bbgo_origin/pkg/exchange/okex/stream.go

package okex

import (
	"context"
	"fmt"
	"strconv"
	"time"

	"github.com/gorilla/websocket"
	"golang.org/x/time/rate"

	"github.com/c9s/bbgo/pkg/exchange/okex/okexapi"
	"github.com/c9s/bbgo/pkg/exchange/retry"
	"github.com/c9s/bbgo/pkg/types"
)

var (
	marketTradeLogLimiter = rate.NewLimiter(rate.Every(time.Minute), 1)
	tradeLogLimiter       = rate.NewLimiter(rate.Every(time.Minute), 1)
	// pingInterval the connection will break automatically if the subscription is not established or data has not been
	// pushed for more than 30 seconds. Therefore, we set it to 20 seconds.
	pingInterval = 20 * time.Second
)

type WebsocketOp struct {
	Op   WsEventType `json:"op"`
	Args interface{} `json:"args"`
}

type WebsocketLogin struct {
	Key        string `json:"apiKey"`
	Passphrase string `json:"passphrase"`
	Timestamp  string `json:"timestamp"`
	Sign       string `json:"sign"`
}

//go:generate callbackgen -type Stream -interface
type Stream struct {
	types.StandardStream
	kLineStream *KLineStream

	client          *okexapi.RestClient
	balanceProvider types.ExchangeAccountService

	// public callbacks
	kLineEventCallbacks       []func(candle KLineEvent)
	bookEventCallbacks        []func(book BookEvent)
	accountEventCallbacks     []func(account okexapi.Account)
	orderTradesEventCallbacks []func(orderTrades []OrderTradeEvent)
	marketTradeEventCallbacks []func(tradeDetail []MarketTradeEvent)
}

func NewStream(client *okexapi.RestClient, balanceProvider types.ExchangeAccountService) *Stream {
	stream := &Stream{
		client:          client,
		balanceProvider: balanceProvider,
		StandardStream:  types.NewStandardStream(),
		kLineStream:     NewKLineStream(),
	}

	stream.SetParser(parseWebSocketEvent)
	stream.SetDispatcher(stream.dispatchEvent)
	stream.SetEndpointCreator(stream.createEndpoint)
	stream.SetPingInterval(pingInterval)

	stream.OnBookEvent(stream.handleBookEvent)
	stream.OnAccountEvent(stream.handleAccountEvent)
	stream.OnMarketTradeEvent(stream.handleMarketTradeEvent)
	stream.OnOrderTradesEvent(stream.handleOrderDetailsEvent)
	stream.OnConnect(stream.handleConnect)
	stream.OnAuth(stream.subscribePrivateChannels(stream.emitBalanceSnapshot))
	stream.kLineStream.OnKLineClosed(stream.EmitKLineClosed)
	stream.kLineStream.OnKLine(stream.EmitKLine)

	return stream
}

func syncSubscriptions(conn *websocket.Conn, subscriptions []types.Subscription, opType WsEventType) error {
	if opType != WsEventTypeUnsubscribe && opType != WsEventTypeSubscribe {
		return fmt.Errorf("unexpected subscription type: %v", opType)
	}

	logger := log.WithField("opType", opType)
	var topics []WebsocketSubscription
	for _, subscription := range subscriptions {
		topic, err := convertSubscription(subscription)
		if err != nil {
			logger.WithError(err).Errorf("convert error, subscription: %+v", subscription)
			return err
		}

		topics = append(topics, topic)
	}

	logger.Infof("%s channels: %+v", opType, topics)
	if err := conn.WriteJSON(WebsocketOp{
		Op:   opType,
		Args: topics,
	}); err != nil {
		logger.WithError(err).Error("failed to send request")
		return err
	}

	return nil
}

func (s *Stream) Unsubscribe() {
	// errors are handled in the syncSubscriptions, so they are skipped here.
	_ = syncSubscriptions(s.StandardStream.Conn, s.StandardStream.Subscriptions, WsEventTypeUnsubscribe)
	s.Resubscribe(func(old []types.Subscription) (new []types.Subscription, err error) {
		// clear the subscriptions
		return []types.Subscription{}, nil
	})

	s.kLineStream.Unsubscribe()
}

func (s *Stream) Connect(ctx context.Context) error {
	if err := s.StandardStream.Connect(ctx); err != nil {
		return err
	}
	if err := s.kLineStream.Connect(ctx); err != nil {
		return err
	}
	return nil
}

func (s *Stream) Subscribe(channel types.Channel, symbol string, options types.SubscribeOptions) {
	if channel == types.KLineChannel {
		s.kLineStream.Subscribe(channel, symbol, options)
	} else {
		s.StandardStream.Subscribe(channel, symbol, options)
	}
}

func subscribe(conn *websocket.Conn, subs []WebsocketSubscription) {
	if len(subs) == 0 {
		return
	}

	log.Infof("subscribing channels: %+v", subs)
	err := conn.WriteJSON(WebsocketOp{
		Op:   "subscribe",
		Args: subs,
	})

