Шаблон высокочастотной торговли OKX и Binance Websocket (несколько разновидностей)
Дата создания:
2022-12-27 15:37:42
Последнее изменение:
2024-01-02 16:36:13
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Реализация функций:
- Общественный поток подписки, trades и глубокий синтез
- Частные потоковые подписки, поддержание локальных поручений и позиций, а также информация о балансе
- Сохранение отмены просроченных заказов, поддержка OKX amendOrders для изменения заказов
- Поддержка нескольких разновидностей, удобство высокочастотных стратегий для одновременной работы на нескольких рынках с минимальной задержкой
- Функция EventLoop ((необходима поддержка последнего администратора), которая может быть использована при подключении нескольких веб-сокетов, чтобы ожидать возвращения данных из любого веб-сокета и избежать опросов
- Поддержка фьючерсов OKX и Binance и торговли на наличные деньги и на наличные деньги на Binance, наличные деньги на OKX пока не поддерживаются, заинтересованные могут изменить это сами
- OKX для частных потоковых подписок требуется ключ и пароль, уже написанные в шаблоне как параметры
- Автоматизация некоторых основных функций сети, таких как пересоединение отключенных сетей
- Отзыв о событиях, приведших к отмене возврата в поддержку заказа на частные потоки
- Объединение логики заказа двух бирж, например, с помощью шаблона или примера
- Поддержка интерфейса websocket для одновременной подписки на несколько бирж
- Изменения в заявке заказа, а также удаление могут быть возвращены в качестве задания в большом количестве, что автоматически обрабатывает задание сделки
При высокой частоте заказов биржа возвращает заказы позже, чем ожидалось (в частном канале), но, возможно, ситуация изменилась, и нам нужно поддерживать заказ в локальном режиме. Шаблоны автоматически идентифицируются как OKX или Binance, вот простой пример, но мы настоятельно рекомендуем прочитать исходный код, чтобы вы могли более глубоко настроить свои собственные функции.
Вот простой пример.
function onTick(ctx, event) {
if (event.depth) {
Log("depth update", event)
}
if (event.trades) {
Log("trades received", event)
}
if (event.balance || event.positions) {
Log("account update", event)
}
if (event.orders) {
Log("private orders update", event)
}
// include orders, positions, balance for latest
Log("account", ctx.wsPrivate.account)
// for test only
if (false) {
return {
amendOrders: [{
instId: event.instId,
clOrdId: "xxxx*****",
cxlOnFail: true,
newSz: "2",
}],
newOrders: [{
instId: event.instId,
clOrdId: UUID(),
side: "sell",
tdMode: "cross",
ordType: "post_only",
px: event.depth.asks[0].price.toFixed(4),
sz: "1",
}, {
instId: event.instId,
clOrdId: UUID(),
side: "sell",
tdMode: "cross",
ordType: "post_only",
px: event.depth.asks[0].price.toFixed(4),
sz: "1",
}],
cancelOrders: [{
instId: order.instId,
clOrdId: order.Id
}]
}
}
}
function main() {
let instId = exchange.SetContractType("swap").InstrumentID
let ctx = $.NewWSS(exchange, function(ws) {
let msg = null
if (exchange.GetName() === 'Futures_OKCoin') {
msg = {
op: "subscribe",
args: [{
channel: "books5",
instId: instId,
}, {
channel: "trades",
instId: instId,
}]
}
} else {
let symbol = exchange.GetCurrency().replace('_', '').toLowerCase()
msg = {
method: "SUBSCRIBE",
params: [symbol + "@aggTrade", symbol + "@depth20@100ms"],
id: "1",
}
}
ws.write(JSON.stringify(msg))
Log("subscribe", msg, "channel")
LogStatus("Ready")
}, onTick, Debug)
while (true) {
ctx.poll()
EventLoop(1000)
}
}
Это работает следующим образом: вы можете подписаться на несколько сортов в функции подписки.
Ниже приведены результаты общей стратегии OKX и биткоина для маркетологов, реализованной на основе этого шаблона.
