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qbtrade/pkg/exchange/okex/parse_test.go

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first commit
2024-06-27 14:42:38 +00:00
package okex
import (
"testing"
"time"
"github.com/stretchr/testify/assert"
"git.qtrade.icu/lychiyu/qbtrade/pkg/exchange/okex/okexapi"
"git.qtrade.icu/lychiyu/qbtrade/pkg/fixedpoint"
"git.qtrade.icu/lychiyu/qbtrade/pkg/types"
)
func Test_parseWebSocketEvent_accountEvent(t *testing.T) {
t.Run("succeeds", func(t *testing.T) {
in := `
{
"arg": {
"channel": "account",
"uid": "77982378738415879"
},
"data": [
{
"uTime": "1614846244194",
"totalEq": "91884",
"adjEq": "91884.8502560037982063",
"isoEq": "0",
"ordFroz": "0",
"imr": "0",
"mmr": "0",
"borrowFroz": "",
"notionalUsd": "",
"mgnRatio": "100000",
"details": [{
"availBal": "",
"availEq": "1",
"ccy": "BTC",
"cashBal": "1",
"uTime": "1617279471503",
"disEq": "50559.01",
"eq": "1",
"eqUsd": "45078",
"fixedBal": "0",
"frozenBal": "0",
"interest": "0",
"isoEq": "0",
"liab": "0",
"maxLoan": "",
"mgnRatio": "",
"notionalLever": "0",
"ordFrozen": "0",
"upl": "0",
"uplLiab": "0",
"crossLiab": "0",
"isoLiab": "0",
"coinUsdPrice": "60000",
"stgyEq":"0",
"spotInUseAmt":"",
"isoUpl":"",
"borrowFroz": ""
},
{
"availBal": "",
"availEq": "41307",
"ccy": "USDT",
"cashBal": "41307",
"uTime": "1617279471503",
"disEq": "41325",
"eq": "41307",
"eqUsd": "45078",
"fixedBal": "0",
"frozenBal": "0",
"interest": "0",
"isoEq": "0",
"liab": "0",
"maxLoan": "",
"mgnRatio": "",
"notionalLever": "0",
"ordFrozen": "0",
"upl": "0",
"uplLiab": "0",
"crossLiab": "0",
"isoLiab": "0",
"coinUsdPrice": "1.00007",
"stgyEq":"0",
"spotInUseAmt":"",
"isoUpl":"",
"borrowFroz": ""
}
]
}
]
}
`
exp := &okexapi.Account{
TotalEquityInUSD: fixedpoint.NewFromFloat(91884),
UpdateTime: types.NewMillisecondTimestampFromInt(1614846244194),
Details: []okexapi.BalanceDetail{
{
Currency: "BTC",
Available: fixedpoint.NewFromFloat(1),
CashBalance: fixedpoint.NewFromFloat(1),
OrderFrozen: fixedpoint.Zero,
Frozen: fixedpoint.Zero,
Equity: fixedpoint.One,
EquityInUSD: fixedpoint.NewFromFloat(45078),
UpdateTime: types.NewMillisecondTimestampFromInt(1617279471503),
UnrealizedProfitAndLoss: fixedpoint.Zero,
},
{
Currency: "USDT",
Available: fixedpoint.NewFromFloat(41307),
CashBalance: fixedpoint.NewFromFloat(41307),
OrderFrozen: fixedpoint.Zero,
Frozen: fixedpoint.Zero,
Equity: fixedpoint.NewFromFloat(41307),
EquityInUSD: fixedpoint.NewFromFloat(45078),
UpdateTime: types.NewMillisecondTimestampFromInt(1617279471503),
UnrealizedProfitAndLoss: fixedpoint.Zero,
},
},
}
res, err := parseWebSocketEvent([]byte(in))
assert.NoError(t, err)
event, ok := res.(*okexapi.Account)
assert.True(t, ok)
assert.Equal(t, exp, event)
})
}
func TestParsePriceVolumeOrderSliceJSON(t *testing.T) {
t.Run("snapshot", func(t *testing.T) {
in := `
{
"arg": {
"channel": "books",
"instId": "BTC-USDT"
},
"action": "snapshot",
"data": [
{
"asks": [
["8476.98", "415", "0", "13"],
["8477", "7", "0", "2"]
],
"bids": [
["8476", "256", "0", "12"]
],
"ts": "1597026383085",
"checksum": -855196043,
"prevSeqId": -1,
"seqId": 123456
}
]
}
`
asks := PriceVolumeOrderSlice{
{
PriceVolume: types.PriceVolume{
Price: fixedpoint.NewFromFloat(8476.98),
