Files
gocryptotrader/exchanges/zb/zb_websocket.go
Scott 0fbf8b172a Websocket orderbook buffering (#333)
* 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
2019-08-13 09:32:59 +10:00

567 lines
18 KiB
Go

package zb
import (
"errors"
"fmt"
"net/http"
"regexp"
"time"
"github.com/gorilla/websocket"
"github.com/thrasher-corp/gocryptotrader/common"
"github.com/thrasher-corp/gocryptotrader/currency"
exchange "github.com/thrasher-corp/gocryptotrader/exchanges"
"github.com/thrasher-corp/gocryptotrader/exchanges/orderbook"
"github.com/thrasher-corp/gocryptotrader/exchanges/websocket/wshandler"
log "github.com/thrasher-corp/gocryptotrader/logger"
)
const (
zbWebsocketAPI = "wss://api.zb.cn:9999/websocket"
zWebsocketAddChannel = "addChannel"
zbWebsocketRateLimit = 20
)
// WsConnect initiates a websocket connection
func (z *ZB) WsConnect() error {
if !z.Websocket.IsEnabled() || !z.IsEnabled() {
return errors.New(wshandler.WebsocketNotEnabled)
}
var dialer websocket.Dialer
err := z.WebsocketConn.Dial(&dialer, http.Header{})
if err != nil {
return err
}
go z.WsHandleData()
z.GenerateDefaultSubscriptions()
return nil
}
// WsHandleData handles all the websocket data coming from the websocket
// connection
func (z *ZB) WsHandleData() {
z.Websocket.Wg.Add(1)
defer func() {
z.Websocket.Wg.Done()
}()
for {
select {
case <-z.Websocket.ShutdownC:
return
default:
resp, err := z.WebsocketConn.ReadMessage()
if err != nil {
z.Websocket.DataHandler <- err
return
}
z.Websocket.TrafficAlert <- struct{}{}
fixedJSON := z.wsFixInvalidJSON(resp.Raw)
var result Generic
err = common.JSONDecode(fixedJSON, &result)
if err != nil {
z.Websocket.DataHandler <- err
continue
}
if result.No > 0 {
z.WebsocketConn.AddResponseWithID(result.No, fixedJSON)
continue
}
if result.Code > 0 && result.Code != 1000 {
z.Websocket.DataHandler <- fmt.Errorf("%v request failed, message: %v, error code: %v", z.Name, result.Message, wsErrCodes[result.Code])
continue
}
switch {
case common.StringContains(result.Channel, "markets"):
var markets Markets
err := common.JSONDecode(result.Data, &markets)
if err != nil {
z.Websocket.DataHandler <- err
continue
}
case common.StringContains(result.Channel, "ticker"):
cPair := common.SplitStrings(result.Channel, "_")
var ticker WsTicker
err := common.JSONDecode(fixedJSON, &ticker)
if err != nil {
z.Websocket.DataHandler <- err
continue
}
z.Websocket.DataHandler <- wshandler.TickerData{
Timestamp: time.Unix(0, ticker.Date),
Pair: currency.NewPairFromString(cPair[0]),
AssetType: orderbook.Spot,
Exchange: z.GetName(),
ClosePrice: ticker.Data.Last,
HighPrice: ticker.Data.High,
LowPrice: ticker.Data.Low,
}
case common.StringContains(result.Channel, "depth"):
var depth WsDepth
err := common.JSONDecode(fixedJSON, &depth)
if err != nil {
z.Websocket.DataHandler <- err
continue
}
var asks []orderbook.Item
for i := range depth.Asks {
ask := depth.Asks[i].([]interface{})
asks = append(asks, orderbook.Item{
Amount: ask[1].(float64),
Price: ask[0].(float64),
})
}
var bids []orderbook.Item
for i := range depth.Bids {
bid := depth.Bids[i].([]interface{})
bids = append(bids, orderbook.Item{
Amount: bid[1].(float64),
Price: bid[0].(float64),
})
}
channelInfo := common.SplitStrings(result.Channel, "_")
cPair := currency.NewPairFromString(channelInfo[0])
var newOrderBook orderbook.Base
newOrderBook.Asks = asks
newOrderBook.Bids = bids
newOrderBook.AssetType = orderbook.Spot
newOrderBook.Pair = cPair
err = z.Websocket.Orderbook.LoadSnapshot(&newOrderBook,
true)
if err != nil {
