mirror of
https://github.com/d0zingcat/gocryptotrader.git
synced 2026-05-21 07:26:48 +00:00
* Initial commit setting up a map orderbook system with a buffer. It will write to the buffer, sort apply to main orderbook and then process. * Moves namespaces again * Updates orderbook to use a sweet new WebsocketOrderbookUpdate type to handle all updates whether its using ID or not. So good. Adds many tests * Starting to implement orderbook update handling per exchange. Updates namespaces again. Hopefuylly will find a way to update via ID not timestamp, too many endpoints dont provide update timestamps * Changes orderbookbuffer to use BufferUpdate type instead of orderbook.Base to achieve more functionality and no need for type conversion functions. Updates tests * Updates all instances of ws.orderbook.Update. Simplifies some orderbook logic * Introduces toggleable buffer. Renames orderbooks. Completes implementation for everywhere but OKGroup due to hash calculation * Implements orderbook update for okgroup, but forgets about the orderbook hash checking * Fixes okgroup checksum calculation. Fixes linting issue. Removes redundant Kraken tests. * Introduces sorting toggle and separates from buffer toggle. Uses benchmarks to highlight performance gains * Fixes Gemini rate limit and parsing. Removes comments and fixes typos * Fixes bitfinex orderbook processing * Inbuilt sorting, minor fixes for websocket implementations. Improves test coverage * Adds surprise LakeBTC websocket support * Fixes data race * Fixes rebasing issues due to namespace movements * Addresses PR nits: moves folder namespace from ws to websocket. Removes line spaces in imports. Fixes lakebtc websocket returns and defer fucntions. Fixes comments * Adds poloniex orderook sorting support * Enables bitstamp and hitbtc orderbook sorting. Fixes poloniex's sorting * Renames namespaces and combines monitor and connection into wshandler. Removes unused SPOT const. Changes how orderbook stuff is loaded. It is done in startup with a setup. Removes exchange name from loadsnapshot as well * Removes the connection.go from rebasing issues. Removes error response from functions used in goroutines * Fixes test with exchange name output change * Fixes issues where copy and paste and replace all were used poorly
612 lines
24 KiB
Go
612 lines
24 KiB
Go
package okgroup
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import (
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"errors"
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"fmt"
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"hash/crc32"
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"net/http"
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"strconv"
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"strings"
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"sync"
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"time"
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"github.com/gorilla/websocket"
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"github.com/thrasher-corp/gocryptotrader/common"
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"github.com/thrasher-corp/gocryptotrader/currency"
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exchange "github.com/thrasher-corp/gocryptotrader/exchanges"
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"github.com/thrasher-corp/gocryptotrader/exchanges/orderbook"
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"github.com/thrasher-corp/gocryptotrader/exchanges/websocket/wshandler"
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"github.com/thrasher-corp/gocryptotrader/exchanges/websocket/wsorderbook"
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log "github.com/thrasher-corp/gocryptotrader/logger"
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)
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// List of all websocket channels to subscribe to
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const (
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// Orderbook events
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okGroupWsOrderbookUpdate = "update"
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okGroupWsOrderbookPartial = "partial"
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// API subsections
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okGroupWsSwapSubsection = "swap/"
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okGroupWsIndexSubsection = "index/"
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okGroupWsFuturesSubsection = "futures/"
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okGroupWsSpotSubsection = "spot/"
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// Shared API endpoints
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okGroupWsCandle = "candle"
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okGroupWsCandle60s = okGroupWsCandle + "60s"
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okGroupWsCandle180s = okGroupWsCandle + "180s"
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okGroupWsCandle300s = okGroupWsCandle + "300s"
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okGroupWsCandle900s = okGroupWsCandle + "900s"
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okGroupWsCandle1800s = okGroupWsCandle + "1800s"
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okGroupWsCandle3600s = okGroupWsCandle + "3600s"
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okGroupWsCandle7200s = okGroupWsCandle + "7200s"
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okGroupWsCandle14400s = okGroupWsCandle + "14400s"
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okGroupWsCandle21600s = okGroupWsCandle + "21600"
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okGroupWsCandle43200s = okGroupWsCandle + "43200s"
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okGroupWsCandle86400s = okGroupWsCandle + "86400s"
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okGroupWsCandle604900s = okGroupWsCandle + "604800s"
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okGroupWsTicker = "ticker"
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okGroupWsTrade = "trade"
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okGroupWsDepth = "depth"
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okGroupWsDepth5 = "depth5"
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okGroupWsAccount = "account"
