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Bitmex: Fix deprecated API endpoints and add config migration support (#1901)
* Bitmex: Fix configured WS url ignored * Bitmex: Replace deprecated WS api endpoint * [Bitmex deprecated the old WS multiplexing endpoint](https://blog.bitmex.com/api_announcement/api-update-remove-support-realtimemd/) * [Bitmex deprecated the www WS endpoint in 2021](https://blog.bitmex.com/api_announcement/change-of-websocket-endpoint/). Apparently still in service though. Fixes #1894
This commit is contained in:
Gareth Kirwan
GitHub
@@ -692,7 +692,7 @@ func TestUpdateTradablePairs(t *testing.T) {
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func TestWsPositionUpdate(t *testing.T) {
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t.Parallel()
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pressXToJSON := []byte(`[0, "public", "public", {"table":"position",
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pressXToJSON := []byte(`{"table":"position",
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"action":"update",
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"data":[{
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"account":2,"symbol":"ETHUSD","currency":"XBt",
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@@ -700,14 +700,14 @@ func TestWsPositionUpdate(t *testing.T) {
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"riskValue":87960,"homeNotional":0.0008796,"posState":"Liquidation","maintMargin":263,
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"unrealisedGrossPnl":-677,"unrealisedPnl":-677,"unrealisedPnlPcnt":-0.0078,"unrealisedRoePcnt":-0.7756,
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"simpleQty":0.001,"liquidationPrice":1140.1, "timestamp":"2017-04-04T22:07:45.442Z"
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}]}]`)
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}]}`)
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err := b.wsHandleData(pressXToJSON)
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require.NoError(t, err)
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}
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func TestWsInsertExectuionUpdate(t *testing.T) {
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t.Parallel()
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pressXToJSON := []byte(`[0, "public", "public", {"table":"execution",
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pressXToJSON := []byte(`{"table":"execution",
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"action":"insert",
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"data":[{
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"execID":"0193e879-cb6f-2891-d099-2c4eb40fee21",
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@@ -722,23 +722,23 @@ func TestWsInsertExectuionUpdate(t *testing.T) {
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"text":"Liquidation","trdMatchID":"7f4ab7f6-0006-3234-76f4-ae1385aad00f","execCost":88155,"execComm":66,
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"homeNotional":-0.00088155,"foreignNotional":1,"transactTime":"2017-04-04T22:07:46.035Z",
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"timestamp":"2017-04-04T22:07:46.035Z"
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}]}]`)
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}]}`)
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err := b.wsHandleData(pressXToJSON)
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require.NoError(t, err)
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}
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func TestWSPositionUpdateHandling(t *testing.T) {
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t.Parallel()
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pressXToJSON := []byte(`[0, "public", "public", {"table":"position",
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pressXToJSON := []byte(`{"table":"position",
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"action":"update",
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"data":[{
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"account":2,"symbol":"ETHUSD","currency":"XBt","currentQty":1,
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"markPrice":1136.88,"posState":"Liquidated","simpleQty":0.001,"liquidationPrice":1140.1,"bankruptPrice":1134.37,
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"timestamp":"2017-04-04T22:07:46.019Z"
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}]}]`)
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}]}`)
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err := b.wsHandleData(pressXToJSON)
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require.NoError(t, err)
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pressXToJSON = []byte(`[0, "public", "public", {"table":"position",
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pressXToJSON = []byte(`{"table":"position",
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"action":"update",
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"data":[{
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"account":2,"symbol":"ETHUSD","currency":"XBt",
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@@ -751,14 +751,14 @@ func TestWSPositionUpdateHandling(t *testing.T) {
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"unrealisedPnlPcnt":0,"unrealisedRoePcnt":0,"simpleQty":0,"simpleCost":0,"simpleValue":0,"avgCostPrice":null,
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"avgEntryPrice":null,"breakEvenPrice":null,"marginCallPrice":null,"liquidationPrice":null,"bankruptPrice":null,
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"timestamp":"2017-04-04T22:07:46.140Z"
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}]}]`)
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}]}`)
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err = b.wsHandleData(pressXToJSON)
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require.NoError(t, err)
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}
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func TestWSOrderbookHandling(t *testing.T) {
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t.Parallel()