Исходный код стратегии
/* jshint esversion: 6 */
// AccessKey and Phassphrase only need if OKX
$.NewWSS = function(e, onWSSLogin, onWSSTick, Debug, UseMargin, AccessKey, Passphrase) {
function NewOKXWebSocketPrivate(ctx) {
let self = {
ws: null,
isReadyDic: {},
lastPing: 0,
ctx: ctx,
account: {
orders: {},
cancelPending: {},
ordersCount: {
pending: 0,
buy: 0,
amend: 0,
canceled: 0,
filled: 0,
push: 0,
sell: 0
},
positions: {},
balance: {},
init_balance: {},
balanceUpdate: 0,
positionsUpdate: 0,
ordersUpdate: 0
}
}
let acc = _C(ctx.e.GetAccount)
let pair = ctx.e.GetCurrency().split('_')
self.account.balance[pair[1]] = {
free: acc.Balance,
borrowed: 0,
locked: 0
}
self.account.balance[pair[0]] = {
free: acc.Stock,
borrowed: 0,
locked: 0
}
self.account.init_balance[pair[1]] = {
free: acc.Balance,
borrowed: 0,
locked: 0
}
self.account.init_balance[pair[0]] = {
free: acc.Stock,
borrowed: 0,
locked: 0
}
self.reset = function() {
if (self.ws) {
self.ws.close()
self.ws = null
}
self.isReadyDic = {}
}
self.send = function(msg) {
if (!self.ws) {
return
}
self.ws.write(JSON.stringify(msg))
}
self.getOrdersMap = function(instId) {
let mp = self.account.orders[instId]
if (typeof(mp) === 'undefined') {
mp = {}
self.account.orders[instId] = mp
}
return mp
}
self.batchOrders = function(orders) {
for (let i = 0; i < orders.length; i += 20) {
self.send({
"id": "batchOrders",
"op": "batch-orders",
"args": orders.slice(i, i + 20)
})
if (Debug) {
Log("batchOrders", orders.slice(i, i + 20))
}
}
let ts = new Date().getTime()
orders.forEach(function(item) {
let mp = self.getOrdersMap(item.instId)
mp[item.clOrdId] = {
Id: item.clOrdId,
Created: ts,
instId: item.instId,
Price: Number(item.px),
Amount: Number(item.sz),
Type: item.side == "sell" ? ORDER_TYPE_SELL : ORDER_TYPE_BUY,
DealAmount: 0,
Status: ORDER_STATE_PENDING
}
})
}
self.cancelOrders = function(orders) {
let ts = new Date().getTime()
orders.forEach(function(item) {
if (typeof(self.account.cancelPending[item.clOrdId]) === 'undefined') {
self.account.cancelPending[item.clOrdId] = {
retry: 0,
ts: ts,
data: item
}
}
})
// remove from orders
orders.forEach(function(item) {
delete self.getOrdersMap(item.instId)[item.clOrdId]
})
for (let id in self.account.cancelPending) {
let item = self.account.cancelPending[id]
if (ts - item.ts > 10000) {
// recancel
orders.push(item.data)
Log("remove timeout order", item, "#ff0000")
item.retry += 1
item.ts = ts
}
if (item.retry > 10) {
Log("force remove order", item, "#ff0000")
delete self.account.cancelPending[id]
}
}
for (let i = 0; i < orders.length; i += 20) {
self.send({
"id": "cancelOrders",
"op": "batch-cancel-orders",
"args": orders.slice(i, i + 20)
})
}
if (Debug) {
Log("cancelOrders", orders)
}
}
self.amendOrders = function(orders) {
let ts = new Date().getTime()
orders.forEach(function(item) {
let order = self.getOrdersMap(item.instId)[item.clOrdId]
if (order) {
order.Price = Number(item.newPx)
order.Amount = Number(item.newSz)
order.Update = undefined
order.Created = ts
}
})
self.send({
"id": "amendOrders",
"op": "batch-amend-orders",
"args": orders,
})
if (Debug) {
Log("amendOrders", orders)
}
}
self.processOrders = function(data, reset) {
let ret = []
if (Debug) {
Log("ORDERS: ", data)
}
if (reset) {
self.account.orders = {}
for (let k in self.account.ordersCount) {
self.account.ordersCount[k] = 0
}
}
data.forEach(function(item) {
let mp = self.getOrdersMap(item.instId)
let dataOrder = {
Id: item.clOrdId,
instId: item.instId,
Info: item,
Price: Number(item.px),
Amount: Number(item.sz),
Update: Number(item.uTime || item.cTime),
Created: Number(item.cTime),
Type: item.side == "buy" ? ORDER_TYPE_BUY : ORDER_TYPE_SELL,
DealAmount: Number(item.accFillSz)