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okGroupWsMarginAccount = "margin_account"
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okGroupWsOrder = "order"
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okGroupWsFundingRate = "funding_rate"
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okGroupWsPriceRange = "price_range"
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okGroupWsMarkPrice = "mark_price"
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okGroupWsPosition = "position"
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okGroupWsEstimatedPrice = "estimated_price"
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// Spot endpoints
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okGroupWsSpotTicker = okGroupWsSpotSubsection + okGroupWsTicker
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okGroupWsSpotCandle60s = okGroupWsSpotSubsection + okGroupWsCandle60s
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okGroupWsSpotCandle180s = okGroupWsSpotSubsection + okGroupWsCandle180s
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okGroupWsSpotCandle300s = okGroupWsSpotSubsection + okGroupWsCandle300s
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okGroupWsSpotCandle900s = okGroupWsSpotSubsection + okGroupWsCandle900s
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okGroupWsSpotCandle1800s = okGroupWsSpotSubsection + okGroupWsCandle1800s
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okGroupWsSpotCandle3600s = okGroupWsSpotSubsection + okGroupWsCandle3600s
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okGroupWsSpotCandle7200s = okGroupWsSpotSubsection + okGroupWsCandle7200s
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okGroupWsSpotCandle14400s = okGroupWsSpotSubsection + okGroupWsCandle14400s
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okGroupWsSpotCandle21600s = okGroupWsSpotSubsection + okGroupWsCandle21600s
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okGroupWsSpotCandle43200s = okGroupWsSpotSubsection + okGroupWsCandle43200s
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okGroupWsSpotCandle86400s = okGroupWsSpotSubsection + okGroupWsCandle86400s
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okGroupWsSpotCandle604900s = okGroupWsSpotSubsection + okGroupWsCandle604900s
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okGroupWsSpotTrade = okGroupWsSpotSubsection + okGroupWsTrade
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okGroupWsSpotDepth = okGroupWsSpotSubsection + okGroupWsDepth
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okGroupWsSpotDepth5 = okGroupWsSpotSubsection + okGroupWsDepth5
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okGroupWsSpotAccount = okGroupWsSpotSubsection + okGroupWsAccount
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okGroupWsSpotMarginAccount = okGroupWsSpotSubsection + okGroupWsMarginAccount
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okGroupWsSpotOrder = okGroupWsSpotSubsection + okGroupWsOrder
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// Swap endpoints
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okGroupWsSwapTicker = okGroupWsSwapSubsection + okGroupWsTicker
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okGroupWsSwapCandle60s = okGroupWsSwapSubsection + okGroupWsCandle60s
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okGroupWsSwapCandle180s = okGroupWsSwapSubsection + okGroupWsCandle180s
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okGroupWsSwapCandle300s = okGroupWsSwapSubsection + okGroupWsCandle300s
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okGroupWsSwapCandle900s = okGroupWsSwapSubsection + okGroupWsCandle900s
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okGroupWsSwapCandle1800s = okGroupWsSwapSubsection + okGroupWsCandle1800s
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okGroupWsSwapCandle3600s = okGroupWsSwapSubsection + okGroupWsCandle3600s
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okGroupWsSwapCandle7200s = okGroupWsSwapSubsection + okGroupWsCandle7200s
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okGroupWsSwapCandle14400s = okGroupWsSwapSubsection + okGroupWsCandle14400s
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okGroupWsSwapCandle21600s = okGroupWsSwapSubsection + okGroupWsCandle21600s
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okGroupWsSwapCandle43200s = okGroupWsSwapSubsection + okGroupWsCandle43200s
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okGroupWsSwapCandle86400s = okGroupWsSwapSubsection + okGroupWsCandle86400s
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okGroupWsSwapCandle604900s = okGroupWsSwapSubsection + okGroupWsCandle604900s
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okGroupWsSwapTrade = okGroupWsSwapSubsection + okGroupWsTrade
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okGroupWsSwapDepth = okGroupWsSwapSubsection + okGroupWsDepth
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okGroupWsSwapDepth5 = okGroupWsSwapSubsection + okGroupWsDepth5
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okGroupWsSwapFundingRate = okGroupWsSwapSubsection + okGroupWsFundingRate
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okGroupWsSwapPriceRange = okGroupWsSwapSubsection + okGroupWsPriceRange
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okGroupWsSwapMarkPrice = okGroupWsSwapSubsection + okGroupWsMarkPrice
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okGroupWsSwapPosition = okGroupWsSwapSubsection + okGroupWsPosition
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okGroupWsSwapAccount = okGroupWsSwapSubsection + okGroupWsAccount
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okGroupWsSwapOrder = okGroupWsSwapSubsection + okGroupWsOrder
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// Index endpoints
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okGroupWsIndexTicker = okGroupWsIndexSubsection + okGroupWsTicker
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okGroupWsIndexCandle60s = okGroupWsIndexSubsection + okGroupWsCandle60s
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okGroupWsIndexCandle180s = okGroupWsIndexSubsection + okGroupWsCandle180s
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okGroupWsIndexCandle300s = okGroupWsIndexSubsection + okGroupWsCandle300s
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okGroupWsIndexCandle900s = okGroupWsIndexSubsection + okGroupWsCandle900s
