Pemacu Pemecut WebSocket
Tarikh penciptaan:
2024-10-24 18:11:09
Akhirnya diubah suai:
2024-11-14 20:04:22
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Pengikut
Kelas templat kelajuan data keadaan sebenar berasaskan WebSocket
huraikan:
Strategi ini mengoptimumkan pemprosesan data real-time di pelbagai bursa melalui sambungan WebSocket berbilang helai. Penggunaan sambungan WebSocket dalam platform perdagangan kuantitatif FMZ untuk mendapatkan buku pesanan dan data perdagangan yang mendalam, secara signifikan mengurangkan kelewatan untuk mendapatkan data pasaran, dan meningkatkan prestasi sistem perdagangan frekuensi tinggi.
Ciri-ciri Utama:
- Sokongan pertukaran berbilangStrategi ini menyokong sambungan WebSocket ke beberapa bursa seperti Binance, OKX, Bybit, Bitget, dan lain-lain, memberikan aliran data yang lebih cepat dan lebih stabil daripada tinjauan API REST tradisional.
- Langganan boleh disesuaikan: Membenarkan langganan saluran pasaran tertentu (seperti kedalaman, dagangan, dsb.) dan pemprosesan data yang diterima dengan cekap untuk kegunaan segera oleh strategi dagangan.
- Pengendalian Ralat Lanjutan: Penjejakan ralat terbina dalam dan mekanisme penyambungan semula WebSocket untuk memastikan kebolehpercayaan dan kesinambungan aliran data.
- Pemeriksaan CRC32Untuk bursa seperti OKX, integrasi CRC32 untuk memastikan integriti data buku pesanan yang diterima.
Penyelesaian berasaskan WebSocket ini menggantikan tinjauan API tradisional dan sesuai untuk peniaga yang perlu meminimumkan kelewatan dan memaksimumkan kelajuan tindak balas pasaran.
Arah:
- permulaan: guna
$.setupWebsocket()Mulakan sambungan WebSocket ke pertukaran sasaran. - langganan: Sistem akan secara automatik melanggan saluran yang berkaitan (seperti kedalaman, perdagangan, dll.) untuk produk yang anda berdagang.
- Pemerolehan Data: Dengan menelefon
GetDepth()danGetTrades()Berfungsi, secara automatik menggunakan data masa nyata WebSocket untuk mengembalikan kedalaman pasaran dan rekod transaksi. - Ralat pengendalian: Dasar ini termasuk mekanisme penjejakan yang merekodkan ralat sambungan dan data dan secara automatik cuba menyambung semula jika sambungan terputus.
Skrip ini direka untuk berjalan di platform kuantitatif FMZ, yang menyediakan akses data pasaran yang cepat, boleh dipercayai dan boleh diperluaskan untuk pelbagai bursa.