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pressXToJSON := []byte(`[0, "public", "public", {
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pressXToJSON := []byte(`{
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"table":"orderBookL2_25",
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"keys":["symbol","id","side"],
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"types":{"id":"long","price":"float","side":"symbol","size":"long","symbol":"symbol"},
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@@ -772,58 +772,58 @@ func TestWSOrderbookHandling(t *testing.T) {
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{"symbol":"ETHUSD","id":17999995000,"side":"Buy","size":10,"price":50},
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{"symbol":"ETHUSD","id":17999996000,"side":"Buy","size":20,"price":40},
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{"symbol":"ETHUSD","id":17999997000,"side":"Buy","size":100,"price":30}
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]}]`)
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]}`)
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err := b.wsHandleData(pressXToJSON)
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require.NoError(t, err)
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pressXToJSON = []byte(`[0, "public", "public", {
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pressXToJSON = []byte(`{
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"table":"orderBookL2_25",
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"action":"update",
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"data":[
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{"symbol":"ETHUSD","id":17999995000,"side":"Buy","size":5,"timestamp":"2017-04-04T22:16:38.461Z"}
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]}]`)
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]}`)
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err = b.wsHandleData(pressXToJSON)
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require.NoError(t, err)
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pressXToJSON = []byte(`[0, "public", "public", {
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pressXToJSON = []byte(`{
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"table":"orderBookL2_25",
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"action":"update",
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"data":[]}]`)
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"data":[]}`)
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err = b.wsHandleData(pressXToJSON)
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require.ErrorContains(t, err, "empty orderbook")
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pressXToJSON = []byte(`[0, "public", "public", {
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pressXToJSON = []byte(`{
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"table":"orderBookL2_25",
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"action":"delete",
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"data":[
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{"symbol":"ETHUSD","id":17999995000,"side":"Buy","timestamp":"2017-04-04T22:16:38.461Z"}
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]}]`)
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]}`)
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err = b.wsHandleData(pressXToJSON)
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require.NoError(t, err)
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pressXToJSON = []byte(`[0, "public", "public", {
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pressXToJSON = []byte(`{
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"table":"orderBookL2_25",
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"action":"delete",
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"data":[
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{"symbol":"ETHUSD","id":17999995000,"side":"Buy","timestamp":"2017-04-04T22:16:38.461Z"}
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]}]`)
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]}`)
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err = b.wsHandleData(pressXToJSON)
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assert.ErrorIs(t, err, orderbook.ErrOrderbookInvalid)
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}
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func TestWSDeleveragePositionUpdateHandling(t *testing.T) {
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t.Parallel()
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pressXToJSON := []byte(`[0, "public", "public", {"table":"position",
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pressXToJSON := []byte(`{"table":"position",
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"action":"update",
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"data":[{
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"account":2,"symbol":"ETHUSD","currency":"XBt","currentQty":2000,
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"markPrice":1160.72,"posState":"Deleverage","simpleQty":1.746,"liquidationPrice":1140.1,
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"timestamp":"2017-04-04T22:16:38.460Z"
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}]}]`)
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}]}`)
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err := b.wsHandleData(pressXToJSON)
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require.NoError(t, err)
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pressXToJSON = []byte(`[0, "public", "public", {"table":"position",
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pressXToJSON = []byte(`{"table":"position",
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"action":"update",
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"data":[{
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"account":2,"symbol":"ETHUSD","currency":"XBt",
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@@ -837,14 +837,14 @@ func TestWSDeleveragePositionUpdateHandling(t *testing.T) {