z.Websocket.DataHandler <- err
continue
}
z.Websocket.DataHandler <- wshandler.WebsocketOrderbookUpdate{
Pair: cPair,
Asset: orderbook.Spot,
Exchange: z.GetName(),
}
case common.StringContains(result.Channel, "trades"):
var trades WsTrades
err := common.JSONDecode(fixedJSON, &trades)
if err != nil {
z.Websocket.DataHandler <- err
continue
}
// Most up to date trade
if len(trades.Data) == 0 {
continue
}
t := trades.Data[len(trades.Data)-1]
channelInfo := common.SplitStrings(result.Channel, "_")
cPair := currency.NewPairFromString(channelInfo[0])
z.Websocket.DataHandler <- wshandler.TradeData{
Timestamp: time.Unix(0, t.Date),
CurrencyPair: cPair,
AssetType: orderbook.Spot,
Exchange: z.GetName(),
EventTime: t.Date,
Price: t.Price,
Amount: t.Amount,
Side: t.TradeType,
}
default:
z.Websocket.DataHandler <- errors.New("zb_websocket.go error - unhandled websocket response")
continue
}
}
}
}
var wsErrCodes = map[int64]string{
1000: "Successful call",
1001: "General error message",
1002: "internal error",
1003: "Verification failed",
1004: "Financial security password lock",
1005: "The fund security password is incorrect. Please confirm and re-enter.",
1006: "Real-name certification is awaiting review or review",
1007: "Channel is empty",
1008: "Event is empty",
1009: "This interface is being maintained",
1011: "Not open yet",
1012: "Insufficient permissions",
1013: "Can not trade, if you have any questions, please contact online customer service",
1014: "Cannot be sold during the pre-sale period",
2002: "Insufficient balance in Bitcoin account",
2003: "Insufficient balance of Litecoin account",
2005: "Insufficient balance in Ethereum account",
2006: "Insufficient balance in ETC currency account",
2007: "Insufficient balance of BTS currency account",
2008: "Insufficient balance in EOS currency account",
2009: "Insufficient account balance",
3001: "Pending order not found",
3002: "Invalid amount",
3003: "Invalid quantity",
3004: "User does not exist",
3005: "Invalid parameter",
3006: "Invalid IP or inconsistent with the bound IP",
3007: "Request time has expired",
3008: "Transaction history not found",
4001: "API interface is locked",
4002: "Request too frequently",
}
// GenerateDefaultSubscriptions Adds default subscriptions to websocket to be handled by ManageSubscriptions()
func (z *ZB) GenerateDefaultSubscriptions() {
var subscriptions []wshandler.WebsocketChannelSubscription
// Tickerdata is its own channel
subscriptions = append(subscriptions, wshandler.WebsocketChannelSubscription{
Channel: "markets",
})
channels := []string{"%s_ticker", "%s_depth", "%s_trades"}
enabledCurrencies := z.GetEnabledCurrencies()
for i := range channels {
for j := range enabledCurrencies {
enabledCurrencies[j].Delimiter = ""
subscriptions = append(subscriptions, wshandler.WebsocketChannelSubscription{
Channel: fmt.Sprintf(channels[i], enabledCurrencies[j].Lower().String()),
Currency: enabledCurrencies[j].Lower(),
})
}
}
z.Websocket.SubscribeToChannels(subscriptions)
}
// Subscribe sends a websocket message to receive data from the channel
func (z *ZB) Subscribe(channelToSubscribe wshandler.WebsocketChannelSubscription) error {
subscriptionRequest := Subscription{
Event: zWebsocketAddChannel,
Channel: channelToSubscribe.Channel,
}
return z.WebsocketConn.SendMessage(subscriptionRequest)
}
func (z *ZB) wsGenerateSignature(request interface{}) string {
jsonResponse, err := common.JSONEncode(request)
if err != nil {
log.Error(err)
return ""
}