Volume: fixedpoint.NewFromFloat(415),
},
NumLiquidated: fixedpoint.Zero.Int(),
NumOrders: fixedpoint.NewFromFloat(13).Int(),
},
{
PriceVolume: types.PriceVolume{
Price: fixedpoint.NewFromFloat(8477),
Volume: fixedpoint.NewFromFloat(7),
},
NumLiquidated: fixedpoint.Zero.Int(),
NumOrders: fixedpoint.NewFromFloat(2).Int(),
},
}
bids := PriceVolumeOrderSlice{
{
PriceVolume: types.PriceVolume{
Price: fixedpoint.NewFromFloat(8476),
Volume: fixedpoint.NewFromFloat(256),
},
NumLiquidated: fixedpoint.Zero.Int(),
NumOrders: fixedpoint.NewFromFloat(12).Int(),
},
}
res, err := parseWebSocketEvent([]byte(in))
assert.NoError(t, err)
event, ok := res.(*BookEvent)
assert.True(t, ok)
assert.Equal(t, "BTCUSDT", event.Symbol)
assert.Equal(t, ChannelBooks, event.channel)
assert.Equal(t, ActionTypeSnapshot, event.Action)
assert.Len(t, event.Data, 1)
assert.Len(t, event.Data[0].Asks, 2)
assert.Equal(t, asks, event.Data[0].Asks)
assert.Len(t, event.Data[0].Bids, 1)
assert.Equal(t, bids, event.Data[0].Bids)
})
t.Run("unexpected asks", func(t *testing.T) {
t.Skip("this will cause panic, so i skip it")
in := `
{
"arg": {
"channel": "books",
"instId": "BTC-USDT"
},
"action": "snapshot",
"data": [
{
"asks": [
["XYZ", "415", "0", "13"]
],
"bids": [
["8476", "256", "0", "12"]
],
"ts": "1597026383085",
"checksum": -855196043,
"prevSeqId": -1,
"seqId": 123456
}
]
}
`
_, err := parseWebSocketEvent([]byte(in))
assert.ErrorContains(t, err, "price volume order")
})
}
func TestBookEvent_BookTicker(t *testing.T) {
in := `
{
"arg": {
"channel": "books",
"instId": "BTC-USDT"
},
"action": "snapshot",
"data": [
{
"asks": [
["8476.98", "415", "0", "13"],
["8477", "7", "0", "2"]
],
"bids": [
["8476", "256", "0", "12"]
],
"ts": "1597026383085",
"checksum": -855196043,
"prevSeqId": -1,
"seqId": 123456
}
]
}
`
res, err := parseWebSocketEvent([]byte(in))
assert.NoError(t, err)
event, ok := res.(*BookEvent)
assert.True(t, ok)
ticker := event.BookTicker()
assert.Equal(t, types.BookTicker{
Symbol: "BTCUSDT",
Buy: fixedpoint.NewFromFloat(8476),
BuySize: fixedpoint.NewFromFloat(256),
Sell: fixedpoint.NewFromFloat(8476.98),
SellSize: fixedpoint.NewFromFloat(415),
}, ticker)
}
func TestBookEvent_Book(t *testing.T) {
in := `
{
"arg": {
"channel": "books",
"instId": "BTC-USDT"
},
"action": "snapshot",
"data": [
{
"asks": [
["8476.98", "415", "0", "13"],
["8477", "7", "0", "2"]
],
"bids": [
["8476", "256", "0", "12"]
],
"ts": "1597026383085",
"checksum": -855196043,
"prevSeqId": -1,
"seqId": 123456
}
]
}
`
bids := types.PriceVolumeSlice{
{
Price: fixedpoint.NewFromFloat(8476),
Volume: fixedpoint.NewFromFloat(256),
},
}
asks := types.PriceVolumeSlice{
{
Price: fixedpoint.NewFromFloat(8476.98),
Volume: fixedpoint.NewFromFloat(415),
},
{
Price: fixedpoint.NewFromFloat(8477),
Volume: fixedpoint.NewFromFloat(7),
},
}
res, err := parseWebSocketEvent([]byte(in))
assert.NoError(t, err)
event, ok := res.(*BookEvent)
assert.True(t, ok)
book := event.Book()
assert.Equal(t, types.SliceOrderBook{
Symbol: "BTCUSDT",
Time: types.NewMillisecondTimestampFromInt(1597026383085).Time(),
Bids: bids,
Asks: asks,
}, book)
}
func Test_parseKLineSliceJSON(t *testing.T) {
t.Run("snapshot", func(t *testing.T) {
in := `
{
"arg": {
"channel": "candle1D",
