Okx: Websocket order channel fixes (#1346)

* Okx: Fix WS order fields

* Fixes float64 with string annotation erroring on empty strings:
Okx Order Push Data error json: invalid use of ,string struct tag, trying to unmarshal "" into float64
Specifically this came from px field from a market order
* Switch to convert.StringToFloat64 instead of okxNumericalValue
* Fix typo in Notional* field names; Ironically prevented them from erroring

* Okx: Add tests for first order fields

* Okx: CID and maybe set WS order Filled time

* Tests: Set TestFixtureToDataHandler to t.Helper

* Orders: Add UnmarshalJSON to order.Side

* Okx: Fix FillTime not parsed for PendingOrder

* Okx: Switch to order.Side Unmarshal throughout

* Okx: Add Fee and FeeAsset to order processing

* Okx: Fix WS order.Detail amounts and Test

This fixes Amount vs QuoteAmount for market sells where tgtCcy is
quote_ccy

* Add comment to order.Side.UnmarshalJSON

* Okx: Replace PendingOrderItem Unmarshal with local types

* Okx: string type for WS order reduceOnly

Note: Not yet in unit tests, since it's not part of the spot tests I was
originally fixing. I'll circle back to adding full test support for
Reduce only and deleveraging positions.

* Okx: Fix TestOrderPushData Amount

We were expecting 0 when we're given a quoteAmount
In reality, we'll calculate the size from the price

* Okx: Fix order and remAmount in wsOrders

Improved handling for Float64 issues and boundaries when the order is
fully executed but not yet marked as Filled

* Fix ErrSideIsInvalid in tests

exchanges/okx/okx_test.go

@@ -2490,13 +2490,70 @@ func TestBalanceAndPosition(t *testing.T) {
 	}
 }
 
-const orderPushDataJSON = `{"arg": {    "channel": "orders",    "instType": "SPOT",    "instId": "BTC-USDT",    "uid": "614488474791936"},"data": [    {        "accFillSz": "0.001",        "amendResult": "",        "avgPx": "31527.1",        "cTime": "1654084334977",        "category": "normal",        "ccy": "",        "clOrdId": "",        "code": "0",        "execType": "M",        "fee": "-0.02522168",        "feeCcy": "USDT",        "fillFee": "-0.02522168",        "fillFeeCcy": "USDT",        "fillNotionalUsd": "31.50818374",        "fillPx": "31527.1",        "fillSz": "0.001",        "fillTime": "1654084353263",        "instId": "BTC-USDT",        "instType": "SPOT",        "lever": "0",        "msg": "",        "notionalUsd": "31.50818374",        "ordId": "452197707845865472",        "ordType": "limit",        "pnl": "0",        "posSide": "",        "px": "31527.1",        "rebate": "0",        "rebateCcy": "BTC",        "reduceOnly": "false",        "reqId": "",        "side": "sell",        "slOrdPx": "",        "slTriggerPx": "",        "slTriggerPxType": "last",        "source": "",        "state": "filled",        "sz": "0.001",        "tag": "",        "tdMode": "cash",        "tgtCcy": "",        "tpOrdPx": "",        "tpTriggerPx": "",        "tpTriggerPxType": "last",        "tradeId": "242589207",        "uTime": "1654084353264"    }]}`
-
 func TestOrderPushData(t *testing.T) {
 	t.Parallel()
-	if err := ok.WsHandleData([]byte(orderPushDataJSON)); err != nil {
-		t.Error("Okx Order Push Data error", err)
+	n := new(Okx)
+	sharedtestvalues.TestFixtureToDataHandler(t, ok, n, "testdata/wsOrders.json", n.WsHandleData)
+	seen := 0
+	for reading := true; reading; {
+		select {
+		default:
+			reading = false
+		case resp := <-n.GetBase().Websocket.DataHandler:
+			seen++
+			switch v := resp.(type) {
+			case *order.Detail:
+				switch seen {
+				case 1:
+					assert.Equal(t, "452197707845865472", v.OrderID, "OrderID")
+					assert.Equal(t, "HamsterParty14", v.ClientOrderID, "ClientOrderID")
+					assert.Equal(t, asset.Spot, v.AssetType, "AssetType")
+					assert.Equal(t, order.Sell, v.Side, "Side")
+					assert.Equal(t, order.Filled, v.Status, "Status")
+					assert.Equal(t, order.Limit, v.Type, "Type")
+					assert.Equal(t, currency.NewPairWithDelimiter("BTC", "USDT", "-"), v.Pair, "Pair")
+					assert.Equal(t, 31527.1, v.AverageExecutedPrice, "AverageExecutedPrice")
+					assert.Equal(t, time.UnixMilli(1654084334977), v.Date, "Date")
+					assert.Equal(t, time.UnixMilli(1654084353263), v.CloseTime, "CloseTime")
+					assert.Equal(t, 0.001, v.Amount, "Amount")
+					assert.Equal(t, 0.001, v.ExecutedAmount, "ExecutedAmount")
+					assert.Equal(t, 0.000, v.RemainingAmount, "RemainingAmount")
+					assert.Equal(t, 31527.1, v.Price, "Price")
+					assert.Equal(t, 0.02522168, v.Fee, "Fee")
+					assert.Equal(t, currency.USDT, v.FeeAsset, "FeeAsset")
+				case 2:
+					assert.Equal(t, "620258920632008725", v.OrderID, "OrderID")
+					assert.Equal(t, asset.Spot, v.AssetType, "AssetType")
+					assert.Equal(t, order.Market, v.Type, "Type")
+					assert.Equal(t, order.Sell, v.Side, "Side")
+					assert.Equal(t, order.Active, v.Status, "Status")
+					assert.Equal(t, 0.0, v.Amount, "Amount should be 0 for a market sell")
+					assert.Equal(t, 10.0, v.QuoteAmount, "QuoteAmount")
+				case 3:
+					assert.Equal(t, "620258920632008725", v.OrderID, "OrderID")
+					assert.Equal(t, 10.0, v.QuoteAmount, "QuoteAmount")
+					assert.Equal(t, 0.00038127046945832905, v.Amount, "Amount")
+					assert.Equal(t, 0.010000249968, v.Fee, "Fee")
+					assert.Equal(t, 0.0, v.RemainingAmount, "RemainingAmount")
+					assert.Equal(t, 0.00038128, v.ExecutedAmount, "ExecutedAmount")
+					assert.Equal(t, order.PartiallyFilled, v.Status, "Status")
+				case 4:
+					assert.Equal(t, "620258920632008725", v.OrderID, "OrderID")
+					assert.Equal(t, 10.0, v.QuoteAmount, "QuoteAmount")
+					assert.Equal(t, 0.010000249968, v.Fee, "Fee")
+					assert.Equal(t, 0.0, v.RemainingAmount, "RemainingAmount")
+					assert.Equal(t, 0.00038128, v.ExecutedAmount, "ExecutedAmount")
+					assert.Equal(t, 0.00038128, v.Amount, "Amount should be derived because order filled")
+					assert.Equal(t, order.Filled, v.Status, "Status")
+				}
+			case error:
+				t.Error(v)
+			default:
+				t.Errorf("Got unexpected data: %T %v", v, v)
+			}
+		}
 	}
+	assert.Equal(t, 4, seen, "Saw 4 records")
 }
 
