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exchanges/websocket: Implement subscription configuration (#1394)

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* Websockets: Move Subscription to its own package

This allows the small type to be imported from both `config` and from
`stream` without an import cycle, so we don't have to repeat ourselves

* Subs: Renamed Currency to Pair

This was being mis-used through much of the code, and since we're
already touching everything, we might as well fix it

* Websockets: Add Subscription configuration

* Binance: Add subscription configuration

* Kucoin: Subscription configuration

* Simplify GenerateDefaultSubs
* Improve TestGenSubs coverage
* Test Candle Sub generation
* Support Candle intervals
* Full responsibility for formatting Channel name on GenerateDefaultSubs
  OR consumer of Subscribe
* Simplify generatePayloads as a result
* Fix test coverage of asset types in processMarketSnapshot

* Exchanges: Abstract ParallelChanOp

* Tests: Generic ws mock instances

* Kucoin: Fix intermittent conflict in test currs

Use isolated test instance for `TestGetOpenInterest`.

`TestGetOpenInterest` would occassionally change pairs before
GenerateDefault Subs.
This commit is contained in:
Gareth Kirwan
2024-01-24 05:54:07 +01:00
committed by GitHub
parent 301551ac20
commit e007f69f7c
67 changed files with 3705 additions and 3167 deletions
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24
docs/ADD_NEW_EXCHANGE.md
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@@ -736,9 +736,9 @@ func (f *FTX) WsConnect() error {
```go
// GenerateDefaultSubscriptions generates default subscription
func (f *FTX) GenerateDefaultSubscriptions() ([]stream.ChannelSubscription, error) {
var subscriptions []stream.ChannelSubscription
subscriptions = append(subscriptions, stream.ChannelSubscription{
func (f *FTX) GenerateDefaultSubscriptions() ([]subscription.Subscription, error) {
var subscriptions []subscription.Subscription
subscriptions = append(subscriptions, subscription.Subscription{
Channel: wsMarkets,
})
// Ranges over available channels, pairs and asset types to produce a full
@@ -756,9 +756,9 @@ func (f *FTX) GenerateDefaultSubscriptions() ([]stream.ChannelSubscription, erro
"-")
for x := range channels {
subscriptions = append(subscriptions,
stream.ChannelSubscription{
subscription.Subscription{
Channel: channels[x],
Currency: newPair,
Pair: newPair,
Asset: assets[a],
})
}
@@ -768,7 +768,7 @@ func (f *FTX) GenerateDefaultSubscriptions() ([]stream.ChannelSubscription, erro
if f.IsWebsocketAuthenticationSupported() {
var authchan = []string{wsOrders, wsFills}
for x := range authchan {
subscriptions = append(subscriptions, stream.ChannelSubscription{
subscriptions = append(subscriptions, subscription.Subscription{
Channel: authchan[x],
})
}
@@ -811,7 +811,7 @@ type WsSub struct {
```go
// Subscribe sends a websocket message to receive data from the channel
func (f *FTX) Subscribe(channelsToSubscribe []stream.ChannelSubscription) error {
func (f *FTX) Subscribe(channelsToSubscribe []subscription.Subscription) error {
// For subscriptions we try to batch as much as possible to limit the amount
// of connection usage but sometimes this is not supported on the exchange
// API.
@@ -827,13 +827,13 @@ channels:
case wsFills, wsOrders, wsMarkets:
// Authenticated wsFills && wsOrders or wsMarkets which is a channel subscription for the full set of tradable markets do not need a currency pair association.
default:
a, err := f.GetPairAssetType(channelsToSubscribe[i].Currency)
a, err := f.GetPairAssetType(channelsToSubscribe[i].Pair)
if err != nil {
errs = append(errs, err)
continue channels
}
// Ensures our outbound currency pair is formatted correctly, sometimes our configuration format is different from what our request format needs to be.
formattedPair, err := f.FormatExchangeCurrency(channelsToSubscribe[i].Currency, a)
formattedPair, err := f.FormatExchangeCurrency(channelsToSubscribe[i].Pair, a)
if err != nil {
errs = append(errs, err)
continue channels
@@ -1065,7 +1065,7 @@ func (f *FTX) WsAuth(ctx context.Context) error {
```go
// Unsubscribe sends a websocket message to stop receiving data from the channel
func (f *FTX) Unsubscribe(channelsToUnsubscribe []stream.ChannelSubscription) error {
func (f *FTX) Unsubscribe(channelsToUnsubscribe []subscription.Subscription) error {
// As with subscribing we want to batch as much as possible, but sometimes this cannot be achieved due to API shortfalls.
var errs common.Errors
channels:
@@ -1076,13 +1076,13 @@ channels:
switch channelsToUnsubscribe[i].Channel {
case wsFills, wsOrders, wsMarkets:
default:
a, err := f.GetPairAssetType(channelsToUnsubscribe[i].Currency)
a, err := f.GetPairAssetType(channelsToUnsubscribe[i].Pair)
if err != nil {
errs = append(errs, err)
continue channels
}
formattedPair, err := f.FormatExchangeCurrency(channelsToUnsubscribe[i].Currency, a)
formattedPair, err := f.FormatExchangeCurrency(channelsToUnsubscribe[i].Pair, a)
if err != nil {
errs = append(errs, err)
continue channels