}
if (item.state == "canceled") {
dataOrder.Status = ORDER_STATE_CANCELED
self.account.ordersCount.canceled += 1
self.account.ordersCount.pending -= 1
} else if (item.state == "live") {
dataOrder.Status = ORDER_STATE_PENDING
if (item.amendResult == "0") {
self.account.ordersCount.amend += 1
} else {
self.account.ordersCount.push += 1
self.account.ordersCount.pending += 1
}
} else if (item.state == "partially_filled") {
dataOrder.Status = ORDER_STATE_PENDING
} else if (item.state == "filled") {
dataOrder.Status = ORDER_STATE_CLOSED
self.account.ordersCount.filled += 1
self.account.ordersCount.pending -= 1
} else {
throw "unknow order state " + JSON.stringify(item)
}
// remove from cancelPending orders
if (dataOrder.Status != ORDER_STATE_PENDING) {
delete self.account.cancelPending[dataOrder.Id]
if (Debug) {
Log("remove from cancel pending orders", dataOrder)
}
}
// update anyway
let oldOrder = mp[dataOrder.Id]
if ((!oldOrder) || (dataOrder.DealAmount != oldOrder.DealAmount)) {
if (item.state == "partially_filled" || item.state == "filled") {
Log(item.state, item.side, dataOrder, (item.clOrdId.indexOf('YYYYY') == 0 ? '#ff0000' : ''))
}
}
let update = false
if (dataOrder.Status == ORDER_STATE_PENDING) {
// 修改订单的命令还没返回就收到了new订单的update导致时间序列错乱
if (oldOrder) {
update = true
Object.assign(oldOrder, dataOrder)
} else {
mp[dataOrder.Id] = dataOrder
update = true
}
if (Debug) {
let suffix = ''
if (self.ctx.depth) {
suffix = 'bid:' + JSON.stringify(self.ctx.depth.bids[0]) + ', ask:' + JSON.stringify(self.ctx.depth.asks[0])
}
Log("update order", Boolean(oldOrder), mp[dataOrder.Id], item, suffix)
}
} else {
update = true
if (oldOrder) {
// avoid ref
oldOrder.Status = dataOrder.Status
delete mp[dataOrder.Id]
}
if (Debug) {
Log("order " + item.state, dataOrder)
}
}
if (update) {
ret.push(dataOrder)
}
self.account.ordersUpdate = Number(item.uTime || item.cTime)
})
return ret
}
self.processMsg = function(msg) {
if (Debug) {
Log("MSG:", msg)
}
let obj = JSON.parse(msg)
if (obj.event == "error") {
Log("Error:", obj.msg)
Sleep(1000)
self.ws.close()
} else if (obj.event == "login") {
Log("Login success")
self.ws.write(JSON.stringify({
"op": "subscribe",
"args": [{
"channel": "balance_and_position"
}, {
"channel": "orders",
"instType": "ANY"
}]
}))
} else if (obj.event == "subscribe") {
Log("subscribe OK", obj.arg.channel)
if (obj.arg.channel == "orders" && !self.isReadyDic["orders"]) {
let ret = self.ctx.e.IO("api", "GET", "/api/v5/trade/orders-pending")
if (ret && ret.code == "0") {
self.processOrders(ret.data, true)
Log("pocess orders ok", self.account.ordersCount)
} else {
Log("process order failed", ret, "#ff0000")
}
self.isReadyDic["orders"] = true
}
} else if (obj && obj.arg && obj.data && obj.data.length > 0) {
let event = {}
if (obj.arg.channel == 'balance_and_position') {
if (Debug) {
Log(obj, "#ff0000")
}
event.ts = Number(obj.data[0].pTime)
if (obj.data[0].posData) {
let positions = {}
obj.data[0].posData.forEach(function(item) {
if (typeof(positions[item.instId]) === 'undefined') {
positions[item.instId] = 0
}
positions[item.instId] = {
Amount: Number(item.pos),
Price: Number(item.avgPx)
}
self.account.positionsUpdate = Number(item.uTime)
})
for (let instId in positions) {
self.account.positions[instId] = positions[instId]
}
event.positions = positions
}
if (obj.data[0].balData) {
let balance = {}
obj.data[0].balData.forEach(function(item) {
balance[item.ccy] = {
free: Number(item.cashBal),
locked: 0
}
self.account.balanceUpdate = Number(item.uTime)
})
for (let instId in balance) {
self.account.balance[instId] = balance[instId]
}
event.balance = balance
}
self.isReadyDic["account"] = true
} else if (obj.arg.channel == 'orders') {