 const algoOrdersPushDataJSON = `{"arg": {"channel": "orders-algo","uid": "77982378738415879","instType": "FUTURES","instId": "BTC-USD-200329"},"data": [{"instType": "FUTURES","instId": "BTC-USD-200329","ordId": "312269865356374016","ccy": "BTC","algoId": "1234","px": "999","sz": "3","tdMode": "cross","tgtCcy": "","notionalUsd": "","ordType": "trigger","side": "buy","posSide": "long","state": "live","lever": "20","tpTriggerPx": "","tpTriggerPxType": "","tpOrdPx": "","slTriggerPx": "","slTriggerPxType": "","triggerPx": "99","triggerPxType": "last","ordPx": "12","actualSz": "","actualPx": "","tag": "adadadadad","actualSide": "","triggerTime": "1597026383085","cTime": "1597026383000"}]}`

exchanges/okx/okx_type_convert.go

@@ -139,7 +139,6 @@ func (a *OrderDetail) UnmarshalJSON(data []byte) error {
 	type Alias OrderDetail
 	chil := &struct {
 		*Alias
-		Side         string `json:"side"`
 		UpdateTime   int64  `json:"uTime,string"`
 		CreationTime int64  `json:"cTime,string"`
 		FillTime     string `json:"fillTime"`
@@ -152,7 +151,6 @@ func (a *OrderDetail) UnmarshalJSON(data []byte) error {
 	var err error
 	a.UpdateTime = time.UnixMilli(chil.UpdateTime)
 	a.CreationTime = time.UnixMilli(chil.CreationTime)
-	a.Side, err = order.StringToOrderSide(chil.Side)
 	if chil.FillTime == "" {
 		a.FillTime = time.Time{}
 	} else {
@@ -169,38 +167,6 @@ func (a *OrderDetail) UnmarshalJSON(data []byte) error {
 	return nil
 }
 
-// UnmarshalJSON deserializes JSON, and timestamp information.
-func (a *PendingOrderItem) UnmarshalJSON(data []byte) error {
-	type Alias PendingOrderItem
-	chil := &struct {
-		*Alias
-		Side         string `json:"side"`
-		UpdateTime   string `json:"uTime"`
-		CreationTime string `json:"cTime"`
-	}{
-		Alias: (*Alias)(a),
-	}
-	err := json.Unmarshal(data, chil)
-	if err != nil {
-		return err
-	}
-	uTime, err := strconv.ParseInt(chil.UpdateTime, 10, 64)
-	if err != nil {
-		return err
-	}
-	cTime, err := strconv.ParseInt(chil.CreationTime, 10, 64)
-	if err != nil {
-		return err
-	}
-	a.Side, err = order.StringToOrderSide(chil.Side)
-	if err != nil {
-		return err
-	}
-	a.CreationTime = time.UnixMilli(cTime)
-	a.UpdateTime = time.UnixMilli(uTime)
-	return nil
-}
-
 // UnmarshalJSON deserializes JSON, and timestamp information.
 func (a *RfqTradeResponse) UnmarshalJSON(data []byte) error {
 	type Alias RfqTradeResponse
@@ -233,29 +199,6 @@ func (a *BlockTicker) UnmarshalJSON(data []byte) error {
 	return nil
 }
 