"instId": "BTC-USDT"
},
"data": [
[
"1597026383085",
"8533",
"8553.74",
"8527.17",
"8548.26",
"45247",
"529.5858061",
"529.5858061",
"0"
]
]
}
`
exp := &KLineEvent{
Events: okexapi.KLineSlice{
{
StartTime: types.NewMillisecondTimestampFromInt(1597026383085),
OpenPrice: fixedpoint.NewFromFloat(8533),
HighestPrice: fixedpoint.NewFromFloat(8553.74),
LowestPrice: fixedpoint.NewFromFloat(8527.17),
ClosePrice: fixedpoint.NewFromFloat(8548.26),
Volume: fixedpoint.NewFromFloat(45247),
VolumeInCurrency: fixedpoint.NewFromFloat(529.5858061),
//VolumeInCurrencyQuote: fixedpoint.NewFromFloat(529.5858061),
Confirm: fixedpoint.Zero,
},
},
InstrumentID: "BTC-USDT",
Symbol: "BTCUSDT",
Interval: "1d",
Channel: "candle1D",
}
res, err := parseWebSocketEvent([]byte(in))
assert.NoError(t, err)
event, ok := res.(*KLineEvent)
assert.True(t, ok)
assert.Len(t, event.Events, 1)
assert.Equal(t, exp, event)
})
t.Run("failed to convert timestamp", func(t *testing.T) {
t.Skip("this will cause panic, so i skip it")
in := `
{
"arg": {
"channel": "candle1D",
"instId": "BTC-USDT"
},
"data": [
[
"x",
"8533",
"8553.74",
"8527.17",
"8548.26",
"45247",
"529.5858061",
"529.5858061",
"0"
]
]
}
`
_, err := parseWebSocketEvent([]byte(in))
assert.ErrorContains(t, err, "timestamp")
})
t.Run("failed to convert open price", func(t *testing.T) {
t.Skip("this will cause panic, so i skip it")
in := `
{
"arg": {
"channel": "candle1D",
"instId": "BTC-USDT"
},
"data": [
[
"1597026383085",
"x",
"8553.74",
"8527.17",
"8548.26",
"45247",
"529.5858061",
"529.5858061",
"0"
]
]
}
`
_, err := parseWebSocketEvent([]byte(in))
assert.ErrorContains(t, err, "open price")
})
t.Run("failed to convert highest price", func(t *testing.T) {
t.Skip("this will cause panic, so i skip it")
in := `
{
"arg": {
"channel": "candle1D",
"instId": "BTC-USDT"
},
"data": [
[
"1597026383085",
"8533",
"x",
"8527.17",
"8548.26",
"45247",
"529.5858061",
"529.5858061",
"0"
]
]
}
`
_, err := parseWebSocketEvent([]byte(in))
assert.ErrorContains(t, err, "highest price")
})
t.Run("failed to convert lowest price", func(t *testing.T) {
t.Skip("this will cause panic, so i skip it")
in := `
{
"arg": {
"channel": "candle1D",
"instId": "BTC-USDT"
},
"data": [
[
"1597026383085",
"8533",
"8553.74",
"x",
"8548.26",
"45247",
"529.5858061",
"529.5858061",
"0"
]
]
}
`
_, err := parseWebSocketEvent([]byte(in))
assert.ErrorContains(t, err, "lowest price")
})
t.Run("failed to convert close price", func(t *testing.T) {
t.Skip("this will cause panic, so i skip it")
in := `
{
"arg": {
"channel": "candle1D",
"instId": "BTC-USDT"
},
"data": [
[
"1597026383085",
"8533",
"8553.74",
"8527.17",
"x",
"45247",
"529.5858061",
"529.5858061",
"0"
]
]
}
`
_, err := parseWebSocketEvent([]byte(in))
assert.ErrorContains(t, err, "close price")
})
t.Run("failed to convert volume", func(t *testing.T) {
t.Skip("this will cause panic, so i skip it")
in := `
{
"arg": {
"channel": "candle1D",
"instId": "BTC-USDT"
},
"data": [
[
"1597026383085",
"8533",
"8553.74",
"8527.17",
"8548.26",
"x",
"529.5858061",
"529.5858061",
"0"
]
]
}
`
_, err := parseWebSocketEvent([]byte(in))
assert.ErrorContains(t, err, "volume")
})
t.Run("failed to convert volume currency", func(t *testing.T) {
t.Skip("this will cause panic, so i skip it")
