Update

coinrust · Apr 26, 2020 · eda8235 · eda8235
1 parent 7fa3148
commit eda8235
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Showing 7 changed files with 363 additions and 8 deletions.
diff --git a/exchanges/hbdm/orderbook.go b/exchanges/hbdm/orderbook.go
@@ -0,0 +1,154 @@
+package hbdm
+
+import (
+	"fmt"
+	"github.com/MauriceGit/skiplist"
+	. "github.com/coinrust/crex"
+	"github.com/frankrap/huobi-api/hbdm"
+)
+
+type DobItem struct {
+	Price  float64
+	Amount float64
+}
+
+func (e DobItem) ExtractKey() float64 {
+	return e.Price
+}
+
+func (e DobItem) String() string {
+	return fmt.Sprintf("%.2f", e.Price)
+}
+
+type DepthOrderBook struct {
+	symbol string
+	asks   skiplist.SkipList
+	bids   skiplist.SkipList
+}
+
+func (d *DepthOrderBook) GetSymbol() string {
+	return d.symbol
+}
+
+func (d *DepthOrderBook) Update(data *hbdm.WSDepthHF) {
+	if data.Tick.Event == "snapshot" {
+		d.asks = skiplist.New()
+		d.bids = skiplist.New()
+		for _, ask := range data.Tick.Asks {
+			d.asks.Insert(DobItem{
+				Price:  ask[0],
+				Amount: ask[1],
+			})
+		}
+		for _, bid := range data.Tick.Bids {
+			d.bids.Insert(DobItem{
+				Price:  bid[0],
+				Amount: bid[1],
+			})
+		}
+		return
+	}
+
+	if data.Tick.Event == "update" {
+		for _, ask := range data.Tick.Asks {
+			price := ask[0]
+			amount := ask[1]
+			if amount == 0 {
+				d.asks.Delete(DobItem{
+					Price:  price,
+					Amount: amount,
+				})
+			} else {
+				item := DobItem{
+					Price:  price,
+					Amount: amount,
+				}
+				elem, ok := d.asks.Find(item)
+				if ok {
+					d.asks.ChangeValue(elem, item)
+				} else {
+					d.asks.Insert(item)
+				}
+			}
+		}
+		for _, bid := range data.Tick.Bids {
+			price := bid[0]
+			amount := bid[1]
+			if amount == 0 {
+				d.bids.Delete(DobItem{
+					Price:  price,
+					Amount: amount,
+				})
+			} else {
+				item := DobItem{
+					Price:  price,
+					Amount: amount,
+				}
+				elem, ok := d.bids.Find(item)
+				if ok {
+					d.bids.ChangeValue(elem, item)
+				} else {
+					d.bids.Insert(item)
+				}
+			}
+		}
+	}
+}
+
+func (d *DepthOrderBook) GetOrderBook(depth int) (result OrderBook) {
+	result.Symbol = d.symbol
+	smallest := d.asks.GetSmallestNode()
+	if smallest != nil {
+		item := smallest.GetValue().(DobItem)
+		result.Asks = append(result.Asks, Item{
+			Price:  item.Price,
+			Amount: item.Amount,
+		})
+		count := 1
+		node := smallest
+		for count < depth {
+			node = d.asks.Next(node)
+			if node == nil {
+				break
+			}
+			item := node.GetValue().(DobItem)
+			result.Asks = append(result.Asks, Item{
+				Price:  item.Price,
+				Amount: item.Amount,
+			})
+			count++
+		}
+	}
+
+	largest := d.bids.GetLargestNode()
+	if largest != nil {
+		item := largest.GetValue().(DobItem)
+		result.Bids = append(result.Bids, Item{
+			Price:  item.Price,
+			Amount: item.Amount,
+		})
+		count := 1
+		node := largest
+		for count < depth {
+			node = d.bids.Prev(node)
+			if node == nil {
+				break
+			}
+			item := node.GetValue().(DobItem)
+			result.Bids = append(result.Bids, Item{
+				Price:  item.Price,
+				Amount: item.Amount,
+			})
+			count++
+		}
+	}
+	return
+}
+
+func NewDepthOrderBook(symbol string) *DepthOrderBook {
+	return &DepthOrderBook{
+		symbol: symbol,
+		asks:   skiplist.New(),
+		bids:   skiplist.New(),
+	}
+}
diff --git a/exchanges/hbdm/websocket.go b/exchanges/hbdm/websocket.go
@@ -12,6 +12,7 @@ import (
 type HbdmWebSocket struct {
 	ws      *hbdm.WS
 	nws     *hbdm.NWS
+	dobMap  map[string]*DepthOrderBook
 	emitter *emission.Emitter
 }
 
