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v1 OrderBook streams + Address PR comments.
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104 changes: 104 additions & 0 deletions
104
...ydx/src/main/java/info/bitrich/xchangestream/dydx/dto/v1/dydxInitialOrderBookMessage.java
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,104 @@ | ||
| package info.bitrich.xchangestream.dydx.dto.v1; | ||
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| import com.fasterxml.jackson.annotation.JsonProperty; | ||
| import info.bitrich.xchangestream.dydx.dto.dydxWebSocketTransaction; | ||
| import lombok.Getter; | ||
| import lombok.Setter; | ||
| import org.knowm.xchange.currency.CurrencyPair; | ||
| import org.knowm.xchange.dto.marketdata.OrderBook; | ||
| import org.knowm.xchange.dto.trade.LimitOrder; | ||
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|
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| import java.math.BigDecimal; | ||
| import java.util.Arrays; | ||
| import java.util.List; | ||
| import java.util.Map; | ||
| import java.util.SortedMap; | ||
|
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| import static info.bitrich.xchangestream.dydx.dydxStreamingAdapters.dydxOrderBookChanges; | ||
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| /** Author: Max Gao ([email protected]) Created: 08-03-2021 */ | ||
| public class dydxInitialOrderBookMessage extends dydxWebSocketTransaction { | ||
| @JsonProperty("contents") | ||
| private Contents contents; | ||
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| @Getter | ||
| @Setter | ||
| public static class Contents { | ||
| @JsonProperty("offset") | ||
| private String offset; | ||
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| @JsonProperty("bids") | ||
| private Order bids[]; | ||
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| @JsonProperty("asks") | ||
| private Order asks[]; | ||
| } | ||
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| @Getter | ||
| @Setter | ||
| public static class Order { | ||
| @JsonProperty("id") | ||
| private String id; | ||
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| @JsonProperty("uuid") | ||
| private String uuid; | ||
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| @JsonProperty("price") | ||
| private String price; | ||
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| @JsonProperty("amount") | ||
| private String amount; | ||
| } | ||
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| public OrderBook toOrderBook( | ||
| SortedMap<BigDecimal, BigDecimal> bids, | ||
| SortedMap<BigDecimal, BigDecimal> asks, | ||
| Map<String, String> bidIds, | ||
| Map<String, String> askIds, | ||
| int maxDepth, | ||
| CurrencyPair currencyPair) { | ||
| String[][] bidsData = null; | ||
| String[][] asksData = null; | ||
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| if (this.contents.getBids() != null) { | ||
| bidsData = | ||
| Arrays.stream(this.contents.getBids()) | ||
| .map( | ||
| b -> { | ||
| bidIds.put(b.id, b.price); | ||
| return new String[] {b.price, b.amount}; | ||
| }) | ||
| .toArray(String[][]::new); | ||
| } | ||
| if (this.contents.getAsks() != null) { | ||
| asksData = | ||
| Arrays.stream(this.contents.getAsks()) | ||
| .map( | ||
| a -> { | ||
| askIds.put(a.id, a.price); | ||
| return new String[] {a.price, a.amount}; | ||
| }) | ||
| .toArray(String[][]::new); | ||
| } | ||
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| List<LimitOrder> dydxBids = | ||
| dydxOrderBookChanges( | ||
| org.knowm.xchange.dto.Order.OrderType.BID, | ||
| currencyPair, | ||
| bidsData, | ||
| bids, | ||
| maxDepth, | ||
| true); | ||
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| List<LimitOrder> dydxAsks = | ||
| dydxOrderBookChanges( | ||
| org.knowm.xchange.dto.Order.OrderType.ASK, | ||
| currencyPair, | ||
| asksData, | ||
| asks, | ||
| maxDepth, | ||
| true); | ||
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| return new OrderBook(null, dydxBids, dydxAsks, false); | ||
| } | ||
| } |
