Bitfinex: Fix websocket trade processing (#1754)

* Bitfinex: Fix WS trade processing

* Add handling for funding trades

Fixes #1746

* Linter: Disable shadow linting for err

It's been a year, and I'm still getting caught out by govet demanding I
don't shadow a var I was deliberately shadowing.
Made worse by an increase in clashes with stylecheck when they both want
opposite things on the same line.

* Bitfinex: Move websocket constants to websocket file

* Bitfinex: Rename channel consts

* Bitfinex: Send individual WS trades down the DataHandler

exchanges/bitfinex/bitfinex_types.go

@@ -1,6 +1,7 @@
 package bitfinex
 
 import (
+	"encoding/json"
 	"errors"
 	"sync"
 	"time"
@@ -8,13 +9,13 @@ import (
 	"github.com/thrasher-corp/gocryptotrader/common"
 	"github.com/thrasher-corp/gocryptotrader/currency"
 	"github.com/thrasher-corp/gocryptotrader/exchanges/order"
+	"github.com/thrasher-corp/gocryptotrader/types"
 )
 
 var (
 	errSetCannotBeEmpty        = errors.New("set cannot be empty")
 	errNoSeqNo                 = errors.New("no sequence number")
 	errParamNotAllowed         = errors.New("param not allowed")
-	errParsingWSField          = errors.New("error parsing WS field")
 	errTickerInvalidSymbol     = errors.New("invalid ticker symbol")
 	errTickerInvalidResp       = errors.New("invalid ticker response format")
 	errTickerInvalidFieldCount = errors.New("invalid ticker response field count")
@@ -488,16 +489,18 @@ type WebsocketBook struct {
 	Period int64
 }
 
-// WebsocketTrade holds trade information
-type WebsocketTrade struct {
+// wsTrade holds trade information
+type wsTrade struct {
 	ID        int64
-	Timestamp int64
-	Price     float64
+	Timestamp types.Time
 	Amount    float64
-	// Funding rate of the trade
-	Rate float64
-	// Funding offer period in days
-	Period int64
+	Price     float64
+	Period    int64 // Funding offer period in days
+}
+
+// UnmarshalJSON unmarshals json bytes into a wsTrade
+func (t *wsTrade) UnmarshalJSON(data []byte) error {
+	return json.Unmarshal(data, &[5]any{&t.ID, &t.Timestamp, &t.Amount, &t.Price, &t.Period})
 }
 
 // Candle holds OHLC data
@@ -613,63 +616,6 @@ type WebsocketHandshake struct {
 	Version float64 `json:"version"`
 }
 
-const (
-	authenticatedBitfinexWebsocketEndpoint = "wss://api.bitfinex.com/ws/2"
-	publicBitfinexWebsocketEndpoint        = "wss://api-pub.bitfinex.com/ws/2"
-	pong                                   = "pong"
-	wsHeartbeat                            = "hb"
-	wsChecksum                             = "cs"
-	wsPositionSnapshot                     = "ps"
-	wsPositionNew                          = "pn"
-	wsPositionUpdate                       = "pu"
-	wsPositionClose                        = "pc"
-	wsWalletSnapshot                       = "ws"
-	wsWalletUpdate                         = "wu"
-	wsTradeExecutionUpdate                 = "tu"
-	wsTradeExecuted                        = "te"
-	wsFundingCreditSnapshot                = "fcs"
-	wsFundingCreditNew                     = "fcn"
-	wsFundingCreditUpdate                  = "fcu"
-	wsFundingCreditCancel                  = "fcc"
-	wsFundingLoanSnapshot                  = "fls"
-	wsFundingLoanNew                       = "fln"
-	wsFundingLoanUpdate                    = "flu"
-	wsFundingLoanCancel                    = "flc"
-	wsFundingTradeExecuted                 = "fte"
-	wsFundingTradeUpdate                   = "ftu"
-	wsFundingInfoUpdate                    = "fiu"
-	wsBalanceUpdate                        = "bu"
-	wsMarginInfoUpdate                     = "miu"
-	wsNotification                         = "n"
-	wsOrderSnapshot                        = "os"
-	wsOrderNew                             = "on"
-	wsOrderUpdate                          = "ou"
-	wsOrderCancel                          = "oc"
-	wsRequest                              = "-req"
-	wsOrderNewRequest                      = wsOrderNew + wsRequest
-	wsOrderUpdateRequest                   = wsOrderUpdate + wsRequest
-	wsOrderCancelRequest                   = wsOrderCancel + wsRequest
-	wsFundingOfferSnapshot                 = "fos"
-	wsFundingOfferNew                      = "fon"
-	wsFundingOfferUpdate                   = "fou"
-	wsFundingOfferCancel                   = "foc"
-	wsFundingOfferNewRequest               = wsFundingOfferNew + wsRequest
-	wsFundingOfferUpdateRequest            = wsFundingOfferUpdate + wsRequest
-	wsFundingOfferCancelRequest            = wsFundingOfferCancel + wsRequest
-	wsCancelMultipleOrders                 = "oc_multi"
-	wsBook                                 = "book"
-	wsCandles                              = "candles"
-	wsTicker                               = "ticker"
-	wsTrades                               = "trades"
-	wsError                                = "error"
-	wsEventSubscribed                      = "subscribed"
-	wsEventUnsubscribed                    = "unsubscribed"
-	wsEventAuth                            = "auth"
-	wsEventError                           = "error"
-	wsEventConf                            = "conf"
-	wsEventInfo                            = "info"
-)
-
 // WsAuthRequest container for WS auth request
 type WsAuthRequest struct {
 	Event         string `json:"event"`