@@ -24,8 +25,9 @@ func (s *HbdmWebSocket) SubscribeTrades(symbol string, contractType string, call
 
 func (s *HbdmWebSocket) SubscribeLevel2Snapshots(symbol string, contractType string, callback func(ob *OrderBook)) error {
 	s.emitter.On(WSEventL2Snapshot, callback)
-	s.ws.SubscribeDepth("depth_1",
-		s.convertToSymbol(symbol, contractType))
+	//s.ws.SubscribeDepth("depth_1",
+	//	s.convertToSymbol(symbol, contractType))
+	s.ws.SubscribeDepthHF("depth_1", s.convertToSymbol(symbol, contractType), 20, "incremental")
 	return nil
 }
 
@@ -84,6 +86,22 @@ func (s *HbdmWebSocket) depthCallback(depth *hbdm.WSDepth) {
 	s.emitter.Emit(WSEventL2Snapshot, ob)
 }
 
+func (s *HbdmWebSocket) depthHFCallback(depth *hbdm.WSDepthHF) {
+	// ch: market.BTC_CQ.depth.size_20.high_freq
+	symbol := depth.Ch
+	if v, ok := s.dobMap[symbol]; ok {
+		v.Update(depth)
+		ob := v.GetOrderBook(20)
+		s.emitter.Emit(WSEventL2Snapshot, &ob)
+	} else {
+		dob := NewDepthOrderBook(symbol)
+		dob.Update(depth)
+		s.dobMap[symbol] = dob
+		ob := dob.GetOrderBook(20)
+		s.emitter.Emit(WSEventL2Snapshot, &ob)
+	}
+}
+
 func (s *HbdmWebSocket) tradeCallback(trade *hbdm.WSTrade) {
 	// log.Printf("tradeCallback")
 	var trades []Trade
@@ -184,14 +202,19 @@ func (s *HbdmWebSocket) positionsCallback(positions *hbdm.WSPositions) {
 
 func NewHbdmWebSocket(params *Parameters) *HbdmWebSocket {
 	wsURL := "wss://api.hbdm.com/ws"
+	if params.WsURL != "" {
+		wsURL = params.WsURL
+	}
 	s := &HbdmWebSocket{
+		dobMap:  make(map[string]*DepthOrderBook),
 		emitter: emission.NewEmitter(),
 	}
-	ws := hbdm.NewWS(wsURL, "", "")
+	ws := hbdm.NewWS(wsURL, "", "", params.DebugMode)
 	if params.ProxyURL != "" {
 		ws.SetProxy(params.ProxyURL)
 	}
 	ws.SetDepthCallback(s.depthCallback)
+	ws.SetDepthHFCallback(s.depthHFCallback)
 	ws.SetTradeCallback(s.tradeCallback)
 	ws.Start()
 	s.ws = ws

diff --git a/exchanges/hbdm/websocket_test.go b/exchanges/hbdm/websocket_test.go
@@ -15,6 +15,7 @@ func testWebSocket() *HbdmWebSocket {
 	params.SecretKey = testConfig.SecretKey
 	params.ProxyURL = testConfig.ProxyURL
 	params.Testnet = testConfig.Testnet
+	params.WsURL = "wss://api.btcgateway.pro/ws"
 	ws := NewHbdmWebSocket(params)
 	return ws
 }