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"simpleQty":0,"simpleCost":0,"simpleValue":0,"simplePnl":0,"simplePnlPcnt":0,"avgCostPrice":null,
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"avgEntryPrice":null,"breakEvenPrice":null,"marginCallPrice":null,"liquidationPrice":null,"bankruptPrice":null,
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"timestamp":"2017-04-04T22:16:38.547Z"
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}]}]`)
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}]}`)
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err = b.wsHandleData(pressXToJSON)
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require.NoError(t, err)
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}
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func TestWSDeleverageExecutionInsertHandling(t *testing.T) {
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t.Parallel()
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pressXToJSON := []byte(`[0, "public", "public", {"table":"execution",
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pressXToJSON := []byte(`{"table":"execution",
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"action":"insert",
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"data":[{
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"execID":"20ad1ff4-c110-a4f2-dd31-f94eaa0701fd",
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@@ -859,7 +859,7 @@ func TestWSDeleverageExecutionInsertHandling(t *testing.T) {
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"trdMatchID":"1e849b8a-7e88-3c67-a93f-cc654d40e8ba","execCost":172306000,"execComm":-43077,
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"homeNotional":-1.72306,"foreignNotional":2000,"transactTime":"2017-04-04T22:16:38.472Z",
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"timestamp":"2017-04-04T22:16:38.472Z"
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}]}]`)
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}]}`)
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err := b.wsHandleData(pressXToJSON)
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require.NoError(t, err)
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}
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@@ -869,13 +869,13 @@ func TestWsTrades(t *testing.T) {
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b := new(Bitmex) //nolint:govet // Intentional shadow to avoid future copy/paste mistakes
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require.NoError(t, testexch.Setup(b), "Test instance Setup must not error")
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b.SetSaveTradeDataStatus(true)
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msg := []byte(`[0, "public", "public", {"table":"trade","action":"insert","data":[{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.3,"tickDirection":"MinusTick","trdMatchID":"c427f7a0-6b26-1e10-5c4e-1bd74daf2a73","grossValue":2583000,"homeNotional":0.9904912836767037,"foreignNotional":255.84389857369254},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.3,"tickDirection":"ZeroMinusTick","trdMatchID":"95eb9155-b58c-70e9-44b7-34efe50302e0","grossValue":2583000,"homeNotional":0.9904912836767037,"foreignNotional":255.84389857369254},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.3,"tickDirection":"ZeroMinusTick","trdMatchID":"e607c187-f25c-86bc-cb39-8afff7aaf2d9","grossValue":2583000,"homeNotional":0.9904912836767037,"foreignNotional":255.84389857369254},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":17,"price":258.3,"tickDirection":"ZeroMinusTick","trdMatchID":"0f076814-a57d-9a59-8063-ad6b823a80ac","grossValue":439110,"homeNotional":0.1683835182250396,"foreignNotional":43.49346275752773},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.25,"tickDirection":"MinusTick","trdMatchID":"f4ef3dfd-51c4-538f-37c1-e5071ba1c75d","grossValue":2582500,"homeNotional":0.9904912836767037,"foreignNotional":255.79437400950872},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.25,"tickDirection":"ZeroMinusTick","trdMatchID":"81ef136b-8f4a-b1cf-78a8-fffbfa89bf40","grossValue":2582500,"homeNotional":0.9904912836767037,"foreignNotional":255.79437400950872},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.25,"tickDirection":"ZeroMinusTick","trdMatchID":"65a87e8c-7563-34a4-d040-94e8513c5401","grossValue":2582500,"homeNotional":0.9904912836767037,"foreignNotional":255.79437400950872},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":15,"price":258.25,"tickDirection":"ZeroMinusTick","trdMatchID":"1d11a74e-a157-3f33-036d-35a101fba50b","grossValue":387375,"homeNotional":0.14857369255150554,"foreignNotional":38.369156101426306},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":1,"price":258.25,"tickDirection":"ZeroMinusTick","trdMatchID":"40d49df1-f018-f66f-4ca5-31d4997641d7","grossValue":25825,"homeNotional":0.009904912836767036,"foreignNotional":2.5579437400950873},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.2,"tickDirection":"MinusTick","trdMatchID":"36135b51-73e5-c007-362b-a55be5830c6b","grossValue":2582000,"homeNotional":0.9904912836767037,"foreignNotional":255.7448494453249},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"6ee19edb-99aa-3030-ba63-933ffb347ade","grossValue":2582000,"homeNotional":0.9904912836767037,"foreignNotional":255.7448494453249},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"d44be603-cdb8-d676-e3e2-f91fb12b2a70","grossValue":2582000,"homeNotional":0.9904912836767037,"foreignNotional":255.7448494453249},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":5,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"a14b43b3-50b4-c075-c54d-dfb0165de33d","grossValue":129100,"homeNotional":0.04952456418383518,"foreignNotional":12.787242472266245},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":8,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"3c30e175-5194-320c-8f8c-01636c2f4a32","grossValue":206560,"homeNotional":0.07923930269413629,"foreignNotional":20.45958795562599},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":50,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"5b803378-760b-4919-21fc-bfb275d39ace","grossValue":1291000,"homeNotional":0.49524564183835185,"foreignNotional":127.87242472266244},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":244,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"cf57fec1-c444-b9e5-5e2d-4fb643f4fdb7","grossValue":6300080,"homeNotional":2.416798732171157,"foreignNotional":624.0174326465927}]}]`)