function main() {
$.setupWebsocket()
while (true) {
exchanges.map(e=>{
Log(e.GetName(), e.GetDepth())
Log(e.GetName(), e.GetTrades())
// support custom and auto subsribe Eg: e.GetDepth('ETH_USDT')
})
EventLoop(100) // trigger by websocket or use Sleep control delay
}
}
Kod sumber strategi
// @ts-check
$.setupWebsocket = function(main_exchanges) {
let crc32 = function (r) {
for (var a, o = [], c = 0; c < 256; c++) {
a = c;
for (var f = 0; f < 8; f++) a = 1 & a ? 3988292384 ^ a >>> 1 : a >>> 1;
o[c] = a
}
for (var n = -1, t = 0; t < r.length; t++) n = n >>> 8 ^ o[255 & (n ^ r.charCodeAt(t))];
return (-1 ^ n) >>> 0
}
let trace = function (...args: any[]) {
args.unshift('#' + __threadId())
Log.apply(this, args)
}
let MyDial = function(address) : IDial {
let ws = Dial(address)
if (ws) {
let createTime = new Date().getTime()
let oldClose = ws.close
ws.close = function() {
oldClose.apply(ws)
trace(address, "closed after", (new Date().getTime() - createTime)/1e6, "seconds")
}
}
trace("connect", address, ws ? "success" : "failed")
return ws
}
interface ICtx {
name: string
symbols: string[]
callback?: Function
}
let lastUpdateSymbolsTime = new Date().getTime()
let updateSymbols = function(ctx: ICtx, callBack: Function) {
let ts = new Date().getTime()
if (ts - lastUpdateSymbolsTime < 5000) {
return
}
lastUpdateSymbolsTime = ts
let e = __threadPeekMessage(-1)
if (e) {
trace("subscribe", e, "#ff0000")
callBack(e.symbol, e.method)
if (e.method == "subscribe") {
ctx.symbols.push(e.symbol)
} else {
ctx.symbols = ctx.symbols.filter(symbol=>symbol!=e.symbol)
}
}
}
let supports = {}
supports["Binance"] = function (ctx:ICtx) {
let processMsg = function (obj) {
let event = {
ts: obj.E,
instId: obj.s,
depth: null,
trades: [],
}
if (obj.e == "depthUpdate") {
let depth = {
asks: [],
bids: []
}
obj.b.forEach(function (item) {
depth.bids.push({
price: Number(item[0]),
qty: Number(item[1])
})
})
obj.a.forEach(function (item) {
depth.asks.push({
price: Number(item[0]),
qty: Number(item[1])
})
})
event.depth = depth
} else if (obj.e == 'bookTicker') {
event.depth = {
asks: [{ price: Number(obj.a), qty: Number(obj.A) }],
bids: [{ price: Number(obj.b), qty: Number(obj.B) }]
}
} else if (obj.e == 'aggTrade') {
event.ts = obj.E
event.trades = [{
price: Number(obj.p),
qty: Number(obj.q),
ts: obj.T,
side: obj.m ? "sell" : "buy"
}]
} else if (typeof (obj.asks) !== 'undefined') {
event.ts = obj.E || new Date().getTime()
let depth = {
asks: [],
bids: []
}
obj.bids.forEach(function (item) {
depth.bids.push({
price: Number(item[0]),
qty: Number(item[1])
})
})
obj.asks.forEach(function (item) {
depth.asks.push({
price: Number(item[0]),
qty: Number(item[1])
})
})
event.depth = depth
} else {
return
}
return event
}
let channels = ["depth20@100ms", /*"bookTicker", */"aggTrade"]
let ws = null
let endPoint = "wss://stream.binance.com/stream"
if (ctx.name == "Futures_Binance") {
endPoint = "wss://fstream.binance.com/stream"
}
while (true) {
if (!ws) {
let subscribes = []
ctx.symbols.forEach(function (symbol) {
channels.forEach(function (channel) {
subscribes.push(symbol.toLowerCase() + "@" + channel)
})
})
ws = MyDial(endPoint + (subscribes.length > 0 ? ("?streams=" + subscribes.join("/")) : ""))
}
if (!ws) {
Sleep(1000)
continue
}
