github.com/frankrap/okex-api@v1.0.4/futures_ws.go

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
}