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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,201 @@ | ||
| package okex_futures | ||
|
|
||
| import ( | ||
| "github.com/chuckpreslar/emission" | ||
| . "github.com/coinrust/crex" | ||
| "github.com/coinrust/crex/util" | ||
| "github.com/frankrap/okex-api" | ||
| "time" | ||
| ) | ||
|
|
||
| type WS struct { | ||
| ws *okex.FuturesWS | ||
| emitter *emission.Emitter | ||
| } | ||
|
|
||
| func (s *WS) On(event WSEvent, listener interface{}) { | ||
| s.emitter.On(event, listener) | ||
| } | ||
|
|
||
| func (s *WS) SubscribeTrades(market Market) { | ||
| s.ws.SubscribeTrade("trade_1", market.ID) | ||
| } | ||
|
|
||
| func (s *WS) SubscribeLevel2Snapshots(market Market) { | ||
| s.ws.SubscribeDepthL2Tbt("depthL2_1", market.ID) | ||
| } | ||
|
|
||
| func (s *WS) SubscribeOrders(market Market) { | ||
| s.ws.SubscribeOrder("order_1", market.ID) | ||
| } | ||
|
|
||
| func (s *WS) SubscribePositions(market Market) { | ||
| s.ws.SubscribePosition("position_1", market.ID) | ||
| } | ||
|
|
||
| func (s *WS) depth20SnapshotCallback(obRaw *okex.OrderBook) { | ||
| // log.Printf("depthCallback %#v", *depth) | ||
| // ch: market.BTC_CQ.depth.step0 | ||
| ob := &OrderBook{ | ||
| Symbol: obRaw.InstrumentID, | ||
| Time: time.Now(), | ||
| Asks: nil, | ||
| Bids: nil, | ||
| } | ||
| for _, v := range obRaw.Asks { | ||
| ob.Asks = append(ob.Asks, Item{ | ||
| Price: v.Price, | ||
| Amount: v.Amount, | ||
| }) | ||
| } | ||
| for _, v := range obRaw.Bids { | ||
| ob.Bids = append(ob.Bids, Item{ | ||
| Price: v.Price, | ||
| Amount: v.Amount, | ||
| }) | ||
| } | ||
| s.emitter.Emit(WSEventL2Snapshot, ob) | ||
| } | ||
|
|
||
| func (s *WS) tradeCallback(_trades []okex.WSTrade) { | ||
| // log.Printf("tradeCallback") | ||
| var result []Trade | ||
| for _, v := range _trades { | ||
| var direction Direction | ||
| if v.Side == "buy" { | ||
| direction = Buy | ||
| } else if v.Side == "sell" { | ||
| direction = Sell | ||
| } | ||
| t := Trade{ | ||
| ID: v.TradeID, | ||
| Direction: direction, | ||
| Price: util.ParseFloat64(v.Price), | ||
| Amount: util.ParseFloat64(v.Side), | ||
| Ts: v.Timestamp.UnixNano() / 1e6, | ||
| Symbol: v.InstrumentID, | ||
| } | ||
| result = append(result, t) | ||
| } | ||
| s.emitter.Emit(WSEventTrade, result) | ||
| } | ||
|
|
||
| func (s *WS) ordersCallback(orders []okex.WSOrder) { | ||
| //log.Printf("ordersCallback") | ||
| for _, v := range orders { | ||
| o := s.convertOrder(&v) | ||
| s.emitter.Emit(WSEventOrder, o) | ||
| } | ||
| } | ||
|
|
||
| func (s *WS) convertOrder(order *okex.WSOrder) *Order { | ||
| o := &Order{} | ||
| o.ID = order.OrderID | ||
| o.Symbol = order.InstrumentID | ||
| o.Price = util.ParseFloat64(order.Price) | ||
| o.AvgPrice = util.ParseFloat64(order.PriceAvg) | ||
| // o.StopPx = 0 | ||
| o.Size = util.ParseFloat64(order.Size) | ||
| o.FilledAmount = util.ParseFloat64(order.FilledQty) | ||
| switch order.Type { | ||
| case "1": | ||
| o.Direction = Buy | ||
| case "2": | ||
| o.Direction = Sell | ||
| case "3": | ||
| o.Direction = Sell | ||
| o.ReduceOnly = true | ||
| case "4": | ||
| o.Direction = Buy | ||
| o.ReduceOnly = true | ||
| } | ||
| /* | ||
| 0：普通委托 | ||
| 1：只做Maker（Post only） | ||
| 2：全部成交或立即取消（FOK） | ||
| 3：立即成交并取消剩余（IOC） | ||
| 4：市价委托 | ||
| */ | ||
| switch order.OrderType { | ||
| case "0": | ||
| o.Type = OrderTypeLimit | ||
| case "1": | ||
| o.Type = OrderTypeMarket | ||
| o.PostOnly = true | ||
| case "2": | ||
| o.Type = OrderTypeLimit | ||
| case "3": | ||
| o.Type = OrderTypeLimit | ||
| case "4": | ||
| o.Type = OrderTypeMarket | ||