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okGroupWsIndexCandle1800s = okGroupWsIndexSubsection + okGroupWsCandle1800s
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okGroupWsIndexCandle3600s = okGroupWsIndexSubsection + okGroupWsCandle3600s
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okGroupWsIndexCandle7200s = okGroupWsIndexSubsection + okGroupWsCandle7200s
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okGroupWsIndexCandle14400s = okGroupWsIndexSubsection + okGroupWsCandle14400s
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okGroupWsIndexCandle21600s = okGroupWsIndexSubsection + okGroupWsCandle21600s
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okGroupWsIndexCandle43200s = okGroupWsIndexSubsection + okGroupWsCandle43200s
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okGroupWsIndexCandle86400s = okGroupWsIndexSubsection + okGroupWsCandle86400s
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okGroupWsIndexCandle604900s = okGroupWsIndexSubsection + okGroupWsCandle604900s
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// Futures endpoints
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okGroupWsFuturesTicker = okGroupWsFuturesSubsection + okGroupWsTicker
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okGroupWsFuturesCandle60s = okGroupWsFuturesSubsection + okGroupWsCandle60s
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okGroupWsFuturesCandle180s = okGroupWsFuturesSubsection + okGroupWsCandle180s
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okGroupWsFuturesCandle300s = okGroupWsFuturesSubsection + okGroupWsCandle300s
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okGroupWsFuturesCandle900s = okGroupWsFuturesSubsection + okGroupWsCandle900s
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okGroupWsFuturesCandle1800s = okGroupWsFuturesSubsection + okGroupWsCandle1800s
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okGroupWsFuturesCandle3600s = okGroupWsFuturesSubsection + okGroupWsCandle3600s
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okGroupWsFuturesCandle7200s = okGroupWsFuturesSubsection + okGroupWsCandle7200s
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okGroupWsFuturesCandle14400s = okGroupWsFuturesSubsection + okGroupWsCandle14400s
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okGroupWsFuturesCandle21600s = okGroupWsFuturesSubsection + okGroupWsCandle21600s
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okGroupWsFuturesCandle43200s = okGroupWsFuturesSubsection + okGroupWsCandle43200s
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okGroupWsFuturesCandle86400s = okGroupWsFuturesSubsection + okGroupWsCandle86400s
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okGroupWsFuturesCandle604900s = okGroupWsFuturesSubsection + okGroupWsCandle604900s
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okGroupWsFuturesTrade = okGroupWsFuturesSubsection + okGroupWsTrade
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okGroupWsFuturesEstimatedPrice = okGroupWsFuturesSubsection + okGroupWsTrade
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okGroupWsFuturesPriceRange = okGroupWsFuturesSubsection + okGroupWsPriceRange
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okGroupWsFuturesDepth = okGroupWsFuturesSubsection + okGroupWsDepth
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okGroupWsFuturesDepth5 = okGroupWsFuturesSubsection + okGroupWsDepth5
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okGroupWsFuturesMarkPrice = okGroupWsFuturesSubsection + okGroupWsMarkPrice
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okGroupWsFuturesAccount = okGroupWsFuturesSubsection + okGroupWsAccount
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okGroupWsFuturesPosition = okGroupWsFuturesSubsection + okGroupWsPosition
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okGroupWsFuturesOrder = okGroupWsFuturesSubsection + okGroupWsOrder
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okGroupWsRateLimit = 30
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)
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// orderbookMutex Ensures if two entries arrive at once, only one can be processed at a time
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var orderbookMutex sync.Mutex
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var defaultSubscribedChannels = []string{okGroupWsSpotDepth, okGroupWsSpotCandle300s, okGroupWsSpotTicker, okGroupWsSpotTrade}
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// WsConnect initiates a websocket connection
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func (o *OKGroup) WsConnect() error {
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if !o.Websocket.IsEnabled() || !o.IsEnabled() {
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return errors.New(wshandler.WebsocketNotEnabled)
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}
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var dialer websocket.Dialer
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err := o.WebsocketConn.Dial(&dialer, http.Header{})
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if err != nil {
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return err
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}
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if o.Verbose {
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log.Debugf("Successful connection to %v",
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o.Websocket.GetWebsocketURL())
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}
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wg := sync.WaitGroup{}
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wg.Add(2)
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go o.WsHandleData(&wg)
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go o.wsPingHandler(&wg)
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if o.GetAuthenticatedAPISupport(exchange.WebsocketAuthentication) {
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err = o.WsLogin()
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if err != nil {
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log.Errorf("%v - authentication failed: %v", o.Name, err)
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}
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}
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o.GenerateDefaultSubscriptions()