updateSymbols(ctx, function(symbol:string, method:string) {
ws.write(JSON.stringify({
"method": method.toUpperCase(),
"params": channels.map(c=>symbol.toLowerCase()+'@'+c),
"id": 2
}))
})
let ts = new Date().getTime()
let msg = ws.read(1000)
if (!msg) {
if (msg == "") {
trace("websocket is closed")
ws.close()
ws = null
}
continue
}
if (msg == 'ping') {
ws.write('pong')
} else if (msg == 'pong') {
} else {
let obj = JSON.parse(msg)
if (obj.error) {
trace(obj.error.msg, "#ff0000")
continue
}
if (!obj.stream) {
continue
}
if (obj.stream.indexOf("depth") != -1) {
if (typeof(obj.data.s) !== 'string') {
// patch
obj.data.s = obj.stream.split('@')[0].toUpperCase()
}
}
let event = processMsg(obj.data)
if (event) {
ctx.callback(event)
}
}
}
}
supports["OK"] = function (ctx:ICtx) {
let depthDicAll = {}
let processMsg = function (msg) {
let obj = JSON.parse(msg)
if (obj.error) {
trace(obj.error.msg, "#ff0000")
return
}
if (obj.event == 'subscribe') {
// ignore
} else if (obj.event == 'error') {
trace(obj.msg, "#ff0000")
return
} else if (obj.event == 'login') {
} else {
if (!obj.data) {
trace(msg)
return
}
let instId = obj.arg.instId
let event = {
ts: new Date().getTime(),
instId: instId,
depth: null,
trades: [],
}
obj.data.forEach(function (item) {
if (obj.arg.channel == 'trades') {
event.ts = Number(item.ts)
event.trades.push({
ts: Number(item.ts),
side: item.side,
price: Number(item.px),
qty: Number(item.sz)
})
} else if (obj.arg.channel == 'books5' || obj.arg.channel == 'books' || obj.arg.channel == 'books50-l2-tbt') {
let depth = {
asks: [],
bids: []
}
if (obj.arg.channel == 'books5') {
item.asks.forEach(function (pair) {
depth.asks.push({
price: Number(pair[0]),
qty: Number(pair[1])
})
})
item.bids.forEach(function (pair) {
depth.bids.push({
price: Number(pair[0]),
qty: Number(pair[1])
})
})
} else {
let depthDic = depthDicAll[instId]
if (typeof (depthDic) === 'undefined') {
depthDic = {
count: 0,
dic: {
asks: {},
bids: {}
}
}
depthDicAll[instId] = depthDic
}
depthDic.count += 1
for (let k in depthDic.dic) {
if (obj.action == 'snapshot') {
depthDic.dic[k] = {}
}
let mp = depthDic.dic[k]
item[k].forEach(function (book) {
if (book[1] == '0') {
delete mp[book[0]]
} else {
mp[book[0]] = [book[1], book[3], item['ts']]
}
})
}
for (let k in depth) {
let n = k == 'asks' ? 1 : -1
let mp = depthDic.dic[k]
Object.keys(depthDic.dic[k]).sort(function (a, b) {
return n * (Number(a) - Number(b))
}).forEach(function (x) {
// keep string for
depth[k].push({
price: x,
qty: mp[x][0]
})
})
}
if (depthDic.count % 5000 == 0) {
let s = []
for (let i = 0; i < 25; i++) {
['bids', 'asks'].forEach(function (k) {
if (i < depth[k].length) {
s.push(depth[k][i].price + ':' + depth[k][i].qty)
}
})
}
if (crc32(s.join(":")) != Uint32Array.from(Int32Array.of(item.checksum))[0]) {
throw "depth checksum error"
}
}
// convert to number
for (let dir in depth) {
let books = depth[dir]
for (let i = 0; i < books.length; i++) {
books[i].price = Number(books[i].price)
books[i].qty = Number(books[i].qty)
}
}
}
event.depth = depth
event.ts = Number(item.ts)
}
})
return event
}
}
let channels = ['books5', 'trades']
let ws = null
let lastPing = new Date().getTime()
while (true) {
if (!ws) {
depthDicAll = {} // reset
ws = MyDial("wss://ws.okx.com:8443/ws/v5/public")
if (ws) {
let subscribes = []
