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Merged
merged 5 commits into from
Nov 8, 2021
Merged

Moving to OKEx V5 WebSocket API #685

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99096d9
implemented OnGetTickersWebSocketAsync Okex
BZ-CO Nov 5, 2021
2639bd8
Merge branch 'jjxtra:master' into master
BZ-CO Nov 5, 2021
ac8c8d8
Update OnGetTradesWebSocketAsync
BZ-CO Nov 5, 2021
380f1a9
Update OnGetDeltaOrderBookWebSocketAsync
BZ-CO Nov 6, 2021
ff02c14
implemented OnGetOrderDetailsWebSocketAsync Okex
BZ-CO Nov 7, 2021
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2 changes: 1 addition & 1 deletion README.md
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Original file line number Diff line number Diff line change
Expand Up @@ -52,7 +52,7 @@ The following cryptocurrency exchanges are supported:
| Livecoin | x | x | |
| NDAX | x | x | T R |
| OKCoin | x | x | R B |
| OKEx | x | x | R B |
| OKEx | x | x | R B O |
| Poloniex | x | x | T R B |
| YoBit | x | x | |
| ZB.com | wip | | R |
Expand Down
283 changes: 263 additions & 20 deletions src/ExchangeSharp/API/Exchanges/OKGroup/ExchangeOKExAPI.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -16,7 +16,9 @@ The above copyright notice and this permission notice shall be included in all c
using System.Linq;
using System.Security.Cryptography;
using System.Text;
using System.Threading;
using System.Threading.Tasks;
using System.Xml;
using ExchangeSharp.OKGroup;
using Newtonsoft.Json;
using Newtonsoft.Json.Linq;
Expand All @@ -28,7 +30,7 @@ public sealed partial class ExchangeOKExAPI : OKGroupCommon
public override string BaseUrl { get; set; } = "https://www.okex.com/api/v1";
public override string BaseUrlV2 { get; set; } = "https://www.okex.com/v2/spot";
public override string BaseUrlV3 { get; set; } = "https://www.okex.com/api";
public override string BaseUrlWebSocket { get; set; } = "wss://real.okex.com:8443/ws/v3";
public override string BaseUrlWebSocket { get; set; } = "wss://ws.okex.com:8443/ws/v5";
public string BaseUrlV5 { get; set; } = "https://www.okex.com/api/v5";
protected override bool IsFuturesAndSwapEnabled { get; } = true;

Expand Down Expand Up @@ -317,6 +319,7 @@ protected override async Task<ExchangeOrderResult> OnPlaceOrderAsync(ExchangeOrd
{
payload["clOrdId"] = order.ClientOrderId;
}

payload["side"] = order.IsBuy ? "buy" : "sell";
payload["posSide"] = "net";
payload["ordType"] = order.OrderType switch
Expand All @@ -330,7 +333,8 @@ protected override async Task<ExchangeOrderResult> OnPlaceOrderAsync(ExchangeOrd
payload["sz"] = order.Amount.ToStringInvariant();
if (order.OrderType != OrderType.Market)
{
if (!order.Price.HasValue) throw new ArgumentNullException(nameof(order.Price), "Okex place order request requires price");
if (!order.Price.HasValue)
throw new ArgumentNullException(nameof(order.Price), "Okex place order request requires price");
payload["px"] = order.Price.ToStringInvariant();
}

Expand Down Expand Up @@ -379,30 +383,269 @@ protected override async Task ProcessRequestAsync(IHttpWebRequest request, Dicti
}
}

protected override async Task<IWebSocket> OnGetTickersWebSocketAsync(
Action<IReadOnlyCollection<KeyValuePair<string, ExchangeTicker>>> callback,
params string[] symbols)
{
return await ConnectWebSocketOkexAsync(
async (socket) => { await AddMarketSymbolsToChannel(socket, "tickers", symbols); },
async (socket, symbol, sArray, token) =>
{
var tickers = new List<KeyValuePair<string, ExchangeTicker>>
{
new KeyValuePair<string, ExchangeTicker>(symbol, await ParseTickerV5Async(token, symbol))
};
callback(tickers);
});
}

protected override async Task<IWebSocket> OnGetTradesWebSocketAsync(
Func<KeyValuePair<string, ExchangeTrade>, Task> callback, params string[] marketSymbols)
{
return await ConnectWebSocketOkexAsync(
async (_socket) => { await AddMarketSymbolsToChannel(_socket, "trades", marketSymbols); },
async (_socket, symbol, sArray, token) =>
{
var trade = token.ParseTrade("sz", "px", "side", "ts", TimestampType.UnixMilliseconds, "tradeId");
await callback(new KeyValuePair<string, ExchangeTrade>(symbol, trade));
});
}

