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@@ -30,6 +30,7 @@ enum class ExchangeVendor { | |
| BITMAX, | ||
| IDAX, | ||
| COINEAL, | ||
| POLONIEX, | ||
| UNKNOWN; | ||
|
|
||
| /** | ||
|
|
||
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| @@ -0,0 +1,33 @@ | ||
| /* | ||
| * Copyright 2019 namjug-kim | ||
| * | ||
| * LINE Corporation licenses this file to you under the Apache License, | ||
| * version 2.0 (the "License"); you may not use this file except in compliance | ||
| * with the License. You may obtain a copy of the License at: | ||
| * | ||
| * https://www.apache.org/licenses/LICENSE-2.0 | ||
| * | ||
| * Unless required by applicable law or agreed to in writing, software | ||
| * distributed under the License is distributed on an "AS IS" BASIS, WITHOUT | ||
| * WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the | ||
| * License for the specific language governing permissions and limitations | ||
| * under the License. | ||
| */ | ||
|
|
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| apply plugin: 'kotlin' | ||
| apply plugin: 'org.jetbrains.kotlin.jvm' | ||
|
|
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| version '1.0-SNAPSHOT' | ||
|
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| dependencies { | ||
| compile project(':reactive-crypto-core') | ||
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|
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| compile "org.jetbrains.kotlin:kotlin-stdlib-jdk8" | ||
| } | ||
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| compileKotlin { | ||
| kotlinOptions.jvmTarget = "1.8" | ||
| } | ||
| compileTestKotlin { | ||
| kotlinOptions.jvmTarget = "1.8" | ||
| } |
201 changes: 201 additions & 0 deletions
201
...to-poloniex/src/main/kotlin/com/njkim/reactivecrypto/poloniex/PoloniexJsonObjectMapper.kt
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| Original file line number | Diff line number | Diff line change |
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| @@ -0,0 +1,201 @@ | ||
| /* | ||
| * Copyright 2019 namjug-kim | ||
| * | ||
| * LINE Corporation licenses this file to you under the Apache License, | ||
| * version 2.0 (the "License"); you may not use this file except in compliance | ||
| * with the License. You may obtain a copy of the License at: | ||
| * | ||
| * https://www.apache.org/licenses/LICENSE-2.0 | ||
| * | ||
| * Unless required by applicable law or agreed to in writing, software | ||
| * distributed under the License is distributed on an "AS IS" BASIS, WITHOUT | ||
| * WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the | ||
| * License for the specific language governing permissions and limitations | ||
| * under the License. | ||
| */ | ||
|
|
||
| package com.njkim.reactivecrypto.poloniex | ||
|
|
||
| import com.fasterxml.jackson.core.JsonParser | ||
| import com.fasterxml.jackson.databind.DeserializationContext | ||
| import com.fasterxml.jackson.databind.JsonDeserializer | ||
| import com.fasterxml.jackson.databind.JsonNode | ||
| import com.fasterxml.jackson.databind.ObjectMapper | ||
| import com.fasterxml.jackson.databind.module.SimpleModule | ||
| import com.njkim.reactivecrypto.core.ExchangeJsonObjectMapper | ||
| import com.njkim.reactivecrypto.core.common.model.currency.CurrencyPair | ||
| import com.njkim.reactivecrypto.core.common.model.order.OrderBookUnit | ||
| import com.njkim.reactivecrypto.core.common.model.order.OrderSideType | ||
| import com.njkim.reactivecrypto.core.common.model.order.TradeSideType | ||
| import com.njkim.reactivecrypto.poloniex.model.* | ||
| import java.math.BigDecimal | ||
| import java.time.Instant | ||
| import java.time.ZoneId | ||
| import java.time.ZonedDateTime | ||
|
|
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| class PoloniexJsonObjectMapper : ExchangeJsonObjectMapper { | ||
|
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| companion object { | ||
| val instance: ObjectMapper = com.njkim.reactivecrypto.poloniex.PoloniexJsonObjectMapper().objectMapper() | ||
| } | ||
|
|
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| override fun zonedDateTimeDeserializer(): JsonDeserializer<ZonedDateTime> { | ||
| return object : JsonDeserializer<ZonedDateTime>() { | ||
| override fun deserialize(p: JsonParser, ctxt: DeserializationContext): ZonedDateTime { | ||
| return Instant.ofEpochSecond(p.valueAsLong).atZone(ZoneId.systemDefault()) | ||
| } | ||
| } | ||
| } | ||
|
|
||
| /** | ||
| * {baseCurrency}_{targetCurrency} | ||
| */ | ||
| override fun currencyPairDeserializer(): JsonDeserializer<CurrencyPair> { | ||
| return object : JsonDeserializer<CurrencyPair>() { | ||
| override fun deserialize(p: JsonParser, ctxt: DeserializationContext): CurrencyPair { | ||
| val currencyPairRawValue = p.valueAsString | ||
