OKX اور Binance Websocket ہائی فریکونسی ٹریڈنگ ٹیمپلیٹ (متعدد اقسام)

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)
    }
}

/* 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)
    }
}