/
futures_ws.go
428 lines (372 loc) · 31.4 KB
/
futures_ws.go
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package okex
import (
"context"
"fmt"
"github.com/recws-org/recws"
"github.com/tidwall/gjson"
"log"
"net/http"
"net/url"
"sync"
"time"
)
const (
TableFuturesTicker = "futures/ticker" // 公共-Ticker频道
TableFuturesTrade = "futures/trade" // 公共-交易频道
TableFuturesDepthL2Tbt = "futures/depth_l2_tbt" // 公共-400档增量数据频道
TableFuturesPosition = "futures/position" // 用户持仓频道
TableFuturesAccount = "futures/account" // 用户账户频道
TableFuturesOrder = "futures/order" // 用户交易频道
)
type FuturesWS struct {
sync.RWMutex
wsURL string
accessKey string
secretKey string
passphrase string
debugMode bool
ctx context.Context
cancel context.CancelFunc
conn recws.RecConn
subscriptions map[string]interface{}
tickersCallback func(tickers []WSTicker)
tradesCallback func(trades []WSTrade)
depthL2TbtCallback func(action string, data []WSDepthL2Tbt)
depth20SnapshotCallback func(ob *OrderBook) // 20档盘口
accountCallback func(accounts []WSAccount)
positionCallback func(positions []WSFuturesPosition)
orderCallback func(orders []WSOrder)
dobMap map[string]*DepthOrderBook
}
// SetProxy 设置代理地址
// porxyURL:
// socks5://127.0.0.1:1080
// https://127.0.0.1:1080
func (ws *FuturesWS) SetProxy(proxyURL string) (err error) {
var purl *url.URL
purl, err = url.Parse(proxyURL)
if err != nil {
return
}
log.Printf("[ws][%s] proxy url:%s", proxyURL, purl)
ws.conn.Proxy = http.ProxyURL(purl)
return
}
func (ws *FuturesWS) SetTickerCallback(callback func(tickers []WSTicker)) {
ws.tickersCallback = callback
}
func (ws *FuturesWS) SetTradeCallback(callback func(trades []WSTrade)) {
ws.tradesCallback = callback
}
func (ws *FuturesWS) SetDepthL2TbtCallback(callback func(action string, data []WSDepthL2Tbt)) {
ws.depthL2TbtCallback = callback
}
func (ws *FuturesWS) SetDepth20SnapshotCallback(callback func(ob *OrderBook)) {
ws.depth20SnapshotCallback = callback
}
func (ws *FuturesWS) SetAccountCallback(callback func(accounts []WSAccount)) {
ws.accountCallback = callback
}
func (ws *FuturesWS) SetPositionCallback(callback func(positions []WSFuturesPosition)) {
ws.positionCallback = callback
}
func (ws *FuturesWS) SetOrderCallback(callback func(orders []WSOrder)) {
ws.orderCallback = callback
}
func (ws *FuturesWS) SubscribeTicker(id string, symbol string) error {
ch := fmt.Sprintf("%v:%v", TableFuturesTicker, symbol)
return ws.Subscribe(id, []string{ch})
}
func (ws *FuturesWS) SubscribeTrade(id string, symbol string) error {
ch := fmt.Sprintf("%v:%v", TableFuturesTrade, symbol)
return ws.Subscribe(id, []string{ch})
}
// SubscribeDepthL2Tbt 公共-400档增量数据频道
// 订阅后首次返回市场订单簿的400档深度数据并推送；后续只要订单簿深度有变化就推送有更改的数据。
func (ws *FuturesWS) SubscribeDepthL2Tbt(id string, symbol string) error {
ch := fmt.Sprintf("%v:%v", TableFuturesDepthL2Tbt, symbol)
return ws.Subscribe(id, []string{ch})
}
func (ws *FuturesWS) SubscribePosition(id string, symbol string) error {
ch := fmt.Sprintf("%v:%v", TableFuturesPosition, symbol)
return ws.Subscribe(id, []string{ch})
}
func (ws *FuturesWS) SubscribeAccount(id string, symbol string) error {
ch := fmt.Sprintf("%v:%v", TableFuturesAccount, symbol)
return ws.Subscribe(id, []string{ch})
}
func (ws *FuturesWS) SubscribeOrder(id string, symbol string) error {
ch := fmt.Sprintf("%v:%v", TableFuturesOrder, symbol)
return ws.Subscribe(id, []string{ch})
}
// Subscribe 订阅
func (ws *FuturesWS) Subscribe(id string, args []string) error {
ws.Lock()
defer ws.Unlock()
type Op struct {
Op string `json:"op"`
Args []string `json:"args"`
}
op := Op{
Op: "subscribe",
Args: args,
}
ws.subscriptions[id] = op
return ws.sendWSMessage(op)
}
// Unsubscribe 取消订阅
func (ws *FuturesWS) Unsubscribe(id string) error {
ws.Lock()
defer ws.Unlock()
if _, ok := ws.subscriptions[id]; ok {