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// Ensures that we start the routines and we dont race when shutdown occurs
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wg.Wait()
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return nil
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}
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// wsPingHandler sends a message "ping" every 27 to maintain the connection to the websocket
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func (o *OKGroup) wsPingHandler(wg *sync.WaitGroup) {
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o.Websocket.Wg.Add(1)
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defer o.Websocket.Wg.Done()
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ticker := time.NewTicker(time.Second * 27)
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defer ticker.Stop()
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wg.Done()
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for {
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select {
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case <-o.Websocket.ShutdownC:
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return
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case <-ticker.C:
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err := o.WebsocketConn.SendMessage("ping")
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if o.Verbose {
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log.Debugf("%v sending ping", o.GetName())
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}
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if err != nil {
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o.Websocket.DataHandler <- err
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}
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}
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}
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}
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// WsHandleData handles the read data from the websocket connection
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func (o *OKGroup) WsHandleData(wg *sync.WaitGroup) {
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o.Websocket.Wg.Add(1)
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defer func() {
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o.Websocket.Wg.Done()
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}()
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wg.Done()
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for {
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select {
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case <-o.Websocket.ShutdownC:
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return
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default:
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resp, err := o.WebsocketConn.ReadMessage()
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if err != nil {
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o.Websocket.DataHandler <- err
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return
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}
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o.Websocket.TrafficAlert <- struct{}{}
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var dataResponse WebsocketDataResponse
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err = common.JSONDecode(resp.Raw, &dataResponse)
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if err == nil && dataResponse.Table != "" {
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if len(dataResponse.Data) > 0 {
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o.WsHandleDataResponse(&dataResponse)
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}
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continue
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}
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var errorResponse WebsocketErrorResponse
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err = common.JSONDecode(resp.Raw, &errorResponse)
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if err == nil && errorResponse.ErrorCode > 0 {
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if o.Verbose {
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log.Debugf("WS Error Event: %v Message: %v", errorResponse.Event, errorResponse.Message)
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}
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o.WsHandleErrorResponse(errorResponse)
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continue
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}
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var eventResponse WebsocketEventResponse
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err = common.JSONDecode(resp.Raw, &eventResponse)
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if err == nil && eventResponse.Event != "" {
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if eventResponse.Event == "login" {
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o.Websocket.SetCanUseAuthenticatedEndpoints(eventResponse.Success)
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}
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if o.Verbose {
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log.Debugf("WS Event: %v on Channel: %v", eventResponse.Event, eventResponse.Channel)
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}
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o.Websocket.DataHandler <- eventResponse
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continue
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}
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}
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}
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}
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// WsLogin sends a login request to websocket to enable access to authenticated endpoints
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func (o *OKGroup) WsLogin() error {
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o.Websocket.SetCanUseAuthenticatedEndpoints(true)
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utcTime := time.Now().UTC()
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unixTime := utcTime.Unix()
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signPath := "/users/self/verify"
