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Merge branch 'master' into engine

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This commit is contained in:
Adrian Gallagher
2019-06-21 18:10:55 +10:00
parent 897bcfd9a4 3a66e99899
commit 9ff4471a45
87 changed files with 5669 additions and 992 deletions
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38
exchanges/bitmex/bitmex_test.go
View File

@@ -1,14 +1,17 @@
package bitmex
import (
"net/http"
"sync"
"testing"
"time"
"github.com/gorilla/websocket"
"github.com/thrasher-/gocryptotrader/common"
"github.com/thrasher-/gocryptotrader/config"
"github.com/thrasher-/gocryptotrader/currency"
exchange "github.com/thrasher-/gocryptotrader/exchanges"
"github.com/thrasher-/gocryptotrader/exchanges/sharedtestvalues"
)
// Please supply your own keys here for due diligence testing
@@ -33,6 +36,7 @@ func TestSetup(t *testing.T) {
}
bitmexConfig.API.AuthenticatedSupport = true
bitmexConfig.API.AuthenticatedWebsocketSupport = true
bitmexConfig.API.Credentials.Key = apiKey
bitmexConfig.API.Credentials.Secret = apiSecret
@@ -683,3 +687,37 @@ func TestGetDepositAddress(t *testing.T) {
}
}
}
// TestWsAuth dials websocket, sends login request.
func TestWsAuth(t *testing.T) {
b.SetDefaults()
TestSetup(t)
if !b.Websocket.IsEnabled() && !b.API.AuthenticatedWebsocketSupport || !areTestAPIKeysSet() {
t.Skip(exchange.WebsocketNotEnabled)
}
var err error
var dialer websocket.Dialer
b.WebsocketConn, _, err = dialer.Dial(b.Websocket.GetWebsocketURL(),
http.Header{})
if err != nil {
t.Fatal(err)
}
b.Websocket.DataHandler = sharedtestvalues.GetWebsocketInterfaceChannelOverride()
b.Websocket.TrafficAlert = sharedtestvalues.GetWebsocketStructChannelOverride()
go b.wsHandleIncomingData()
defer b.WebsocketConn.Close()
err = b.websocketSendAuth()
if err != nil {
t.Error(err)
}
timer := time.NewTimer(sharedtestvalues.WebsocketResponseDefaultTimeout)
select {
case resp := <-b.Websocket.DataHandler:
if !resp.(WebsocketSubscribeResp).Success {
t.Error("Expected successful subscription")
}
case <-timer.C:
t.Error("Have not received a response")
}
timer.Stop()
}