delete(ws.subscriptions, id)
}
return nil
}
func (ws *FuturesWS) Login() error {
if ws.accessKey == "" || ws.secretKey == "" || ws.passphrase == "" {
return fmt.Errorf("missing key")
}
timestamp := EpochTime()
preHash := PreHashString(timestamp, GET, "/users/self/verify", "")
if sign, err := HmacSha256Base64Signer(preHash, ws.secretKey); err != nil {
return err
} else {
op, err := loginOp(ws.accessKey, ws.passphrase, timestamp, sign)
if err != nil {
return err
}
//data, err := Struct2JsonString(op)
log.Printf("Send Msg: %#v", *op)
//err = a.conn.WriteMessage(websocket.TextMessage, []byte(data))
err = ws.sendWSMessage(op)
if err != nil {
return err
}
time.Sleep(time.Millisecond * 100)
}
return nil
}
func (ws *FuturesWS) subscribeHandler() error {
//log.Printf("subscribeHandler")
ws.Lock()
defer ws.Unlock()
err := ws.Login()
if err != nil {
log.Printf("login error: %v", err)
}
for _, v := range ws.subscriptions {
//log.Printf("sub: %#v", v)
err := ws.sendWSMessage(v)
if err != nil {
log.Printf("%v", err)
}
}
return nil
}
func (ws *FuturesWS) sendWSMessage(msg interface{}) error {
return ws.conn.WriteJSON(msg)
}
func (ws *FuturesWS) Start() {
log.Printf("wsURL: %v", ws.wsURL)
ws.conn.Dial(ws.wsURL, nil)
go ws.run()
}
func (ws *FuturesWS) run() {
ctx := context.Background()
for {
select {
case <-ctx.Done():
go ws.conn.Close()
log.Printf("Websocket closed %s", ws.conn.GetURL())
return
default:
messageType, msg, err := ws.conn.ReadMessage()
if err != nil {
log.Printf("Read error: %v", err)
time.Sleep(100 * time.Millisecond)
continue
}
msg, err = FlateUnCompress(msg)
if err != nil {
log.Printf("%v", err)
continue
}
ws.handleMsg(messageType, msg)
}
}
}
func (ws *FuturesWS) handleMsg(messageType int, msg []byte) {
ret := gjson.ParseBytes(msg)
if ws.debugMode {
log.Printf("%v", string(msg))
}
// 登录成功
// {"event":"login","success":true}
// Ticker 订阅成功
// {"event":"subscribe","channel":"futures/ticker:BTC-USD-200626"}
// 错误消息
// {"event":"error","message":"User not logged in / User must be logged in","errorCode":30041}
// 委托
// {"table":"futures/order","data":[{"leverage":"10","last_fill_time":"1970-01-01T00:00:00.000Z","filled_qty":"0","fee":"0","price_avg":"0","type":"1","client_oid":"","last_fill_qty":"0","instrument_id":"BTC-USD-200626","last_fill_px":"0","pnl":"0","size":"1","price":"6200","last_fill_id":"0","error_code":"0","state":"0","contract_val":"100","order_id":"4718613348289537","order_type":"0","timestamp":"2020-04-13T00:05:25.760Z","status":"0"}]}
// 账户资产变动
// {"table":"futures/account","data":[{"BTC":{"available":"0.01867179","can_withdraw":"0.01867179","currency":"BTC","equity":"0.02018113","liqui_mode":"tier","maint_margin_ratio":"0.005","margin":"0.00150934","margin_for_unfilled":"0","margin_frozen":"0.00150934","margin_mode":"crossed","margin_ratio":"1.3370831","open_max":"0","realized_pnl":"-0.00034029","timestamp":"2020-04-12T08:00:13.975Z","total_avail_balance":"0.02046331","underlying":"BTC-USD","unrealized_pnl":"0.00005811"}}]}
// Ticker 消息
// {"table":"futures/ticker","data":[{"last":"6768.28","open_24h":"6887.16","best_bid":"6765.49","high_24h":"6889.64","low_24h":"6711","volume_24h":"4012676","volume_token_24h":"59026.9171","best_ask":"6765.5","open_interest":"2789329","instrument_id":"BTC-USD-200626","timestamp":"2020-04-12T06:19:03.829Z","best_bid_size":"129","best_ask_size":"6","last_qty":"2"}]}
if tableValue := ret.Get("table"); tableValue.Exists() {
table := tableValue.String()
if table == TableFuturesDepthL2Tbt { // 优先判断最高频数据
// 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// {"table":"futures/depth_l2_tbt","action":"update","data":[{"instrument_id":"BTC-USD-200626","asks":[["6773.3","0","0","0"],["6773.39","0","0","0"]],"bids":[["6774.41","0","0","0"],["6773.51","0","0","0"],["6773.42","0","0","0"]],"timestamp":"2020-04-12T10:24:19.925Z","checksum":854586422}]}