exchanges/bitfinex/bitfinex_websocket.go

@@ -6,6 +6,7 @@ import (
 	"errors"
 	"fmt"
 	"hash/crc32"
+	"math"
 	"net/http"
 	"sort"
 	"strconv"
@@ -33,6 +34,67 @@ import (
 	"github.com/thrasher-corp/gocryptotrader/log"
 )
 
+var (
+	errParsingWSField = errors.New("error parsing WS field")
+)
+
+const (
+	authenticatedBitfinexWebsocketEndpoint = "wss://api.bitfinex.com/ws/2"
+	publicBitfinexWebsocketEndpoint        = "wss://api-pub.bitfinex.com/ws/2"
+	pong                                   = "pong"
+	wsHeartbeat                            = "hb"
+	wsChecksum                             = "cs"
+	wsPositionSnapshot                     = "ps"
+	wsPositionNew                          = "pn"
+	wsPositionUpdate                       = "pu"
+	wsPositionClose                        = "pc"
+	wsWalletSnapshot                       = "ws"
+	wsWalletUpdate                         = "wu"
+	wsTradeUpdated                         = "tu"
+	wsTradeExecuted                        = "te"
+	wsFundingCreditSnapshot                = "fcs"
+	wsFundingCreditNew                     = "fcn"
+	wsFundingCreditUpdate                  = "fcu"
+	wsFundingCreditCancel                  = "fcc"
+	wsFundingLoanSnapshot                  = "fls"
+	wsFundingLoanNew                       = "fln"
+	wsFundingLoanUpdate                    = "flu"
+	wsFundingLoanCancel                    = "flc"
+	wsFundingTradeExecuted                 = "fte"
+	wsFundingTradeUpdated                  = "ftu"
+	wsFundingInfoUpdate                    = "fiu"
+	wsBalanceUpdate                        = "bu"
+	wsMarginInfoUpdate                     = "miu"
+	wsNotification                         = "n"
+	wsOrderSnapshot                        = "os"
+	wsOrderNew                             = "on"
+	wsOrderUpdate                          = "ou"
+	wsOrderCancel                          = "oc"
+	wsRequest                              = "-req"
+	wsOrderNewRequest                      = wsOrderNew + wsRequest
+	wsOrderUpdateRequest                   = wsOrderUpdate + wsRequest
+	wsOrderCancelRequest                   = wsOrderCancel + wsRequest
+	wsFundingOfferSnapshot                 = "fos"
+	wsFundingOfferNew                      = "fon"
+	wsFundingOfferUpdate                   = "fou"
+	wsFundingOfferCancel                   = "foc"
+	wsFundingOfferNewRequest               = wsFundingOfferNew + wsRequest
+	wsFundingOfferUpdateRequest            = wsFundingOfferUpdate + wsRequest
+	wsFundingOfferCancelRequest            = wsFundingOfferCancel + wsRequest
+	wsCancelMultipleOrders                 = "oc_multi"
+	wsBookChannel                          = "book"
+	wsCandlesChannel                       = "candles"
+	wsTickerChannel                        = "ticker"
+	wsTradesChannel                        = "trades"
+	wsError                                = "error"
+	wsEventSubscribed                      = "subscribed"
+	wsEventUnsubscribed                    = "unsubscribed"
+	wsEventAuth                            = "auth"
+	wsEventError                           = "error"
+	wsEventConf                            = "conf"
+	wsEventInfo                            = "info"
+)
+
 var defaultSubscriptions = subscription.List{
 	{Enabled: true, Channel: subscription.TickerChannel, Asset: asset.All},
 	{Enabled: true, Channel: subscription.AllTradesChannel, Asset: asset.All},
@@ -54,10 +116,10 @@ var checksumStore = make(map[int]*checksum)
 var cMtx sync.Mutex
 