138
exchanges/bitmex/bitmex_websocket.go
View File

@@ -110,12 +110,11 @@ func (b *Bitmex) WsConnector() error {
go b.wsHandleIncomingData()
b.GenerateDefaultSubscriptions()
if b.AllowAuthenticatedRequest() {
err := b.websocketSendAuth()
if err != nil {
return err
}
err = b.websocketSendAuth()
if err != nil {
log.Errorf("%v - authentication failed: %v", b.Name, err)
}
b.GenerateAuthenticatedSubscriptions()
return nil
}
@@ -193,11 +192,15 @@ func (b *Bitmex) wsHandleIncomingData() {
}
if decodedResp.Success {
if b.Verbose {
if len(quickCapture) == 3 {
b.Websocket.DataHandler <- decodedResp
if len(quickCapture) == 3 {
if b.Verbose {
log.Debugf("%s websocket: Successfully subscribed to %s",
b.Name, decodedResp.Subscribe)
} else {
}
} else {
b.Websocket.SetCanUseAuthenticatedEndpoints(true)
if b.Verbose {
log.Debugf("%s websocket: Successfully authenticated websocket connection",
b.Name)
}
@@ -267,7 +270,6 @@ func (b *Bitmex) wsHandleIncomingData() {
case bitmexWSAnnouncement:
var announcement AnnouncementData
err = common.JSONDecode(resp.Raw, &announcement)
if err != nil {
b.Websocket.DataHandler <- err
@@ -279,7 +281,70 @@ func (b *Bitmex) wsHandleIncomingData() {
}
b.Websocket.DataHandler <- announcement.Data
case bitmexWSAffiliate:
var response WsAffiliateResponse
err = common.JSONDecode(resp.Raw, &response)
if err != nil {
b.Websocket.DataHandler <- err
continue
}
b.Websocket.DataHandler <- response
case bitmexWSExecution:
var response WsExecutionResponse
err = common.JSONDecode(resp.Raw, &response)
if err != nil {
b.Websocket.DataHandler <- err
continue
}
b.Websocket.DataHandler <- response
case bitmexWSOrder:
var response WsOrderResponse
err = common.JSONDecode(resp.Raw, &response)
if err != nil {
b.Websocket.DataHandler <- err
continue
}
b.Websocket.DataHandler <- response
case bitmexWSMargin:
var response WsMarginResponse
err = common.JSONDecode(resp.Raw, &response)
if err != nil {
b.Websocket.DataHandler <- err
continue
}
b.Websocket.DataHandler <- response
case bitmexWSPosition:
var response WsPositionResponse
err = common.JSONDecode(resp.Raw, &response)
if err != nil {
b.Websocket.DataHandler <- err
continue
}
b.Websocket.DataHandler <- response
case bitmexWSPrivateNotifications:
var response WsPrivateNotificationsResponse
err = common.JSONDecode(resp.Raw, &response)
if err != nil {
b.Websocket.DataHandler <- err
continue
}
b.Websocket.DataHandler <- response
case bitmexWSTransact:
var response WsTransactResponse
err = common.JSONDecode(resp.Raw, &response)
if err != nil {
b.Websocket.DataHandler <- err
continue
}
b.Websocket.DataHandler <- response
case bitmexWSWallet:
var response WsWalletResponse
err = common.JSONDecode(resp.Raw, &response)
if err != nil {
b.Websocket.DataHandler <- err
continue
}
b.Websocket.DataHandler <- response
default:
b.Websocket.DataHandler <- fmt.Errorf("%s websocket error: Table unknown - %s",
b.Name, decodedResp.Table)
@@ -396,6 +461,47 @@ func (b *Bitmex) GenerateDefaultSubscriptions() {
Channel: bitmexWSAnnouncement,
},
}
for i := range channels {
for j := range contracts {
subscriptions = append(subscriptions, exchange.WebsocketChannelSubscription{
Channel: fmt.Sprintf("%v:%v", channels[i], contracts[j].String()),
Currency: contracts[j],
})
}
}
b.Websocket.SubscribeToChannels(subscriptions)
}
// GenerateAuthenticatedSubscriptions Adds authenticated subscriptions to websocket to be handled by ManageSubscriptions()
func (b *Bitmex) GenerateAuthenticatedSubscriptions() {
if !b.Websocket.CanUseAuthenticatedEndpoints() {
return
}
contracts := b.GetEnabledPairs(asset.PerpetualContract)
channels := []string{bitmexWSExecution,
bitmexWSPosition,
}
subscriptions := []exchange.WebsocketChannelSubscription{
{
Channel: bitmexWSAffiliate,
},
{
Channel: bitmexWSOrder,
},
{
Channel: bitmexWSMargin,
},
{
Channel: bitmexWSPrivateNotifications,
},
{
Channel: bitmexWSTransact,
},
{
Channel: bitmexWSWallet,
},
}
for i := range channels {
for j := range contracts {
subscriptions = append(subscriptions, exchange.WebsocketChannelSubscription{
@@ -427,19 +533,27 @@ func (b *Bitmex) Unsubscribe(channelToSubscribe exchange.WebsocketChannelSubscri
// WebsocketSendAuth sends an authenticated subscription
func (b *Bitmex) websocketSendAuth() error {
if !b.GetAuthenticatedAPISupport(exchange.WebsocketAuthentication) {
return fmt.Errorf("%v AuthenticatedWebsocketAPISupport not enabled", b.Name)
}
b.Websocket.SetCanUseAuthenticatedEndpoints(true)
timestamp := time.Now().Add(time.Hour * 1).Unix()
newTimestamp := strconv.FormatInt(timestamp, 10)
hmac := crypto.GetHMAC(crypto.HashSHA256,
[]byte("GET/realtime"+newTimestamp),
[]byte(b.API.Credentials.Secret))
signature := crypto.HexEncodeToString(hmac)
var sendAuth WebsocketRequest
sendAuth.Command = "authKeyExpires"
sendAuth.Arguments = append(sendAuth.Arguments, b.API.Credentials.Key, timestamp,
signature)
return b.wsSend(sendAuth)
err := b.wsSend(sendAuth)
if err != nil {
b.Websocket.SetCanUseAuthenticatedEndpoints(false)
return err
}
return nil
}
// WsSend sends data to the websocket server

