Merge pull request #1486 from c9s/edwin/okx/add-market-trade-stream

FEATURE: [okx] support market trade streaming

pkg/exchange/okex/convert.go

@@ -55,9 +55,9 @@ func toGlobalBalance(account *okexapi.Account) types.BalanceMap {
 }
 
 type WebsocketSubscription struct {
-	Channel        string `json:"channel"`
-	InstrumentID   string `json:"instId,omitempty"`
-	InstrumentType string `json:"instType,omitempty"`
+	Channel        Channel `json:"channel"`
+	InstrumentID   string  `json:"instId,omitempty"`
+	InstrumentType string  `json:"instType,omitempty"`
 }
 
 var CandleChannels = []string{
@@ -92,18 +92,23 @@ func convertSubscription(s types.Subscription) (WebsocketSubscription, error) {
 	case types.KLineChannel:
 		// Channel names are:
 		return WebsocketSubscription{
-			Channel:      convertIntervalToCandle(s.Options.Interval),
+			Channel:      Channel(convertIntervalToCandle(s.Options.Interval)),
 			InstrumentID: toLocalSymbol(s.Symbol),
 		}, nil
 
 	case types.BookChannel:
 		return WebsocketSubscription{
-			Channel:      "books",
+			Channel:      ChannelBooks,
 			InstrumentID: toLocalSymbol(s.Symbol),
 		}, nil
 	case types.BookTickerChannel:
 		return WebsocketSubscription{
-			Channel:      "books5",
+			Channel:      ChannelBook5,
+			InstrumentID: toLocalSymbol(s.Symbol),
+		}, nil
+	case types.MarketTradeChannel:
+		return WebsocketSubscription{
+			Channel:      ChannelMarketTrades,
 			InstrumentID: toLocalSymbol(s.Symbol),
 		}, nil
 	}

pkg/exchange/okex/parse.go

@@ -21,6 +21,7 @@ const (
 	ChannelBook5        Channel = "book5"
 	ChannelCandlePrefix Channel = "candle"
 	ChannelAccount      Channel = "account"
+	ChannelMarketTrades Channel = "trades"
 	ChannelOrders       Channel = "orders"
 )
 
@@ -66,6 +67,14 @@ func parseWebSocketEvent(in []byte) (interface{}, error) {
 		bookEvent.Action = event.ActionType
 		return &bookEvent, nil
 
+	case ChannelMarketTrades:
+		var trade []MarketTradeEvent
+		err = json.Unmarshal(event.Data, &trade)
+		if err != nil {
+			return nil, fmt.Errorf("failed to unmarshal data into MarketTradeEvent: %+v, err: %w", string(event.Data), err)
+		}
+		return trade, nil
+
 	case ChannelOrders:
 		// TODO: remove fastjson
 		return parseOrder(v)
@@ -363,3 +372,54 @@ func parseOrder(v *fastjson.Value) ([]okexapi.OrderDetails, error) {
 
 	return orderDetails, nil
 }
+
+func toGlobalSideType(side okexapi.SideType) (types.SideType, error) {
+	switch side {
+	case okexapi.SideTypeBuy:
+		return types.SideTypeBuy, nil
+
+	case okexapi.SideTypeSell:
+		return types.SideTypeSell, nil
+
+	default:
+		return types.SideType(side), fmt.Errorf("unexpected side: %s", side)
+	}
+}
+
+type MarketTradeEvent struct {
+	InstId    string                     `json:"instId"`
+	TradeId   types.StrInt64             `json:"tradeId"`
+	Px        fixedpoint.Value           `json:"px"`
+	Sz        fixedpoint.Value           `json:"sz"`
+	Side      okexapi.SideType           `json:"side"`
+	Timestamp types.MillisecondTimestamp `json:"ts"`
+	Count     types.StrInt64             `json:"count"`
+}
+
+func (m *MarketTradeEvent) toGlobalTrade() (types.Trade, error) {
+	symbol := toGlobalSymbol(m.InstId)
+	if symbol == "" {
+		return types.Trade{}, fmt.Errorf("unexpected inst id: %s", m.InstId)
+	}
+
+	side, err := toGlobalSideType(m.Side)
+	if err != nil {
+		return types.Trade{}, err
+	}
+
+	return types.Trade{
+		ID:            uint64(m.TradeId),
+		OrderID:       0, // not supported
+		Exchange:      types.ExchangeOKEx,
+		Price:         m.Px,
+		Quantity:      m.Sz,
+		QuoteQuantity: m.Px.Mul(m.Sz),
+		Symbol:        symbol,
+		Side:          side,
+		IsBuyer:       side == types.SideTypeBuy,
+		IsMaker:       false, // not supported
+		Time:          types.Time(m.Timestamp.Time()),
+		Fee:           fixedpoint.Zero, // not supported
+		FeeCurrency:   "",              // not supported
+	}, nil
+}