in := `
{
"arg": {
"channel": "candle1D",
"instId": "BTC-USDT"
},
"data": [
[
"1597026383085",
"8533",
"8553.74",
"8527.17",
"8548.26",
"45247",
"x",
"529.5858061",
"0"
]
]
}
`
_, err := parseWebSocketEvent([]byte(in))
assert.ErrorContains(t, err, "volume currency")
})
t.Run("failed to convert trading currency quote ", func(t *testing.T) {
t.Skip("this will cause panic, so i skip it")
in := `
{
"arg": {
"channel": "candle1D",
"instId": "BTC-USDT"
},
"data": [
[
"1597026383085",
"8533",
"8553.74",
"8527.17",
"8548.26",
"45247",
"529.5858061",
"x",
"0"
]
]
}
`
_, err := parseWebSocketEvent([]byte(in))
assert.ErrorContains(t, err, "trading currency")
})
t.Run("failed to convert confirm", func(t *testing.T) {
t.Skip("this will cause panic, so i skip it")
in := `
{
"arg": {
"channel": "candle1D",
"instId": "BTC-USDT"
},
"data": [
[
"1597026383085",
"8533",
"8553.74",
"8527.17",
"8548.26",
"45247",
"529.5858061",
"529.5858061",
"g"
]
]
}
`
_, err := parseWebSocketEvent([]byte(in))
assert.ErrorContains(t, err, "confirm")
})
}
func TestKLine_ToGlobal(t *testing.T) {
t.Run("snapshot", func(t *testing.T) {
in := `
{
"arg": {
"channel": "candle1D",
"instId": "BTC-USDT"
},
"data": [
[
"1597026383085",
"8533",
"8553.74",
"8527.17",
"8548.26",
"45247",
"529.5858061",
"529.5858061",
"0"
]
]
}
`
exp := &KLineEvent{
Events: okexapi.KLineSlice{
{
StartTime: types.NewMillisecondTimestampFromInt(1597026383085),
OpenPrice: fixedpoint.NewFromFloat(8533),
HighestPrice: fixedpoint.NewFromFloat(8553.74),
LowestPrice: fixedpoint.NewFromFloat(8527.17),
ClosePrice: fixedpoint.NewFromFloat(8548.26),
Volume: fixedpoint.NewFromFloat(45247),
VolumeInCurrency: fixedpoint.NewFromFloat(529.5858061),
//VolumeInCurrencyQuote: fixedpoint.NewFromFloat(529.5858061),
Confirm: fixedpoint.Zero,
},
},
InstrumentID: "BTC-USDT",
Symbol: "BTCUSDT",
Interval: "1d",
Channel: "candle1D",
}
res, err := parseWebSocketEvent([]byte(in))
assert.NoError(t, err)
event, ok := res.(*KLineEvent)
assert.True(t, ok)
assert.Equal(t, types.KLine{
Exchange: types.ExchangeOKEx,
Symbol: "BTCUSDT",
StartTime: types.Time(types.NewMillisecondTimestampFromInt(1597026383085)),
EndTime: types.Time(types.NewMillisecondTimestampFromInt(1597026383085).Time().Add(types.Interval(exp.Interval).Duration() - time.Millisecond)),
Interval: types.Interval(exp.Interval),
Open: exp.Events[0].OpenPrice,
Close: exp.Events[0].ClosePrice,
High: exp.Events[0].HighestPrice,
Low: exp.Events[0].LowestPrice,
Volume: exp.Events[0].Volume,
QuoteVolume: exp.Events[0].VolumeInCurrency,
TakerBuyBaseAssetVolume: fixedpoint.Zero,
TakerBuyQuoteAssetVolume: fixedpoint.Zero,
LastTradeID: 0,
NumberOfTrades: 0,
Closed: false,
}, kLineToGlobal(event.Events[0], types.Interval(event.Interval), event.Symbol))
})
}
func Test_parseWebSocketEvent(t *testing.T) {
in := `
{
"arg": {
"channel": "trades",
"instId": "BTC-USDT"
},
"data": [
{
"instId": "BTC-USDT",
"tradeId": "130639474",
"px": "42219.9",
"sz": "0.12060306",
"side": "buy",
"ts": "1630048897897",
"count": "3"
}
]
}
`
exp := []MarketTradeEvent{{
InstId: "BTC-USDT",
TradeId: 130639474,
Px: fixedpoint.NewFromFloat(42219.9),
Sz: fixedpoint.NewFromFloat(0.12060306),
Side: okexapi.SideTypeBuy,