257
exchanges/bitmex/bitmex_websocket_types.go
View File

@@ -70,3 +70,260 @@ type AnnouncementData struct {
Data []Announcement `json:"data"`
Action string `json:"action"`
}
// WsAffiliateResponse private api response
type WsAffiliateResponse struct {
WsDataResponse
ForeignKeys interface{} `json:"foreignKeys"`
Attributes WsAffiliateResponseAttributes `json:"attributes"`
Filter WsAffiliateResponseFilter `json:"filter"`
Data []interface{} `json:"data"`
}
// WsAffiliateResponseAttributes private api data
type WsAffiliateResponseAttributes struct {
Account string `json:"account"`
Currency string `json:"currency"`
}
// WsAffiliateResponseFilter private api data
type WsAffiliateResponseFilter struct {
Account int64 `json:"account"`
}
// WsOrderResponse private api response
type WsOrderResponse struct {
WsDataResponse
ForeignKeys WsOrderResponseForeignKeys `json:"foreignKeys"`
Attributes WsOrderResponseAttributes `json:"attributes"`
Filter WsOrderResponseFilter `json:"filter"`
Data []interface{} `json:"data"`
}
// WsOrderResponseAttributes private api data
type WsOrderResponseAttributes struct {
OrderID string `json:"orderID"`
Account string `json:"account"`
OrdStatus string `json:"ordStatus"`
WorkingIndicator string `json:"workingIndicator"`
}
// WsOrderResponseFilter private api data
type WsOrderResponseFilter struct {
Account int64 `json:"account"`
}
// WsOrderResponseForeignKeys private api data
type WsOrderResponseForeignKeys struct {
Symbol string `json:"symbol"`
Side string `json:"side"`
OrdStatus string `json:"ordStatus"`
}
// WsTransactResponse private api response
type WsTransactResponse struct {
WsDataResponse
ForeignKeys interface{} `json:"foreignKeys"`
Attributes WsTransactResponseAttributes `json:"attributes"`
Filter WsTransactResponseFilter `json:"filter"`
Data []interface{} `json:"data"`
}
// WsTransactResponseAttributes private api data
type WsTransactResponseAttributes struct {
TransactID string `json:"transactID"`
TransactTime string `json:"transactTime"`
}
// WsTransactResponseFilter private api data
type WsTransactResponseFilter struct {
Account int64 `json:"account"`
}
// WsWalletResponse private api response
type WsWalletResponse struct {
WsDataResponse
ForeignKeys interface{} `json:"foreignKeys"`
Attributes WsWalletResponseAttributes `json:"attributes"`
Filter WsWalletResponseFilter `json:"filter"`
Data []WsWalletResponseData `json:"data"`
}
// WsWalletResponseAttributes private api data
type WsWalletResponseAttributes struct {
Account string `json:"account"`
Currency string `json:"currency"`
}
// WsWalletResponseData private api data
type WsWalletResponseData struct {
Account int64 `json:"account"`
Currency string `json:"currency"`
PrevDeposited float64 `json:"prevDeposited"`
PrevWithdrawn float64 `json:"prevWithdrawn"`
PrevTransferIn float64 `json:"prevTransferIn"`
PrevTransferOut float64 `json:"prevTransferOut"`
PrevAmount float64 `json:"prevAmount"`
PrevTimestamp string `json:"prevTimestamp"`
DeltaDeposited float64 `json:"deltaDeposited"`
DeltaWithdrawn float64 `json:"deltaWithdrawn"`
DeltaTransferIn float64 `json:"deltaTransferIn"`
DeltaTransferOut float64 `json:"deltaTransferOut"`
DeltaAmount float64 `json:"deltaAmount"`
Deposited float64 `json:"deposited"`
Withdrawn float64 `json:"withdrawn"`
TransferIn float64 `json:"transferIn"`
TransferOut float64 `json:"transferOut"`
Amount float64 `json:"amount"`
PendingCredit float64 `json:"pendingCredit"`
PendingDebit float64 `json:"pendingDebit"`
ConfirmedDebit int64 `json:"confirmedDebit"`
Timestamp string `json:"timestamp"`
Addr string `json:"addr"`
Script string `json:"script"`
WithdrawalLock []interface{} `json:"withdrawalLock"`
}
// WsWalletResponseFilter private api data
type WsWalletResponseFilter struct {
Account int64 `json:"account"`
}
// WsExecutionResponse private api response
type WsExecutionResponse struct {
WsDataResponse
ForeignKeys WsExecutionResponseForeignKeys `json:"foreignKeys"`
Attributes WsExecutionResponseAttributes `json:"attributes"`
Filter WsExecutionResponseFilter `json:"filter"`
Data []interface{} `json:"data"`
}
// WsExecutionResponseAttributes private api data
type WsExecutionResponseAttributes struct {
ExecID string `json:"execID"`
Account string `json:"account"`
ExecType string `json:"execType"`
TransactTime string `json:"transactTime"`
}
// WsExecutionResponseFilter private api data
type WsExecutionResponseFilter struct {
Account int64 `json:"account"`