pkg/exchange/okex/parse_test.go

@@ -6,6 +6,7 @@ import (
 
 	"github.com/stretchr/testify/assert"
 
+	"github.com/c9s/bbgo/pkg/exchange/okex/okexapi"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
 )
@@ -575,3 +576,95 @@ func TestKLine_ToGlobal(t *testing.T) {
 	})
 
 }
+
+func Test_parseWebSocketEvent(t *testing.T) {
+	in := `
+{
+  "arg": {
+    "channel": "trades",
+    "instId": "BTC-USDT"
+  },
+  "data": [
+    {
+      "instId": "BTC-USDT",
+      "tradeId": "130639474",
+      "px": "42219.9",
+      "sz": "0.12060306",
+      "side": "buy",
+      "ts": "1630048897897",
+      "count": "3"
+    }
+  ]
+}
+`
+	exp := []MarketTradeEvent{{
+		InstId:    "BTC-USDT",
+		TradeId:   130639474,
+		Px:        fixedpoint.NewFromFloat(42219.9),
+		Sz:        fixedpoint.NewFromFloat(0.12060306),
+		Side:      okexapi.SideTypeBuy,
+		Timestamp: types.NewMillisecondTimestampFromInt(1630048897897),
+		Count:     3,
+	}}
+
+	res, err := parseWebSocketEvent([]byte(in))
+	assert.NoError(t, err)
+	event, ok := res.([]MarketTradeEvent)
+	assert.True(t, ok)
+	assert.Len(t, event, 1)
+	assert.Equal(t, exp, event)
+
+}
+
+func Test_toGlobalTrade(t *testing.T) {
+	//  {
+	//      "instId": "BTC-USDT",
+	//      "tradeId": "130639474",
+	//      "px": "42219.9",
+	//      "sz": "0.12060306",
+	//      "side": "buy",
+	//      "ts": "1630048897897",
+	//      "count": "3"
+	//    }
+	marketTrade := MarketTradeEvent{
+		InstId:    "BTC-USDT",
+		TradeId:   130639474,
+		Px:        fixedpoint.NewFromFloat(42219.9),
+		Sz:        fixedpoint.NewFromFloat(0.12060306),
+		Side:      okexapi.SideTypeBuy,
+		Timestamp: types.NewMillisecondTimestampFromInt(1630048897897),
+		Count:     3,
+	}
+	t.Run("succeeds", func(t *testing.T) {
+		trade, err := marketTrade.toGlobalTrade()
+		assert.NoError(t, err)
+		assert.Equal(t, types.Trade{
+			ID:            uint64(130639474),
+			OrderID:       uint64(0),
+			Exchange:      types.ExchangeOKEx,
+			Price:         fixedpoint.NewFromFloat(42219.9),
+			Quantity:      fixedpoint.NewFromFloat(0.12060306),
+			QuoteQuantity: marketTrade.Px.Mul(marketTrade.Sz),
+			Symbol:        "BTCUSDT",
+			Side:          types.SideTypeBuy,
+			IsBuyer:       true,
+			IsMaker:       false,
+			Time:          types.Time(types.NewMillisecondTimestampFromInt(1630048897897)),
+			Fee:           fixedpoint.Zero,
+			FeeCurrency:   "",
+			FeeDiscounted: false,
+		}, trade)
+	})
+	t.Run("unexpected side", func(t *testing.T) {
+		newTrade := marketTrade
+		newTrade.Side = "both"
+		_, err := newTrade.toGlobalTrade()
+		assert.ErrorContains(t, err, "both")
+	})
+	t.Run("unexpected symbol", func(t *testing.T) {
+		newTrade := marketTrade
+		newTrade.InstId = ""
+		_, err := newTrade.toGlobalTrade()
+		assert.ErrorContains(t, err, "unexpected inst id")
+	})
+}

