mirror of
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269 lines
7.7 KiB
Go
269 lines
7.7 KiB
Go
package okex
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import (
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"fmt"
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"strconv"
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"strings"
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"github.com/c9s/bbgo/pkg/exchange/okex/okexapi"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/pkg/errors"
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)
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func toGlobalSymbol(symbol string) string {
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return strings.ReplaceAll(symbol, "-", "")
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}
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////go:generate sh -c "echo \"package okex\nvar spotSymbolMap = map[string]string{\n\" $(curl -s -L 'https://okex.com/api/v5/public/instruments?instType=SPOT' | jq -r '.data[] | \"\\(.instId | sub(\"-\" ; \"\") | tojson ): \\( .instId | tojson),\n\"') \"\n}\" > symbols.go"
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//go:generate go run gensymbols.go
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func toLocalSymbol(symbol string) string {
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if s, ok := spotSymbolMap[symbol]; ok {
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return s
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}
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log.Errorf("failed to look up local symbol from %s", symbol)
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return symbol
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}
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func toGlobalTicker(marketTicker okexapi.MarketTicker) *types.Ticker {
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return &types.Ticker{
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Time: marketTicker.Timestamp.Time(),
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Volume: marketTicker.Volume24H.Float64(),
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Last: marketTicker.Last.Float64(),
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Open: marketTicker.Open24H.Float64(),
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High: marketTicker.High24H.Float64(),
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Low: marketTicker.Low24H.Float64(),
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Buy: marketTicker.BidPrice.Float64(),
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Sell: marketTicker.AskPrice.Float64(),
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}
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}
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func toGlobalBalance(account *okexapi.Account) types.BalanceMap {
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var balanceMap = types.BalanceMap{}
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for _, balanceDetail := range account.Details {
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balanceMap[balanceDetail.Currency] = types.Balance{
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Currency: balanceDetail.Currency,
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Available: balanceDetail.CashBalance,
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Locked: balanceDetail.Frozen,
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}
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}
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return balanceMap
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}
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type WebsocketSubscription struct {
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Channel string `json:"channel"`
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InstrumentID string `json:"instId,omitempty"`
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InstrumentType string `json:"instType,omitempty"`
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}
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var CandleChannels = []string{
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"candle1Y",
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"candle6M", "candle3M", "candle1M",
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"candle1W",
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"candle1D", "candle2D", "candle3D", "candle5D",
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"candle12H", "candle6H", "candle4H", "candle2H", "candle1H",
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"candle30m", "candle15m", "candle5m", "candle3m", "candle1m",
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}
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func convertIntervalToCandle(interval string) string {
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switch interval {
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case "1h", "2h", "4h", "6h", "12h", "1d", "3d":
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return "candle" + strings.ToUpper(interval)
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case "1m", "5m", "15m", "30m":
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return "candle" + interval
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}
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return "candle" + interval
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}
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func convertSubscription(s types.Subscription) (WebsocketSubscription, error) {
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// binance uses lower case symbol name,
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// for kline, it's "<symbol>@kline_<interval>"
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// for depth, it's "<symbol>@depth OR <symbol>@depth@100ms"
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switch s.Channel {
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case types.KLineChannel:
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// Channel names are:
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return WebsocketSubscription{
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Channel: convertIntervalToCandle(s.Options.Interval),
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InstrumentID: toLocalSymbol(s.Symbol),
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}, nil
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case types.BookChannel:
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return WebsocketSubscription{
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Channel: "books",
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InstrumentID: toLocalSymbol(s.Symbol),
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}, nil
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case types.BookTickerChannel:
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return WebsocketSubscription{
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Channel: "books5",
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InstrumentID: toLocalSymbol(s.Symbol),
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}, nil
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}
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return WebsocketSubscription{}, fmt.Errorf("unsupported public stream channel %s", s.Channel)
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}
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func toLocalSideType(side types.SideType) okexapi.SideType {
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return okexapi.SideType(strings.ToLower(string(side)))
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}
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func segmentOrderDetails(orderDetails []okexapi.OrderDetails) (trades, orders []okexapi.OrderDetails) {
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for _, orderDetail := range orderDetails {
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if len(orderDetail.LastTradeID) > 0 {
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trades = append(trades, orderDetail)
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}
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orders = append(orders, orderDetail)
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}
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return trades, orders
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}
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func toGlobalTrades(orderDetails []okexapi.OrderDetails) ([]types.Trade, error) {
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var trades []types.Trade
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for _, orderDetail := range orderDetails {
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tradeID, err := strconv.ParseInt(orderDetail.LastTradeID, 10, 64)
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if err != nil {
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return trades, errors.Wrapf(err, "error parsing tradeId value: %s", orderDetail.LastTradeID)
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}
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orderID, err := strconv.ParseInt(orderDetail.OrderID, 10, 64)
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if err != nil {