event.orders = self.processOrders(obj.data)
event.ts = Number(obj.data[0].uTime)
} else {
// {"id":"amendOrders","op":"batch-amend-orders" ...}
//Log("DATA RECV", "<" + msg + ">")
}
// position change
if (event.ts) {
self.ctx.processTick(event)
}
} else {
//Log("RECV", "<" + msg + ">")
}
}
self.poll = function(timeout) {
if (typeof(AccessKey) === 'undefined' || AccessKey.length == 0) {
return
}
let ts = new Date().getTime()
if (self.lastPing == 0) {
self.lastPing = ts
}
if (self.ws == null) {
self.ws = Dial("wss://ws.okx.com:8443/ws/v5/private")
if (self.ws) {
let tsStr = (ts / 1000).toString()
let authMsg = {
"op": "login",
"args": [{
"apiKey": AccessKey,
"passphrase": Passphrase,
"timestamp": tsStr,
"sign": self.ctx.e.HMAC("sha256", "base64", tsStr + "GET" + "/users/self/verify", "{{secretkey}}")
}]
}
self.ws.write(JSON.stringify(authMsg))
}
}
if (!self.ws) {
return;
}
if (ts - self.lastPing > 10000) {
self.ws.write("ping")
self.lastPing = ts
}
let lastRead = false
while (true) {
let msg = self.ws.read(-1)
if (msg == "") {
self.reset()
break
}
if (msg == null) {
if (typeof(timeout) == 'number' && timeout > 0) {
msg = self.ws.read(timeout)
lastRead = true
}
}
if (msg != null && msg != "") {
if (msg != "pong" && msg != "ping") {
self.processMsg(msg)
}
} else {
break
}
if (lastRead) {
break
}
}
}
return self
}
function NewOKXWebSocketPublic(e, onLogin, onTick) {
var 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 self = {
e: e,
key: e.GetName() + '/' + e.GetCurrency(),
quoteCurrency: e.GetQuoteCurrency(),
name: e.GetName(),
isFutures: e.GetName().indexOf("Futures_") == 0,
ws: null,
cache: {},
channles: [],
depthCount: 0,
depthConsumed: 0,
lastPing: 0,
depthDic: {},
lastMarket: 0
}
self.wsPrivate = NewOKXWebSocketPrivate(self)
self.processTick = function(event) {
if (typeof(onTick) !== 'function') {
return
}
let ret = onTick(self, event)
if (ret) {
if (ret.newOrders && ret.newOrders.length > 0) {
ret.ctx.wsPrivate.batchOrders(ret.newOrders)
}
if (ret.amendOrders && ret.amendOrders.length > 0) {
ret.ctx.wsPrivate.amendOrders(ret.amendOrders)
}
if (ret.cancelOrders && ret.cancelOrders.length > 0) {
ret.ctx.wsPrivate.cancelOrders(ret.cancelOrders)
}
}
}
self.processMsg = function(msg) {
if (Debug) {
Log("MSG:", msg)
}
let obj = JSON.parse(msg)
if (obj.event == 'subscribe') {
self.channles.push(obj)
} else if (obj.event == 'error') {
throw obj.msg
} else if (obj.event == 'login') {
self.channles = []
if (typeof(onLogin) === 'function') {
onLogin(self.ws, self.e)
}
} else {
self.lastMarket = new Date().getTime();
let instId = obj.arg.instId
let event = {
instId: instId
}
obj.data.forEach(function(item) {
if (obj.arg.channel == 'trades') {
if (typeof(event.trades) === 'undefined') {
event.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 tsBegin = UnixNano()
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 = self.depthDic[instId]
if (typeof(depthDic) === 'undefined') {
depthDic = {
count: 0,
dic: {
asks: {},
bids: {}
}
}
self.depthDic[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)
}
})
if (event.ts) {
self.processTick(event)
}
}
}
self.isReady = function() {
return self.wsPrivate.isReadyDic["account"] && self.wsPrivate.isReadyDic["orders"]
}
self.reset = function() {
if (self.ws) {
self.ws.close()
self.ws = null
}
self.depthDic = {}
self.isReadyDic = {}
}
self.poll = function(timeout) {
let ts = new Date().getTime()
if (self.lastPing == 0) {
self.lastPing = ts
}
if (!self.ws) {
self.ws = Dial("wss://ws.okx.com:8443/ws/v5/public")
if (!self.ws) {
return
}
if (typeof(AccessKey) === 'undefined' || AccessKey.length == 0) {
if (typeof(onLogin) === 'function') {
onLogin(self.ws, self.e)
}
} else {
let tsStr = (new Date().getTime() / 1000).toString()