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hmac := common.GetHMAC(common.HashSHA256, []byte(fmt.Sprintf("%v", unixTime)+http.MethodGet+signPath), []byte(o.APISecret))
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base64 := common.Base64Encode(hmac)
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request := WebsocketEventRequest{
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Operation: "login",
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Arguments: []string{o.APIKey, o.ClientID, fmt.Sprintf("%v", unixTime), base64},
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}
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err := o.WebsocketConn.SendMessage(request)
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if err != nil {
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o.Websocket.SetCanUseAuthenticatedEndpoints(false)
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return err
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}
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return nil
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}
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// WsHandleErrorResponse sends an error message to ws handler
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func (o *OKGroup) WsHandleErrorResponse(event WebsocketErrorResponse) {
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errorMessage := fmt.Sprintf("%v error - %v message: %s ",
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o.GetName(), event.ErrorCode, event.Message)
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if o.Verbose {
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log.Error(errorMessage)
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}
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o.Websocket.DataHandler <- fmt.Errorf(errorMessage)
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}
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// GetWsChannelWithoutOrderType takes WebsocketDataResponse.Table and returns
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// The base channel name eg receive "spot/depth5:BTC-USDT" return "depth5"
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func (o *OKGroup) GetWsChannelWithoutOrderType(table string) string {
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index := strings.Index(table, "/")
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if index == -1 {
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return table
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}
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channel := table[index+1:]
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index = strings.Index(channel, ":")
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// Some events do not contain a currency
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if index == -1 {
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return channel
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}
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return channel[:index]
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}
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// GetAssetTypeFromTableName gets the asset type from the table name
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// eg "spot/ticker:BTCUSD" results in "SPOT"
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func (o *OKGroup) GetAssetTypeFromTableName(table string) string {
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assetIndex := strings.Index(table, "/")
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return strings.ToUpper(table[:assetIndex])
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}
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// WsHandleDataResponse classifies the WS response and sends to appropriate handler
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func (o *OKGroup) WsHandleDataResponse(response *WebsocketDataResponse) {
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switch o.GetWsChannelWithoutOrderType(response.Table) {
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case okGroupWsCandle60s, okGroupWsCandle180s, okGroupWsCandle300s, okGroupWsCandle900s,
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okGroupWsCandle1800s, okGroupWsCandle3600s, okGroupWsCandle7200s, okGroupWsCandle14400s,
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okGroupWsCandle21600s, okGroupWsCandle43200s, okGroupWsCandle86400s, okGroupWsCandle604900s:
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o.wsProcessCandles(response)
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case okGroupWsDepth, okGroupWsDepth5:
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// Locking, orderbooks cannot be processed out of order
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orderbookMutex.Lock()
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err := o.WsProcessOrderBook(response)
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if err != nil {
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pair := currency.NewPairDelimiter(response.Data[0].InstrumentID, "-")
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channelToResubscribe := wshandler.WebsocketChannelSubscription{
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Channel: response.Table,
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Currency: pair,
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}
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o.Websocket.ResubscribeToChannel(channelToResubscribe)
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}
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orderbookMutex.Unlock()
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case okGroupWsTicker:
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o.wsProcessTickers(response)
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case okGroupWsTrade:
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o.wsProcessTrades(response)
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default:
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logDataResponse(response)
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}
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}
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// logDataResponse will log the details of any websocket data event