hmac := common.GetHMAC(common.HashMD5,
jsonResponse,
[]byte(common.Sha1ToHex(z.APISecret)))
return fmt.Sprintf("%x", hmac)
}
func (z *ZB) wsFixInvalidJSON(json []byte) []byte {
invalidZbJSONRegex := `(\"\[|\"\{)(.*)(\]\"|\}\")`
regexChecker := regexp.MustCompile(invalidZbJSONRegex)
matchingResults := regexChecker.Find(json)
if matchingResults == nil {
return json
}
// Remove first quote character
capturedInvalidZBJSON := common.ReplaceString(string(matchingResults), "\"", "", 1)
// Remove last quote character
fixedJSON := capturedInvalidZBJSON[:len(capturedInvalidZBJSON)-1]
return []byte(common.ReplaceString(string(json), string(matchingResults), fixedJSON, 1))
}
func (z *ZB) wsAddSubUser(username, password string) (*WsGetSubUserListResponse, error) {
if !z.GetAuthenticatedAPISupport(exchange.WebsocketAuthentication) {
return nil, fmt.Errorf("%v AuthenticatedWebsocketAPISupport not enabled", z.Name)
}
request := WsAddSubUserRequest{
Memo: "memo",
Password: password,
SubUserName: username,
}
request.Channel = "addSubUser"
request.Event = zWebsocketAddChannel
request.Accesskey = z.APIKey
request.No = z.WebsocketConn.GenerateMessageID(true)
request.Sign = z.wsGenerateSignature(request)
resp, err := z.WebsocketConn.SendMessageReturnResponse(request.No, request)
if err != nil {
return nil, err
}
var genericResponse Generic
err = common.JSONDecode(resp, &genericResponse)
if err != nil {
return nil, err
}
if genericResponse.Code > 0 && genericResponse.Code != 1000 {
return nil, fmt.Errorf("%v request failed, message: %v, error code: %v", z.Name, genericResponse.Message, wsErrCodes[genericResponse.Code])
}
var response WsGetSubUserListResponse
err = common.JSONDecode(resp, &response)
if err != nil {
return nil, err
}
return &response, nil
}
func (z *ZB) wsGetSubUserList() (*WsGetSubUserListResponse, error) {
if !z.GetAuthenticatedAPISupport(exchange.WebsocketAuthentication) {
return nil, fmt.Errorf("%v AuthenticatedWebsocketAPISupport not enabled", z.Name)
}
request := WsAuthenticatedRequest{}
request.Channel = "getSubUserList"
request.Event = zWebsocketAddChannel
request.Accesskey = z.APIKey
request.No = z.WebsocketConn.GenerateMessageID(true)
request.Sign = z.wsGenerateSignature(request)
resp, err := z.WebsocketConn.SendMessageReturnResponse(request.No, request)
if err != nil {
return nil, err
}
var response WsGetSubUserListResponse
err = common.JSONDecode(resp, &response)
if err != nil {
return nil, err
}
if response.Code > 0 && response.Code != 1000 {
return &response, fmt.Errorf("%v request failed, message: %v, error code: %v", z.Name, response.Message, wsErrCodes[response.Code])
}
return &response, nil
}
func (z *ZB) wsDoTransferFunds(pair currency.Code, amount float64, fromUserName, toUserName string) (*WsRequestResponse, error) {
if !z.GetAuthenticatedAPISupport(exchange.WebsocketAuthentication) {
return nil, fmt.Errorf("%v AuthenticatedWebsocketAPISupport not enabled", z.Name)
}
request := WsDoTransferFundsRequest{
Amount: amount,
Currency: pair,
FromUserName: fromUserName,
ToUserName: toUserName,
No: z.WebsocketConn.GenerateMessageID(true),
}
request.Channel = "doTransferFunds"
request.Event = zWebsocketAddChannel
request.Accesskey = z.APIKey
request.Sign = z.wsGenerateSignature(request)
resp, err := z.WebsocketConn.SendMessageReturnResponse(request.No, request)
if err != nil {
return nil, err
}
var response WsRequestResponse
err = common.JSONDecode(resp, &response)
if err != nil {
return nil, err
}
if response.Code > 0 && response.Code != 1000 {