let authMsg = {
"op": "login",
"args": [{
"apiKey": AccessKey,
"passphrase": Passphrase,
"timestamp": tsStr,
"sign": self.e.HMAC("sha256", "base64", tsStr + "GET" + "/users/self/verify", "{{secretkey}}")
}]
}
self.ws.write(JSON.stringify(authMsg))
}
}
if (!self.ws) {
return
}
if (ts - self.lastPing > 10000) {
self.ws.write("ping")
self.lastPing = ts
}
let lastRead = false
while (true) {
let msg = self.ws.read(-1)
if (msg == "") {
self.reset()
break
}
if (msg == null) {
if (typeof(timeout) == 'number' && timeout > 0) {
msg = self.ws.read(timeout)
lastRead = true
}
}
if (msg != null && msg != "") {
if (msg != "pong") {
self.wsPrivate.poll()
self.processMsg(msg)
self.wsPrivate.poll()
}
} else {
break
}
if (lastRead) {
break
}
}
self.wsPrivate.poll()
}
return self
}
function NewBinanceSocketPrivate(ctx) {
let self = {
ws: null,
isFutures: ctx.isFutures,
isReadyDic: {},
lastPing: 0,
ctx: ctx,
useMargin: UseMargin,
quoteCurrency: ctx.e.GetQuoteCurrency(),
listenKey: null,
listenKeyUpdate: 0,
account: {
cancelPending: {},
orders: {},
ordersCount: {
pending: 0,
buy: 0,
amend: 0,
canceled: 0,
filled: 0,
push: 0,
sell: 0
},
positions: {},
balance: {},
init_balance: {},
balanceUpdate: 0,
positionsUpdate: 0,
ordersUpdate: 0
}
}
if (ctx.isFutures) {
// TODO change to api
let positions = _C(exchange.GetPosition)
positions.forEach(function(pos) {
// avoid self.instId
self.account.positions[self.instId] = {
Amount: pos.Amount * (pos.Type == PD_LONG ? 1 : -1),
Price: pos.Price
}
})
}
let pair = ctx.e.GetCurrency().split('_')
if (self.useMargin && !ctx.isFutures) {
let ret = _C(ctx.e.IO, "api", "GET", "/sapi/v1/margin/account")
ret.userAssets.forEach(function(item) {
if (item.asset == pair[0] || item.asset == pair[1]) {
self.account.balance[item.asset] = {
free: Number(item.free),
locked: Number(item.locked),
borrowed: Number(item.borrowed),
}
self.account.init_balance[item.asset] = {
free: Number(item.free),
locked: Number(item.locked),
borrowed: Number(item.borrowed)
}
}
})
self.tradePath = "/sapi/v1/margin/order"
} else {
let acc = _C(ctx.e.GetAccount)
self.account.balance[pair[1]] = {
free: acc.Balance,
locked: acc.FrozenBalance,
borrowed: 0
}
self.account.balance[pair[0]] = {
free: acc.Stocks,
locked: acc.FrozenStocks,
borrowed: 0
}
self.account.init_balance[pair[1]] = {
free: acc.Balance,
locked: acc.FrozenBalance,
borrowed: 0
}
self.account.init_balance[pair[0]] = {
free: acc.Stocks,
locked: acc.FrozenStocks,
borrowed: 0
}
self.tradePath = "/api/v3/order"
}
Log(ctx.e.GetName(), self.account.init_balance)
self.getOrdersMap = function(instId) {
let mp = self.account.orders[instId]
if (typeof(mp) === 'undefined') {
mp = {}
self.account.orders[instId] = mp
}
return mp
}
self.reset = function() {
if (self.ws) {
self.ws.close()
self.ws = null
}
self.isReadyDic = {}
}
self.send = function(msg) {
if (!self.ws) {
return
}
self.ws.write(JSON.stringify(msg))
}
self.batchOrders = function(orders) {
let args = []
let ts = new Date().getTime()
orders.forEach(function(item) {
args.push({
symbol: item.instId,
side: item.side.toUpperCase(),
newClientOrderId: item.clOrdId,
type: "LIMIT",
price: item.px,
quantity: item.sz,
timeInForce: "GTX",
})
self.getOrdersMap(item.instId)[item.clOrdId] = {
Id: item.clOrdId,
Created: ts,
instId: item.instId,
Price: Number(item.px),
Amount: Number(item.sz),
Type: item.side == "sell" ? ORDER_TYPE_SELL : ORDER_TYPE_BUY,
DealAmount: 0,
Status: ORDER_STATE_PENDING
}
})
let rets = []
if (self.ctx.isFutures) {
for (let i = 0; i < args.length; i += 5) {
let ret = self.ctx.e.IO("api", "POST", "/fapi/v1/batchOrders", "", JSON.stringify({
batchOrders: args.slice(i, i + 5)
}))
if (Debug) {
Log("batchOrders", args, ret)