-// UnmarshalJSON deserializes JSON, and timestamp information.
-func (a *BlockTrade) UnmarshalJSON(data []byte) error {
-	type Alias BlockTrade
-	chil := &struct {
-		*Alias
-		Side string `json:"side"`
-	}{
-		Alias: (*Alias)(a),
-	}
-	if err := json.Unmarshal(data, chil); err != nil {
-		return err
-	}
-	switch {
-	case strings.EqualFold(chil.Side, "buy"):
-		a.Side = order.Buy
-	case strings.EqualFold(chil.Side, "sell"):
-		a.Side = order.Sell
-	default:
-		a.Side = order.UnknownSide
-	}
-	return nil
-}
-
 // UnmarshalJSON deserializes JSON, and timestamp information.
 func (a *UnitConvertResponse) UnmarshalJSON(data []byte) error {
 	type Alias UnitConvertResponse
@@ -277,27 +220,6 @@ func (a *UnitConvertResponse) UnmarshalJSON(data []byte) error {
 	return nil
 }
 
-// UnmarshalJSON deserializes JSON, and timestamp information.
-func (a *QuoteLeg) UnmarshalJSON(data []byte) error {
-	type Alias QuoteLeg
-	chil := &struct {
-		*Alias
-		Side string `json:"side"`
-	}{
-		Alias: (*Alias)(a),
-	}
-	if err := json.Unmarshal(data, chil); err != nil {
-		return err
-	}
-	chil.Side = strings.ToLower(chil.Side)
-	if chil.Side == "buy" {
-		a.Side = order.Buy
-	} else {
-		a.Side = order.Sell
-	}
-	return nil
-}
-
 // MarshalJSON serialized QuoteLeg instance into bytes
 func (a *QuoteLeg) MarshalJSON() ([]byte, error) {
 	type Alias QuoteLeg

exchanges/okx/okx_types.go

@@ -230,7 +230,7 @@ type TradeResponse struct {
 	TradeID      string           `json:"tradeId"`
 	Price        float64          `json:"px,string"`
 	Quantity     float64          `json:"sz,string"`
-	Side         string           `json:"side"`
+	Side         order.Side       `json:"side"`
 	Timestamp    okxUnixMilliTime `json:"ts"`
 }
 
@@ -433,7 +433,7 @@ type LiquidationOrderDetailItem struct {
 	BankruptcyPx          string           `json:"bkPx"`
 	Currency              string           `json:"ccy"`
 	PosSide               string           `json:"posSide"`
-	Side                  string           `json:"side"`
+	Side                  string           `json:"side"` // May be empty
 	QuantityOfLiquidation float64          `json:"sz,string"`
 	Timestamp             okxUnixMilliTime `json:"ts"`
 }
@@ -717,42 +717,42 @@ type OrderHistoryRequestParams struct {
 