| val split = currencyPairRawValue.split("_") | ||
|
|
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| return CurrencyPair.parse(split[1], split[0]) | ||
| } | ||
| } | ||
| } | ||
|
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| override fun orderSideTypeDeserializer(): JsonDeserializer<OrderSideType>? { | ||
| // <1 for bid 0 for ask> | ||
| return object : JsonDeserializer<OrderSideType>() { | ||
| override fun deserialize(p: JsonParser, ctxt: DeserializationContext): OrderSideType { | ||
| return when (p.valueAsInt) { | ||
| 0 -> OrderSideType.ASK | ||
| 1 -> OrderSideType.BID | ||
| else -> throw IllegalArgumentException() | ||
| } | ||
| } | ||
| } | ||
| } | ||
|
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| override fun tradeSideTypeDeserializer(): JsonDeserializer<TradeSideType>? { | ||
| // <1 for buy 0 for sell> | ||
| return object : JsonDeserializer<TradeSideType>() { | ||
| override fun deserialize(p: JsonParser, ctxt: DeserializationContext): TradeSideType { | ||
| return when (p.valueAsInt) { | ||
| 0 -> TradeSideType.SELL | ||
| 1 -> TradeSideType.BUY | ||
| else -> throw IllegalArgumentException() | ||
| } | ||
| } | ||
| } | ||
| } | ||
|
|
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| override fun customConfiguration(simpleModule: SimpleModule) { | ||
| val poloniexMessageFrameDeserializer = object : JsonDeserializer<PoloniexMessageFrame>() { | ||
| override fun deserialize(p: JsonParser, ctxt: DeserializationContext): PoloniexMessageFrame { | ||
| val jsonNode: JsonNode = p.codec.readTree(p) | ||
| val channelId = jsonNode[0].asLong() | ||
| val sequenceNumber = jsonNode[1].asLong() | ||
| val events = jsonNode[2].map { event -> | ||
| val eventType = PoloniexEventType.parse(event[0].asText()) | ||
| PoloniexJsonObjectMapper.instance.convertValue(event, eventType.classType) | ||
| } | ||
|
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| return PoloniexMessageFrame( | ||
| channelId, sequenceNumber, events | ||
| ) | ||
| } | ||
| } | ||
|
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| // ["t", "<trade id>", <1 for buy 0 for sell>, "<price>", "<size>", <timestamp>] ] | ||
| val tradeEventDeserializer = object : JsonDeserializer<PoloniexTradeEvent>() { | ||
| override fun deserialize(p: JsonParser, ctxt: DeserializationContext): PoloniexTradeEvent { | ||
| val jsonNode: JsonNode = p.codec.readTree(p) | ||
|
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| val tradeId: String = jsonNode[1].asText() | ||
| val side: TradeSideType = instance.convertValue(jsonNode[2], TradeSideType::class.java) | ||
| val price: BigDecimal = instance.convertValue(jsonNode[3], BigDecimal::class.java) | ||
| val size: BigDecimal = instance.convertValue(jsonNode[4], BigDecimal::class.java) | ||
| val timestamp: ZonedDateTime = instance.convertValue(jsonNode[5], ZonedDateTime::class.java) | ||
|
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| return PoloniexTradeEvent( | ||
| tradeId, | ||
| side, | ||
| price, | ||
| size, | ||
| timestamp | ||
| ) | ||
| } | ||
| } | ||
|
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| val orderBookUpdateEventDeserializer = object : JsonDeserializer<PoloniexOrderBookUpdateEvent>() { | ||
| override fun deserialize(p: JsonParser, ctxt: DeserializationContext): PoloniexOrderBookUpdateEvent { | ||
| val jsonNode: JsonNode = p.codec.readTree(p) | ||
|
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| val side: OrderSideType = instance.convertValue(jsonNode[1], OrderSideType::class.java) | ||
| val price: BigDecimal = instance.convertValue(jsonNode[2], BigDecimal::class.java) | ||
| val size: BigDecimal = instance.convertValue(jsonNode[3], BigDecimal::class.java) | ||
|
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| return PoloniexOrderBookUpdateEvent( | ||
| side, | ||
| price, | ||
| size | ||
| ) | ||
| } | ||
| } | ||
|
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||
| /** | ||
| * [ | ||
| * "i", | ||
| * { | ||
| * "currencyPair": "<currency pair name>", | ||
| * "orderBook": [ | ||
| * { "<lowest ask price>": "<lowest ask size>", "<next ask price>": "<next ask size>", ... }, | ||
| * { "<highest bid price>": "<highest bid size>", "<next bid price>": "<next bid size>", ... } | ||
| * ] | ||
| * } | ||
| * ] | ||
| */ | ||
| val orderBookSnapshotEventDeserializer = object : JsonDeserializer<PoloniexOrderBookSnapshotEvent>() { | ||
| override fun deserialize(p: JsonParser, ctxt: DeserializationContext): PoloniexOrderBookSnapshotEvent { | ||
| val jsonNode: JsonNode = p.codec.readTree(p) | ||
|
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| val orderBookSnapshotNode = jsonNode.get(1) | ||
| val currencyPair = | ||
| instance.convertValue(orderBookSnapshotNode.get("currencyPair"), CurrencyPair::class.java) | ||