}
rets.push(ret)
}
} else {
orders.forEach(function(order) {
let ret = self.ctx.e.IO("api", "POST", self.tradePath, "", JSON.stringify(order))
if (Debug) {
Log("batchOrders", args, ret)
}
rets.push(ret)
})
}
return rets
}
self.cancelOrders = function(orders) {
let ts = new Date().getTime()
orders.forEach(function(item) {
if (typeof(self.account.cancelPending[item.clOrdId]) === 'undefined') {
self.account.cancelPending[item.clOrdId] = {
retry: 0,
ts: ts,
data: item
}
}
})
for (let id in self.account.cancelPending) {
let item = self.account.cancelPending[id]
if (ts - item.ts > 10000) {
// recancel
orders.push(item.data)
Log("remove timeout order", item, "#ff0000")
item.retry += 1
item.ts = ts
}
if (item.retry > 10) {
Log("force remove order", item, "#ff0000")
delete self.account.cancelPending[id]
}
}
let mp = {}
orders.forEach(function(item) {
if (typeof(mp[item.instId]) === 'undefined') {
mp[item.instId] = []
}
mp[item.instId].push(item.clOrdId)
delete self.getOrdersMap(item.instId)[item.clOrdId]
})
let rets = []
if (self.ctx.isFutures) {
for (let instId in mp) {
let arr = mp[instId]
for (let i = 0; i < arr.length; i += 5) {
let ids = arr.slice(i, i + 5)
let ret = self.ctx.e.IO("api", "DELETE", "/fapi/v1/batchOrders", "", JSON.stringify({
symbol: instId,
origClientOrderIdList: ids
}))
if (Debug) {
Log("cancelOrders", instId, arr, ret)
}
// cancel success
if (ret && ret.length == ids.length) {
ids.forEach(function(id) {
delete self.account.cancelPending[id]
})
}
rets.push(ret)
}
}
} else {
for (let i = 0; i < orders.length; i += 5) {
let ret = self.ctx.e.IO("api", "DELETE", self.tradePath, "", JSON.stringify(orders[i]))
if (Debug) {
Log("cancelOrders", orders[i], ret)
}
rets.push(ret)
}
}
return rets
}
self.processOrders = function(ts, data, reset) {
if (Debug) {
Log("ORDERS: ", data)
}
if (reset) {
self.account.orders = {}
for (let k in self.account.ordersCount) {
self.account.ordersCount[k] = 0
}
}
let ret = []
data.forEach(function(item) {
let instId = item.s
let dataOrder = {
Id: item.C || item.c,
instId: instId,
Info: item,
Price: Number(item.p),
Amount: Number(item.q),
Update: Number(item.T || item.E || ts),
Created: Number(item.O || item.E || ts),
Type: item.S == "BUY" ? ORDER_TYPE_BUY : ORDER_TYPE_SELL,
DealAmount: Number(item.z)
}
if (typeof(item.ap) !== 'undefined') {
dataOrder.AvgPrice = Number(item.ap)
} else if (Number(item.z) > 0 && typeof(item.Z) !== 'undefined') {
dataOrder.AvgPrice = Number(item.Z) / Number(item.z)
}
if (item.X == "NEW") {
dataOrder.Status = ORDER_STATE_PENDING
self.account.ordersCount.push += 1
self.account.ordersCount.pending += 1
} else if (item.X == "PARTIALLY_FILLED") {
dataOrder.Status = ORDER_STATE_PENDING
} else if (item.X == "FILLED") {
dataOrder.Status = ORDER_STATE_CLOSED
self.account.ordersCount.filled += 1
self.account.ordersCount.pending -= 1
} else if (item.X == "CANCELED" || item.X == "EXPIRED" || item.X == "REJECT" || item.X == "NEW_INSURANCE" || item.X == "NEW_ADL") {
dataOrder.Status = ORDER_STATE_CANCELED
self.account.ordersCount.canceled += 1
self.account.ordersCount.pending -= 1
} else {
throw "unknow order state " + JSON.stringify(item)
}
// remove from cancelPending orders
if (dataOrder.Status != ORDER_STATE_PENDING) {
delete self.account.cancelPending[dataOrder.Id]
if (Debug) {
Log("remove from cancel pending orders", dataOrder)
}
}
let mp = self.getOrdersMap(instId)
let oldOrder = mp[dataOrder.Id]
if ((!oldOrder) || (dataOrder.DealAmount != oldOrder.DealAmount)) {
if (item.X == "PARTIALLY_FILLED" || item.X == "FILLED") {
Log(item.X, item.S, dataOrder)
}
}
let update = false
if (dataOrder.Status == ORDER_STATE_PENDING) {
// 修改订单的命令还没返回就收到了new订单的update导致时间序列错乱
if (oldOrder) {