 // PendingOrderItem represents a pending order Item in pending orders list.
 type PendingOrderItem struct {
-	AccumulatedFillSize        okxNumericalValue `json:"accFillSz"`
-	AveragePrice               okxNumericalValue `json:"avgPx"`
-	CreationTime               time.Time         `json:"cTime"`
-	Category                   string            `json:"category"`
-	Currency                   string            `json:"ccy"`
-	ClientOrderID              string            `json:"clOrdId"`
-	TransactionFee             string            `json:"fee"`
-	FeeCurrency                string            `json:"feeCcy"`
-	LastFilledPrice            string            `json:"fillPx"`
-	LastFilledSize             okxNumericalValue `json:"fillSz"`
-	FillTime                   string            `json:"fillTime"`
-	InstrumentID               string            `json:"instId"`
-	InstrumentType             string            `json:"instType"`
-	Leverage                   okxNumericalValue `json:"lever"`
-	OrderID                    string            `json:"ordId"`
-	OrderType                  string            `json:"ordType"`
-	ProfitAndLose              string            `json:"pnl"`
-	PositionSide               string            `json:"posSide"`
-	RebateAmount               string            `json:"rebate"`
-	RebateCurrency             string            `json:"rebateCcy"`
-	Side                       order.Side        `json:"side"`
-	StopLossOrdPrice           string            `json:"slOrdPx"`
-	StopLossTriggerPrice       string            `json:"slTriggerPx"`
-	StopLossTriggerPriceType   string            `json:"slTriggerPxType"`
-	State                      string            `json:"state"`
-	Price                      float64           `json:"px,string"`
-	Size                       float64           `json:"sz,string"`
-	Tag                        string            `json:"tag"`
-	QuantityType               string            `json:"tgtCcy"`
-	TradeMode                  string            `json:"tdMode"`
-	Source                     string            `json:"source"`
-	TakeProfitOrdPrice         string            `json:"tpOrdPx"`
-	TakeProfitTriggerPrice     string            `json:"tpTriggerPx"`
-	TakeProfitTriggerPriceType string            `json:"tpTriggerPxType"`
-	TradeID                    string            `json:"tradeId"`
-	UpdateTime                 time.Time         `json:"uTime"`
+	AccumulatedFillSize        convert.StringToFloat64 `json:"accFillSz"`
+	AveragePrice               convert.StringToFloat64 `json:"avgPx"`
+	CreationTime               okxUnixMilliTime        `json:"cTime"`
+	Category                   string                  `json:"category"`
+	Currency                   string                  `json:"ccy"`
+	ClientOrderID              string                  `json:"clOrdId"`
+	Fee                        convert.StringToFloat64 `json:"fee"`
+	FeeCurrency                currency.Code           `json:"feeCcy"`
+	LastFilledPrice            convert.StringToFloat64 `json:"fillPx"`
+	LastFilledSize             convert.StringToFloat64 `json:"fillSz"`
+	FillTime                   okxUnixMilliTime        `json:"fillTime"`
+	InstrumentID               string                  `json:"instId"`
+	InstrumentType             string                  `json:"instType"`
+	Leverage                   convert.StringToFloat64 `json:"lever"`
+	OrderID                    string                  `json:"ordId"`
+	OrderType                  string                  `json:"ordType"`
+	ProfitAndLoss              string                  `json:"pnl"`
+	PositionSide               string                  `json:"posSide"`
+	RebateAmount               convert.StringToFloat64 `json:"rebate"`
+	RebateCurrency             string                  `json:"rebateCcy"`
+	Side                       order.Side              `json:"side"`
+	StopLossOrdPrice           convert.StringToFloat64 `json:"slOrdPx"`
+	StopLossTriggerPrice       convert.StringToFloat64 `json:"slTriggerPx"`
+	StopLossTriggerPriceType   string                  `json:"slTriggerPxType"`
+	State                      string                  `json:"state"`
+	Price                      convert.StringToFloat64 `json:"px"`
+	Size                       convert.StringToFloat64 `json:"sz"`
+	Tag                        string                  `json:"tag"`
+	SizeType                   string                  `json:"tgtCcy"`
+	TradeMode                  string                  `json:"tdMode"`
+	Source                     string                  `json:"source"`
+	TakeProfitOrdPrice         convert.StringToFloat64 `json:"tpOrdPx"`
+	TakeProfitTriggerPrice     convert.StringToFloat64 `json:"tpTriggerPx"`
+	TakeProfitTriggerPriceType string                  `json:"tpTriggerPxType"`
+	TradeID                    string                  `json:"tradeId"`
+	UpdateTime                 okxUnixMilliTime        `json:"uTime"`
 }
 
 // TransactionDetailRequestParams retrieve recently-filled transaction details in the last 3 day.
@@ -780,7 +780,7 @@ type TransactionDetail struct {
 	Tag            string           `json:"tag"`
 	FillPrice      float64          `json:"fillPx,string"`
 	FillSize       float64          `json:"fillSz,string"`
-	Side           string           `json:"side"`
+	Side           order.Side       `json:"side"`
 	PositionSide   string           `json:"posSide"`
 	ExecType       string           `json:"execType"`
 	FeeCurrency    string           `json:"feeCcy"`
@@ -862,7 +862,7 @@ type AlgoOrderResponse struct {
 	AlgoOrderID                string           `json:"algoId"`
 	Quantity                   string           `json:"sz"`
 	OrderType                  string           `json:"ordType"`
-	Side                       string           `json:"side"`
+	Side                       order.Side       `json:"side"`
 	PositionSide               string           `json:"posSide"`
 	TradeMode                  string           `json:"tdMode"`
 	QuantityType               string           `json:"tgtCcy"`
@@ -1175,7 +1175,7 @@ type EstimateQuoteResponse struct {
 	QuoteTime       okxUnixMilliTime `json:"quoteTime"`
 	RfqSize         string           `json:"rfqSz"`
 	RfqSizeCurrency string           `json:"rfqSzCcy"`
-	Side            string           `json:"side"`
+	Side            order.Side       `json:"side"`
 	TTLMs           string           `json:"ttlMs"` // Validity period of quotation in milliseconds
 }
 