 var subscriptionNames = map[string]string{
-	subscription.TickerChannel:    wsTicker,
-	subscription.OrderbookChannel: wsBook,
-	subscription.CandlesChannel:   wsCandles,
-	subscription.AllTradesChannel: wsTrades,
+	subscription.TickerChannel:    wsTickerChannel,
+	subscription.OrderbookChannel: wsBookChannel,
+	subscription.CandlesChannel:   wsCandlesChannel,
+	subscription.AllTradesChannel: wsTradesChannel,
 }
 
 // WsConnect starts a new websocket connection
@@ -162,8 +224,8 @@ func (b *Bitfinex) wsHandleData(respRaw []byte) error {
 		eventType, hasEventType := d[1].(string)
 
 		if chanID != 0 {
-			if c := b.Websocket.GetSubscription(chanID); c != nil {
-				return b.handleWSChannelUpdate(c, eventType, d)
+			if s := b.Websocket.GetSubscription(chanID); s != nil {
+				return b.handleWSChannelUpdate(s, respRaw, eventType, d)
 			}
 			if b.Verbose {
 				log.Warnf(log.ExchangeSys, "%s %s; dropped WS message: %s", b.Name, subscription.ErrNotFound, respRaw)
@@ -201,8 +263,8 @@ func (b *Bitfinex) wsHandleData(respRaw []byte) error {
 			return b.handleWSPositionSnapshot(d)
 		case wsPositionNew, wsPositionUpdate, wsPositionClose:
 			return b.handleWSPositionUpdate(d)
-		case wsTradeExecuted, wsTradeExecutionUpdate:
-			return b.handleWSTradeUpdate(d, eventType)
+		case wsTradeExecuted, wsTradeUpdated:
+			return b.handleWSMyTradeUpdate(d, eventType)
 		case wsFundingOfferSnapshot:
 			if snapBundle, ok := d[2].([]interface{}); ok && len(snapBundle) > 0 {
 				if _, ok := snapBundle[0].([]interface{}); ok {
@@ -398,7 +460,7 @@ func (b *Bitfinex) wsHandleData(respRaw []byte) error {
 					b.Websocket.DataHandler <- fundingInfo
 				}
 			}
-		case wsFundingTradeExecuted, wsFundingTradeUpdate:
+		case wsFundingTradeExecuted, wsFundingTradeUpdated:
 			if data, ok := d[2].([]interface{}); ok && len(data) > 0 {
 				var wsFundingTrade WsFundingTrade
 				tradeID, ok := data[0].(float64)
@@ -546,16 +608,15 @@ func (b *Bitfinex) handleWSSubscribed(respRaw []byte) error {
 	return b.Websocket.Match.RequireMatchWithData("subscribe:"+subID, respRaw)
 }
 
-func (b *Bitfinex) handleWSChannelUpdate(s *subscription.Subscription, eventType string, d []interface{}) error {
+func (b *Bitfinex) handleWSChannelUpdate(s *subscription.Subscription, respRaw []byte, eventType string, d []interface{}) error {
 	if s == nil {
 		return fmt.Errorf("%w: Subscription param", common.ErrNilPointer)
 	}
 
-	if eventType == wsChecksum {
+	switch eventType {
+	case wsChecksum:
 		return b.handleWSChecksum(s, d)
-	}
-
-	if eventType == wsHeartbeat {
+	case wsHeartbeat:
 		return nil
 	}
 
@@ -571,7 +632,7 @@ func (b *Bitfinex) handleWSChannelUpdate(s *subscription.Subscription, eventType
 	case subscription.TickerChannel:
 		return b.handleWSTickerUpdate(s, d)
 	case subscription.AllTradesChannel:
-		return b.handleWSTradesUpdate(s, eventType, d)
+		return b.handleWSAllTrades(s, respRaw)
 	}
 
 	return fmt.Errorf("%s unhandled channel update: %s", b.Name, s.Channel)
@@ -871,139 +932,77 @@ func (b *Bitfinex) handleWSTickerUpdate(c *subscription.Subscription, d []interf
 	return nil
 }
 