Timestamp: types.NewMillisecondTimestampFromInt(1630048897897),
Count: 3,
}}
res, err := parseWebSocketEvent([]byte(in))
assert.NoError(t, err)
event, ok := res.([]MarketTradeEvent)
assert.True(t, ok)
assert.Len(t, event, 1)
assert.Equal(t, exp, event)
}
func Test_toGlobalTrade(t *testing.T) {
// {
// "instId": "BTC-USDT",
// "tradeId": "130639474",
// "px": "42219.9",
// "sz": "0.12060306",
// "side": "buy",
// "ts": "1630048897897",
// "count": "3"
// }
marketTrade := MarketTradeEvent{
InstId: "BTC-USDT",
TradeId: 130639474,
Px: fixedpoint.NewFromFloat(42219.9),
Sz: fixedpoint.NewFromFloat(0.12060306),
Side: okexapi.SideTypeBuy,
Timestamp: types.NewMillisecondTimestampFromInt(1630048897897),
Count: 3,
}
t.Run("succeeds", func(t *testing.T) {
trade, err := marketTrade.toGlobalTrade()
assert.NoError(t, err)
assert.Equal(t, types.Trade{
ID: uint64(130639474),
OrderID: uint64(0),
Exchange: types.ExchangeOKEx,
Price: fixedpoint.NewFromFloat(42219.9),
Quantity: fixedpoint.NewFromFloat(0.12060306),
QuoteQuantity: marketTrade.Px.Mul(marketTrade.Sz),
Symbol: "BTCUSDT",
Side: types.SideTypeBuy,
IsBuyer: true,
IsMaker: false,
Time: types.Time(types.NewMillisecondTimestampFromInt(1630048897897)),
Fee: fixedpoint.Zero,
FeeCurrency: "",
FeeDiscounted: false,
}, trade)
})
t.Run("unexpected side", func(t *testing.T) {
newTrade := marketTrade
newTrade.Side = "both"
_, err := newTrade.toGlobalTrade()
assert.ErrorContains(t, err, "both")
})
t.Run("unexpected symbol", func(t *testing.T) {
newTrade := marketTrade
newTrade.InstId = ""
_, err := newTrade.toGlobalTrade()
assert.ErrorContains(t, err, "unexpected inst id")
})
}
func TestWebSocketEvent_IsValid(t *testing.T) {
t.Run("op login event", func(t *testing.T) {
input := `{
"event": "login",
"code": "0",
"msg": "",
"connId": "a4d3ae55"
}`
res, err := parseWebSocketEvent([]byte(input))
assert.NoError(t, err)
opEvent, ok := res.(*WebSocketEvent)
assert.True(t, ok)
assert.Equal(t, WebSocketEvent{
Event: WsEventTypeLogin,
Code: "0",
Message: "",
}, *opEvent)
assert.NoError(t, opEvent.IsValid())
})
t.Run("op error event", func(t *testing.T) {
input := `{
"event": "error",
"code": "60009",
"msg": "Login failed.",
"connId": "a4d3ae55"
}`
res, err := parseWebSocketEvent([]byte(input))
assert.NoError(t, err)
opEvent, ok := res.(*WebSocketEvent)
assert.True(t, ok)
assert.Equal(t, WebSocketEvent{
Event: WsEventTypeError,
Code: "60009",
Message: "Login failed.",
}, *opEvent)
assert.ErrorContains(t, opEvent.IsValid(), "request error")
})
t.Run("unexpected event", func(t *testing.T) {
input := `{
"event": "test gg",
"code": "60009",
"msg": "unexpected",
"connId": "a4d3ae55"
}`
res, err := parseWebSocketEvent([]byte(input))
assert.NoError(t, err)
opEvent, ok := res.(*WebSocketEvent)
assert.True(t, ok)
assert.Equal(t, WebSocketEvent{
Event: "test gg",
Code: "60009",
Message: "unexpected",
}, *opEvent)
assert.ErrorContains(t, opEvent.IsValid(), "unexpected event type")
})
t.Run("conn count info", func(t *testing.T) {
input := `{
"event":"channel-conn-count",
"channel":"orders",
"connCount": "2",
"connId":"abcd1234"
}`
res, err := parseWebSocketEvent([]byte(input))
assert.NoError(t, err)
opEvent, ok := res.(*WebSocketEvent)
assert.True(t, ok)
assert.Equal(t, WebSocketEvent{