// {"table":"futures/depth_l2_tbt","action":"update","data":[{"instrument_id":"BTC-USD-200626","asks":[["6772.8","0","0","0"],["6777.55","0","0","0"],["6781.25","0","0","0"],["6782.5","11","0","1"],["6783.14","171","0","2"]],"bids":[["6774.21","0","0","0"],["6774.01","0","0","0"],["6773.42","0","0","0"],["6766.01","133","0","1"],["6025.23","0","0","0"],["6025.18","0","0","0"]],"timestamp":"2020-04-12T10:24:19.938Z","checksum":854586422}]}
// action := ret.Get("action").String()
var depthL2 WSDepthL2TbtResult
err := json.Unmarshal(msg, &depthL2)
if err != nil {
log.Printf("%v", err)
return
}
if ws.depthL2TbtCallback != nil {
ws.depthL2TbtCallback(depthL2.Action, depthL2.Data)
}
if ws.depth20SnapshotCallback != nil {
for _, v := range depthL2.Data {
var ob OrderBook
if v1, ok := ws.dobMap[v.InstrumentID]; ok {
v1.Update(depthL2.Action, &v)
ob = v1.GetOrderBook(20)
} else {
dob := NewDepthOrderBook(v.InstrumentID)
dob.Update(depthL2.Action, &v)
ws.dobMap[v.InstrumentID] = dob
ob = dob.GetOrderBook(20)
}
ws.depth20SnapshotCallback(&ob)
}
}
return
} else if table == TableFuturesTicker {
var tickerResult WSTickerResult
err := json.Unmarshal(msg, &tickerResult)
if err != nil {
log.Printf("%v", err)
return
}
if ws.tickersCallback != nil {
ws.tickersCallback(tickerResult.Data)
}
return
} else if table == TableFuturesTrade {
var tradeResult WSTradeResult
err := json.Unmarshal(msg, &tradeResult)
if err != nil {
log.Printf("%v", err)
return
}
if ws.tradesCallback != nil {
ws.tradesCallback(tradeResult.Data)
}
return
} else if table == TableFuturesAccount {
var accountResult WSAccountResult
err := json.Unmarshal(msg, &accountResult)
if err != nil {
log.Printf("%v", err)
return
}
if ws.accountCallback != nil {
var accounts []WSAccount
for _, v := range accountResult.Data {
if v.BTC != nil {
accounts = append(accounts, *v.BTC)
continue
}
if v.ETH != nil {
accounts = append(accounts, *v.ETH)
continue
}
if v.ETC != nil {
accounts = append(accounts, *v.ETC)
continue
}
if v.XRP != nil {
accounts = append(accounts, *v.XRP)
continue
}
if v.EOS != nil {
accounts = append(accounts, *v.EOS)
continue
}
if v.BCH != nil {
accounts = append(accounts, *v.BCH)
continue
}
if v.BSV != nil {
accounts = append(accounts, *v.BSV)
continue
}
if v.TRX != nil {
accounts = append(accounts, *v.TRX)
continue
}
}
ws.accountCallback(accounts)
}
return
} else if table == TableFuturesPosition {
var positionResult WSFuturesPositionResult
err := json.Unmarshal(msg, &positionResult)
if err != nil {
log.Printf("%v", err)
return
}
if ws.positionCallback != nil {
ws.positionCallback(positionResult.Data)
}
return
} else if table == TableFuturesOrder {
var orderResult WSOrderResult
err := json.Unmarshal(msg, &orderResult)
if err != nil {
log.Printf("%v", err)
return
}
if ws.orderCallback != nil {
ws.orderCallback(orderResult.Data)
}
return
}
log.Printf("%v", string(msg))
return
}
if eventValue := ret.Get("event"); eventValue.Exists() {
event := eventValue.String()
if event == "error" {
log.Printf("error: %v", string(msg))
return
}
log.Printf("%v", string(msg))
return
}
log.Printf("%v", string(msg))
}
// NewFuturesWS 创建合约WS
// wsURL:
// wss://real.okex.com:8443/ws/v3
func NewFuturesWS(wsURL string, accessKey string, secretKey string, passphrase string, debugMode bool) *FuturesWS {
ws := &FuturesWS{
wsURL: wsURL,
accessKey: accessKey,
secretKey: secretKey,
passphrase: passphrase,
debugMode: debugMode,
subscriptions: make(map[string]interface{}),
dobMap: make(map[string]*DepthOrderBook),
}
ws.ctx, ws.cancel = context.WithCancel(context.Background())
ws.conn = recws.RecConn{
KeepAliveTimeout: 10 * time.Second,
}
ws.conn.SubscribeHandler = ws.subscribeHandler
return ws
}