package exchange import ( "context" "fmt" "io" "runtime" "sig-pub/api/pb" "sig-pub/pkg/aside" "sig-pub/pkg/data" "sig-pub/pkg/storage/kvrocks" "sig-pub/pkg/types" "sig-pub/pkg/utils/times" "sig-pub/pkg/zlog" "sync" "sync/atomic" "time" "google.golang.org/grpc" ) type ExchangeGrpcServer struct { pb.UnimplementedExchangeServiceServer exchangeMap map[types.Exchange]*Exchange tradeInstanceAside *aside.TradeInstanceAside exchangeDataService *ExchangeDataService kvdb *kvrocks.KVRocksDB klineStreamId int64 klinePublisher *Publisher[int64, grpc.BidiStreamingServer[pb.ReqStreamSubscribeKline, pb.RspStreamSubscribeKline]] } // exchanges: 支持的数据源交易所 func NewExchangeGrpcServer( tradeInstanceAside *aside.TradeInstanceAside, exchangeDataService *ExchangeDataService, kvdb *kvrocks.KVRocksDB, exchanges ...*Exchange, ) *ExchangeGrpcServer { exchangeMap := make(map[types.Exchange]*Exchange) for _, exchange := range exchanges { exchangeMap[exchange.ExType] = exchange } return &ExchangeGrpcServer{ exchangeMap: exchangeMap, tradeInstanceAside: tradeInstanceAside, exchangeDataService: exchangeDataService, kvdb: kvdb, klinePublisher: NewPublisher[int64, grpc.BidiStreamingServer[pb.ReqStreamSubscribeKline, pb.RspStreamSubscribeKline]](16), } } func (svc *ExchangeGrpcServer) Init() (err error) { svc.subscribeExchanges() return } // 订阅交易所推送行情 func (svc *ExchangeGrpcServer) subscribeExchanges() { // consumerKline // 交易所订阅交易产品 for _, exchange := range svc.exchangeMap { go func(exchange *Exchange) { // get exchange trade instances insts, err := svc.tradeInstanceAside.ListExchangeTradeInstance(context.Background(), exchange.ExType) if err != nil { zlog.Error(err) return } var exchangeInstIds []string var processingInsts []types.TradeInstance for _, inst := range insts { exchangeInstIds = append(exchangeInstIds, inst.ExchangeInstId) tradeInst := &types.TradeInstance{ InstId: inst.InstId, Status: inst.Status, PriceSz: 0, QuantitySz: 0, ExchangeInstId: inst.ExchangeInstId, Exchange: exchange.ExType, } exchange.Insts.Store(inst.ExchangeInstId, &ExchangeTradeInstance{ Inst: tradeInst, Status: 0, LiveMarkTs: 0, HistoryMarkTs: 0, }) // 待初始化币种数据 if inst.Status == data.StatusProcessing { processingInsts = append(processingInsts, *tradeInst) } } // instIds := []string{"BTC-USDT", "DOGE-USDT-SWAP"} err = exchange.Subscriber.SubscribeKline(exchangeInstIds...) if err != nil { zlog.Error(err) return } go func() { c := exchange.Subscriber.ConsumerKline() svc.consumerKline(exchange, c) // todo subscribe books 订单簿 zlog.Infof("unsubscribe exchange: %s", exchange.ExType) }() // 初始化k线数据 go svc.initialKlines(exchange, processingInsts) }(exchange) } } // consumerKline 消费交易所k线数据 func (svc *ExchangeGrpcServer) consumerKline(exchange *Exchange, c <-chan *types.ChannelKline) { exchangeType := exchange.ExType for { channelK, ok := <-c if !ok { return } // 交易所 instid 转 sig-instid var exInst *types.TradeInstance if inst, ok := exchange.Insts.Load(channelK.ExgInstId); ok && inst != nil { exInst = inst.Inst // 标记交易产品开始订阅k线时间 if inst.LiveMarkTs == 0 && len(channelK.Klines) > 0 { inst.LiveMarkTs = channelK.Klines[0].Ts } } else { zlog.Errorf("unknown exchange instId: %v, %s", channelK.Exchange, channelK.ExgInstId) continue } // publish to subscribers pubMsgMap := make(map[string]*pb.StreamKline) // instId := channelK.InstId pbExType, err := channelK.Exchange.Exchange2PB() if err != nil { zlog.Error(err) continue } var confirmKlines []*types.Kline for _, kline := range channelK.Klines { // zlog.Infof("recv kline: %#v", kline) confirm := 0 if kline.Confirm { confirm = 1 confirmKlines = append(confirmKlines, kline) } pubKey := fmt.Sprintf("/kline/%s/%s/%s/%d", exchangeType, exInst.InstId, kline.Interval, confirm) // todo 优化没有订阅者就跳过 msg, ok := pubMsgMap[pubKey] if !ok { msg = new(pb.StreamKline) msg.InstId = exInst.InstId msg.Exchange = pbExType pubMsgMap[pubKey] = msg } pbk := kline.ToPBKline() msg.Klines = append(msg.Klines, pbk) } // tsdb storage if len(confirmKlines) > 0 { // todo 异步处理 err := svc.exchangeDataService.SaveKlines(*exInst, confirmKlines) if err != nil { zlog.Errorf("kline save to tsdb error: ", err) } } for pubKey, msg := range pubMsgMap { if len(msg.Klines) == 0 { continue } subs := svc.klinePublisher.Publisher(pubKey) for _, sub := range subs { if err := sub.Send(&pb.RspStreamSubscribeKline{Kline: msg}); err != nil { zlog.Error(err) } } } } } // SubscribeKline 订阅k线stream func (svc *ExchangeGrpcServer) SubscribeKline(stream grpc.BidiStreamingServer[pb.ReqStreamSubscribeKline, pb.RspStreamSubscribeKline]) (err0 error) { streamId := atomic.AddInt64(&svc.klineStreamId, 1) // subKey = /kline/exchange/instId/interval/confirm // 接收消息的goroutine recvChan := make(chan *pb.ReqStreamSubscribeKline) go func() { for { msg, err := stream.Recv() if err == io.EOF { zlog.Infof("关闭EOF: %v", err) close(recvChan) return } if err != nil { zlog.Infof("接收错误: %v", err) close(recvChan) return } zlog.Infof("recv stream msg: %#v", msg) recvChan <- msg } }() // 发送和处理消息 for { select { case <-stream.Context().Done(): // 客户端断开连接 svc.klinePublisher.UnsubscribeAll(streamId) return stream.Context().Err() case msg, ok := <-recvChan: if !ok { // 接收通道关闭,结束流 svc.klinePublisher.UnsubscribeAll(streamId) return } if msg.SubType == pb.SubscribeType_UnsubscribeAll { svc.klinePublisher.UnsubscribeAll(streamId) continue } for _, exchange := range msg.Exchanges { for _, instId := range msg.InstIds { for _, interval := range msg.Intervals { confirms := []int{1} if !msg.OnlyConfirm { confirms = append(confirms, 0) } for _, confirm := range confirms { subKey := fmt.Sprintf("/kline/%s/%s/%s/%d", exchange.String(), instId, interval, confirm) zlog.Infof("stream: %d sub: %s", streamId, subKey) switch msg.SubType { case pb.SubscribeType_Subscribe: svc.klinePublisher.Subscribe(subKey, streamId, stream) case pb.SubscribeType_Unsubscribe: svc.klinePublisher.Unsubscribe(subKey, streamId) } } } } } } } // for { // select { // case <-ctx.Done(): // // 客户端断开连接 // // log.Printf("Client disconnected from topic: %s", topic) // return // default: // // 模拟事件生成 // event := &pb.SubscribeKlineStreamRsp{ // Kline: &pb.StreamKline{ // InstId: "DOGE/USDT", // Exchange: pb.Exchange_OKX, // Klines: []*pb.Kline{ // { // Ts: time.Now().Unix(), // }, // }, // }, // } // // 推送事件 // if err := streamRsp.Send(event); err != nil { // log.Printf("Failed to send event to client: %v", err) // return err // } // // 模拟事件间隔 // time.Sleep(2 * time.Second) // } // } } const ( KlineBefore0 int64 = 1672502400000 // k线开始数据 2023-01-01 00:00:00 GMT+8 HistoryKlineTsKey string = "history-kline-ts:%s:%s:%s" // exchange:sig-instid:interval ) type initialKlineTask struct { inst types.TradeInstance interval types.Interval afterTs int64 beforeTs int64 times int32 // 重试次数 } func (t initialKlineTask) logKey() string { return fmt.Sprintf("%s:%s:%s:%d:%d", t.inst.Exchange, t.inst.InstId, t.interval, t.beforeTs, t.afterTs) } // initialKline 初始化交易产品历史k线数据 func (svc *ExchangeGrpcServer) initialKlines(exchange *Exchange, insts []types.TradeInstance) { concurrent := max(8, runtime.NumCPU()*2) // 任务 channel taskCh := make(chan initialKlineTask, concurrent) // 任务生成 go func() { for _, inst := range insts { // for interval, intervalAdder := range types.SupportedIntervals { interval := types.Interval1d intervalAdder := types.SupportedIntervals[interval] // history 