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// where there is no websocket datahandler for it
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func logDataResponse(response *WebsocketDataResponse) {
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for i := range response.Data {
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log.Errorf("Unhandled channel: '%v'. Instrument '%v' Timestamp '%v', Data '%v",
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response.Table,
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response.Data[i].InstrumentID,
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response.Data[i].Timestamp,
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response.Data[i])
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}
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}
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// wsProcessTickers converts ticker data and sends it to the datahandler
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func (o *OKGroup) wsProcessTickers(response *WebsocketDataResponse) {
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for i := range response.Data {
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instrument := currency.NewPairDelimiter(response.Data[i].InstrumentID, "-")
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o.Websocket.DataHandler <- wshandler.TickerData{
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Timestamp: response.Data[i].Timestamp,
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Exchange: o.GetName(),
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AssetType: o.GetAssetTypeFromTableName(response.Table),
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HighPrice: response.Data[i].High24H,
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LowPrice: response.Data[i].Low24H,
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ClosePrice: response.Data[i].Last,
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Pair: instrument,
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}
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}
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}
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// wsProcessTrades converts trade data and sends it to the datahandler
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func (o *OKGroup) wsProcessTrades(response *WebsocketDataResponse) {
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for i := range response.Data {
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instrument := currency.NewPairDelimiter(response.Data[i].InstrumentID, "-")
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o.Websocket.DataHandler <- wshandler.TradeData{
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Amount: response.Data[i].Size,
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AssetType: o.GetAssetTypeFromTableName(response.Table),
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CurrencyPair: instrument,
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EventTime: time.Now().Unix(),
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Exchange: o.GetName(),
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Price: response.Data[i].WebsocketTradeResponse.Price,
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Side: response.Data[i].Side,
|
|
Timestamp: response.Data[i].Timestamp,
|
|
}
|
|
}
|
|
}
|
|
|
|
// wsProcessCandles converts candle data and sends it to the data handler
|
|
func (o *OKGroup) wsProcessCandles(response *WebsocketDataResponse) {
|
|
for i := range response.Data {
|
|
instrument := currency.NewPairDelimiter(response.Data[i].InstrumentID, "-")
|
|
timeData, err := time.Parse(time.RFC3339Nano, response.Data[i].WebsocketCandleResponse.Candle[0])
|
|
if err != nil {
|
|
log.Warnf("%v Time data could not be parsed: %v", o.GetName(), response.Data[i].Candle[0])
|
|
}
|
|
|
|
candleIndex := strings.LastIndex(response.Table, okGroupWsCandle)
|
|
secondIndex := strings.LastIndex(response.Table, "0s")
|
|
candleInterval := ""
|
|
if candleIndex > 0 || secondIndex > 0 {
|
|
candleInterval = response.Table[candleIndex+len(okGroupWsCandle) : secondIndex]
|
|
}
|
|
|
|
klineData := wshandler.KlineData{
|
|
AssetType: o.GetAssetTypeFromTableName(response.Table),
|
|
Pair: instrument,
|
|
Exchange: o.GetName(),
|
|
Timestamp: timeData,
|
|
Interval: candleInterval,
|
|
}
|
|
klineData.OpenPrice, _ = strconv.ParseFloat(response.Data[i].Candle[1], 64)
|
|
klineData.HighPrice, _ = strconv.ParseFloat(response.Data[i].Candle[2], 64)
|
|
klineData.LowPrice, _ = strconv.ParseFloat(response.Data[i].Candle[3], 64)
|
|
klineData.ClosePrice, _ = strconv.ParseFloat(response.Data[i].Candle[4], 64)
|
|
klineData.Volume, _ = strconv.ParseFloat(response.Data[i].Candle[5], 64)
|
|
|
|
o.Websocket.DataHandler <- klineData
|
|
}
|
|
}
|
|
|
|
// WsProcessOrderBook Validates the checksum and updates internal orderbook values
|
|
func (o *OKGroup) WsProcessOrderBook(response *WebsocketDataResponse) (err error) {
|
|
for i := range response.Data {
|
|
instrument := currency.NewPairDelimiter(response.Data[i].InstrumentID, "-")
|
|
if response.Action == okGroupWsOrderbookPartial {
|
|
err = o.WsProcessPartialOrderBook(&response.Data[i], instrument, response.Table)
|
|
} else if response.Action == okGroupWsOrderbookUpdate {
|
|
err = o.WsProcessUpdateOrderbook(&response.Data[i], instrument, response.Table)
|
|
}
|
|
}
|
|
return
|
|
}
|
|
|
|
// AppendWsOrderbookItems adds websocket orderbook data bid/asks into an orderbook item array
|
|
func (o *OKGroup) AppendWsOrderbookItems(entries [][]interface{}) (orderbookItems []orderbook.Item) {
|
|
for j := range entries {
|
|
amount, _ := strconv.ParseFloat(entries[j][1].(string), 64)
|
|
price, _ := strconv.ParseFloat(entries[j][0].(string), 64)
|
|
orderbookItems = append(orderbookItems, orderbook.Item{
|
|
Amount: amount,
|
|
Price: price,
|
|
})
|
|
}
|
|
return
|
|
}
|
|
|
|
// WsProcessPartialOrderBook takes websocket orderbook data and creates an orderbook
|
|
// Calculates checksum to ensure it is valid
|
|
func (o *OKGroup) WsProcessPartialOrderBook(wsEventData *WebsocketDataWrapper, instrument currency.Pair, tableName string) error {
|
|
signedChecksum := o.CalculatePartialOrderbookChecksum(wsEventData)
|
|
if signedChecksum != wsEventData.Checksum {
|
|
return fmt.Errorf("channel: %v. Orderbook partial for %v checksum invalid", tableName, instrument)
|
|
}
|
|
if o.Verbose {
|
|
log.Debug("Passed checksum!")