110 changes: 110 additions & 0 deletions
110
...dydx/src/main/java/info/bitrich/xchangestream/dydx/dto/v1/dydxUpdateOrderBookMessage.java
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,110 @@ | ||
| package info.bitrich.xchangestream.dydx.dto.v1; | ||
|
|
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| import com.fasterxml.jackson.annotation.JsonProperty; | ||
| import info.bitrich.xchangestream.dydx.dto.dydxWebSocketTransaction; | ||
| import lombok.Getter; | ||
| import lombok.Setter; | ||
| import org.knowm.xchange.currency.CurrencyPair; | ||
| import org.knowm.xchange.dto.marketdata.OrderBook; | ||
| import org.knowm.xchange.dto.trade.LimitOrder; | ||
|
|
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| import java.math.BigDecimal; | ||
| import java.util.Arrays; | ||
| import java.util.List; | ||
| import java.util.Map; | ||
| import java.util.Objects; | ||
| import java.util.SortedMap; | ||
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| import static info.bitrich.xchangestream.dydx.dydxStreamingAdapters.dydxOrderBookChanges; | ||
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| /** Author: Max Gao ([email protected]) Created: 08-03-2021 */ | ||
| public class dydxUpdateOrderBookMessage extends dydxWebSocketTransaction { | ||
| @JsonProperty("contents") | ||
| private Contents contents; | ||
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| @Getter | ||
| @Setter | ||
| public static class Contents { | ||
| @JsonProperty("updates") | ||
| private Update updates[]; | ||
| } | ||
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| @Getter | ||
| @Setter | ||
| public static class Update { | ||
| @JsonProperty("type") | ||
| private String type; | ||
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| @JsonProperty("id") | ||
| private String id; | ||
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| @JsonProperty("side") | ||
| private String side; | ||
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| @JsonProperty("amount") | ||
| private String amount; | ||
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| @JsonProperty("price") | ||
| private String price; | ||
| } | ||
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| private String[][] buildChangeData(String side, Map<String, String> idMap) { | ||
| return Arrays.stream(this.contents.getUpdates()) | ||
| .filter(update -> (side).equals(update.side)) | ||
| .map( | ||
| update -> { | ||
| switch (update.type) { | ||
| case "NEW": | ||
| idMap.put(update.id, update.price); | ||
| return new String[] {update.price, update.amount}; | ||
| case "REMOVED": | ||
| String removedPriceLevel = idMap.get(update.id); | ||
| idMap.remove(update.id); | ||
| if (removedPriceLevel != null) { | ||
| return new String[] {removedPriceLevel, "0"}; | ||
| } else { | ||
| return null; // Occasionally the websocket will return duplicate removal | ||
| // messages. | ||
| } | ||
| case "UPDATED": | ||
| return new String[] {update.price, update.amount}; | ||
| default: | ||
| return null; | ||
| } | ||
| }) | ||
| .filter(Objects::nonNull) | ||
| .toArray(String[][]::new); | ||
| } | ||
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| public OrderBook toOrderBook( | ||
| SortedMap<BigDecimal, BigDecimal> bids, | ||
| SortedMap<BigDecimal, BigDecimal> asks, | ||
| Map<String, String> bidIds, | ||
| Map<String, String> askIds, | ||
| int maxDepth, | ||
| CurrencyPair currencyPair) { | ||
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| String[][] bidsData = buildChangeData("BUY", bidIds); | ||
| String[][] asksData = buildChangeData("SELL", askIds); | ||
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| List<LimitOrder> dydxBids = | ||
| dydxOrderBookChanges( | ||
| org.knowm.xchange.dto.Order.OrderType.BID, | ||
| currencyPair, | ||
| bidsData, | ||
| bids, | ||
| maxDepth, | ||
| true); | ||
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| List<LimitOrder> dydxAsks = | ||
| dydxOrderBookChanges( | ||
| org.knowm.xchange.dto.Order.OrderType.ASK, | ||
