-
Notifications
You must be signed in to change notification settings - Fork 129
/
FuturesFTXScraper.go
214 lines (195 loc) · 6.38 KB
/
FuturesFTXScraper.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
package scrapers
import (
"encoding/json"
"fmt"
"github.com/diadata-org/diadata/internal/pkg/scraper-writers"
"net/url"
"os"
"os/signal"
"sync"
"syscall"
"time"
utils "github.com/diadata-org/diadata/pkg/utils"
"github.com/gorilla/websocket"
zap "go.uber.org/zap"
)
var allFuturesMarketsFTX = []string{"BTC-PERP", "ETH-PERP", "LINK-PERP",
"EOS-PERP", "BNB-PERP", "BCH-PERP", "XRP-PERP", "BSV-PERP", "ALGO-PERP",
"DRGN-PERP", "HT-PERP", "LTC-PERP", "LEO-PERP", "SHIT-PERP", "TRX-PERP",
"USDT-PERP", "EXCH-PERP", "BTMX-PERP", "ALT-PERP", "ADA-PERP", "MID-PERP",
"OKB-PERP", "MATIC-PERP", "ATOM-PERP", "ETC-PERP", "TOMO-PERP", "DOGE-PERP"}
const scrapeDataSaveLocationFTX = ""
// FTXFuturesScraper - scrapes the futures from the FTX exchange
type FTXFuturesScraper struct {
Markets []string
WaitGroup *sync.WaitGroup
Writer writers.Writer
Logger *zap.SugaredLogger
}
type tradeMessageFTX struct {
Type string `json:"type"`
}
// NewFTXFuturesScraper - returns an instance of the FTX scraper
func NewFTXFuturesScraper(markets []string) FuturesScraper {
wg := sync.WaitGroup{}
writer := writers.FileWriter{}
logger := zap.NewExample().Sugar() // or NewProduction, or NewDevelopment
defer func() {
err := logger.Sync()
if err != nil {
log.Error(err)
}
}()
var scraper FuturesScraper = &FTXFuturesScraper{
WaitGroup: &wg,
Markets: markets, // []string{"BNB-PERP", "ETH-PERP", "BTC-PERP", "EOS-PERP"}
Writer: &writer,
Logger: logger,
}
return scraper
}
func (s *FTXFuturesScraper) send(message *map[string]string, market string, websocketConn *websocket.Conn) error {
err := websocketConn.WriteJSON(*message)
if err != nil {
return err
}
s.Logger.Debugf("sent message [%s]: %s", market, message)
return nil
}
// Authenticate - placeholder here, since we do not need to authneticate the connection.
func (s *FTXFuturesScraper) Authenticate(market string, connection interface{}) error { return nil }
// ScraperClose - safely closes the scraper; We pass the interface connection as the second argument
// primarily for the reason that Huobi scraper does not use the gorilla websocket; It uses golang's x websocket;
// If we did not define this method in our FuturesScraper interface, we could have easily used the pointer
// to gorilla websocket here; However, to make FuturesScraper more ubiquituous, we need an interface here.
func (s *FTXFuturesScraper) ScraperClose(market string, connection interface{}) error {
switch c := connection.(type) {
case *websocket.Conn:
err := c.WriteJSON(map[string]string{"op": "unsubscribe", "channel": "trades", "market": market})
if err != nil {
return err
}
err = c.Close()
if err != nil {
return err
}
s.Logger.Infof("gracefully shutdown ftx scraper on market: %s", market)
time.Sleep(time.Duration(retryIn) * time.Second)
return nil
default:
return fmt.Errorf("unknown connection type, expected gorilla/websocket, got: %T", connection)
}
}
// Scrape starts a websocket scraper for market
func (s *FTXFuturesScraper) Scrape(market string) {
s.validateMarket(market)
// this block is for listening to sigterms and interupts
sigs := make(chan os.Signal, 1)
signal.Notify(sigs, syscall.SIGINT, syscall.SIGTERM)
userCancelled := make(chan bool, 1)
go func() {
sig := <-sigs
fmt.Println(sig)
userCancelled <- true
}()
for {
// immediately invoked function expression for easy clenup with defer
func() {
u := url.URL{Scheme: "wss", Host: "ftx.com", Path: "/ws"}
s.Logger.Debugf("connecting to [%s], market: [%s]", u.String(), market)
ws, resp, err := websocket.DefaultDialer.Dial(u.String(), nil)
if err != nil {
s.Logger.Errorf("could not dial ftx websocket: %s", err)
time.Sleep(time.Duration(retryIn) * time.Second)
return
}
defer func() {
err = resp.Body.Close()
if err != nil {
log.Error(err)
}
}()
defer func() {
err = ws.Close()
if err != nil {
log.Error(err)
}
}()
defer func() {
err = s.ScraperClose(market, ws)
if err != nil {
log.Error(err)
}
}()
err = s.send(&map[string]string{"market": market, "channel": "trades", "op": "subscribe"}, market, ws)
if err != nil {
s.Logger.Errorf("could not send a channel subscription message. retrying, err: %s", err)
return
}
err = s.send(&map[string]string{"op": "ping"}, market, ws)
if err != nil {
s.Logger.Errorf("could not send an initial ping message. retrying, err: %s", err)
return
}
tick := time.NewTicker(15 * time.Second) // every 15 seconds we have to ping FTX
defer tick.Stop()
// we require a separate goroutine for ticker, because ReadMessage is blocking
// and we may fail sending ping before we get any message on a market, thus
// forcing FTX to close our websocket out.
go func() {
for range tick.C {
err := s.send(&map[string]string{"op": "ping"}, market, ws)
if err != nil {
log.Error(err)
}
}
}()
for {
select {
case <-userCancelled:
s.Logger.Infof("received interrupt, gracefully shutting down")
err := s.ScraperClose(market, ws)
if err != nil {
log.Error(err)
}
os.Exit(0)
default:
_, message, err := ws.ReadMessage()
decodedMsg := tradeMessageFTX{}
if err != nil {
s.Logger.Errorf("problem reading ftx on [%s], err: %s", market, err)
return
}
err = json.Unmarshal(message, &decodedMsg)
if err != nil {
s.Logger.Errorf("could not unmarshal ftx message on [%s], err: %s", market, err)
return
}
s.Logger.Debugf("received new message: %s", message)
if decodedMsg.Type != "subscribed" && decodedMsg.Type != "pong" && decodedMsg.Type != "unsubscribed" {
s.Logger.Debugf("saving new message on [%s]", market)
_, err = s.Writer.Write(string(message)+"\n", scrapeDataSaveLocationFTX+s.Writer.GetWriteFileName("ftx", market))
if err != nil {
s.Logger.Errorf("could not write to file, err: %s", err)
return
}
}
}
}
}()
}
}
// ScrapeMarkets - will scrape the markets specified during instantiation
func (s *FTXFuturesScraper) ScrapeMarkets() {
for _, market := range s.Markets {
s.WaitGroup.Add(1)
go s.Scrape(market)
}
s.WaitGroup.Wait()
}
func (s *FTXFuturesScraper) validateMarket(market string) {
containsMarket := utils.Contains(&allFuturesMarketsFTX, market)
if !containsMarket {
panic(fmt.Sprintf("Market %s is not available", market))
}
}