| default: | ||
| o.Type = OrderTypeLimit | ||
| } | ||
| /* | ||
| -2:失败 | ||
| -1:撤单成功 | ||
| 0:等待成交 | ||
| 1:部分成交 | ||
| 2:完全成交 | ||
| 3:下单中 | ||
| 4:撤单中 | ||
| */ | ||
| switch order.State { | ||
| case "-2": | ||
| o.Status = OrderStatusRejected | ||
| case "-1": | ||
| o.Status = OrderStatusCancelled | ||
| case "0": | ||
| o.Status = OrderStatusNew | ||
| case "1": | ||
| o.Status = OrderStatusPartiallyFilled | ||
| case "2": | ||
| o.Status = OrderStatusFilled | ||
| case "3": | ||
| o.Status = OrderStatusCreated | ||
| case "4": | ||
| o.Status = OrderStatusCancelPending | ||
| } | ||
| return o | ||
| } | ||
|
|
||
| func (s *WS) positionsCallback(positions []okex.WSFuturesPosition) { | ||
| //log.Printf("positionsCallback") | ||
| var eventData []Position | ||
| for _, v := range positions { | ||
| longQty := util.ParseFloat64(v.LongQty) | ||
| shortQty := util.ParseFloat64(v.ShortQty) | ||
| if longQty > 0 { | ||
| var o Position | ||
| o.Symbol = v.InstrumentID | ||
| o.OpenTime = v.Timestamp | ||
| o.Size = longQty | ||
| o.OpenPrice = util.ParseFloat64(v.LongAvgCost) | ||
| o.AvgPrice = o.OpenPrice | ||
| eventData = append(eventData, o) | ||
| } else if shortQty > 0 { | ||
| var o Position | ||
| o.Symbol = v.InstrumentID | ||
| o.OpenTime = v.Timestamp | ||
| o.Size = -shortQty | ||
| o.OpenPrice = util.ParseFloat64(v.ShortAvgCost) | ||
| o.AvgPrice = o.OpenPrice | ||
| eventData = append(eventData, o) | ||
| } | ||
| } | ||
| s.emitter.Emit(WSEventPosition, eventData) | ||
| } | ||
|
|
||
| func NewWS(wsURL string, accessKey string, secretKey string, passphrase string) *WS { | ||
| s := &WS{ | ||
| emitter: emission.NewEmitter(), | ||
| } | ||
| ws := okex.NewFuturesWS(wsURL, accessKey, secretKey, passphrase) | ||
| ws.SetDepth20SnapshotCallback(s.depth20SnapshotCallback) | ||
| ws.SetTradeCallback(s.tradeCallback) | ||
| ws.SetOrderCallback(s.ordersCallback) | ||
| ws.SetPositionCallback(s.positionsCallback) | ||
| ws.Start() | ||
| s.ws = ws | ||
| return s | ||
| } |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,62 @@ | ||
| package okex_futures | ||
|
|
||
| import ( | ||
| . "github.com/coinrust/crex" | ||
| "github.com/spf13/viper" | ||
| "log" | ||
| "testing" | ||
| ) | ||
|
|
||
| func newTestWS() *WS { | ||
| viper.SetConfigName("test_config") | ||
| viper.AddConfigPath(".") | ||
| err := viper.ReadInConfig() | ||
| if err != nil { | ||
| log.Panic(err) | ||
| } | ||
|
|
||
| accessKey := viper.GetString("access_key") | ||
| secretKey := viper.GetString("secret_key") | ||
| passphrase := viper.GetString("passphrase") | ||
| wsURL := "wss://real.okex.com:8443/ws/v3" | ||
| ws := NewWS(wsURL, | ||
| accessKey, secretKey, passphrase) | ||
| return ws | ||
| } | ||
|
|
||
| func TestWS_AllInOne(t *testing.T) { | ||
| ws := newTestWS() | ||
|
|
||
| ws.On(WSEventL2Snapshot, func(ob *OrderBook) { | ||
| log.Printf("ob: %#v", ob) | ||
| }) | ||
| ws.On(WSEventTrade, func(trades []Trade) { | ||
| log.Printf("trades: %#v", trades) | ||
| }) | ||
|
|
||
| ws.SubscribeLevel2Snapshots(Market{ | ||
| ID: "BTC-USD-200626", | ||
| Params: "", | ||
| }) | ||
| ws.SubscribeTrades(Market{ | ||
| ID: "BTC-USD-200626", | ||
| Params: "", | ||
| }) | ||
|
|
||
| select {} | ||
| } | ||
|
|
||
| func TestWS_SubscribeOrders(t *testing.T) { | ||
| ws := newTestWS() | ||
|
|
||
| ws.On(WSEventOrder, func(order *Order) { | ||
| log.Printf("order: %#v", order) | ||
| }) | ||
|
|
||
| ws.SubscribeOrders(Market{ | ||
| ID: "BTC-USD-200626", | ||
| Params: "", | ||
| }) | ||
|
|
||
| select {} | ||
| } |
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