| currencyPair, | ||
| asksData, | ||
| asks, | ||
| maxDepth, | ||
| true); | ||
|
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| return new OrderBook(null, dydxAsks, dydxBids, false); | ||
| } | ||
| } |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
|
|
@@ -10,12 +10,11 @@ | |
| import org.knowm.xchange.dto.trade.LimitOrder; | ||
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| import java.math.BigDecimal; | ||
| import java.util.Collections; | ||
| import java.util.Arrays; | ||
| import java.util.List; | ||
| import java.util.Map; | ||
| import java.util.SortedMap; | ||
| import java.util.stream.Collectors; | ||
| import java.util.stream.Stream; | ||
|
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| import static info.bitrich.xchangestream.dydx.dydxStreamingAdapters.dydxOrderBookChanges; | ||
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| /** Author: Max Gao ([email protected]) Created: 08-03-2021 */ | ||
| @NoArgsConstructor | ||
|
|
@@ -48,60 +47,44 @@ public static class Order { | |
| private String size; | ||
| } | ||
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| /** Adapted from coinbaseProOrderBookChanges */ | ||
| protected List<LimitOrder> dydxOrderBookChanges( | ||
| org.knowm.xchange.dto.Order.OrderType orderType, | ||
| CurrencyPair currencyPair, | ||
| Order[] orders, | ||
| SortedMap<BigDecimal, BigDecimal> sideEntries, | ||
| int maxDepth) { | ||
|
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| if (sideEntries == null) { | ||
| return Collections.emptyList(); | ||
| } | ||
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| for (Order order : orders) { | ||
| BigDecimal price = new BigDecimal(order.price); | ||
| BigDecimal volume = new BigDecimal(order.size); | ||
| sideEntries.put(price, volume); | ||
| } | ||
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| Stream<Map.Entry<BigDecimal, BigDecimal>> stream = | ||
| sideEntries.entrySet().stream() | ||
| .filter(level -> level.getValue().compareTo(BigDecimal.ZERO) != 0); | ||
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| if (maxDepth != 0) { | ||
| stream = stream.limit(maxDepth); | ||
| } | ||
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| return stream | ||
| .map( | ||
| level -> | ||
| new LimitOrder( | ||
| orderType, level.getValue(), currencyPair, "0", null, level.getKey())) | ||
| .collect(Collectors.toList()); | ||
| } | ||
|
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| public OrderBook toOrderBook( | ||
| SortedMap<BigDecimal, BigDecimal> bids, | ||
| SortedMap<BigDecimal, BigDecimal> asks, | ||
| int maxDepth, | ||
| CurrencyPair currencyPair) { | ||
| String[][] bidsData = null; | ||
| String[][] asksData = null; | ||
|
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| if (this.contents.getBids() != null) { | ||
| bidsData = | ||
| Arrays.stream(this.contents.getBids()) | ||
| .map(b -> new String[] {b.price, b.size}) | ||
| .toArray(String[][]::new); | ||
| } | ||
| if (this.contents.getAsks() != null) { | ||
| asksData = | ||
| Arrays.stream(this.contents.getAsks()) | ||
| .map(a -> new String[] {a.price, a.size}) | ||
| .toArray(String[][]::new); | ||
| } | ||
|
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| List<LimitOrder> dydxBids = | ||
| dydxOrderBookChanges( | ||
| org.knowm.xchange.dto.Order.OrderType.BID, | ||
| currencyPair, | ||
| this.contents.getBids() != null ? this.contents.getBids() : null, | ||
| bidsData, | ||
| bids, | ||
| maxDepth); | ||
| maxDepth, | ||
| false); | ||
|
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| List<LimitOrder> dydxAsks = | ||
| dydxOrderBookChanges( | ||
| org.knowm.xchange.dto.Order.OrderType.ASK, | ||
| currencyPair, | ||
| this.contents.getAsks() != null ? this.contents.getAsks() : null, | ||
| asksData, | ||
| asks, | ||
| maxDepth); | ||
| maxDepth, | ||
| false); | ||
|
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| return new OrderBook(null, dydxBids, dydxAsks, false); | ||
| } | ||
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