ctx.symbols.forEach(function (symbol) {
channels.forEach(function (channel) {
subscribes.push({
channel: channel,
instId: symbol // "BTC-USDT"
})
})
})
if (subscribes.length > 0) {
ws.write(JSON.stringify({ "op": "subscribe", "args": subscribes }))
}
}
}
if (!ws) {
Sleep(1000)
continue
}
updateSymbols(ctx, function(symbol:string, method:string) {
ws.write(JSON.stringify({
"op": method,
"args": channels.map(c=>({channel: c, instId: symbol}))
}))
})
// every 10 seconds
let ts = new Date().getTime()
if (ts - lastPing > 10000) {
ws.write("ping")
lastPing = ts
}
let msg = ws.read(1000)
if (!msg) {
if (msg == "") {
trace("websocket is closed")
ws.close()
ws = null
}
continue
}
if (msg != 'pong') {
let event = processMsg(msg)
if (event && (event.depth || (event.trades && event.trades.length > 0))) {
ctx.callback(event)
}
}
}
}
supports["Bybit"] = function (ctx:ICtx) {
let depthMp = {}
let processMsg = function (obj:any) {
let event = {
ts: obj.ts,
instId: obj.data.s,
depth: null,
trades: [],
}
if (obj.topic.startsWith("orderbook")) {
let depthDic = depthMp[event.instId]
if (typeof(depthDic) === 'undefined') {
depthDic = {}
depthMp[event.instId] = depthDic
}
let data = {asks: obj.data.a, bids: obj.data.b}
let depth = {asks: [], bids: []}
if (obj.type == "snapshot") {
depthDic.asks = {}
depthDic.bids = {}
for (let k in depth) {
if (!data[k]) {
continue
}
depth[k] = data[k].map(function(item) {
depthDic[k][item[0]] = item[1]
return {
price: Number(item[0]),
qty: Number(item[1]),
}
})
}
} else if (obj.type == "delta") {
depthDic.count++
for (let k in depth) {
if (!data[k]) {
continue
}
data[k].forEach(function(item) {
if (item[1] == '0') {
delete depthDic[k][item[0]]
} else {
depthDic[k][item[0]] = item[1]
}
})
}
// build depth
for (let k in depth) {
let n = k == 'asks' ? 1 : -1
let mp = depthDic[k]
Object.keys(depthDic[k]).sort(function(a, b) {
return n * (Number(a) - Number(b))
}).forEach(function(x) {
depth[k].push({
price: x,
qty: mp[x]
})
})
}
// convert to number
for (let dir in depth) {
depth[dir].forEach(function(item) {
item.price = Number(item.price)
item.qty = Number(item.qty)
})
}
}
depth.asks = depth.asks.slice(0, 50)
depth.bids = depth.bids.slice(0, 50)
event.depth = depth
} else if (obj.topic.startsWith("publicTrade")) {
event.trades = obj.data.map(function(item) {
if (!event.instId) {
event.instId = item.s
}
return {
//id: item.i,
ts: item.T,
price: Number(item.p),
qty: Number(item.v),
side: item.S.toLowerCase()
}
})
}
return event
}
let channels = ["orderbook.50", "publicTrade"]
let ws = null
let endPoint = "wss://stream.bybit.com/v5/public/spot"
let isInverse = false
ctx.symbols.forEach(s=>{
let prefix = s.split('.')[0]
if (!prefix.endsWith('USDT') && !prefix.endsWith('USDC')) {
isInverse = true;
} else {
if (isInverse) {
throw "symbols type not support concurrent"
}
}
})
if (ctx.name == "Futures_Bybit") {
endPoint = "wss://stream.bybit.com/v5/public/linear"
if (isInverse) {
endPoint = "wss://stream.bybit.com/v5/public/inverse"
}
}
let lastPing = new Date().getTime()
while (true) {
if (!ws) {
ws = MyDial(endPoint)
if (ws) {
let subscribes = []
ctx.symbols.forEach(function (symbol) {
channels.forEach(function (channel) {
subscribes.push(channel+ "." + symbol)
})
})
if (subscribes.length > 0) {