	if err != nil {
		log.WithError(err).Error("subscribe error")
	}
}

func (s *Stream) handleConnect() {
	if s.PublicOnly {
		var subs []WebsocketSubscription
		for _, subscription := range s.Subscriptions {
			sub, err := convertSubscription(subscription)
			if err != nil {
				log.WithError(err).Errorf("subscription convert error")
				continue
			}

			subs = append(subs, sub)
		}
		subscribe(s.StandardStream.Conn, subs)
	} else {
		// login as private channel
		// sign example:
		// sign=CryptoJS.enc.Base64.Stringify(CryptoJS.HmacSHA256(timestamp +'GET'+'/users/self/verify', secretKey))
		msTimestamp := strconv.FormatFloat(float64(time.Now().UnixNano())/float64(time.Second), 'f', -1, 64)
		payload := msTimestamp + "GET" + "/users/self/verify"
		sign := okexapi.Sign(payload, s.client.Secret)
		op := WebsocketOp{
			Op: "login",
			Args: []WebsocketLogin{
				{
					Key:        s.client.Key,
					Passphrase: s.client.Passphrase,
					Timestamp:  msTimestamp,
					Sign:       sign,
				},
			},
		}

		log.Infof("sending okex login request")
		err := s.Conn.WriteJSON(op)
		if err != nil {
			log.WithError(err).Errorf("can not send login message")
		}
	}
}

func (s *Stream) subscribePrivateChannels(next func()) func() {
	return func() {
		var subs = []WebsocketSubscription{
			{Channel: ChannelAccount},
			{Channel: "orders", InstrumentType: string(okexapi.InstrumentTypeSpot)},
		}

		log.Infof("subscribing private channels: %+v", subs)
		err := s.Conn.WriteJSON(WebsocketOp{
			Op:   "subscribe",
			Args: subs,
		})
		if err != nil {
			log.WithError(err).Error("private channel subscribe error")
			return
		}
		next()
	}
}

func (s *Stream) emitBalanceSnapshot() {
	ctx, cancel := context.WithTimeout(context.Background(), 15*time.Second)
	defer cancel()

	var balancesMap types.BalanceMap
	var err error
	err = retry.GeneralBackoff(ctx, func() error {
		balancesMap, err = s.balanceProvider.QueryAccountBalances(ctx)
		return err
	})
	if err != nil {
		log.WithError(err).Error("no more attempts to retrieve balances")
		return
	}

	s.EmitBalanceSnapshot(balancesMap)
}

func (s *Stream) handleOrderDetailsEvent(orderTrades []OrderTradeEvent) {
	for _, evt := range orderTrades {
		if evt.TradeId != "" {
			trade, err := evt.toGlobalTrade()
			if err != nil {
				if tradeLogLimiter.Allow() {
					log.WithError(err).Errorf("failed to convert global trade")
				}
			} else {
				s.EmitTradeUpdate(trade)
			}
		}

		order, err := orderDetailToGlobal(&evt.OrderDetail)
		if err != nil {
			if tradeLogLimiter.Allow() {
				log.WithError(err).Errorf("failed to convert global order")
			}
		} else {
			s.EmitOrderUpdate(*order)
		}
	}
}

func (s *Stream) handleAccountEvent(account okexapi.Account) {
	balances := toGlobalBalance(&account)
	s.EmitBalanceUpdate(balances)
}

func (s *Stream) handleBookEvent(data BookEvent) {
	book := data.Book()
	switch data.Action {
	case ActionTypeSnapshot:
		s.EmitBookSnapshot(book)
	case ActionTypeUpdate:
		s.EmitBookUpdate(book)
	}
}

func (s *Stream) handleMarketTradeEvent(data []MarketTradeEvent) {
	for _, event := range data {
		trade, err := event.toGlobalTrade()
		if err != nil {
			if marketTradeLogLimiter.Allow() {
				log.WithError(err).Error("failed to convert to market trade")
			}
			continue
		}

		s.EmitMarketTrade(trade)
	}
}

func (s *Stream) createEndpoint(ctx context.Context) (string, error) {
	var url string
	if s.PublicOnly {
		url = okexapi.PublicWebSocketURL
	} else {
		url = okexapi.PrivateWebSocketURL
	}
	return url, nil
}

func (s *Stream) dispatchEvent(e interface{}) {
	switch et := e.(type) {
	case *WebSocketEvent:
		if err := et.IsValid(); err != nil {
			log.Errorf("invalid event: %v", err)
			return
		}
		if et.IsAuthenticated() {
			s.EmitAuth()
		}

	case *BookEvent:
		// there's "books" for 400 depth and books5 for 5 depth
		if et.channel != ChannelBooks5 {
			s.EmitBookEvent(*et)
		}
		s.EmitBookTickerUpdate(et.BookTicker())

	case *okexapi.Account:
		s.EmitAccountEvent(*et)

	case []OrderTradeEvent:
		s.EmitOrderTradesEvent(et)

	case []MarketTradeEvent:
		s.EmitMarketTradeEvent(et)

	}
}