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msg := []byte(`{"table":"trade","action":"insert","data":[{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.3,"tickDirection":"MinusTick","trdMatchID":"c427f7a0-6b26-1e10-5c4e-1bd74daf2a73","grossValue":2583000,"homeNotional":0.9904912836767037,"foreignNotional":255.84389857369254},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.3,"tickDirection":"ZeroMinusTick","trdMatchID":"95eb9155-b58c-70e9-44b7-34efe50302e0","grossValue":2583000,"homeNotional":0.9904912836767037,"foreignNotional":255.84389857369254},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.3,"tickDirection":"ZeroMinusTick","trdMatchID":"e607c187-f25c-86bc-cb39-8afff7aaf2d9","grossValue":2583000,"homeNotional":0.9904912836767037,"foreignNotional":255.84389857369254},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":17,"price":258.3,"tickDirection":"ZeroMinusTick","trdMatchID":"0f076814-a57d-9a59-8063-ad6b823a80ac","grossValue":439110,"homeNotional":0.1683835182250396,"foreignNotional":43.49346275752773},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.25,"tickDirection":"MinusTick","trdMatchID":"f4ef3dfd-51c4-538f-37c1-e5071ba1c75d","grossValue":2582500,"homeNotional":0.9904912836767037,"foreignNotional":255.79437400950872},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.25,"tickDirection":"ZeroMinusTick","trdMatchID":"81ef136b-8f4a-b1cf-78a8-fffbfa89bf40","grossValue":2582500,"homeNotional":0.9904912836767037,"foreignNotional":255.79437400950872},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.25,"tickDirection":"ZeroMinusTick","trdMatchID":"65a87e8c-7563-34a4-d040-94e8513c5401","grossValue":2582500,"homeNotional":0.9904912836767037,"foreignNotional":255.79437400950872},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":15,"price":258.25,"tickDirection":"ZeroMinusTick","trdMatchID":"1d11a74e-a157-3f33-036d-35a101fba50b","grossValue":387375,"homeNotional":0.14857369255150554,"foreignNotional":38.369156101426306},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":1,"price":258.25,"tickDirection":"ZeroMinusTick","trdMatchID":"40d49df1-f018-f66f-4ca5-31d4997641d7","grossValue":25825,"homeNotional":0.009904912836767036,"foreignNotional":2.5579437400950873},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.2,"tickDirection":"MinusTick","trdMatchID":"36135b51-73e5-c007-362b-a55be5830c6b","grossValue":2582000,"homeNotional":0.9904912836767037,"foreignNotional":255.7448494453249},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"6ee19edb-99aa-3030-ba63-933ffb347ade","grossValue":2582000,"homeNotional":0.9904912836767037,"foreignNotional":255.7448494453249},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"d44be603-cdb8-d676-e3e2-f91fb12b2a70","grossValue":2582000,"homeNotional":0.9904912836767037,"foreignNotional":255.7448494453249},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":5,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"a14b43b3-50b4-c075-c54d-dfb0165de33d","grossValue":129100,"homeNotional":0.04952456418383518,"foreignNotional":12.787242472266245},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":8,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"3c30e175-5194-320c-8f8c-01636c2f4a32","grossValue":206560,"homeNotional":0.07923930269413629,"foreignNotional":20.45958795562599},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":50,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"5b803378-760b-4919-21fc-bfb275d39ace","grossValue":1291000,"homeNotional":0.49524564183835185,"foreignNotional":127.87242472266244},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":244,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"cf57fec1-c444-b9e5-5e2d-4fb643f4fdb7","grossValue":6300080,"homeNotional":2.416798732171157,"foreignNotional":624.0174326465927}]}`)
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require.NoError(t, b.wsHandleData(msg), "Must not error handling a standard stream of trades")
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msg = []byte(`[0, "public", "public", {"table":"trade","action":"insert","data":[{"timestamp":"2020-02-17T01:35:36.442Z","symbol":".BGCT","size":14,"price":258.2,"side":"sell"}]}]`)
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msg = []byte(`{"table":"trade","action":"insert","data":[{"timestamp":"2020-02-17T01:35:36.442Z","symbol":".BGCT","size":14,"price":258.2,"side":"sell"}]}`)
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require.ErrorIs(t, b.wsHandleData(msg), exchange.ErrSymbolCannotBeMatched, "Must error correctly with an unknown symbol")
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msg = []byte(`[0, "public", "public", {"table":"trade","action":"insert","data":[{"timestamp":"2020-02-17T01:35:36.442Z","symbol":".BGCT","size":0,"price":258.2,"side":"sell"}]}]`)
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msg = []byte(`{"table":"trade","action":"insert","data":[{"timestamp":"2020-02-17T01:35:36.442Z","symbol":".BGCT","size":0,"price":258.2,"side":"sell"}]}`)
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require.NoError(t, b.wsHandleData(msg), "Must not error that symbol is unknown when index trade is ignored due to zero size")
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}
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@@ -1152,4 +1152,7 @@ func TestSubscribe(t *testing.T) {
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for _, s := range subs {
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assert.Equalf(t, subscription.UnsubscribedState, s.State(), "%s state should be unsusbscribed", s.QualifiedChannel)
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}
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err = b.Subscribe(subscription.List{{QualifiedChannel: "wibble", Channel: "wibble", Asset: asset.Spot}})
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require.ErrorContains(t, err, "Unknown table: wibble", "Subscribe must receive errors through websocket.Match on request json")
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}
|
||||
|
||||
Reference in New Issue
Block a user