Symbol string `json:"symbol"`
}
// WsExecutionResponseForeignKeys private api data
type WsExecutionResponseForeignKeys struct {
Symbol string `json:"symbol"`
Side string `json:"side"`
OrdStatus string `json:"ordStatus"`
}
// WsDataResponse contains common elements
type WsDataResponse struct {
Table string `json:"table"`
Action string `json:"action"`
Keys []string `json:"keys"`
Types map[string]string `json:"types"`
}
// WsMarginResponse private api response
type WsMarginResponse struct {
WsDataResponse
ForeignKeys interface{} `json:"foreignKeys"`
Attributes WsMarginResponseAttributes `json:"attributes"`
Filter WsMarginResponseFilter `json:"filter"`
Data []WsMarginResponseData `json:"data"`
}
// WsMarginResponseAttributes private api data
type WsMarginResponseAttributes struct {
Account string `json:"account"`
Currency string `json:"currency"`
}
// WsMarginResponseData private api data
type WsMarginResponseData struct {
Account int64 `json:"account"`
Currency string `json:"currency"`
RiskLimit float64 `json:"riskLimit"`
PrevState string `json:"prevState"`
State string `json:"state"`
Action string `json:"action"`
Amount float64 `json:"amount"`
PendingCredit float64 `json:"pendingCredit"`
PendingDebit float64 `json:"pendingDebit"`
ConfirmedDebit float64 `json:"confirmedDebit"`
PrevRealisedPnl float64 `json:"prevRealisedPnl"`
PrevUnrealisedPnl float64 `json:"prevUnrealisedPnl"`
GrossComm float64 `json:"grossComm"`
GrossOpenCost float64 `json:"grossOpenCost"`
GrossOpenPremium float64 `json:"grossOpenPremium"`
GrossExecCost float64 `json:"grossExecCost"`
GrossMarkValue float64 `json:"grossMarkValue"`
RiskValue float64 `json:"riskValue"`
TaxableMargin float64 `json:"taxableMargin"`
InitMargin float64 `json:"initMargin"`
MaintMargin float64 `json:"maintMargin"`
SessionMargin float64 `json:"sessionMargin"`
TargetExcessMargin float64 `json:"targetExcessMargin"`
VarMargin float64 `json:"varMargin"`
RealisedPnl float64 `json:"realisedPnl"`
UnrealisedPnl float64 `json:"unrealisedPnl"`
IndicativeTax float64 `json:"indicativeTax"`
UnrealisedProfit float64 `json:"unrealisedProfit"`
SyntheticMargin interface{} `json:"syntheticMargin"`
WalletBalance float64 `json:"walletBalance"`
MarginBalance float64 `json:"marginBalance"`
MarginBalancePcnt float64 `json:"marginBalancePcnt"`
MarginLeverage float64 `json:"marginLeverage"`
MarginUsedPcnt float64 `json:"marginUsedPcnt"`
ExcessMargin float64 `json:"excessMargin"`
ExcessMarginPcnt float64 `json:"excessMarginPcnt"`
AvailableMargin float64 `json:"availableMargin"`
WithdrawableMargin float64 `json:"withdrawableMargin"`
Timestamp string `json:"timestamp"`
GrossLastValue float64 `json:"grossLastValue"`
Commission interface{} `json:"commission"`
}
// WsMarginResponseFilter private api data
type WsMarginResponseFilter struct {
Account int64 `json:"account"`
}
// WsPositionResponse private api response
type WsPositionResponse struct {
WsDataResponse
ForeignKeys WsPositionResponseForeignKeys `json:"foreignKeys"`
Attributes WsPositionResponseAttributes `json:"attributes"`
Filter WsPositionResponseFilter `json:"filter"`
Data []interface{} `json:"data"`
}
// WsPositionResponseAttributes private api data
type WsPositionResponseAttributes struct {
Account string `json:"account"`
Symbol string `json:"symbol"`
Currency string `json:"currency"`
Underlying string `json:"underlying"`
QuoteCurrency string `json:"quoteCurrency"`
}
// WsPositionResponseFilter private api data
type WsPositionResponseFilter struct {
Account int64 `json:"account"`
Symbol string `json:"symbol"`
}
// WsPositionResponseForeignKeys private api data
type WsPositionResponseForeignKeys struct {
Symbol string `json:"symbol"`
}
// WsPrivateNotificationsResponse private api response
type WsPrivateNotificationsResponse struct {
Table string `json:"table"`
Action string `json:"action"`
Data []interface{} `json:"data"`
}

10
exchanges/bitmex/bitmex_wrapper.go
View File

@@ -587,3 +587,13 @@ func (b *Bitmex) UnsubscribeToWebsocketChannels(channels []exchange.WebsocketCha
b.Websocket.UnsubscribeToChannels(channels)
return nil
}
// GetSubscriptions returns a copied list of subscriptions
func (b *Bitmex) GetSubscriptions() ([]exchange.WebsocketChannelSubscription, error) {
return b.Websocket.GetSubscriptions(), nil
}
// AuthenticateWebsocket sends an authentication message to the websocket
func (b *Bitmex) AuthenticateWebsocket() error {
return b.websocketSendAuth()
}