ws.write(JSON.stringify({ op:"subscribe", args: subscribes }))
}
}
}
if (!ws) {
Sleep(1000)
continue
}
// every 10 seconds
let ts = new Date().getTime()
if (ts - lastPing > 10000) {
ws.write(JSON.stringify({ op: "ping" }))
lastPing = ts
}
updateSymbols(ctx, function(symbol:string, method:string) {
ws.write(JSON.stringify({
"op": method,
"args": channels.map(c=>c+"."+symbol)
}))
})
let msg = ws.read(1000)
if (!msg) {
if (msg == "") {
trace("websocket is closed")
ws.close()
ws = null
depthMp = {}
}
continue
} else if (msg) {
let obj = JSON.parse(msg)
if (obj.op == "ping" && obj.ret_msg == "pong") {
// ignore
} else if (obj.op == 'pong') {
} else if (obj.op == 'subscribe' || obj.op == 'unsubscribe' || !obj.topic) {
trace(obj)
} else {
try {
let event = processMsg(obj)
if (event && (event.depth || event.trades.length > 0)) {
ctx.callback(event)
}
} catch(e) {
trace("Error:", msg)
ws.close()
}
}
}
}
}
supports["Bitget"] = function (ctx:ICtx) {
let processMsg = function (obj) {
let event = {
ts: Number(obj.ts),
instId: obj.arg.instId,
depth: null,
trades: [],
}
if (obj.arg.channel == 'trade') {
event.trades = obj.data.map(function(item) {
return {
//id: Number(item.tradeId),
ts: Number(item.ts),
price: Number(item.price),
qty: Number(item.size),
side: item.side.toLowerCase()
}
})
} else if (obj.arg.channel == 'books15') {
let depth = {asks: [], bids: []}
for (let k in depth) {
if (!obj.data[0][k]) {
continue
}
depth[k] = obj.data[0][k].map(function(item) {
return { price: Number(item[0]), qty: Number(item[1]) }
})
}
event.depth = depth
}
return event
}
let geInstType = function(s) {
if (ctx.name.indexOf("Futures_") == 0) {
let supports = {
"USDT": "USDT-FUTURES",
"USD": "COIN-FUTURES",
"USDC": "USDC-FUTURES"
//"SUMCBL": "SUSDT-FUTURES",
//"SDMCBL": "SCOIN-FUTURES",
//"SCMCBL": "SUSDC-FUTURES"
}
let quotes = Object.keys(supports)
for (let i = 0; i < quotes.length; i++) {
if (s.endsWith(quotes[i])) {
return supports[quotes[i]]
}
}
}
return "SPOT";
}
let channels = ['books15', 'trade']
let ws = null
let lastPing = new Date().getTime()
while (true) {
if (!ws) {
ws = MyDial("wss://ws.bitget.com/v2/ws/public")
if (ws) {
let subscribes = []
ctx.symbols.forEach(function (symbol) {
channels.forEach(function (channel) {
subscribes.push({instType: geInstType(symbol), channel: channel, instId: symbol})
})
})
if (subscribes.length > 0) {
ws.write(JSON.stringify({ op: "subscribe", args: subscribes }))
}
}
}
if (!ws) {
Sleep(1000)
continue
}
updateSymbols(ctx, function(symbol:string, method:string) {
ws.write(JSON.stringify({
"op": method,
"args": channels.map(c=>({instType: geInstType(symbol), channel: c, instId: symbol}))
}))
})
// every 10 seconds
let ts = new Date().getTime()
if (ts - lastPing > 10000) {
ws.write("ping")
lastPing = ts
}
let msg = ws.read(1000)
if (!msg) {
// is closed
if (msg == "") {
trace("websocket is closed")
ws.close()
ws = null
}
continue
}
if (msg == "ping" || msg == "pong") {
continue
}
let obj = JSON.parse(msg)
if (obj.event == "ping") {
ws.write(JSON.stringify({event: "ping"}))
} else if (obj.data && obj.arg && obj.arg.channel) {
let event = processMsg(obj)
if (event && (event.depth || (event.trades && event.trades.length > 0))) {
ctx.callback(event)
}
} else {
trace(msg)
}
}
}
let getFunction = function (eName:String) {
