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userdata.go
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userdata.go
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package max
import (
"encoding/json"
"fmt"
"strings"
"github.com/pkg/errors"
log "github.com/sirupsen/logrus"
"github.com/valyala/fastjson"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
type BaseEvent struct {
Event string `json:"e"`
Timestamp int64 `json:"T"`
}
type OrderUpdate struct {
Event string `json:"e"`
ID uint64 `json:"i"`
Side string `json:"sd"`
OrderType OrderType `json:"ot"`
Price fixedpoint.Value `json:"p"`
StopPrice fixedpoint.Value `json:"sp"`
Volume fixedpoint.Value `json:"v"`
AveragePrice fixedpoint.Value `json:"ap"`
State OrderState `json:"S"`
Market string `json:"M"`
RemainingVolume fixedpoint.Value `json:"rv"`
ExecutedVolume fixedpoint.Value `json:"ev"`
TradesCount int64 `json:"tc"`
GroupID uint32 `json:"gi"`
ClientOID string `json:"ci"`
CreatedAtMs int64 `json:"T"`
UpdateTime int64 `json:"TU"`
}
type OrderUpdateEvent struct {
BaseEvent
Orders []OrderUpdate `json:"o"`
}
func parseOrderUpdateEvent(v *fastjson.Value) *OrderUpdateEvent {
var e OrderUpdateEvent
e.Event = string(v.GetStringBytes("e"))
e.Timestamp = v.GetInt64("T")
for _, ov := range v.GetArray("o") {
var o = ov.String()
var u OrderUpdate
if err := json.Unmarshal([]byte(o), &u); err != nil {
log.WithError(err).Error("parse error")
continue
}
e.Orders = append(e.Orders, u)
}
return &e
}
type OrderSnapshotEvent struct {
BaseEvent
Orders []OrderUpdate `json:"o"`
}
func parserOrderSnapshotEvent(v *fastjson.Value) *OrderSnapshotEvent {
var e OrderSnapshotEvent
e.Event = string(v.GetStringBytes("e"))
e.Timestamp = v.GetInt64("T")
for _, ov := range v.GetArray("o") {
var o = ov.String()
var u OrderUpdate
if err := json.Unmarshal([]byte(o), &u); err != nil {
log.WithError(err).Error("parse error")
continue
}
e.Orders = append(e.Orders, u)
}
return &e
}
type TradeUpdate struct {
ID uint64 `json:"i"`
Side string `json:"sd"`
Price string `json:"p"`
Volume string `json:"v"`
Market string `json:"M"`
Fee string `json:"f"`
FeeCurrency string `json:"fc"`
Timestamp int64 `json:"T"`
UpdateTime int64 `json:"TU"`
OrderID uint64 `json:"oi"`
Maker bool `json:"m"`
}
func parseTradeUpdate(v *fastjson.Value) TradeUpdate {
return TradeUpdate{
ID: v.GetUint64("i"),
Side: string(v.GetStringBytes("sd")),
Price: string(v.GetStringBytes("p")),
Volume: string(v.GetStringBytes("v")),
Market: string(v.GetStringBytes("M")),
Fee: string(v.GetStringBytes("f")),
FeeCurrency: string(v.GetStringBytes("fc")),
Timestamp: v.GetInt64("T"),
UpdateTime: v.GetInt64("TU"),
OrderID: v.GetUint64("oi"),
Maker: v.GetBool("m"),
}
}
type TradeUpdateEvent struct {
BaseEvent
Trades []TradeUpdate `json:"t"`
}
func parseTradeUpdateEvent(v *fastjson.Value) *TradeUpdateEvent {
var e TradeUpdateEvent
e.Event = string(v.GetStringBytes("e"))
e.Timestamp = v.GetInt64("T")
for _, tv := range v.GetArray("t") {
e.Trades = append(e.Trades, parseTradeUpdate(tv))
}
return &e
}
type TradeSnapshot []TradeUpdate