@@ -1201,7 +1201,7 @@ type ConvertTradeResponse struct {
 	InstrumentID  string           `json:"instId"`
 	QuoteCurrency string           `json:"quoteCcy"`
 	QuoteID       string           `json:"quoteId"`
-	Side          string           `json:"side"`
+	Side          order.Side       `json:"side"`
 	State         string           `json:"state"`
 	TradeID       string           `json:"tradeId"`
 	Timestamp     okxUnixMilliTime `json:"ts"`
@@ -1210,7 +1210,7 @@ type ConvertTradeResponse struct {
 // ConvertHistory holds convert trade history response
 type ConvertHistory struct {
 	InstrumentID  string           `json:"instId"`
-	Side          string           `json:"side"`
+	Side          order.Side       `json:"side"`
 	FillPrice     float64          `json:"fillPx,string"`
 	BaseCurrency  string           `json:"baseCcy"`
 	QuoteCurrency string           `json:"quoteCcy"`
@@ -1482,12 +1482,12 @@ type LeverageResponse struct {
 
 // MaximumLoanInstrument represents maximum loan of an instrument id.
 type MaximumLoanInstrument struct {
-	InstrumentID string `json:"instId"`
-	MgnMode      string `json:"mgnMode"`
-	MgnCcy       string `json:"mgnCcy"`
-	MaxLoan      string `json:"maxLoan"`
-	Ccy          string `json:"ccy"`
-	Side         string `json:"side"`
+	InstrumentID string     `json:"instId"`
+	MgnMode      string     `json:"mgnMode"`
+	MgnCcy       string     `json:"mgnCcy"`
+	MaxLoan      string     `json:"maxLoan"`
+	Ccy          string     `json:"ccy"`
+	Side         order.Side `json:"side"`
 }
 
 // TradeFeeRate holds trade fee rate information for a given instrument type.
@@ -1564,7 +1564,7 @@ type LoanBorrowAndReplay struct {
 	Currency      string `json:"ccy"`
 	LoanQuota     string `json:"loanQuota"`
 	PosLoan       string `json:"posLoan"`
-	Side          string `json:"side"`
+	Side          string `json:"side"` // borrow or repay
 	UsedLoan      string `json:"usedLoan"`
 }
 
@@ -2374,7 +2374,7 @@ type WSTradeData struct {
 	TradeID      string           `json:"tradeId"`
 	Price        float64          `json:"px,string"`
 	Size         float64          `json:"sz,string"`
-	Side         string           `json:"side"`
+	Side         order.Side       `json:"side"`
 	Timestamp    okxUnixMilliTime `json:"ts"`
 }
 
@@ -2500,16 +2500,16 @@ type WsBalanceAndPosition struct {
 // WsOrder represents a websocket order.
 type WsOrder struct {
 	PendingOrderItem
-	AmendResult     string  `json:"amendResult"`
-	Code            string  `json:"code"`
-	ExecType        string  `json:"execType"`
-	FillFee         string  `json:"fillFee"`
-	FillFeeCurrency string  `json:"fillFeeCcy"`
-	FillNationalUsd float64 `json:"fillNationalUsd,string"`
-	Msg             string  `json:"msg"`
-	NationalUSD     string  `json:"nationalUsd"`
-	ReduceOnly      bool    `json:"reduceOnly"`
-	RequestID       string  `json:"reqId"`
+	AmendResult     string                  `json:"amendResult"`
+	Code            string                  `json:"code"`
+	ExecType        string                  `json:"execType"`
+	FillFee         convert.StringToFloat64 `json:"fillFee"`
+	FillFeeCurrency string                  `json:"fillFeeCcy"`
+	FillNotionalUsd convert.StringToFloat64 `json:"fillNotionalUsd"`
+	Msg             string                  `json:"msg"`
+	NotionalUSD     convert.StringToFloat64 `json:"notionalUsd"`
+	ReduceOnly      bool                    `json:"reduceOnly,string"`
+	RequestID       string                  `json:"reqId"`
 }
 
 // WsOrderResponse holds order list push data through the websocket connection
@@ -2537,7 +2537,7 @@ type WsAlgoOrderDetail struct {
 	TargetCurrency             string           `json:"tgtCcy"`
 	NotionalUsd                string           `json:"notionalUsd"`
 	OrderType                  string           `json:"ordType"`
-	Side                       string           `json:"side"`
+	Side                       order.Side       `json:"side"`
 	PositionSide               string           `json:"posSide"`
 	State                      string           `json:"state"`
 	Leverage                   string           `json:"lever"`
@@ -2581,7 +2581,7 @@ type WsAdvancedAlgoOrderDetail struct {
 	PriceLimit             string           `json:"pxLimit"`
 	PriceSpread            string           `json:"pxSpread"`
 	PriceVariation         string           `json:"pxVar"`
-	Side                   string           `json:"side"`
+	Side                   order.Side       `json:"side"`
 	StopLossOrderPrice     string           `json:"slOrdPx"`
 	StopLossTriggerPrice   string           `json:"slTriggerPx"`
 	State                  string           `json:"state"`
@@ -2839,7 +2839,7 @@ type GridSubOrderData struct {
 	ProfitAdLoss        string           `json:"pnl"`
 	PositionSide        string           `json:"posSide"`
 	Price               string           `json:"px"`
-	Side                string           `json:"side"`
+	Side                order.Side       `json:"side"`
 	State               string           `json:"state"`
 	Size                string           `json:"sz"`
 	Tag                 string           `json:"tag"`