-func (b *Bitfinex) handleWSTradesUpdate(c *subscription.Subscription, eventType string, d []interface{}) error {
-	if c == nil {
+func (b *Bitfinex) handleWSAllTrades(s *subscription.Subscription, respRaw []byte) error {
+	feedEnabled := b.IsTradeFeedEnabled()
+	if !feedEnabled && !b.IsSaveTradeDataEnabled() {
+		return nil
+	}
+	if s == nil {
 		return fmt.Errorf("%w: Subscription param", common.ErrNilPointer)
 	}
-	if len(c.Pairs) != 1 {
+	if len(s.Pairs) != 1 {
 		return subscription.ErrNotSinglePair
 	}
-	if !b.IsSaveTradeDataEnabled() {
-		return nil
+	v, valueType, _, err := jsonparser.Get(respRaw, "[1]")
+	if err != nil {
+		return fmt.Errorf("%w `tradesUpdate[1]`: %w", errParsingWSField, err)
 	}
-	if c.Asset == asset.MarginFunding {
-		return nil
-	}
-	var tradeHolder []WebsocketTrade
-	switch len(d) {
-	case 2:
-		snapshot, ok := d[1].([]interface{})
-		if !ok {
-			return errors.New("unable to type assert trade snapshot data")
-		}
-		for i := range snapshot {
-			elem, ok := snapshot[i].([]interface{})
-			if !ok {
-				return errors.New("unable to type assert trade snapshot element data")
-			}
-			tradeID, ok := elem[0].(float64)
-			if !ok {
-				return errors.New("unable to type assert trade ID")
-			}
-			timestamp, ok := elem[1].(float64)
-			if !ok {
-				return errors.New("unable to type assert trade timestamp")
-			}
-			amount, ok := elem[2].(float64)
-			if !ok {
-				return errors.New("unable to type assert trade amount")
-			}
-			wsTrade := WebsocketTrade{
-				ID:        int64(tradeID),
-				Timestamp: int64(timestamp),
-				Amount:    amount,
-			}
-			if len(elem) == 5 {
-				rate, ok := elem[3].(float64)
-				if !ok {
-					return errors.New("unable to type assert trade rate")
-				}
-				wsTrade.Rate = rate
-				period, ok := elem[4].(float64)
-				if !ok {
-					return errors.New("unable to type assert trade period")
-				}
-				wsTrade.Period = int64(period)
-			} else {
-				price, ok := elem[3].(float64)
-				if !ok {
-					return errors.New("unable to type assert trade price")
-				}
-				wsTrade.Rate = price
-			}
-			tradeHolder = append(tradeHolder, wsTrade)
-		}
-	case 3:
-		if eventType != wsFundingTradeUpdate && eventType != wsTradeExecutionUpdate {
-			return fmt.Errorf("unhandled WS trade update event: %s", eventType)
-		}
-		data, ok := d[2].([]interface{})
-		if !ok {
-			return errors.New("trade data type assertion error")
-		}
-
-		tradeID, ok := data[0].(float64)
-		if !ok {
-			return errors.New("unable to type assert trade ID")
-		}
-		timestamp, ok := data[1].(float64)
-		if !ok {
-			return errors.New("unable to type assert trade timestamp")
-		}
-		amount, ok := data[2].(float64)
-		if !ok {
-			return errors.New("unable to type assert trade amount")
-		}
-		wsTrade := WebsocketTrade{
-			ID:        int64(tradeID),
-			Timestamp: int64(timestamp),
-			Amount:    amount,
-		}
-		if len(data) == 5 {
-			rate, ok := data[3].(float64)
-			if !ok {
-				return errors.New("unable to type assert trade rate")
-			}
-			period, ok := data[4].(float64)
-			if !ok {
-				return errors.New("unable to type assert trade period")
-			}
-			wsTrade.Rate = rate
-			wsTrade.Period = int64(period)
+	var wsTrades []*wsTrade
+	switch valueType {
+	case jsonparser.String:
+		if t, err := b.handleWSPublicTradeUpdate(respRaw); err != nil {
+			return fmt.Errorf("%w `tradesUpdate[2]`: %w", errParsingWSField, err)
 		} else {
-			price, ok := data[3].(float64)
-			if !ok {
-				return errors.New("unable to type assert trade price")
-			}
-			wsTrade.Price = price
+			wsTrades = []*wsTrade{t}
 		}
-		tradeHolder = append(tradeHolder, wsTrade)
+	case jsonparser.Array:
+		if wsTrades, err = b.handleWSPublicTradesSnapshot(v); err != nil {
+			return fmt.Errorf("%w `tradesSnapshot`: %w", errParsingWSField, err)
+		}
+	default:
+		return fmt.Errorf("%w `tradesUpdate[1]`: %w `%s`", errParsingWSField, jsonparser.UnknownValueTypeError, valueType)
 	}
-	trades := make([]trade.Data, len(tradeHolder))
-	for i := range tradeHolder {
-		side := order.Buy
-		newAmount := tradeHolder[i].Amount
-		if newAmount < 0 {
-			side = order.Sell
-			newAmount *= -1
-		}
-		price := tradeHolder[i].Price
-		if price == 0 && tradeHolder[i].Rate > 0 {
-			price = tradeHolder[i].Rate
-		}
-		trades[i] = trade.Data{
-			TID:          strconv.FormatInt(tradeHolder[i].ID, 10),
-			CurrencyPair: c.Pairs[0],
-			Timestamp:    time.UnixMilli(tradeHolder[i].Timestamp),
-			Price:        price,
-			Amount:       newAmount,
+	trades := make([]trade.Data, len(wsTrades))
+	for _, w := range wsTrades {
+		t := trade.Data{
 			Exchange:     b.Name,
-			AssetType:    c.Asset,
-			Side:         side,
+			AssetType:    s.Asset,
+			CurrencyPair: s.Pairs[0],
+			TID:          strconv.FormatInt(w.ID, 10),
+			Timestamp:    w.Timestamp.Time().UTC(),
+			Side:         order.Buy,
+			Amount:       w.Amount,
+			Price:        w.Price,
+		}
+		if w.Period != 0 {
+			t.AssetType = asset.MarginFunding
+		}
+		if t.Amount < 0 {
+			t.Side = order.Sell
+			t.Amount = math.Abs(t.Amount)
+		}
+		if feedEnabled {
+			b.Websocket.DataHandler <- t
 		}
 	}
+	if b.IsSaveTradeDataEnabled() {
+		err = trade.AddTradesToBuffer(b.GetName(), trades...)
+	}
+	return err
+}
 