Event: "channel-conn-count",
Channel: "orders",
ConnCount: "2",
}, *opEvent)
assert.NoError(t, opEvent.IsValid())
})
t.Run("conn count error", func(t *testing.T) {
input := `{
"event": "channel-conn-count-error",
"channel": "orders",
"connCount": "20",
"connId":"a4d3ae55"
}`
res, err := parseWebSocketEvent([]byte(input))
assert.NoError(t, err)
opEvent, ok := res.(*WebSocketEvent)
assert.True(t, ok)
assert.Equal(t, WebSocketEvent{
Event: "channel-conn-count-error",
Channel: "orders",
ConnCount: "20",
}, *opEvent)
assert.ErrorContains(t, opEvent.IsValid(), "rate limit")
})
}
func TestOrderTradeEvent(t *testing.T) {
//{"arg":{"channel":"orders","instType":"SPOT","uid":"530315546680502420"},"data":[{"accFillSz":"0","algoClOrdId":"","algoId":"","amendResult":"","amendSource":"","attachAlgoClOrdId":"","attachAlgoOrds":[],"avgPx":"0","cTime":"1705384184502","cancelSource":"","category":"normal","ccy":"","clOrdId":"","code":"0","execType":"","fee":"0","feeCcy":"OKB","fillFee":"0","fillFeeCcy":"","fillFwdPx":"","fillMarkPx":"","fillMarkVol":"","fillNotionalUsd":"","fillPnl":"0","fillPx":"","fillPxUsd":"","fillPxVol":"","fillSz":"0","fillTime":"","instId":"OKB-USDT","instType":"SPOT","lastPx":"54","lever":"0","msg":"","notionalUsd":"99.929","ordId":"667364871905857536","ordType":"market","pnl":"0","posSide":"","px":"","pxType":"","pxUsd":"","pxVol":"","quickMgnType":"","rebate":"0","rebateCcy":"USDT","reduceOnly":"false","reqId":"","side":"buy","slOrdPx":"","slTriggerPx":"","slTriggerPxType":"","source":"","state":"live","stpId":"","stpMode":"","sz":"100","tag":"","tdMode":"cash","tgtCcy":"quote_ccy","tpOrdPx":"","tpTriggerPx":"","tpTriggerPxType":"","tradeId":"","uTime":"1705384184502"}]}
//{"arg":{"channel":"orders","instType":"SPOT","uid":"530315546680502420"},"data":[{"accFillSz":"1.84","algoClOrdId":"","algoId":"","amendResult":"","amendSource":"","attachAlgoClOrdId":"","attachAlgoOrds":[],"avgPx":"54","cTime":"1705384184502","cancelSource":"","category":"normal","ccy":"","clOrdId":"","code":"0","execType":"T","fee":"-0.001844337","feeCcy":"OKB","fillFee":"-0.001844337","fillFeeCcy":"OKB","fillFwdPx":"","fillMarkPx":"","fillMarkVol":"","fillNotionalUsd":"99.9","fillPnl":"0","fillPx":"54","fillPxUsd":"","fillPxVol":"","fillSz":"1.844337","fillTime":"1705384184503","instId":"OKB-USDT","instType":"SPOT","lastPx":"54","lever":"0","msg":"","notionalUsd":"99.929","ordId":"667364871905857536","ordType":"market","pnl":"0","posSide":"","px":"","pxType":"","pxUsd":"","pxVol":"","quickMgnType":"","rebate":"0","rebateCcy":"USDT","reduceOnly":"false","reqId":"","side":"buy","slOrdPx":"","slTriggerPx":"","slTriggerPxType":"","source":"","state":"partially_filled","stpId":"","stpMode":"","sz":"100","tag":"","tdMode":"cash","tgtCcy":"quote_ccy","tpOrdPx":"","tpTriggerPx":"","tpTriggerPxType":"","tradeId":"590957341","uTime":"1705384184503"}]}