exchanges/okx/okx_websocket.go

@@ -1009,18 +1009,13 @@ func (ok *Okx) wsProcessTrades(data []byte) error {
 		if err != nil {
 			return err
 		}
-		var side order.Side
-		side, err = order.StringToOrderSide(response.Data[i].Side)
-		if err != nil {
-			return err
-		}
 		for j := range assets {
 			trades = append(trades, trade.Data{
 				Amount:       response.Data[i].Quantity,
 				AssetType:    assets[j],
 				CurrencyPair: pair,
 				Exchange:     ok.Name,
-				Side:         side,
+				Side:         response.Data[i].Side,
 				Timestamp:    response.Data[i].Timestamp.Time(),
 				TID:          response.Data[i].TradeID,
 				Price:        response.Data[i].Price,
@@ -1060,40 +1055,62 @@ func (ok *Okx) wsProcessOrders(respRaw []byte) error {
 		if err != nil {
 			return err
 		}
+
 		avgPrice := response.Data[x].AveragePrice.Float64()
-		orderAmount := response.Data[x].Size
+		orderAmount := response.Data[x].Size.Float64()
+		execAmount := response.Data[x].AccumulatedFillSize.Float64()
+
 		var quoteAmount float64
-		if response.Data[x].QuantityType == "quote_ccy" {
+		if response.Data[x].SizeType == "quote_ccy" {
 			// Size is quote amount.
 			quoteAmount = orderAmount
-			if avgPrice > 0 {
-				orderAmount /= avgPrice
+			if orderStatus == order.Filled {
+				// We prefer to take execAmount over calculating from quoteAmount / avgPrice
+				// because it avoids rounding issues
+				orderAmount = execAmount
 			} else {
-				// Size not in Base, and we can't derive a sane value for it
-				orderAmount = 0
+				if avgPrice > 0 {
+					orderAmount /= avgPrice
+				} else {
+					// Size not in Base, and we can't derive a sane value for it
+					orderAmount = 0
+				}
 			}
 		}
+
 		var remainingAmount float64
-		if orderStatus != order.Filled {
-			remainingAmount = orderAmount - response.Data[x].AccumulatedFillSize.Float64()
+		// Float64 rounding may lead to execAmount > orderAmount by a tiny fraction
+		// noting that the order can be fully executed before it's marked as status Filled
+		if orderStatus != order.Filled && orderAmount > execAmount {
+			remainingAmount = orderAmount - execAmount
 		}
-		ok.Websocket.DataHandler <- &order.Detail{
-			Price:                response.Data[x].Price,
+
+		d := &order.Detail{
 			Amount:               orderAmount,
-			QuoteAmount:          quoteAmount,
-			ExecutedAmount:       response.Data[x].AccumulatedFillSize.Float64(),
-			RemainingAmount:      remainingAmount,
+			AssetType:            a,
 			AverageExecutedPrice: avgPrice,
-			Exchange:             ok.Name,
-			OrderID:              response.Data[x].OrderID,
 			ClientOrderID:        response.Data[x].ClientOrderID,
-			Type:                 orderType,
+			Date:                 response.Data[x].CreationTime.Time(),
+			Exchange:             ok.Name,
+			ExecutedAmount:       execAmount,
+			Fee:                  0.0 - response.Data[x].Fee.Float64(),
+			FeeAsset:             response.Data[x].FeeCurrency,
+			OrderID:              response.Data[x].OrderID,
+			Pair:                 pair,
+			Price:                response.Data[x].Price.Float64(),
+			QuoteAmount:          quoteAmount,
+			RemainingAmount:      remainingAmount,
 			Side:                 response.Data[x].Side,
 			Status:               orderStatus,
-			AssetType:            a,
-			Date:                 response.Data[x].CreationTime,
-			Pair:                 pair,
+			Type:                 orderType,
 		}
+		if orderStatus == order.Filled {
+			d.CloseTime = response.Data[x].FillTime.Time()
+			if d.Amount == 0 {
+				d.Amount = d.ExecutedAmount
+			}
+		}
+		ok.Websocket.DataHandler <- d
 	}
 	return nil
 }

exchanges/okx/okx_wrapper.go

@@ -684,18 +684,13 @@ func (ok *Okx) GetRecentTrades(ctx context.Context, p currency.Pair, assetType a
 	}
 