-	return b.AddTradesToBuffer(trades...)
+func (b *Bitfinex) handleWSPublicTradesSnapshot(v []byte) ([]*wsTrade, error) {
+	var trades []*wsTrade
+	return trades, json.Unmarshal(v, &trades)
+}
+
+func (b *Bitfinex) handleWSPublicTradeUpdate(respRaw []byte) (*wsTrade, error) {
+	v, _, _, err := jsonparser.Get(respRaw, "[2]")
+	if err != nil {
+		return nil, err
+	}
+	t := &wsTrade{}
+	return t, json.Unmarshal(v, t)
 }
 
 func (b *Bitfinex) handleWSNotification(d []interface{}, respRaw []byte) error {
@@ -1175,7 +1174,7 @@ func (b *Bitfinex) handleWSPositionUpdate(d []interface{}) error {
 	return nil
 }
 
-func (b *Bitfinex) handleWSTradeUpdate(d []interface{}, eventType string) error {
+func (b *Bitfinex) handleWSMyTradeUpdate(d []interface{}, eventType string) error {
 	tradeData, ok := d[2].([]interface{})
 	if !ok {
 		return common.GetTypeAssertError("[]interface{}", d[2], "tradeUpdate")
@@ -1748,7 +1747,7 @@ func (b *Bitfinex) subscribeToChan(subs subscription.List) error {
 	}
 
 	// subId is a single round-trip identifier that provides linking sub requests to chanIDs
-	// Although docs only mention subId for wsBook, it works for all chans
+	// Although docs only mention subId for wsBookChannel, it works for all chans
 	subID := strconv.FormatInt(b.Websocket.Conn.GenerateMessageID(false), 10)
 	req["subId"] = subID
 
@@ -2218,7 +2217,7 @@ func subToMap(s *subscription.Subscription, a asset.Item, p currency.Pair) map[s
 		pairFmt.Delimiter = ":"
 	}
 	symbol := p.Format(pairFmt).String()
-	if c == wsCandles {
+	if c == wsCandlesChannel {
 		req["key"] = "trade:" + s.Interval.Short() + ":" + prefix + symbol + fundingPeriod
 	} else {
 		req["symbol"] = prefix + symbol

exchanges/bitfinex/testdata/wsAllTrades.json

@@ -0,0 +1,5 @@
+[18788,[[412685577,1580268444802,11.1998,176.3],[412685578,1580268484802,-5,176.29952759],[412685579,1580269005757,4.2,0.1244,12]],1]
+[18788,"te",[5690221201,1734237017719,0.00991467,102570],2]
+[18788,"tu",[5690221202,1734237017704,-0.01925285,102560],3]
+[18788,"fte",[5690221203,1734237018019,0.00991467,102550,30],4]
+[18788,"ftu",[5690221204,1734237018094,-0.01925285,102540,30],5]