-
-
Notifications
You must be signed in to change notification settings - Fork 270
/
public_parser.go
314 lines (265 loc) · 8.16 KB
/
public_parser.go
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
package max
import (
"strings"
"time"
"github.com/pkg/errors"
"github.com/valyala/fastjson"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
var ErrIncorrectBookEntryElementLength = errors.New("incorrect book entry element length")
const Buy = 1
const Sell = -1
var parserPool fastjson.ParserPool
// ParseMessage accepts the raw messages from max public websocket channels and parses them into market data
// Return types: *BookEvent, *PublicTradeEvent, *SubscriptionEvent, *ErrorEvent
func ParseMessage(payload []byte) (interface{}, error) {
parser := parserPool.Get()
val, err := parser.ParseBytes(payload)
if err != nil {
return nil, errors.Wrap(err, "failed to parse payload: "+string(payload))
}
if channel := string(val.GetStringBytes("c")); len(channel) > 0 {
switch channel {
case "kline":
return parseKLineEvent(val)
case "book":
return parseBookEvent(val)
case "trade":
return parsePublicTradeEvent(val)
case "user":
return ParseUserEvent(val)
}
}
eventType := string(val.GetStringBytes("e"))
switch eventType {
case "authenticated":
return parseAuthEvent(val)
case "error":
return parseErrorEvent(val)
case "subscribed", "unsubscribed":
return parseSubscriptionEvent(val)
}
return nil, errors.Wrapf(ErrMessageTypeNotSupported, "payload %s", payload)
}
type TradeEntry struct {
Trend string `json:"tr"`
Price string `json:"p"`
Volume string `json:"v"`
Timestamp int64 `json:"T"`
}
func (e TradeEntry) Time() time.Time {
return time.Unix(0, e.Timestamp*int64(time.Millisecond))
}
// parseTradeEntry parse the trade content payload
func parseTradeEntry(val *fastjson.Value) TradeEntry {
return TradeEntry{
Trend: strings.ToLower(string(val.GetStringBytes("tr"))),
Timestamp: val.GetInt64("T"),
Price: string(val.GetStringBytes("p")),
Volume: string(val.GetStringBytes("v")),
}
}
type KLineEvent struct {
Event string `json:"e"`
Market string `json:"M"`
Channel string `json:"c"`
KLine KLine `json:"k"`
Timestamp int64 `json:"T"`
}
/*
{
"c": "kline",
"M": "btcusdt",
"e": "update",
"T": 1602999650179,
"k": {
"ST": 1602999900000,
"ET": 1602999900000,
"M": "btcusdt",
"R": "5m",
"O": "11417.21",
"H": "11417.21",
"L": "11417.21",
"C": "11417.21",
"v": "0",
"ti": 0,
"x": false
}
}
*/
type KLinePayload struct {
StartTime int64 `json:"ST"`
EndTime int64 `json:"ET"`
Market string `json:"M"`
Resolution string `json:"R"`
Open string `json:"O"`
High string `json:"H"`
Low string `json:"L"`
Close string `json:"C"`
Volume string `json:"v"`
LastTradeID int `json:"ti"`
Closed bool `json:"x"`
}
func (k KLinePayload) KLine() types.KLine {
return types.KLine{
StartTime: types.Time(time.Unix(0, k.StartTime*int64(time.Millisecond))),
EndTime: types.Time(time.Unix(0, k.EndTime*int64(time.Millisecond))),
Symbol: k.Market,
Interval: types.Interval(k.Resolution),
Open: fixedpoint.MustNewFromString(k.Open),
Close: fixedpoint.MustNewFromString(k.Close),
High: fixedpoint.MustNewFromString(k.High),
Low: fixedpoint.MustNewFromString(k.Low),
Volume: fixedpoint.MustNewFromString(k.Volume),
QuoteVolume: fixedpoint.Zero, // TODO: add this from kingfisher
LastTradeID: uint64(k.LastTradeID),
NumberOfTrades: 0, // TODO: add this from kingfisher
Closed: k.Closed,
}
}
type PublicTradeEvent struct {
Event string `json:"e"`
Market string `json:"M"`
Channel string `json:"c"`
Trades []TradeEntry `json:"t"`
Timestamp int64 `json:"T"`
}
func (e *PublicTradeEvent) Time() time.Time {
return time.Unix(0, e.Timestamp*int64(time.Millisecond))
}
func parsePublicTradeEvent(val *fastjson.Value) (*PublicTradeEvent, error) {
event := PublicTradeEvent{
Event: string(val.GetStringBytes("e")),
Market: string(val.GetStringBytes("M")),
Channel: string(val.GetStringBytes("c")),
Timestamp: val.GetInt64("T"),