update = true
Object.assign(oldOrder, dataOrder)
} else {
mp[dataOrder.Id] = dataOrder
update = true
}
if (Debug) {
Log("update order", Boolean(oldOrder), mp[dataOrder.Id], item)
}
} else {
update = true
if (oldOrder) {
// avoid ref
Object.assign(oldOrder, dataOrder)
delete mp[dataOrder.Id]
}
if (Debug) {
Log("order " + item.X, dataOrder)
}
}
if (update) {
ret.push(dataOrder)
}
self.account.ordersUpdate = ts
})
return ret
}
self.processPrivateMsg = function(msg) {
let obj = JSON.parse(msg)
if (Debug) {
Log(obj, "#ff0000")
}
let event = {}
if (obj.e == "ORDER_TRADE_UPDATE") {
event.orders = self.processOrders(obj.E, [obj.o])
event.ts = obj.E
self.isReadyDic["orders"] = true
} else if (obj.e == "ACCOUNT_UPDATE" && obj.a) {
event.ts = obj.E
self.account.balanceUpdate = obj.E
if (obj.a.B) {
obj.a.B.forEach(function(item) {
self.account.balance[item.a] = {
free: Number(item.wb),
locked: 0
}
})
event.balance = self.account.balance
}
if (obj.a.P) {
obj.a.P.forEach(function(item) {
self.account.positions[item.s] = {
Amount: Number(item.pa),
Price: Number(item.ep)
}
self.account.positionsUpdate = obj.E
})
event.positions = self.account.positions
}
self.isReadyDic["account"] = true
} else if (obj.e == "outboundAccountPosition") {
event.ts = obj.E
self.account.balanceUpdate = obj.E
if (obj.B) {
obj.B.forEach(function(item) {
self.account.balance[item.a] = {
free: Number(item.f),
locked: Number(item.l)
}
})
event.balance = self.account.balance
}
self.isReadyDic["account"] = true
} else if (obj.e == "executionReport") {
event.orders = self.processOrders(obj.E, [obj])
event.ts = obj.E
self.isReadyDic["orders"] = true
} else {
//Log("RECV", "<" + msg + ">")
}
if (event.ts) {
self.ctx.processTick(event)
}
}
self.poll = function(timeout) {
let ts = new Date().getTime()
if (self.lastPing == 0) {
self.lastPing = ts
}
if (!self.listenKey || ts - self.listenKeyUpdate > 60000 * 30) {
let ret = self.ctx.e.IO("api", "POST", self.ctx.isFutures ? "/fapi/v1/listenKey" : (self.useMargin ? "/sapi/v1/userDataStream" : "/api/v3/userDataStream"))
if (ret && ret.listenKey) {
self.listenKey = ret.listenKey
self.listenKeyUpdate = ts
//Log("ListenKey Update", ret)
}
}
if (!self.listenKey) {
return
}
if (self.ws == null) {
let base = (self.ctx.isFutures ? 'wss://fstream.binance.com' : 'wss://stream.binance.com:9443') + "/ws"
Log("Dial: ", base + "/*****")
self.ws = Dial(base + "/" + self.listenKey)
}
if (!self.ws) {
return;
}
let lastRead = false
while (true) {
let msg = self.ws.read(-1)
if (msg == "") {
Log("Binance private websocket reset")
self.reset()
break
}
if (msg == null) {
if (typeof(timeout) == 'number' && timeout > 0) {
msg = self.ws.read(timeout)
lastRead = true
}
}
if (msg != null && msg != "") {
//Log("BP", msg)
if (msg == "ping") {
self.ws.write("pong")
self.lastPing = ts
} else if (msg != "pong") {
self.processPrivateMsg(msg)
}
} else {
break
}
if (lastRead) {
break
}
}
}
return self
}
function NewBinanceWebSocketPublic(e, onLogin, onTick) {
let self = {
e: e,
key: e.GetName() + '/' + e.GetCurrency(),
quoteCurrency: e.GetQuoteCurrency(),
name: e.GetName(),
isFutures: e.GetName().indexOf("Futures_") == 0,
ws: null,
cache: {},
depthCount: 0,
depthConsumed: 0,
lastPing: 0,
isReadyDic: {}
}
self.base = self.isFutures ? "wss://fstream.binance.com/ws" : "wss://stream.binance.com/ws"
self.wsPrivate = NewBinanceSocketPrivate(self)
self.reset = function() {
if (self.ws) {
self.ws.close()
self.ws = null
}
self.isReadyDic = {}
}
self.processTick = function(event) {
if (typeof(onTick) !== 'function') {
return
}
let ret = onTick(self, event)
if (ret) {
if (ret.amendOrders && ret.amendOrders.length > 0) {
ret.ctx.wsPrivate.amendOrders(ret.amendOrders)
}