type TradeSnapshotEvent struct {
BaseEvent
Trades []TradeUpdate `json:"t"`
}
func parseTradeSnapshotEvent(v *fastjson.Value) *TradeSnapshotEvent {
var e TradeSnapshotEvent
e.Event = string(v.GetStringBytes("e"))
e.Timestamp = v.GetInt64("T")
for _, tv := range v.GetArray("t") {
e.Trades = append(e.Trades, parseTradeUpdate(tv))
}
return &e
}
type BalanceMessage struct {
Currency string `json:"cu"`
Available fixedpoint.Value `json:"av"`
Locked fixedpoint.Value `json:"l"`
}
func (m *BalanceMessage) Balance() (*types.Balance, error) {
return &types.Balance{
Currency: strings.ToUpper(m.Currency),
Locked: m.Locked,
Available: m.Available,
}, nil
}
type AccountUpdateEvent struct {
BaseEvent
Balances []BalanceMessage `json:"B"`
}
type AccountSnapshotEvent struct {
BaseEvent
Balances []BalanceMessage `json:"B"`
}
func parseAuthEvent(v *fastjson.Value) (*AuthEvent, error) {
var e AuthEvent
var err = json.Unmarshal([]byte(v.String()), &e)
return &e, err
}
type ADRatio struct {
ADRatio fixedpoint.Value `json:"ad"`
AssetInUSDT fixedpoint.Value `json:"as"`
DebtInUSDT fixedpoint.Value `json:"db"`
IndexPrices []struct {
Market string `json:"M"`
Price fixedpoint.Value `json:"p"`
} `json:"idxp"`
TU types.MillisecondTimestamp `json:"TU"`
}
func (r *ADRatio) String() string {
return fmt.Sprintf("ADRatio: %v Asset: %v USDT, Debt: %v USDT (Mark Prices: %+v)", r.ADRatio, r.AssetInUSDT, r.DebtInUSDT, r.IndexPrices)
}
type ADRatioEvent struct {
ADRatio ADRatio `json:"ad"`
}
func parseADRatioEvent(v *fastjson.Value) (*ADRatioEvent, error) {
o := v.String()
e := ADRatioEvent{}
err := json.Unmarshal([]byte(o), &e)
return &e, err
}
type Debt struct {
Currency string `json:"cu"`
DebtPrincipal fixedpoint.Value `json:"dbp"`
DebtInterest fixedpoint.Value `json:"dbi"`
TU types.MillisecondTimestamp `json:"TU"`
}
func (d *Debt) String() string {
return fmt.Sprintf("Debt %s %v (Interest %v)", d.Currency, d.DebtPrincipal, d.DebtInterest)
}
type DebtEvent struct {
Debts []Debt `json:"db"`
}
func parseDebts(v *fastjson.Value) (*DebtEvent, error) {
o := v.String()
e := DebtEvent{}
err := json.Unmarshal([]byte(o), &e)
return &e, err
}
func ParseUserEvent(v *fastjson.Value) (interface{}, error) {
eventType := string(v.GetStringBytes("e"))
switch eventType {
case "order_snapshot", "mwallet_order_snapshot":
return parserOrderSnapshotEvent(v), nil
case "order_update", "mwallet_order_update":
return parseOrderUpdateEvent(v), nil
case "trade_snapshot", "mwallet_trade_snapshot":
return parseTradeSnapshotEvent(v), nil
case "trade_update", "mwallet_trade_update":
return parseTradeUpdateEvent(v), nil
case "ad_ratio_snapshot", "ad_ratio_update":
return parseADRatioEvent(v)
case "borrowing_snapshot", "borrowing_update":
return parseDebts(v)
case "account_snapshot", "account_update", "mwallet_account_snapshot", "mwallet_account_update":
var e AccountUpdateEvent
o := v.String()
err := json.Unmarshal([]byte(o), &e)
return &e, err
case "error":
logger.Errorf("error %s", v.MarshalTo(nil))
}
return nil, errors.Wrapf(ErrMessageTypeNotSupported, "private message %s", v.MarshalTo(nil))
}