//{"arg":{"channel":"orders","instType":"SPOT","uid":"530315546680502420"},"data":[{"accFillSz":"1.84","algoClOrdId":"","algoId":"","amendResult":"","amendSource":"","attachAlgoClOrdId":"","attachAlgoOrds":[],"avgPx":"54","cTime":"1705384184502","cancelSource":"","category":"normal","ccy":"","clOrdId":"","code":"0","execType":"","fee":"-0.001844337","feeCcy":"OKB","fillFee":"0","fillFeeCcy":"","fillFwdPx":"","fillMarkPx":"","fillMarkVol":"","fillNotionalUsd":"99.9","fillPnl":"0","fillPx":"","fillPxUsd":"","fillPxVol":"","fillSz":"0","fillTime":"","instId":"OKB-USDT","instType":"SPOT","lastPx":"54","lever":"0","msg":"","notionalUsd":"99.929","ordId":"667364871905857536","ordType":"market","pnl":"0","posSide":"","px":"","pxType":"","pxUsd":"","pxVol":"","quickMgnType":"","rebate":"0","rebateCcy":"USDT","reduceOnly":"false","reqId":"","side":"buy","slOrdPx":"","slTriggerPx":"","slTriggerPxType":"","source":"","state":"filled","stpId":"","stpMode":"","sz":"100","tag":"","tdMode":"cash","tgtCcy":"quote_ccy","tpOrdPx":"","tpTriggerPx":"","tpTriggerPxType":"","tradeId":"","uTime":"1705384184504"}]}
t.Run("succeeds", func(t *testing.T) {
in := `
{
"arg":{
"channel":"orders",
"instType":"SPOT",
"uid":"530315546680502420"
},
"data":[
{
"accFillSz":"1.84",
"algoClOrdId":"",
"algoId":"",
"amendResult":"",
"amendSource":"",
"attachAlgoClOrdId":"",
"attachAlgoOrds":[
],
"avgPx":"54",
"cTime":"1705384184502",
"cancelSource":"",
"category":"normal",
"ccy":"",
"clOrdId":"",
"code":"0",
"execType":"T",
"fee":"-0.001844337",
"feeCcy":"OKB",
"fillFee":"-0.001844337",
"fillFeeCcy":"OKB",
"fillFwdPx":"",
"fillMarkPx":"",
"fillMarkVol":"",
"fillNotionalUsd":"99.9",
"fillPnl":"0",
"fillPx":"54",
"fillPxUsd":"",
"fillPxVol":"",
"fillSz":"1.84",
"fillTime":"1705384184503",
"instId":"OKB-USDT",
"instType":"SPOT",
"lastPx":"54",
"lever":"0",
"msg":"",
"notionalUsd":"99.929",
"ordId":"667364871905857536",
"ordType":"market",
"pnl":"0",
"posSide":"",
"px":"",
"pxType":"",
"pxUsd":"",
"pxVol":"",
"quickMgnType":"",
"rebate":"0",
"rebateCcy":"USDT",
"reduceOnly":"false",
"reqId":"",
"side":"buy",
"slOrdPx":"",
"slTriggerPx":"",
"slTriggerPxType":"",
"source":"",
"state":"partially_filled",
"stpId":"",
"stpMode":"",
"sz":"100",
"tag":"",
"tdMode":"cash",
"tgtCcy":"quote_ccy",
"tpOrdPx":"",
"tpTriggerPx":"",
"tpTriggerPxType":"",
"tradeId":"590957341",
"uTime":"1705384184503"
}
]
}
`
exp := []OrderTradeEvent{
{
OrderDetail: okexapi.OrderDetail{
AccumulatedFillSize: fixedpoint.NewFromFloat(1.84),
AvgPrice: fixedpoint.NewFromFloat(54),
CreatedTime: types.NewMillisecondTimestampFromInt(1705384184502),
Category: "normal",
ClientOrderId: "",
Fee: fixedpoint.NewFromFloat(-0.001844337),
FeeCurrency: "OKB",
FillTime: types.NewMillisecondTimestampFromInt(1705384184503),
InstrumentID: "OKB-USDT",
InstrumentType: okexapi.InstrumentTypeSpot,
OrderId: types.StrInt64(667364871905857536),
OrderType: okexapi.OrderTypeMarket,
Price: fixedpoint.Zero,
Side: okexapi.SideTypeBuy,
State: okexapi.OrderStatePartiallyFilled,
Size: fixedpoint.NewFromFloat(100),
TargetCurrency: okexapi.TargetCurrencyQuote,
UpdatedTime: types.NewMillisecondTimestampFromInt(1705384184503),
Currency: "",
TradeId: "590957341",
FillPrice: fixedpoint.NewFromFloat(54),
FillSize: fixedpoint.NewFromFloat(1.84),
Lever: "0",
Pnl: fixedpoint.Zero,
PositionSide: "",
PriceUsd: fixedpoint.Zero,
PriceVol: fixedpoint.Zero,
PriceType: "",
Rebate: fixedpoint.Zero,
RebateCcy: "USDT",
AttachAlgoClOrdId: "",
SlOrdPx: fixedpoint.Zero,
SlTriggerPx: fixedpoint.Zero,
SlTriggerPxType: "",
AttachAlgoOrds: []interface{}{},
Source: "",