if (ret.cancelOrders && ret.cancelOrders.length > 0) {
ret.ctx.wsPrivate.cancelOrders(ret.cancelOrders)
}
if (ret.newOrders && ret.newOrders.length > 0) {
ret.ctx.wsPrivate.batchOrders(ret.newOrders)
}
}
}
self.processMsg = function(msg) {
if (Debug) {
Log("MSG:", msg)
}
let obj = JSON.parse(msg)
if (obj.error) {
Log(obj)
throw obj.error.msg
}
let event = {
ts: obj.E,
instId: obj.s
}
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
//self.depthTime = obj.data.E
} 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') {
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.ts = obj.E || new Date().getTime()
event.depth = depth
} else {
Log(">>>", msg)
return
}
self.processTick(event)
}
self.isReady = function() {
return self.wsPrivate.ws != null
}
self.poll = function(timeout) {
let ts = new Date().getTime()
if (!self.ws) {
Log("Dial: ", self.base)
self.ws = Dial(self.base)
if (self.ws) {
onLogin(self.ws, self.e)
}
}
if (!self.ws) {
return
}
let lastRead = false
while (true) {
let msg = self.ws.read(-1)
if (msg == "") {
if (Debug) {
Log("DEBUG> RESET websocket", self.base, "#ff0000")
}
self.reset()
break
}
if (msg == null) {
if (typeof(timeout) == 'number' && timeout > 0) {
msg = self.ws.read(timeout)
lastRead = true
}
}
if (msg != null && msg != "") {
if (msg == "ping") {
self.ws.write("pong")
self.lastPing = ts
} else if (msg == "pong") {
// ignore
} else {
self.wsPrivate.poll()
self.processMsg(msg)
self.wsPrivate.poll()
}
} else {
break
}
if (lastRead) {
break
}
}
self.wsPrivate.poll()
}
return self
}
if (typeof(__threadId) == 'function' && __threadId() != 0) {
// thread register
this.NewWSS = function(e, onWSSLogin, onWSSTick) {
let pfn = null
if (e.GetName().indexOf("Binance") != -1) {
pfn = NewBinanceWebSocketPublic
Log("New Binance websocket", e.GetName(), e.GetCurrency())
} else {
pfn = NewOKXWebSocketPublic
Log("New OKX Websocket", e.GetName(), e.GetCurrency())
}
return pfn(e, onWSSLogin, onWSSTick)
}
return
}
let pfn = null
if (e.GetName().indexOf("Binance") != -1) {
pfn = NewBinanceWebSocketPublic
Log("New Binance websocket", e.GetName(), e.GetCurrency())
} else {
pfn = NewOKXWebSocketPublic
Log("New OKX Websocket", e.GetName(), e.GetCurrency())
}
return pfn(e, onWSSLogin, onWSSTick)
}
function onTick(ctx, event) {
if (event.depth) {
Log("depth update", event)
}
if (event.trades) {
Log("trades received", event)
}
if (event.balance || event.positions) {
Log("account update", event)
}
if (event.orders) {
Log("private orders update", event)
}
// include orders, positions, balance for latest
Log("account", ctx.wsPrivate.account)
// for test only
if (false) {
return {
amendOrders: [{
instId: event.instId,
clOrdId: "xxxx*****",
cxlOnFail: true,
newSz: "2",
}],
newOrders: [{
instId: event.instId,
clOrdId: UUID(),
side: "sell",
tdMode: "cross",
ordType: "post_only",
px: event.depth.asks[0].price.toFixed(4),
sz: "1",
}, {
instId: event.instId,
clOrdId: UUID(),
side: "sell",
tdMode: "cross",
ordType: "post_only",
px: event.depth.asks[0].price.toFixed(4),
sz: "1",
}],
cancelOrders: [{
instId: order.instId,
clOrdId: order.Id
}]
}
}
}
function main() {
let instId = exchange.SetContractType("swap").InstrumentID
let ctx = $.NewWSS(exchange, function(ws) {
let msg = null
if (exchange.GetName() === 'Futures_OKCoin') {
msg = {
op: "subscribe",
args: [{
channel: "books5",
instId: instId,
}, {
channel: "trades",
instId: instId,
}]
}
} else {
let symbol = exchange.GetCurrency().replace('_', '').toLowerCase()
msg = {
method: "SUBSCRIBE",
params: [symbol + "@aggTrade", symbol + "@depth20@100ms"],
id: 1,
}
}
ws.write(JSON.stringify(msg))
Log("subscribe", msg, "channel")
LogStatus("Ready")
}, onTick, false)
while (true) {
ctx.poll()
EventLoop(1000)
}
}