|
|
}
|
|
asks := o.AppendWsOrderbookItems(wsEventData.Asks)
|
|
bids := o.AppendWsOrderbookItems(wsEventData.Bids)
|
|
newOrderBook := orderbook.Base{
|
|
Asks: asks,
|
|
Bids: bids,
|
|
AssetType: o.GetAssetTypeFromTableName(tableName),
|
|
LastUpdated: wsEventData.Timestamp,
|
|
Pair: instrument,
|
|
ExchangeName: o.GetName(),
|
|
}
|
|
|
|
err := o.Websocket.Orderbook.LoadSnapshot(&newOrderBook, true)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
o.Websocket.DataHandler <- wshandler.WebsocketOrderbookUpdate{
|
|
Exchange: o.GetName(),
|
|
Asset: o.GetAssetTypeFromTableName(tableName),
|
|
Pair: instrument,
|
|
}
|
|
return nil
|
|
}
|
|
|
|
// WsProcessUpdateOrderbook updates an existing orderbook using websocket data
|
|
// After merging WS data, it will sort, validate and finally update the existing orderbook
|
|
func (o *OKGroup) WsProcessUpdateOrderbook(wsEventData *WebsocketDataWrapper, instrument currency.Pair, tableName string) error {
|
|
update := wsorderbook.WebsocketOrderbookUpdate{
|
|
AssetType: orderbook.Spot,
|
|
CurrencyPair: instrument,
|
|
UpdateTime: wsEventData.Timestamp,
|
|
}
|
|
update.Asks = o.AppendWsOrderbookItems(wsEventData.Asks)
|
|
update.Bids = o.AppendWsOrderbookItems(wsEventData.Bids)
|
|
err := o.Websocket.Orderbook.Update(&update)
|
|
if err != nil {
|
|
log.Error(err)
|
|
}
|
|
updatedOb := o.Websocket.Orderbook.GetOrderbook(instrument, orderbook.Spot)
|
|
checksum := o.CalculateUpdateOrderbookChecksum(updatedOb)
|
|
if checksum == wsEventData.Checksum {
|
|
if o.Verbose {
|
|
log.Debug("Orderbook valid")
|
|
}
|
|
o.Websocket.DataHandler <- wshandler.WebsocketOrderbookUpdate{
|
|
Exchange: o.GetName(),
|
|
Asset: o.GetAssetTypeFromTableName(tableName),
|
|
Pair: instrument,
|
|
}
|
|
|
|
} else {
|
|
if o.Verbose {
|
|
log.Debug("Orderbook invalid")
|
|
}
|
|
return fmt.Errorf("channel: %v. Orderbook update for %v checksum invalid. Received %v Calculated %v", tableName, instrument, wsEventData.Checksum, checksum)
|
|
}
|
|
return nil
|
|
}
|
|
|
|
// CalculatePartialOrderbookChecksum alternates over the first 25 bid and ask entries from websocket data
|
|
// The checksum is made up of the price and the quantity with a semicolon (:) deliminating them
|
|
// This will also work when there are less than 25 entries (for whatever reason)
|
|
// eg Bid:Ask:Bid:Ask:Ask:Ask
|
|
func (o *OKGroup) CalculatePartialOrderbookChecksum(orderbookData *WebsocketDataWrapper) int32 {
|
|
var checksum string
|
|
iterations := 25
|
|
for i := 0; i < iterations; i++ {
|
|
bidsMessage := ""
|
|
askMessage := ""
|
|
if len(orderbookData.Bids)-1 >= i {
|
|
bidsMessage = fmt.Sprintf("%v:%v:", orderbookData.Bids[i][0], orderbookData.Bids[i][1])
|
|
}
|
|
if len(orderbookData.Asks)-1 >= i {
|
|
askMessage = fmt.Sprintf("%v:%v:", orderbookData.Asks[i][0], orderbookData.Asks[i][1])
|
|
|
|
}
|
|
if checksum == "" {
|
|
checksum = fmt.Sprintf("%v%v", bidsMessage, askMessage)
|
|
} else {
|
|
checksum = fmt.Sprintf("%v%v%v", checksum, bidsMessage, askMessage)
|
|
}
|
|
}
|
|
checksum = strings.TrimSuffix(checksum, ":")
|
|
return int32(crc32.ChecksumIEEE([]byte(checksum)))
|
|
}
|
|
|
|
// CalculateUpdateOrderbookChecksum alternates over the first 25 bid and ask entries of a merged orderbook