for (let key in supports) {
if (eName.toLowerCase().indexOf(key.toLowerCase()) != -1) {
return supports[key]
}
}
}
this.wssPublic = function (ctx:ICtx) {
let func = getFunction(ctx.name)
if (!func) {
throw "not support " + ctx.name
}
trace("#"+__threadId(), "init websocket for", ctx.name)
return func(ctx)
}
function threadMarket(eName: string, symbols: string[]) {
let trades = []
let tradeId = 0
let currentTid = __threadId()
this.wssPublic({ name: eName, symbols: symbols, callback: function (event) {
let tick = {event: 'tick', name: eName, method: ''}
if (event.depth) {
tick.method = event.instId+'_depth'
__threadSetData(currentTid, tick.method, event)
} else if (event.trades) {
tick.method = event.instId+'_trades'
event.trades.forEach(item=>{
trades.push({
Id: ++tradeId,
Time: item.ts,
Price: item.price,
Amount: item.qty,
Type: item.side == 'buy' ? 0 : 1
})
})
let tradePos = __threadGetData(currentTid, "tradePos")
if (typeof(tradePos) === 'number') {
while (trades.length > 0 && (trades[0].Id <= tradePos || trades.length > 1000)) {
trades.shift()
}
}
__threadSetData(currentTid, tick.method, trades)
}
}})
}
if (__threadId() > 0) {
return
}
// init inside main thread
let tidMap = {}
if (typeof(main_exchanges) === 'undefined') {
main_exchanges = exchanges
}
main_exchanges.forEach(function(e) {
let markets = e.GetMarkets()
let eName = e.GetName()
if (typeof(getFunction(eName)) !== 'function') {
Log(eName, "websocket driver is not implemented yet")
return
}
let tid = tidMap[eName]
let subscribe = {}
if (typeof(tid) !== 'number') {
tid = __Thread([threadMarket, eName, []], [$.setupWebsocket])
tidMap[eName] = tid
}
let getSymbol = function(symbol) {
if (typeof(symbol) === 'undefined') {
symbol = e.GetCurrency()
if (e.GetName().indexOf("Futures_") != -1) {
symbol += '.' + e.GetContractType()
}
}
if (typeof(subscribe[symbol]) === 'undefined') {
let info = markets[symbol]
if (info) {
subscribe[symbol] = true
__threadPostMessage(tid, {method: 'subscribe', symbol: info.Symbol})
}
}
return symbol
}
let origin_GetDepth = e.GetDepth
let origin_GetTrades = e.GetTrades
e.GetDepth = function(symbol) : IDepth {
symbol = getSymbol(symbol)
let info = markets[symbol]
if (info) {
let obj = __threadGetData(tid, info.Symbol+'_depth')
if (obj) {
let delay = new Date().getTime() - obj.ts
if (delay < 3000) {
let ret = {Time: obj.ts, Asks: [], Bids: [], Symbol: symbol, Info: null, Alias: info.Symbol, Ref: 'websocket', Delay: delay};
obj.depth.asks.forEach(item=>{ret.Asks.push({Price: item.price, Amount: item.qty})})
obj.depth.bids.forEach(item=>{ret.Bids.push({Price: item.price, Amount: item.qty})})
return ret
}
}
}
return origin_GetDepth(symbol) ;
}
e.GetTrades = function(symbol) : ITrade[] {
symbol = getSymbol(symbol)
let info = markets[symbol]
if (info) {
let obj = __threadGetData(tid, info.Symbol+'_trades')
if (obj) {
if (obj.length > 0) {
__threadSetData(tid, "tradePos", obj[obj.length-1].Id)
}
return obj
}
}
return origin_GetTrades(symbol) ;
}
})
}
function main() {
$.setupWebsocket()
if (typeof(threading) === 'undefined') {
throw "please update docker to latest version"
}
while (true) {
exchanges.map(e=>{
Log(e.GetName(), e.GetDepth())
Log(e.GetName(), e.GetTrades())
})
EventLoop(100) // trigger by websocket
}
}