| val orderBookNode = orderBookSnapshotNode.get("orderBook") | ||
| val asksNode = orderBookNode.get(0) | ||
| val asks = asksNode.fields().asSequence().toList().map { mutableEntry -> | ||
| val price = mutableEntry.key | ||
| val size = mutableEntry.value | ||
|
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| OrderBookUnit( | ||
| instance.convertValue(price, BigDecimal::class.java), | ||
| instance.convertValue(size, BigDecimal::class.java), | ||
| OrderSideType.ASK | ||
| ) | ||
| } | ||
|
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| val bidsNode = orderBookNode.get(1) | ||
| val bids = bidsNode.fields().asSequence().toList().map { mutableEntry -> | ||
| val price = mutableEntry.key | ||
| val size = mutableEntry.value | ||
|
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| OrderBookUnit( | ||
| instance.convertValue(price, BigDecimal::class.java), | ||
| instance.convertValue(size, BigDecimal::class.java), | ||
| OrderSideType.BID | ||
| ) | ||
| } | ||
|
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| return PoloniexOrderBookSnapshotEvent( | ||
| currencyPair, | ||
| bids, | ||
| asks | ||
| ) | ||
| } | ||
| } | ||
|
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| simpleModule.addDeserializer(PoloniexMessageFrame::class.java, poloniexMessageFrameDeserializer) | ||
| simpleModule.addDeserializer(PoloniexTradeEvent::class.java, tradeEventDeserializer) | ||
| simpleModule.addDeserializer(PoloniexOrderBookUpdateEvent::class.java, orderBookUpdateEventDeserializer) | ||
| simpleModule.addDeserializer(PoloniexOrderBookSnapshotEvent::class.java, orderBookSnapshotEventDeserializer) | ||
| } | ||
| } |
65 changes: 65 additions & 0 deletions
65
...-poloniex/src/main/kotlin/com/njkim/reactivecrypto/poloniex/PoloniexRawWebsocketClient.kt
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,65 @@ | ||
| package com.njkim.reactivecrypto.poloniex | ||
|
|
||
| import com.fasterxml.jackson.module.kotlin.readValue | ||
| import com.njkim.reactivecrypto.core.common.model.currency.CurrencyPair | ||
| import com.njkim.reactivecrypto.poloniex.model.PoloniexEventType | ||
| import com.njkim.reactivecrypto.poloniex.model.PoloniexMessageFrame | ||
| import com.njkim.reactivecrypto.poloniex.model.PoloniexOrderBookSnapshotEvent | ||
| import reactor.core.publisher.Flux | ||
| import reactor.core.publisher.toFlux | ||
| import reactor.netty.http.client.HttpClient | ||
|
|
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| class PoloniexRawWebsocketClient { | ||
| private val baseUrl: String = "wss://api2.poloniex.com" | ||
|
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| /** | ||
| * Subscribe to price aggregated depth of book by currency pair. | ||
| * Response includes an initial book snapshot, book modifications, and trades. | ||
| * Book modification updates with 0 quantity should be treated as removal of the price level. | ||
| * Note that the updates are price aggregated and do not contain individual orders. | ||
| * | ||
| */ | ||
| fun priceAggregatedBook(currencyPairs: List<CurrencyPair>): Flux<PoloniexMessageFrame> { | ||
| val channelIdCurrencyPairMap: MutableMap<Long, CurrencyPair> = HashMap() | ||
|
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| // { "command": "subscribe", "channel": "<channel id>" } | ||
| val subscribeChannels = currencyPairs | ||
| .map { "${it.baseCurrency}_${it.targetCurrency}" } | ||
| .map { "{ \"command\": \"subscribe\", \"channel\": \"$it\" }" } | ||
| .toFlux() | ||
|
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| // TODO heartbeat check | ||
| return HttpClient.create() | ||
| .websocket(655360) | ||
| .uri(baseUrl) | ||
| .handle { inbound, outbound -> | ||
| outbound.sendString(subscribeChannels) | ||
| .then() | ||
| .thenMany(inbound.receive().asString()) | ||
| } | ||
| .filter { it != "[1010]" } // ping message | ||
| .map { PoloniexJsonObjectMapper.instance.readValue<PoloniexMessageFrame>(it) } | ||
| // set currencyPair info for each channel | ||
| .doOnNext { messageFrame -> | ||
| val orderBookSnapshotEvent = messageFrame.events | ||
| .filter { it.eventType == PoloniexEventType.ORDER_BOOK_SNAPSHOT } | ||
| .map { it as PoloniexOrderBookSnapshotEvent } | ||
| .firstOrNull() | ||
|
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| if (orderBookSnapshotEvent != null) { | ||
| val channelId = messageFrame.channelId | ||
| channelIdCurrencyPairMap[channelId] = orderBookSnapshotEvent.currencyPair | ||
| } | ||
| } | ||
| .doOnNext { messageFrame -> | ||
| val channelId = messageFrame.channelId | ||
| messageFrame.events | ||
| .forEach { event -> | ||
| event.currencyPair = channelIdCurrencyPairMap[channelId]!! | ||
| } | ||
| } | ||
| .doFinally { | ||
| channelIdCurrencyPairMap.clear() | ||
| } | ||
| } | ||
| } |
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