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return trades, errors.Wrapf(err, "error parsing ordId value: %s", orderDetail.OrderID)
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}
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side := types.SideType(strings.ToUpper(string(orderDetail.Side)))
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trades = append(trades, types.Trade{
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ID: uint64(tradeID),
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OrderID: uint64(orderID),
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Exchange: types.ExchangeOKEx,
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Price: orderDetail.LastFilledPrice.Float64(),
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Quantity: orderDetail.LastFilledQuantity.Float64(),
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QuoteQuantity: orderDetail.LastFilledPrice.Float64() * orderDetail.LastFilledQuantity.Float64(),
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Symbol: toGlobalSymbol(orderDetail.InstrumentID),
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Side: side,
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IsBuyer: side == types.SideTypeBuy,
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IsMaker: orderDetail.ExecutionType == "M",
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Time: types.Time(orderDetail.LastFilledTime),
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Fee: orderDetail.LastFilledFee.Float64(),
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FeeCurrency: orderDetail.LastFilledFeeCurrency,
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IsMargin: false,
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IsIsolated: false,
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})
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}
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return trades, nil
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}
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func toGlobalOrders(orderDetails []okexapi.OrderDetails) ([]types.Order, error) {
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var orders []types.Order
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for _, orderDetail := range orderDetails {
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orderID, err := strconv.ParseInt(orderDetail.OrderID, 10, 64)
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if err != nil {
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return orders, err
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}
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side := types.SideType(strings.ToUpper(string(orderDetail.Side)))
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orderType, err := toGlobalOrderType(orderDetail.OrderType)
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if err != nil {
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return orders, err
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}
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timeInForce := "GTC"
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switch orderDetail.OrderType {
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case okexapi.OrderTypeFOK:
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timeInForce = "FOK"
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case okexapi.OrderTypeIOC:
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timeInForce = "IOC"
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}
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orderStatus, err := toGlobalOrderStatus(orderDetail.State)
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if err != nil {
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return orders, err
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}
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isWorking := false
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switch orderStatus {
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case types.OrderStatusNew, types.OrderStatusPartiallyFilled:
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isWorking = true
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}
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orders = append(orders, types.Order{
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SubmitOrder: types.SubmitOrder{
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ClientOrderID: orderDetail.ClientOrderID,
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Symbol: toGlobalSymbol(orderDetail.InstrumentID),
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Side: side,
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Type: orderType,
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Price: orderDetail.Price.Float64(),
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Quantity: orderDetail.Quantity.Float64(),
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StopPrice: 0, // not supported yet
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TimeInForce: timeInForce,
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},
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Exchange: types.ExchangeOKEx,
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OrderID: uint64(orderID),
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Status: orderStatus,
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ExecutedQuantity: orderDetail.FilledQuantity.Float64(),
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IsWorking: isWorking,
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CreationTime: types.Time(orderDetail.CreationTime),
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UpdateTime: types.Time(orderDetail.UpdateTime),
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IsMargin: false,
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IsIsolated: false,
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})
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}
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return orders, nil
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}
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func toGlobalOrderStatus(state okexapi.OrderState) (types.OrderStatus, error) {
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switch state {
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case okexapi.OrderStateCanceled:
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return types.OrderStatusCanceled, nil
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case okexapi.OrderStateLive:
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return types.OrderStatusNew, nil
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case okexapi.OrderStatePartiallyFilled:
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return types.OrderStatusPartiallyFilled, nil
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case okexapi.OrderStateFilled:
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return types.OrderStatusFilled, nil
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}
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return "", fmt.Errorf("unknown or unsupported okex order state: %s", state)
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}
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func toLocalOrderType(orderType types.OrderType) (okexapi.OrderType, error) {
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switch orderType {
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case types.OrderTypeMarket:
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return okexapi.OrderTypeMarket, nil
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case types.OrderTypeLimit:
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return okexapi.OrderTypeLimit, nil
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case types.OrderTypeLimitMaker:
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return okexapi.OrderTypePostOnly, nil
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}
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return "", fmt.Errorf("unknown or unsupported okex order type: %s", orderType)
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}
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func toGlobalOrderType(orderType okexapi.OrderType) (types.OrderType, error) {
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switch orderType {
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case okexapi.OrderTypeMarket:
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return types.OrderTypeMarket, nil
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case okexapi.OrderTypeLimit:
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return types.OrderTypeLimit, nil
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case okexapi.OrderTypePostOnly:
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return types.OrderTypeLimitMaker, nil
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case okexapi.OrderTypeFOK:
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case okexapi.OrderTypeIOC:
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}
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return "", fmt.Errorf("unknown or unsupported okex order type: %s", orderType)
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}
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