 	resp := make([]trade.Data, len(tradeData))
-	var side order.Side
 	for x := range tradeData {
-		side, err = order.StringToOrderSide(tradeData[x].Side)
-		if err != nil {
-			return nil, err
-		}
 		resp[x] = trade.Data{
 			TID:          tradeData[x].TradeID,
 			Exchange:     ok.Name,
 			CurrencyPair: p,
 			AssetType:    assetType,
-			Side:         side,
+			Side:         tradeData[x].Side,
 			Price:        tradeData[x].Price,
 			Amount:       tradeData[x].Quantity,
 			Timestamp:    tradeData[x].Timestamp.Time(),
@@ -744,11 +739,6 @@ allTrades:
 				// reached end of trades to crawl
 				break allTrades
 			}
-			var tradeSide order.Side
-			tradeSide, err = order.StringToOrderSide(trades[i].Side)
-			if err != nil {
-				return nil, err
-			}
 			resp = append(resp, trade.Data{
 				TID:          trades[i].TradeID,
 				Exchange:     ok.Name,
@@ -757,7 +747,7 @@ allTrades:
 				Price:        trades[i].Price,
 				Amount:       trades[i].Quantity,
 				Timestamp:    trades[i].Timestamp.Time(),
-				Side:         tradeSide,
+				Side:         trades[i].Side,
 			})
 		}
 		tradeIDEnd = trades[len(trades)-1].TradeID

exchanges/okx/testdata/wsOrders.json

@@ -0,0 +1,4 @@
+{"arg":{"channel":"orders","instType":"SPOT","instId":"BTC-USDT","uid":"614488474791936"},"data":[{"accFillSz":"0.001","amendResult":"","avgPx":"31527.1","cTime":"1654084334977","category":"normal","ccy":"","clOrdId":"HamsterParty14","code":"0","execType":"M","fee":"-0.02522168","feeCcy":"USDT","fillFee":"-0.02522168","fillFeeCcy":"USDT","fillNotionalUsd":"31.50818374","fillPx":"31527.1","fillSz":"0.001","fillTime":"1654084353263","instId":"BTC-USDT","instType":"SPOT","lever":"0","msg":"","notionalUsd":"31.50818374","ordId":"452197707845865472","ordType":"limit","pnl":"0","posSide":"","px":"31527.1","rebate":"0","rebateCcy":"BTC","reduceOnly":"false","reqId":"","side":"sell","slOrdPx":"","slTriggerPx":"","slTriggerPxType":"last","source":"","state":"filled","sz":"0.001","tag":"","tdMode":"cash","tgtCcy":"","tpOrdPx":"","tpTriggerPx":"","tpTriggerPxType":"last","tradeId":"242589207","uTime":"1654084353264"}]}
+{"arg":{"channel":"orders","instType":"SPOT","uid":"448743607034327908"},"data":[{"accFillSz":"0","algoClOrdId":"","algoId":"","amendResult":"","amendSource":"","attachAlgoClOrdId":"","avgPx":"0","cTime":"1694153250532","cancelSource":"","category":"normal","ccy":"","clOrdId":"","code":"0","execType":"","fee":"0","feeCcy":"USDT","fillFee":"0","fillFeeCcy":"","fillFwdPx":"","fillMarkPx":"","fillMarkVol":"","fillNotionalUsd":"","fillPnl":"0","fillPx":"","fillPxUsd":"","fillPxVol":"","fillSz":"0","fillTime":"","instId":"BTC-USDT","instType":"SPOT","lever":"0","msg":"","notionalUsd":"10.000599999999999","ordId":"620258920632008725","ordType":"market","pnl":"0","posSide":"","px":"","pxType":"","pxUsd":"","pxVol":"","quickMgnType":"","rebate":"0","rebateCcy":"BTC","reduceOnly":"false","reqId":"","side":"sell","slOrdPx":"","slTriggerPx":"","slTriggerPxType":"","source":"","state":"live","stpId":"","stpMode":"","sz":"10","tag":"","tdMode":"cash","tgtCcy":"quote_ccy","tpOrdPx":"","tpTriggerPx":"","tpTriggerPxType":"","tradeId":"","uTime":"1694153250532"}]}
+{"arg":{"channel":"orders","instType":"SPOT","uid":"448743607034327908"},"data":[{"accFillSz":"0.00038128","algoClOrdId":"","algoId":"","amendResult":"","amendSource":"","attachAlgoClOrdId":"","avgPx":"26228.1","cTime":"1694153250532","cancelSource":"","category":"normal","ccy":"","clOrdId":"","code":"0","execType":"T","fee":"-0.010000249968","feeCcy":"USDT","fillFee":"-0.010000249968","fillFeeCcy":"USDT","fillFwdPx":"","fillMarkPx":"","fillMarkVol":"","fillNotionalUsd":"10.00084998299808","fillPnl":"0","fillPx":"26228.1","fillPxUsd":"","fillPxVol":"","fillSz":"0.00038128","fillTime":"1694153250535","instId":"BTC-USDT","instType":"SPOT","lever":"0","msg":"","notionalUsd":"10.000599999999999","ordId":"620258920632008725","ordType":"market","pnl":"0","posSide":"","px":"","pxType":"","pxUsd":"","pxVol":"","quickMgnType":"","rebate":"0","rebateCcy":"BTC","reduceOnly":"false","reqId":"","side":"sell","slOrdPx":"","slTriggerPx":"","slTriggerPxType":"","source":"","state":"partially_filled","stpId":"","stpMode":"","sz":"10","tag":"","tdMode":"cash","tgtCcy":"quote_ccy","tpOrdPx":"","tpTriggerPx":"","tpTriggerPxType":"","tradeId":"435550732","uTime":"1694153250535"}]}
+{"arg":{"channel":"orders","instType":"SPOT","uid":"448743607034327908"},"data":[{"accFillSz":"0.00038128","algoClOrdId":"","algoId":"","amendResult":"","amendSource":"","attachAlgoClOrdId":"","avgPx":"26228.1","cTime":"1694153250532","cancelSource":"","category":"normal","ccy":"","clOrdId":"","code":"0","execType":"","fee":"-0.010000249968","feeCcy":"USDT","fillFee":"0","fillFeeCcy":"","fillFwdPx":"","fillMarkPx":"","fillMarkVol":"","fillNotionalUsd":"10.00084998299808","fillPnl":"0","fillPx":"","fillPxUsd":"","fillPxVol":"","fillSz":"0","fillTime":"","instId":"BTC-USDT","instType":"SPOT","lever":"0","msg":"","notionalUsd":"10.000599999999999","ordId":"620258920632008725","ordType":"market","pnl":"0","posSide":"","px":"","pxType":"","pxUsd":"","pxVol":"","quickMgnType":"","rebate":"0","rebateCcy":"BTC","reduceOnly":"false","reqId":"","side":"sell","slOrdPx":"","slTriggerPx":"","slTriggerPxType":"","source":"","state":"filled","stpId":"","stpMode":"","sz":"10","tag":"","tdMode":"cash","tgtCcy":"quote_ccy","tpOrdPx":"","tpTriggerPx":"","tpTriggerPxType":"","tradeId":"","uTime":"1694153250535"}]}