StpId: "",
StpMode: "",
Tag: "",
TradeMode: okexapi.TradeModeCash,
TpOrdPx: fixedpoint.Zero,
TpTriggerPx: fixedpoint.Zero,
TpTriggerPxType: "",
ReduceOnly: "false",
AlgoClOrdId: "",
AlgoId: "",
},
Code: types.StrInt64(0),
Msg: "",
AmendResult: "",
ExecutionType: okexapi.LiquidityTypeTaker,
FillFee: fixedpoint.NewFromFloat(-0.001844337),
FillFeeCurrency: "OKB",
FillNotionalUsd: fixedpoint.NewFromFloat(99.9),
FillPnl: fixedpoint.Zero,
NotionalUsd: fixedpoint.NewFromFloat(99.929),
ReqId: "",
LastPrice: fixedpoint.NewFromFloat(54),
QuickMgnType: "",
AmendSource: "",
CancelSource: "",
FillPriceVolume: "",
FillPriceUsd: "",
FillMarkVolume: "",
FillFwdPrice: "",
FillMarkPrice: "",
},
}
res, err := parseWebSocketEvent([]byte(in))
assert.NoError(t, err)
event, ok := res.([]OrderTradeEvent)
assert.True(t, ok)
assert.Equal(t, exp, event)
})
}
func TestOrderTradeEvent_toGlobalTrade1(t *testing.T) {
var (
in = `
{
"arg":{
"channel":"orders",
"instType":"SPOT",
"uid":"530315546680502420"
},
"data":[
{
"accFillSz":"1.84",
"algoClOrdId":"",
"algoId":"",
"amendResult":"",
"amendSource":"",
"attachAlgoClOrdId":"",
"attachAlgoOrds":[
],
"avgPx":"54",
"cTime":"1705384184502",
"cancelSource":"",
"category":"normal",
"ccy":"",
"clOrdId":"",
"code":"0",
"execType":"T",
"fee":"-0.001844337",
"feeCcy":"OKB",
"fillFee":"-0.001844337",
"fillFeeCcy":"OKB",
"fillFwdPx":"",
"fillMarkPx":"",
"fillMarkVol":"",
"fillNotionalUsd":"99.9",
"fillPnl":"0",
"fillPx":"54",
"fillPxUsd":"",
"fillPxVol":"",
"fillSz":"1.84",
"fillTime":"1705384184503",
"instId":"OKB-USDT",
"instType":"SPOT",
"lastPx":"54",
"lever":"0",
"msg":"",
"notionalUsd":"99.929",
"ordId":"667364871905857536",
"ordType":"market",
"pnl":"0",
"posSide":"",
"px":"",
"pxType":"",
"pxUsd":"",
"pxVol":"",
"quickMgnType":"",
"rebate":"0",
"rebateCcy":"USDT",
"reduceOnly":"false",
"reqId":"",
"side":"buy",
"slOrdPx":"",
"slTriggerPx":"",
"slTriggerPxType":"",
"source":"",
"state":"partially_filled",
"stpId":"",
"stpMode":"",
"sz":"100",
"tag":"",
"tdMode":"cash",
"tgtCcy":"quote_ccy",
"tpOrdPx":"",
"tpTriggerPx":"",
"tpTriggerPxType":"",
"tradeId":"590957341",
"uTime":"1705384184503"
}
]
}
`
expTrade = types.Trade{
ID: uint64(590957341),
OrderID: uint64(667364871905857536),
Exchange: types.ExchangeOKEx,
Price: fixedpoint.NewFromFloat(54),
Quantity: fixedpoint.NewFromFloat(1.84),
QuoteQuantity: fixedpoint.NewFromFloat(54).Mul(fixedpoint.NewFromFloat(1.84)),
Symbol: "OKBUSDT",
Side: types.SideTypeBuy,
IsBuyer: true,
IsMaker: false,
Time: types.Time(types.NewMillisecondTimestampFromInt(1705384184503).Time()),
Fee: fixedpoint.NewFromFloat(0.001844337),
FeeCurrency: "OKB",
}
)
t.Run("succeeds", func(t *testing.T) {
res, err := parseWebSocketEvent([]byte(in))
assert.NoError(t, err)
event, ok := res.([]OrderTradeEvent)
assert.True(t, ok)
trade, err := event[0].toGlobalTrade()
assert.NoError(t, err)
assert.Equal(t, expTrade, trade)
})
t.Run("unexpected trade id", func(t *testing.T) {
res, err := parseWebSocketEvent([]byte(in))
assert.NoError(t, err)
event, ok := res.([]OrderTradeEvent)
assert.True(t, ok)
event[0].TradeId = "XXXX"
_, err = event[0].toGlobalTrade()
assert.ErrorContains(t, err, "trade id")
})
}
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