protected override async Task<IWebSocket> OnGetDeltaOrderBookWebSocketAsync(Action<ExchangeOrderBook> callback,
int maxCount = 20, params string[] marketSymbols)
{
return await ConnectWebSocketOkexAsync(
async (_socket) =>
{
marketSymbols = await AddMarketSymbolsToChannel(_socket, "books-l2-tbt", marketSymbols);
}, (_socket, symbol, sArray, token) =>
{
ExchangeOrderBook book = token.ParseOrderBookFromJTokenArrays(maxCount: maxCount);
book.MarketSymbol = symbol;
callback(book);
return Task.CompletedTask;
});
}

protected override async Task<IWebSocket> OnGetOrderDetailsWebSocketAsync(Action<ExchangeOrderResult> callback)
{
return await ConnectPrivateWebSocketOkexAsync(async (_socket) =>
{
await WebsocketLogin(_socket);
await SubscribeForOrderChannel(_socket, "orders");
}, (_socket, symbol, sArray, token) =>
{
callback(ParseOrder(token));
return Task.CompletedTask;
});
}

protected override Task<IWebSocket> ConnectWebSocketOkexAsync(Func<IWebSocket, Task> connected,
Func<IWebSocket, string, string[], JToken, Task> callback, int symbolArrayIndex = 3)
{
Timer pingTimer = null;
return ConnectPublicWebSocketAsync(url: "/public", messageCallback: async (_socket, msg) =>
{
var msgString = msg.ToStringFromUTF8();
if (msgString == "pong")
{
// received reply to our ping
return;
}

JToken token = JToken.Parse(msgString);
var eventProperty = token["event"]?.ToStringInvariant();
if (eventProperty != null)
{
switch (eventProperty)
{
case "error":
Logger.Info("Websocket unable to connect: " + token["msg"]?.ToStringInvariant());
return;
case "subscribe" when token["arg"]["channel"] != null:
{
// subscription successful
pingTimer ??= new Timer(callback: async s => await _socket.SendMessageAsync("ping"),
null, 0, 15000);
return;
}
default:
return;
}
}

var marketSymbol = string.Empty;
if (token["arg"] != null)
{
marketSymbol = token["arg"]["instId"].ToStringInvariant();
}

if (token["data"] != null)
{
var data = token["data"];
foreach (var t in data)
{
await callback(_socket, marketSymbol, null, t);
}
}
}, async (_socket) => await connected(_socket)
, s =>
{
pingTimer?.Dispose();
pingTimer = null;
return Task.CompletedTask;
});
}

protected override Task<IWebSocket> ConnectPrivateWebSocketOkexAsync(Func<IWebSocket, Task> connected,
Func<IWebSocket, string, string[], JToken, Task> callback, int symbolArrayIndex = 3)
{
Timer pingTimer = null;
return ConnectPublicWebSocketAsync(url: "/private", messageCallback: async (_socket, msg) =>
{
var msgString = msg.ToStringFromUTF8();
Logger.Debug(msgString);
if (msgString == "pong")
{
// received reply to our ping
return;
}

JToken token = JToken.Parse(msgString);
var eventProperty = token["event"]?.ToStringInvariant();
if (eventProperty != null)
{
switch (eventProperty)
{
case "error":
Logger.Info("Websocket unable to connect: " + token["msg"]?.ToStringInvariant());
return;
case "subscribe" when token["arg"]["channel"] != null:
{
// subscription successful
pingTimer ??= new Timer(callback: async s => await _socket.SendMessageAsync("ping"),
null, 0, 15000);
return;
}
default:
return;
}
}

var marketSymbol = string.Empty;
if (token["arg"] != null)
{
marketSymbol = token["arg"]["instId"].ToStringInvariant();
}

if (token["data"] != null)
{
var data = token["data"];
foreach (var t in data)
{
await callback(_socket, marketSymbol, null, t);
}
}
}, async (_socket) => await connected(_socket)
, s =>
{
pingTimer?.Dispose();
pingTimer = null;
return Task.CompletedTask;
});
}

protected override async Task<string[]> AddMarketSymbolsToChannel(IWebSocket socket, string channelFormat,
string[] marketSymbols)
{
if (marketSymbols.Length == 0)
{
marketSymbols = (await GetMarketSymbolsAsync()).ToArray();
}