diff --git a/exchanges/hbdmswap/orderbook.go b/exchanges/hbdmswap/orderbook.go
@@ -0,0 +1,154 @@
+package hbdmswap
+
+import (
+	"fmt"
+	"github.com/MauriceGit/skiplist"
+	. "github.com/coinrust/crex"
+	"github.com/frankrap/huobi-api/hbdmswap"
+)
+
+type DobItem struct {
+	Price  float64
+	Amount float64
+}
+
+func (e DobItem) ExtractKey() float64 {
+	return e.Price
+}
+
+func (e DobItem) String() string {
+	return fmt.Sprintf("%.2f", e.Price)
+}
+
+type DepthOrderBook struct {
+	symbol string
+	asks   skiplist.SkipList
+	bids   skiplist.SkipList
+}
+
+func (d *DepthOrderBook) GetSymbol() string {
+	return d.symbol
+}
+
+func (d *DepthOrderBook) Update(data *hbdmswap.WSDepthHF) {
+	if data.Tick.Event == "snapshot" {
+		d.asks = skiplist.New()
+		d.bids = skiplist.New()
+		for _, ask := range data.Tick.Asks {
+			d.asks.Insert(DobItem{
+				Price:  ask[0],
+				Amount: ask[1],
+			})
+		}
+		for _, bid := range data.Tick.Bids {
+			d.bids.Insert(DobItem{
+				Price:  bid[0],
+				Amount: bid[1],
+			})
+		}
+		return
+	}
+
+	if data.Tick.Event == "update" {
+		for _, ask := range data.Tick.Asks {
+			price := ask[0]
+			amount := ask[1]
+			if amount == 0 {
+				d.asks.Delete(DobItem{
+					Price:  price,
+					Amount: amount,
+				})
+			} else {
+				item := DobItem{
+					Price:  price,
+					Amount: amount,
+				}
+				elem, ok := d.asks.Find(item)
+				if ok {
+					d.asks.ChangeValue(elem, item)
+				} else {
+					d.asks.Insert(item)
+				}
+			}
+		}
+		for _, bid := range data.Tick.Bids {
+			price := bid[0]
+			amount := bid[1]
+			if amount == 0 {
+				d.bids.Delete(DobItem{
+					Price:  price,
+					Amount: amount,
+				})
+			} else {
+				item := DobItem{
+					Price:  price,
+					Amount: amount,
+				}
+				elem, ok := d.bids.Find(item)
+				if ok {
+					d.bids.ChangeValue(elem, item)
+				} else {
+					d.bids.Insert(item)
+				}
+			}
+		}
+	}
+}
+
+func (d *DepthOrderBook) GetOrderBook(depth int) (result OrderBook) {
+	result.Symbol = d.symbol
+	smallest := d.asks.GetSmallestNode()
+	if smallest != nil {
+		item := smallest.GetValue().(DobItem)
+		result.Asks = append(result.Asks, Item{
+			Price:  item.Price,
+			Amount: item.Amount,
+		})
+		count := 1
+		node := smallest
+		for count < depth {
+			node = d.asks.Next(node)
+			if node == nil {
+				break
+			}
+			item := node.GetValue().(DobItem)
+			result.Asks = append(result.Asks, Item{
+				Price:  item.Price,
+				Amount: item.Amount,
+			})
+			count++
+		}
+	}
+
+	largest := d.bids.GetLargestNode()
+	if largest != nil {
+		item := largest.GetValue().(DobItem)
+		result.Bids = append(result.Bids, Item{
+			Price:  item.Price,
+			Amount: item.Amount,
+		})
+		count := 1
+		node := largest
+		for count < depth {
+			node = d.bids.Prev(node)
+			if node == nil {
+				break
+			}
+			item := node.GetValue().(DobItem)
+			result.Bids = append(result.Bids, Item{
+				Price:  item.Price,
+				Amount: item.Amount,
+			})
+			count++
+		}
+	}
+	return
+}
+
+func NewDepthOrderBook(symbol string) *DepthOrderBook {
+	return &DepthOrderBook{
+		symbol: symbol,
+		asks:   skiplist.New(),
+		bids:   skiplist.New(),
+	}
+}