pkg/exchange/okex/stream.go

@@ -2,13 +2,18 @@ package okex
 
 import (
 	"context"
+	"golang.org/x/time/rate"
 	"strconv"
 	"time"
 
 	"github.com/c9s/bbgo/pkg/exchange/okex/okexapi"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
+var (
+	tradeLogLimiter = rate.NewLimiter(rate.Every(time.Minute), 1)
+)
+
 type WebsocketOp struct {
 	Op   string      `json:"op"`
 	Args interface{} `json:"args"`
@@ -33,6 +38,7 @@ type Stream struct {
 	eventCallbacks             []func(event WebSocketEvent)
 	accountEventCallbacks      []func(account okexapi.Account)
 	orderDetailsEventCallbacks []func(orderDetails []okexapi.OrderDetails)
+	marketTradeEventCallbacks  []func(tradeDetail []MarketTradeEvent)
 }
 
 func NewStream(client *okexapi.RestClient) *Stream {
@@ -48,6 +54,7 @@ func NewStream(client *okexapi.RestClient) *Stream {
 	stream.OnKLineEvent(stream.handleKLineEvent)
 	stream.OnBookEvent(stream.handleBookEvent)
 	stream.OnAccountEvent(stream.handleAccountEvent)
+	stream.OnMarketTradeEvent(stream.handleMarketTradeEvent)
 	stream.OnOrderDetailsEvent(stream.handleOrderDetailsEvent)
 	stream.OnEvent(stream.handleEvent)
 	stream.OnConnect(stream.handleConnect)
@@ -166,6 +173,20 @@ func (s *Stream) handleBookEvent(data BookEvent) {
 	}
 }
 
+func (s *Stream) handleMarketTradeEvent(data []MarketTradeEvent) {
+	for _, event := range data {
+		trade, err := event.toGlobalTrade()
+		if err != nil {
+			if tradeLogLimiter.Allow() {
+				log.WithError(err).Error("failed to convert to market trade")
+			}
+			continue
+		}
+
+		s.EmitMarketTrade(trade)
+	}
+}
+
 func (s *Stream) handleKLineEvent(k KLineEvent) {
 	for _, event := range k.Events {
 		kline := event.ToGlobal(types.Interval(k.Interval), k.Symbol)
@@ -207,5 +228,8 @@ func (s *Stream) dispatchEvent(e interface{}) {
 	case []okexapi.OrderDetails:
 		s.EmitOrderDetailsEvent(et)
 
+	case []MarketTradeEvent:
+		s.EmitMarketTradeEvent(et)
+
 	}
 }

pkg/exchange/okex/stream_test.go

@@ -48,6 +48,20 @@ func TestStream(t *testing.T) {
 		c := make(chan struct{})
 		<-c
 	})
+
+	t.Run("market trade test", func(t *testing.T) {
+		s.Subscribe(types.MarketTradeChannel, "BTCUSDT", types.SubscribeOptions{})
+		s.SetPublicOnly()
+		err := s.Connect(context.Background())
+		assert.NoError(t, err)
+
+		s.OnMarketTrade(func(trade types.Trade) {
+			t.Log("got trade upgrade", trade)
+		})
+		c := make(chan struct{})
+		<-c
+	})
+
 	t.Run("kline test", func(t *testing.T) {
 		s.Subscribe(types.KLineChannel, "LTC-USD-200327", types.SubscribeOptions{
 			Interval: types.Interval1m,