}
for _, tradeValue := range val.GetArray("t") {
event.Trades = append(event.Trades, parseTradeEntry(tradeValue))
}
return &event, nil
}
type BookEvent struct {
Event string `json:"e"`
Market string `json:"M"`
Channel string `json:"c"`
Timestamp int64 `json:"t"` // Millisecond timestamp
Bids types.PriceVolumeSlice
Asks types.PriceVolumeSlice
}
func (e *BookEvent) Time() time.Time {
return time.Unix(0, e.Timestamp*int64(time.Millisecond))
}
func (e *BookEvent) OrderBook() (snapshot types.SliceOrderBook, err error) {
snapshot.Symbol = strings.ToUpper(e.Market)
snapshot.Time = e.Time()
snapshot.Bids = e.Bids
snapshot.Asks = e.Asks
return snapshot, nil
}
func parseKLineEvent(val *fastjson.Value) (*KLineEvent, error) {
event := KLineEvent{
Event: string(val.GetStringBytes("e")),
Market: string(val.GetStringBytes("M")),
Channel: string(val.GetStringBytes("c")),
Timestamp: val.GetInt64("T"),
}
k := val.Get("k")
event.KLine = KLine{
Symbol: string(k.GetStringBytes("M")),
Interval: string(k.GetStringBytes("R")),
StartTime: time.Unix(0, k.GetInt64("ST")*int64(time.Millisecond)),
EndTime: time.Unix(0, k.GetInt64("ET")*int64(time.Millisecond)),
Open: fixedpoint.MustNewFromBytes(k.GetStringBytes("O")),
High: fixedpoint.MustNewFromBytes(k.GetStringBytes("H")),
Low: fixedpoint.MustNewFromBytes(k.GetStringBytes("L")),
Close: fixedpoint.MustNewFromBytes(k.GetStringBytes("C")),
Volume: fixedpoint.MustNewFromBytes(k.GetStringBytes("v")),
Closed: k.GetBool("x"),
}
return &event, nil
}
func parseBookEvent(val *fastjson.Value) (event *BookEvent, err error) {
event = &BookEvent{
Event: string(val.GetStringBytes("e")),
Market: string(val.GetStringBytes("M")),
Channel: string(val.GetStringBytes("c")),
Timestamp: val.GetInt64("T"),
}
// t := time.Unix(0, event.Timestamp*int64(time.Millisecond))
event.Asks, err = parseBookEntries2(val.GetArray("a"))
if err != nil {
return event, err
}
event.Bids, err = parseBookEntries2(val.GetArray("b"))
return event, err
}
// parseBookEntries2 parses JSON struct like `[["233330", "0.33"], ....]`
func parseBookEntries2(vals []*fastjson.Value) (entries types.PriceVolumeSlice, err error) {
entries = make(types.PriceVolumeSlice, 0, 50)
var arr []*fastjson.Value
for _, entry := range vals {
arr, err = entry.Array()
if err != nil {
return entries, err
}
if len(arr) < 2 {
return entries, ErrIncorrectBookEntryElementLength
}
var pv types.PriceVolume
pv.Price, err = fixedpoint.NewFromString(string(arr[0].GetStringBytes()))
if err != nil {
return entries, err
}
pv.Volume, err = fixedpoint.NewFromString(string(arr[1].GetStringBytes()))
if err != nil {
return entries, err
}
entries = append(entries, pv)
}
return entries, err
}
type ErrorEvent struct {
Timestamp int64
Errors []string
CommandID string
}
func (e ErrorEvent) Time() time.Time {
return time.Unix(0, e.Timestamp*int64(time.Millisecond))
}
func parseErrorEvent(val *fastjson.Value) (*ErrorEvent, error) {
event := ErrorEvent{
Timestamp: val.GetInt64("T"),
CommandID: string(val.GetStringBytes("i")),
}
for _, entry := range val.GetArray("E") {
event.Errors = append(event.Errors, string(entry.GetStringBytes()))
}
return &event, nil
}
type SubscriptionEvent struct {
Event string `json:"e"`
Timestamp int64 `json:"T"`
CommandID string `json:"i"`
Subscriptions []Subscription `json:"s"`
}
func (e SubscriptionEvent) Time() time.Time {
return time.Unix(0, e.Timestamp*int64(time.Millisecond))
}
func parseSubscriptionEvent(val *fastjson.Value) (*SubscriptionEvent, error) {
event := SubscriptionEvent{
Event: string(val.GetStringBytes("e")),
Timestamp: val.GetInt64("T"),
CommandID: string(val.GetStringBytes("i")),
}
for _, entry := range val.GetArray("s") {
market := string(entry.GetStringBytes("market"))
channel := string(entry.GetStringBytes("channel"))
event.Subscriptions = append(event.Subscriptions, Subscription{
Market: market,
Channel: channel,
})
}
return &event, nil
}