|
|
// The checksum is made up of the price and the quantity with a semicolon (:) deliminating them
|
|
// This will also work when there are less than 25 entries (for whatever reason)
|
|
// eg Bid:Ask:Bid:Ask:Ask:Ask
|
|
func (o *OKGroup) CalculateUpdateOrderbookChecksum(orderbookData *orderbook.Base) int32 {
|
|
var checksum string
|
|
iterations := 25
|
|
for i := 0; i < iterations; i++ {
|
|
bidsMessage := ""
|
|
askMessage := ""
|
|
if len(orderbookData.Bids)-1 >= i {
|
|
price := strconv.FormatFloat(orderbookData.Bids[i].Price, 'f', -1, 64)
|
|
amount := strconv.FormatFloat(orderbookData.Bids[i].Amount, 'f', -1, 64)
|
|
bidsMessage = fmt.Sprintf("%v:%v:", price, amount)
|
|
}
|
|
if len(orderbookData.Asks)-1 >= i {
|
|
price := strconv.FormatFloat(orderbookData.Asks[i].Price, 'f', -1, 64)
|
|
amount := strconv.FormatFloat(orderbookData.Asks[i].Amount, 'f', -1, 64)
|
|
askMessage = fmt.Sprintf("%v:%v:", price, amount)
|
|
}
|
|
if checksum == "" {
|
|
checksum = fmt.Sprintf("%v%v", bidsMessage, askMessage)
|
|
} else {
|
|
checksum = fmt.Sprintf("%v%v%v", checksum, bidsMessage, askMessage)
|
|
}
|
|
}
|
|
checksum = strings.TrimSuffix(checksum, ":")
|
|
return int32(crc32.ChecksumIEEE([]byte(checksum)))
|
|
}
|
|
|
|
// GenerateDefaultSubscriptions Adds default subscriptions to websocket to be handled by ManageSubscriptions()
|
|
func (o *OKGroup) GenerateDefaultSubscriptions() {
|
|
enabledCurrencies := o.GetEnabledCurrencies()
|
|
var subscriptions []wshandler.WebsocketChannelSubscription
|
|
if o.GetAuthenticatedAPISupport(exchange.WebsocketAuthentication) {
|
|
defaultSubscribedChannels = append(defaultSubscribedChannels, okGroupWsSpotMarginAccount, okGroupWsSpotAccount, okGroupWsSpotOrder)
|
|
}
|
|
for i := range defaultSubscribedChannels {
|
|
for j := range enabledCurrencies {
|
|
enabledCurrencies[j].Delimiter = "-"
|
|
subscriptions = append(subscriptions, wshandler.WebsocketChannelSubscription{
|
|
Channel: defaultSubscribedChannels[i],
|
|
Currency: enabledCurrencies[j],
|
|
})
|
|
}
|
|
}
|
|
o.Websocket.SubscribeToChannels(subscriptions)
|
|
}
|
|
|
|
// Subscribe sends a websocket message to receive data from the channel
|
|
func (o *OKGroup) Subscribe(channelToSubscribe wshandler.WebsocketChannelSubscription) error {
|
|
request := WebsocketEventRequest{
|
|
Operation: "subscribe",
|
|
Arguments: []string{fmt.Sprintf("%v:%v", channelToSubscribe.Channel, channelToSubscribe.Currency.String())},
|
|
}
|
|
if strings.EqualFold(channelToSubscribe.Channel, okGroupWsSpotAccount) {
|
|
request.Arguments = []string{fmt.Sprintf("%v:%v", channelToSubscribe.Channel, channelToSubscribe.Currency.Base.String())}
|
|
}
|
|
|
|
return o.WebsocketConn.SendMessage(request)
|
|
}
|
|
|
|
// Unsubscribe sends a websocket message to stop receiving data from the channel
|
|
func (o *OKGroup) Unsubscribe(channelToSubscribe wshandler.WebsocketChannelSubscription) error {
|
|
request := WebsocketEventRequest{
|
|
Operation: "unsubscribe",
|
|
Arguments: []string{fmt.Sprintf("%v:%v", channelToSubscribe.Channel, channelToSubscribe.Currency.String())},
|
|
}
|
|
return o.WebsocketConn.SendMessage(request)
|
|
}
|