bbgo_origin/pkg/cmd/orderbook.go

173 lines
4.3 KiB
Go

package cmd
import (
"context"
"fmt"
"syscall"
"time"
log "github.com/sirupsen/logrus"
"github.com/spf13/cobra"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/cmd/cmdutil"
"github.com/c9s/bbgo/pkg/types"
)
// go run ./cmd/bbgo orderbook --session=binance --symbol=BTCUSDT
var orderbookCmd = &cobra.Command{
Use: "orderbook --session=[exchange_name] --symbol=[pair_name]",
Short: "connect to the order book market data streaming service of an exchange",
PreRunE: cobraInitRequired([]string{
"session",
"symbol",
}),
RunE: func(cmd *cobra.Command, args []string) error {
ctx := context.Background()
sessionName, err := cmd.Flags().GetString("session")
if err != nil {
return err
}
symbol, err := cmd.Flags().GetString("symbol")
if err != nil {
return fmt.Errorf("can not get the symbol from flags: %w", err)
}
if symbol == "" {
return fmt.Errorf("--symbol option is required")
}
dumpDepthUpdate, err := cmd.Flags().GetBool("dump-update")
if err != nil {
return err
}
environ := bbgo.NewEnvironment()
if err := environ.ConfigureExchangeSessions(userConfig); err != nil {
return err
}
session, ok := environ.Session(sessionName)
if !ok {
return fmt.Errorf("session %s not found", sessionName)
}
orderBook := types.NewMutexOrderBook(symbol, session.Exchange.Name())
s := session.Exchange.NewStream()
s.SetPublicOnly()
s.Subscribe(types.BookChannel, symbol, types.SubscribeOptions{})
s.OnBookSnapshot(func(book types.SliceOrderBook) {
if dumpDepthUpdate {
log.Infof("orderbook snapshot: %s", book.String())
}
orderBook.Load(book)
if ok, err := orderBook.IsValid(); !ok {
log.WithError(err).Panicf("invalid error book snapshot")
}
if bid, ask, ok := orderBook.BestBidAndAsk(); ok {
log.Infof("ASK | %f x %f / %f x %f | BID | %s",
ask.Volume.Float64(), ask.Price.Float64(),
bid.Price.Float64(), bid.Volume.Float64(),
book.Time.String())
}
})
s.OnBookUpdate(func(book types.SliceOrderBook) {
if dumpDepthUpdate {
log.Infof("orderbook update: %s", book.String())
}
orderBook.Update(book)
if bid, ask, ok := orderBook.BestBidAndAsk(); ok {
log.Infof("ASK | %f x %f / %f x %f | BID | %s",
ask.Volume.Float64(), ask.Price.Float64(),
bid.Price.Float64(), bid.Volume.Float64(),
book.Time.String())
}
})
log.Infof("connecting...")
if err := s.Connect(ctx); err != nil {
return fmt.Errorf("failed to connect to %s", sessionName)
}
log.Infof("connected")
defer func() {
log.Infof("closing connection...")
if err := s.Close(); err != nil {
log.WithError(err).Errorf("connection close error")
}
time.Sleep(1 * time.Second)
}()
cmdutil.WaitForSignal(ctx, syscall.SIGINT, syscall.SIGTERM)
return nil
},
}
// go run ./cmd/bbgo orderupdate --session=ftx
var orderUpdateCmd = &cobra.Command{
Use: "orderupdate",
Short: "Listen to order update events",
PreRunE: cobraInitRequired([]string{
"config",
"session",
}),
RunE: func(cmd *cobra.Command, args []string) error {
ctx := context.Background()
environ := bbgo.NewEnvironment()
if err := environ.ConfigureExchangeSessions(userConfig); err != nil {
return err
}
sessionName, err := cmd.Flags().GetString("session")
if err != nil {
return err
}
session, ok := environ.Session(sessionName)
if !ok {
return fmt.Errorf("session %s not found", sessionName)
}
s := session.Exchange.NewStream()
s.OnOrderUpdate(func(order types.Order) {
log.Infof("order update: %+v", order)
})
log.Infof("connecting...")
if err := s.Connect(ctx); err != nil {
return fmt.Errorf("failed to connect to %s", sessionName)
}
log.Infof("connected")
defer func() {
log.Infof("closing connection...")
if err := s.Close(); err != nil {
log.WithError(err).Errorf("connection close error")
}
time.Sleep(1 * time.Second)
}()
cmdutil.WaitForSignal(ctx, syscall.SIGINT, syscall.SIGTERM)
return nil
},
}
func init() {
orderbookCmd.Flags().String("session", "", "session name")
orderbookCmd.Flags().String("symbol", "", "the trading pair. e.g, BTCUSDT, LTCUSDT...")
orderbookCmd.Flags().Bool("dump-update", false, "dump the depth update")
orderUpdateCmd.Flags().String("session", "", "session name")
RootCmd.AddCommand(orderbookCmd)
RootCmd.AddCommand(orderUpdateCmd)
}