mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-14 11:03:53 +00:00
94 lines
2.4 KiB
Go
94 lines
2.4 KiB
Go
package bbgo
|
|
|
|
import "github.com/c9s/bbgo/pkg/types"
|
|
|
|
// MarketDataStore receives and maintain the public market data
|
|
//go:generate callbackgen -type MarketDataStore
|
|
type MarketDataStore struct {
|
|
Symbol string
|
|
|
|
// KLineWindows stores all loaded klines per interval
|
|
KLineWindows map[types.Interval]types.KLineWindow `json:"-"`
|
|
|
|
LastKLine types.KLine
|
|
|
|
kLineWindowUpdateCallbacks []func(interval types.Interval, kline types.KLineWindow)
|
|
|
|
orderBook *types.StreamOrderBook
|
|
|
|
orderBookUpdateCallbacks []func(orderBook *types.StreamOrderBook)
|
|
}
|
|
|
|
func NewMarketDataStore(symbol string) *MarketDataStore {
|
|
return &MarketDataStore{
|
|
Symbol: symbol,
|
|
|
|
orderBook: types.NewStreamBook(symbol),
|
|
|
|
// KLineWindows stores all loaded klines per interval
|
|
KLineWindows: make(map[types.Interval]types.KLineWindow, len(types.SupportedIntervals)), // 12 interval, 1m,5m,15m,30m,1h,2h,4h,6h,12h,1d,3d,1w
|
|
}
|
|
}
|
|
|
|
func (store *MarketDataStore) SetKLineWindows(windows map[types.Interval]types.KLineWindow) {
|
|
store.KLineWindows = windows
|
|
}
|
|
|
|
func (store *MarketDataStore) OrderBook() types.OrderBook {
|
|
return store.orderBook.Copy()
|
|
}
|
|
|
|
// KLinesOfInterval returns the kline window of the given interval
|
|
func (store *MarketDataStore) KLinesOfInterval(interval types.Interval) (kLines types.KLineWindow, ok bool) {
|
|
kLines, ok = store.KLineWindows[interval]
|
|
return kLines, ok
|
|
}
|
|
|
|
func (store *MarketDataStore) handleOrderBookUpdate(book types.OrderBook) {
|
|
if book.Symbol != store.Symbol {
|
|
return
|
|
}
|
|
|
|
store.orderBook.Update(book)
|
|
|
|
store.EmitOrderBookUpdate(store.orderBook)
|
|
}
|
|
|
|
func (store *MarketDataStore) handleOrderBookSnapshot(book types.OrderBook) {
|
|
if book.Symbol != store.Symbol {
|
|
return
|
|
}
|
|
|
|
store.orderBook.Load(book)
|
|
}
|
|
|
|
func (store *MarketDataStore) BindStream(stream types.Stream) {
|
|
stream.OnKLineClosed(store.handleKLineClosed)
|
|
stream.OnBookSnapshot(store.handleOrderBookSnapshot)
|
|
stream.OnBookUpdate(store.handleOrderBookUpdate)
|
|
|
|
store.orderBook.BindStream(stream)
|
|
}
|
|
|
|
func (store *MarketDataStore) handleKLineClosed(kline types.KLine) {
|
|
if kline.Symbol != store.Symbol {
|
|
return
|
|
}
|
|
|
|
store.AddKLine(kline)
|
|
}
|
|
|
|
func (store *MarketDataStore) AddKLine(kline types.KLine) {
|
|
window, ok := store.KLineWindows[kline.Interval]
|
|
if !ok {
|
|
window = types.KLineWindow{kline}
|
|
} else {
|
|
window.Add(kline)
|
|
}
|
|
store.KLineWindows[kline.Interval] = window
|
|
|
|
store.LastKLine = kline
|
|
|
|
store.EmitKLineWindowUpdate(kline.Interval, window)
|
|
}
|