return &response, fmt.Errorf("%v request failed, message: %v, error code: %v", z.Name, response.Message, wsErrCodes[response.Code])
}
return &response, nil
}
func (z *ZB) wsCreateSubUserKey(assetPerm, entrustPerm, leverPerm, moneyPerm bool, keyName, toUserID string) (*WsRequestResponse, error) {
if !z.GetAuthenticatedAPISupport(exchange.WebsocketAuthentication) {
return nil, fmt.Errorf("%v AuthenticatedWebsocketAPISupport not enabled", z.Name)
}
request := WsCreateSubUserKeyRequest{
AssetPerm: assetPerm,
EntrustPerm: entrustPerm,
KeyName: keyName,
LeverPerm: leverPerm,
MoneyPerm: moneyPerm,
No: z.WebsocketConn.GenerateMessageID(true),
ToUserID: toUserID,
}
request.Channel = "createSubUserKey"
request.Event = zWebsocketAddChannel
request.Accesskey = z.APIKey
request.Sign = z.wsGenerateSignature(request)
resp, err := z.WebsocketConn.SendMessageReturnResponse(request.No, request)
if err != nil {
return nil, err
}
var response WsRequestResponse
err = common.JSONDecode(resp, &response)
if err != nil {
return nil, err
}
if response.Code > 0 && response.Code != 1000 {
return &response, fmt.Errorf("%v request failed, message: %v, error code: %v", z.Name, response.Message, wsErrCodes[response.Code])
}
return &response, nil
}
func (z *ZB) wsSubmitOrder(pair currency.Pair, amount, price float64, tradeType int64) (*WsSubmitOrderResponse, error) {
if !z.GetAuthenticatedAPISupport(exchange.WebsocketAuthentication) {
return nil, fmt.Errorf("%v AuthenticatedWebsocketAPISupport not enabled", z.Name)
}
request := WsSubmitOrderRequest{
Amount: amount,
Price: price,
TradeType: tradeType,
No: z.WebsocketConn.GenerateMessageID(true),
}
request.Channel = fmt.Sprintf("%v_order", pair.String())
request.Event = zWebsocketAddChannel
request.Accesskey = z.APIKey
request.Sign = z.wsGenerateSignature(request)
resp, err := z.WebsocketConn.SendMessageReturnResponse(request.No, request)
if err != nil {
return nil, err
}
var response WsSubmitOrderResponse
err = common.JSONDecode(resp, &response)
if err != nil {
return nil, err
}
if response.Code > 0 && response.Code != 1000 {
return &response, fmt.Errorf("%v request failed, message: %v, error code: %v", z.Name, response.Message, wsErrCodes[response.Code])
}
return &response, nil
}
func (z *ZB) wsCancelOrder(pair currency.Pair, orderID int64) (*WsCancelOrderResponse, error) {
if !z.GetAuthenticatedAPISupport(exchange.WebsocketAuthentication) {
return nil, fmt.Errorf("%v AuthenticatedWebsocketAPISupport not enabled", z.Name)
}
request := WsCancelOrderRequest{
ID: orderID,
No: z.WebsocketConn.GenerateMessageID(true),
}
request.Channel = fmt.Sprintf("%v_cancelorder", pair.String())
request.Event = zWebsocketAddChannel
request.Accesskey = z.APIKey
request.Sign = z.wsGenerateSignature(request)
resp, err := z.WebsocketConn.SendMessageReturnResponse(request.No, request)
if err != nil {
return nil, err
}
var response WsCancelOrderResponse
err = common.JSONDecode(resp, &response)
if err != nil {
return nil, err
}
if response.Code > 0 && response.Code != 1000 {
return &response, fmt.Errorf("%v request failed, message: %v, error code: %v", z.Name, response.Message, wsErrCodes[response.Code])
}
return &response, nil
}
func (z *ZB) wsGetOrder(pair currency.Pair, orderID int64) (*WsGetOrderResponse, error) {
if !z.GetAuthenticatedAPISupport(exchange.WebsocketAuthentication) {
return nil, fmt.Errorf("%v AuthenticatedWebsocketAPISupport not enabled", z.Name)
}
request := WsGetOrderRequest{
ID: orderID,
No: z.WebsocketConn.GenerateMessageID(true),
