
session.marketDataStores = make(map[string]*MarketDataStore)
session.positions = make(map[string]*types.Position)
session.standardIndicatorSets = make(map[string]*StandardIndicatorSet)
session.orderStores = make(map[string]*OrderStore)
session.OrderExecutor = &ExchangeOrderExecutor{
// copy the notification system so that we can route
Session: session,
}
session.usedSymbols = make(map[string]struct{})
session.initializedSymbols = make(map[string]struct{})
session.logger = log.WithField("session", name)
return nil
}
func (session *ExchangeSession) MarginType() string {
margin := "none"
if session.Margin {
margin = "margin"
if session.IsolatedMargin {
margin = "isolated"
}
}
return margin
}
func (session *ExchangeSession) metricsBalancesUpdater(balances types.BalanceMap) {
for currency, balance := range balances {
labels := prometheus.Labels{
"exchange": session.ExchangeName.String(),
"margin": session.MarginType(),
"symbol": session.IsolatedMarginSymbol,
"currency": currency,
}
metricsTotalBalances.With(labels).Set(balance.Total().Float64())
metricsLockedBalances.With(labels).Set(balance.Locked.Float64())
metricsAvailableBalances.With(labels).Set(balance.Available.Float64())
metricsLastUpdateTimeBalance.With(prometheus.Labels{
"exchange": session.ExchangeName.String(),
"margin": session.MarginType(),
"channel": "user",
"data_type": "balance",
"symbol": "",
"currency": currency,
}).SetToCurrentTime()
}
}
func (session *ExchangeSession) metricsOrderUpdater(order types.Order) {
metricsLastUpdateTimeBalance.With(prometheus.Labels{
"exchange": session.ExchangeName.String(),
"margin": session.MarginType(),
"channel": "user",
"data_type": "order",
"symbol": order.Symbol,
"currency": "",
}).SetToCurrentTime()
}
func (session *ExchangeSession) metricsTradeUpdater(trade types.Trade) {
labels := prometheus.Labels{
"exchange": session.ExchangeName.String(),
"margin": session.MarginType(),
"side": trade.Side.String(),
"symbol": trade.Symbol,
"liquidity": trade.Liquidity(),
}
metricsTradingVolume.With(labels).Add(trade.Quantity.Mul(trade.Price).Float64())
metricsTradesTotal.With(labels).Inc()
metricsLastUpdateTimeBalance.With(prometheus.Labels{
"exchange": session.ExchangeName.String(),
"margin": session.MarginType(),
"channel": "user",
"data_type": "trade",
"symbol": trade.Symbol,
"currency": "",
}).SetToCurrentTime()
}
func (session *ExchangeSession) bindMarketDataStreamMetrics(stream types.Stream) {
stream.OnBookUpdate(func(book types.SliceOrderBook) {
metricsLastUpdateTimeBalance.With(prometheus.Labels{
"exchange": session.ExchangeName.String(),
"margin": session.MarginType(),
"channel": "market",
"data_type": "book",
"symbol": book.Symbol,
"currency": "",
}).SetToCurrentTime()
})
stream.OnKLineClosed(func(kline types.KLine) {
metricsLastUpdateTimeBalance.With(prometheus.Labels{
"exchange": session.ExchangeName.String(),
"margin": session.MarginType(),
"channel": "market",
"data_type": "kline",
"symbol": kline.Symbol,
"currency": "",
}).SetToCurrentTime()
})
}
func (session *ExchangeSession) bindUserDataStreamMetrics(stream types.Stream) {
stream.OnBalanceUpdate(session.metricsBalancesUpdater)
stream.OnBalanceSnapshot(session.metricsBalancesUpdater)
stream.OnTradeUpdate(session.metricsTradeUpdater)
stream.OnOrderUpdate(session.metricsOrderUpdater)
stream.OnDisconnect(func() {
metricsConnectionStatus.With(prometheus.Labels{
"channel": "user",
"exchange": session.ExchangeName.String(),
"margin": session.MarginType(),
"symbol": session.IsolatedMarginSymbol,
}).Set(0.0)
})
stream.OnConnect(func() {
metricsConnectionStatus.With(prometheus.Labels{
"channel": "user",
"exchange": session.ExchangeName.String(),
"margin": session.MarginType(),
"symbol": session.IsolatedMarginSymbol,
}).Set(1.0)
})
}
func (session *ExchangeSession) bindConnectionStatusNotification(stream types.Stream, streamName string) {
stream.OnDisconnect(func() {
Notify("session %s %s stream disconnected", session.Name, streamName)
})
stream.OnConnect(func() {
Notify("session %s %s stream connected", session.Name, streamName)
})
}
func (session *ExchangeSession) SlackAttachment() slack.Attachment {
var fields []slack.AttachmentField
var footerIcon = types.ExchangeFooterIcon(session.ExchangeName)
return slack.Attachment{
// Pretext: "",
// Text: text,
Title: session.Name,
Fields: fields,
FooterIcon: footerIcon,
Footer: util.Render("update time {{ . }}", time.Now().Format(time.RFC822)),
}
}
func (session *ExchangeSession) FormatOrders(orders []types.SubmitOrder) (formattedOrders []types.SubmitOrder, err error) {
for _, order := range orders {
o, err := session.FormatOrder(order)
if err != nil {
return formattedOrders, err
}
formattedOrders = append(formattedOrders, o)
}
return formattedOrders, err
}