exchanges/order/order_test.go

@@ -1,6 +1,7 @@
 package order
 
 import (
+	"encoding/json"
 	"errors"
 	"fmt"
 	"reflect"
@@ -10,6 +11,7 @@ import (
 	"time"
 
 	"github.com/gofrs/uuid"
+	"github.com/stretchr/testify/assert"
 	"github.com/thrasher-corp/gocryptotrader/common"
 	"github.com/thrasher-corp/gocryptotrader/currency"
 	"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
@@ -2045,3 +2047,13 @@ func TestAdjustQuoteAmount(t *testing.T) {
 		t.Fatalf("received: '%v' but expected: '%v'", s.Amount, 5.22222222)
 	}
 }
+
+func TestSideUnmarshal(t *testing.T) {
+	t.Parallel()
+	var s Side
+	assert.Nil(t, s.UnmarshalJSON([]byte(`"SELL"`)), "Quoted valid side okay")
+	assert.Equal(t, Sell, s, "Correctly set order Side")
+	assert.ErrorIs(t, s.UnmarshalJSON([]byte(`"STEAL"`)), ErrSideIsInvalid, "Quoted invalid side errors")
+	var jErr *json.UnmarshalTypeError
+	assert.ErrorAs(t, s.UnmarshalJSON([]byte(`14`)), &jErr, "non-string valid json is rejected")
+}

exchanges/order/orders.go

@@ -1,8 +1,11 @@
 package order
 
 import (
+	"bytes"
+	"encoding/json"
 	"errors"
 	"fmt"
+	"reflect"
 	"sort"
 	"strings"
 	"time"
@@ -1060,6 +1063,18 @@ func StringToOrderSide(side string) (Side, error) {
 	}
 }
 
+// UnmarshalJSON parses the JSON-encoded order side and stores the result
+// It expects a quoted string input, and uses StringToOrderSide to parse it
+func (s *Side) UnmarshalJSON(data []byte) (err error) {
+	if !bytes.HasPrefix(data, []byte(`"`)) {
+		// Note that we don't need to worry about invalid JSON here, it wouldn't have made it past the deserialiser far
+		// TODO: Can use reflect.TypeFor[s]() when it's released, probably 1.21
+		return &json.UnmarshalTypeError{Value: string(data), Type: reflect.TypeOf(s), Offset: 1}
+	}
+	*s, err = StringToOrderSide(string(data[1 : len(data)-1])) // Remove quotes
+	return
+}
+
 // StringToOrderType for converting case insensitive order type
 // and returning a real Type
 func StringToOrderType(oType string) (Type, error) {

exchanges/sharedtestvalues/sharedtestvalues.go

@@ -154,6 +154,7 @@ func ForceFileStandard(t *testing.T, pattern string) error {
 // TestFixtureToDataHandler takes a new empty exchange and configures a new websocket handler for it, and squirts the json path contents to it
 // It accepts a reader function, which is probably e.wsHandleData but could be anything
 func TestFixtureToDataHandler(t *testing.T, seed, e exchange.IBotExchange, fixturePath string, reader func([]byte) error) {
+	t.Helper()
 	b := e.GetBase()
 	seedBase := seed.GetBase()