await SendMessageAsync(marketSymbols);

async Task SendMessageAsync(IEnumerable<string> symbolsToSend)
{
var args = symbolsToSend
.Select(s => new { channel = channelFormat, instId = s })
.ToArray();
await socket.SendMessageAsync(new { op = "subscribe", args });
}

return marketSymbols;
}

private async Task WebsocketLogin(IWebSocket socket)
{
var timestamp = (DateTime.UtcNow - new DateTime(1970, 1, 1)).TotalSeconds;
var auth = new
{
apiKey = PublicApiKey?.ToUnsecureString(),
passphrase = Passphrase?.ToUnsecureString(),
timestamp,
sign = CryptoUtility.SHA256SignBase64($"{timestamp}GET/users/self/verify",
PrivateApiKey?.ToUnsecureBytesUTF8())
};
var args = new List<dynamic> { auth };
var request = new { op = "login", args };
await socket.SendMessageAsync(request);
}

private async Task SubscribeForOrderChannel(IWebSocket socket, string channelFormat)
{
var marketSymbols = (await GetMarketSymbolsAsync()).ToArray();
await SendMessageAsync(marketSymbols);

async Task SendMessageAsync(IEnumerable<string> symbolsToSend)
{
var args = symbolsToSend
.Select(s => new
{
channel = channelFormat, instId = s, uly = GetUly(s),
instType = GetInstrumentType(s).ToUpperInvariant()
})
.ToArray();
await socket.SendMessageAsync(new { op = "subscribe", args });
}
}

private static string GetUly(string marketSymbol)
{
var symbolSplit = marketSymbol.Split('-');
return symbolSplit.Length == 3 ? $"{symbolSplit[0]}-{symbolSplit[1]}" : marketSymbol;
}

private async Task<JToken> GetBalance()
{
return await MakeJsonRequestAsync<JToken>("/account/balance", BaseUrlV5, await GetNoncePayloadAsync());
}

private IEnumerable<ExchangeOrderResult> ParseOrders(JToken token)
=> token.Select(x =>
new ExchangeOrderResult()
private static ExchangeOrderResult ParseOrder(JToken token) =>
new ExchangeOrderResult()
{
OrderId = token["ordId"].Value<string>(),
OrderDate = DateTimeOffset.FromUnixTimeMilliseconds(token["cTime"].Value<long>()).DateTime,
Result = token["state"].Value<string>() switch
{
OrderId = x["ordId"].Value<string>(),
OrderDate = DateTimeOffset.FromUnixTimeMilliseconds(x["cTime"].Value<long>()).DateTime,
Result = x["state"].Value<string>() == "live"
? ExchangeAPIOrderResult.Open
: ExchangeAPIOrderResult.FilledPartially,
IsBuy = x["side"].Value<string>() == "buy",
IsAmountFilledReversed = false,
Amount = x["sz"].Value<decimal>(),
AmountFilled = x["accFillSz"].Value<decimal>(),
AveragePrice = x["avgPx"].Value<string>() == string.Empty ? default : x["avgPx"].Value<decimal>(),
Price = x["px"].Value<decimal>(),
ClientOrderId = x["clOrdId"].Value<string>(),
FeesCurrency = x["feeCcy"].Value<string>(),
MarketSymbol = x["instId"].Value<string>()
});
"canceled" => ExchangeAPIOrderResult.Canceled,
"live" => ExchangeAPIOrderResult.Open,
"partially_filled" => ExchangeAPIOrderResult.FilledPartially,
"filled" => ExchangeAPIOrderResult.Filled,
_ => ExchangeAPIOrderResult.Unknown
},
IsBuy = token["side"].Value<string>() == "buy",
IsAmountFilledReversed = false,
Amount = token["sz"].Value<decimal>(),
AmountFilled = token["accFillSz"].Value<decimal>(),
AveragePrice = token["avgPx"].Value<string>() == string.Empty ? default : token["avgPx"].Value<decimal>(),
Price = token["px"].Value<decimal>(),
ClientOrderId = token["clOrdId"].Value<string>(),
FeesCurrency = token["feeCcy"].Value<string>(),
MarketSymbol = token["instId"].Value<string>()
};

private static IEnumerable<ExchangeOrderResult> ParseOrders(JToken token) => token.Select(ParseOrder);

private async Task<ExchangeTicker> ParseTickerV5Async(JToken t, string symbol)
{
Expand Down
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