}
request.Channel = fmt.Sprintf("%v_getorder", pair.String())
request.Event = zWebsocketAddChannel
request.Accesskey = z.APIKey
request.Sign = z.wsGenerateSignature(request)
resp, err := z.WebsocketConn.SendMessageReturnResponse(request.No, request)
if err != nil {
return nil, err
}
var response WsGetOrderResponse
err = common.JSONDecode(resp, &response)
if err != nil {
return nil, err
}
if response.Code > 0 && response.Code != 1000 {
return &response, fmt.Errorf("%v request failed, message: %v, error code: %v", z.Name, response.Message, wsErrCodes[response.Code])
}
return &response, nil
}
func (z *ZB) wsGetOrders(pair currency.Pair, pageIndex, tradeType int64) (*WsGetOrdersResponse, error) {
if !z.GetAuthenticatedAPISupport(exchange.WebsocketAuthentication) {
return nil, fmt.Errorf("%v AuthenticatedWebsocketAPISupport not enabled", z.Name)
}
request := WsGetOrdersRequest{
PageIndex: pageIndex,
TradeType: tradeType,
No: z.WebsocketConn.GenerateMessageID(true),
}
request.Channel = fmt.Sprintf("%v_getorders", pair.String())
request.Event = zWebsocketAddChannel
request.Accesskey = z.APIKey
request.Sign = z.wsGenerateSignature(request)
resp, err := z.WebsocketConn.SendMessageReturnResponse(request.No, request)
if err != nil {
return nil, err
}
var response WsGetOrdersResponse
err = common.JSONDecode(resp, &response)
if err != nil {
return nil, err
}
if response.Code > 0 && response.Code != 1000 {
return &response, fmt.Errorf("%v request failed, message: %v, error code: %v", z.Name, response.Message, wsErrCodes[response.Code])
}
return &response, nil
}
func (z *ZB) wsGetOrdersIgnoreTradeType(pair currency.Pair, pageIndex, pageSize int64) (*WsGetOrdersIgnoreTradeTypeResponse, error) {
if !z.GetAuthenticatedAPISupport(exchange.WebsocketAuthentication) {
return nil, fmt.Errorf("%v AuthenticatedWebsocketAPISupport not enabled", z.Name)
}
request := WsGetOrdersIgnoreTradeTypeRequest{
PageIndex: pageIndex,
PageSize: pageSize,
No: z.WebsocketConn.GenerateMessageID(true),
}
request.Channel = fmt.Sprintf("%v_getordersignoretradetype", pair.String())
request.Event = zWebsocketAddChannel
request.Accesskey = z.APIKey
request.Sign = z.wsGenerateSignature(request)
resp, err := z.WebsocketConn.SendMessageReturnResponse(request.No, request)
if err != nil {
return nil, err
}
var response WsGetOrdersIgnoreTradeTypeResponse
err = common.JSONDecode(resp, &response)
if err != nil {
return nil, err
}
if response.Code > 0 && response.Code != 1000 {
return &response, fmt.Errorf("%v request failed, message: %v, error code: %v", z.Name, response.Message, wsErrCodes[response.Code])
}
return &response, nil
}
func (z *ZB) wsGetAccountInfoRequest() (*WsGetAccountInfoResponse, error) {
if !z.GetAuthenticatedAPISupport(exchange.WebsocketAuthentication) {
return nil, fmt.Errorf("%v AuthenticatedWebsocketAPISupport not enabled", z.Name)
}
request := WsAuthenticatedRequest{
Channel: "getaccountinfo",
Event: zWebsocketAddChannel,
Accesskey: z.APIKey,
No: z.WebsocketConn.GenerateMessageID(true),
}
request.Sign = z.wsGenerateSignature(request)
resp, err := z.WebsocketConn.SendMessageReturnResponse(request.No, request)
if err != nil {
return nil, err
}
var response WsGetAccountInfoResponse
err = common.JSONDecode(resp, &response)
if err != nil {
return nil, err
}
if response.Code > 0 && response.Code != 1000 {
return &response, fmt.Errorf("%v request failed, message: %v, error code: %v", z.Name, response.Message, wsErrCodes[response.Code])
}
return &response, nil
}