未补全前, history写 kvdb ts mark, 补全后 ws live 写 ts mark tsKey := fmt.Sprintf(HistoryKlineTsKey, inst.Exchange, inst.InstId, interval) beforeTs, err := svc.kvdb.GetI64(context.Background(), tsKey) if err != nil { zlog.Error(err) panic(err) } if beforeTs == 0 { beforeTs = intervalAdder(KlineBefore0, -1) } for { afterTs := intervalAdder(beforeTs, 101) taskCh <- initialKlineTask{ inst: inst, interval: interval, afterTs: afterTs, beforeTs: beforeTs, times: 0, } beforeTs = intervalAdder(afterTs, -1) // 对比 ws 获取的实时k线 inst, ok := exchange.Insts.Load(inst.ExchangeInstId) if !ok { break } // 订阅完成 if inst.LiveMarkTs != 0 && beforeTs > inst.LiveMarkTs { // history status -> ok break } if beforeTs > time.Now().UnixMilli() { if inst.LiveMarkTs != 0 { // history status -> ok } else { // live status -> not ok } break } } // } } close(taskCh) }() loc, _ := time.LoadLocation("Asia/Shanghai") // 任务消费器 8协程并行 wg := new(sync.WaitGroup) for range concurrent { wg.Add(1) go func() { defer wg.Done() for { task, ok := <-taskCh if !ok { break } if task.times > 0 { zlog.Infof("retry fetch history kline task %d times: task -> %s", task.times, task.logKey()) } interval, afterTs, beforeTs := task.interval, task.afterTs, task.beforeTs klines, err := exchange.Fetcher.FetchHistoryKlines(context.Background(), task.inst.ExchangeInstId, interval, afterTs, beforeTs) if err != nil { zlog.Errorf("fetch history kline task error: task -> %s, err -> %v", task.logKey(), err) // retry task task.times++ taskCh <- task return } if len(klines) == 0 { continue } sts, ets := klines[0].Ts, klines[len(klines)-1].Ts ss := time.UnixMilli(sts).In(loc).Format(times.FORMAT_DATE) ee := time.UnixMilli(ets).In(loc).Format(times.FORMAT_DATE) zlog.Infof("fetch interval %s %d~%d klines: ret=%d~%d, %d klines, %s~%s", interval, afterTs, beforeTs, sts, ets, len(klines), ss, ee) // store to tsdb err = svc.exchangeDataService.SaveKlines(task.inst, klines) if err != nil { zlog.Errorf("save history klines to tsdb error: task -> %s, err -> %v", task.logKey(), err) // retry task task.times++ taskCh <- task return } } }() } wg.Wait() zlog.Infof("%d insts initial finished", len(insts)) // var intervals []types.Interval // for interval := range types.SupportedIntervals { // intervals = append(intervals, interval) // } // var intervalsTs = make([]int, len(intervals)) // var index int // var lock sync.Mutex // var getTask = func() (interval types.Interval, afterTs, beforeTs int64) { // lock.Lock() // ts := intervalsTs[index] // if ts == -1 { // index++ // } // lock.Unlock() // return // } // var finishTask = func(interval types.Interval) { // } // ctx := context.Background() // inst := insts[0] // // for interval, intervalAdder := range types.SupportedIntervals { // interval := types.Interval1h // intervalAdder := types.SupportedIntervals[interval] // // kvrocks get exchange+inst+interval last/ts // tsKey := fmt.Sprintf(HistoryKlineTsKey, inst.Exchange, inst.InstId, interval) // beforeTs, e := svc.kvdb.GetI64(ctx, tsKey) // if e != nil { // err = e // return // } // if beforeTs == 0 { // beforeTs = intervalAdder(KlineBefore0, -1) // } // for { // afterTs := intervalAdder(beforeTs, 101) // klines, e := exchange.Fetcher.FetchHistoryKlines(ctx, inst.ExchangeInstId, interval, afterTs, beforeTs) // if e != nil { // err = e // return // } // if len(klines) == 0 { // break // } // zlog.Infof("fetch interval %s %d~%d klines: ret=%d~%d, %d klines", interval, afterTs, beforeTs, klines[0].Ts, klines[len(klines)-1].Ts, len(klines)) // // store to tsdb // err = svc.exchangeDataService.SaveKlines(inst, klines) // if err != nil { // return // } // // set kvdb inst ts mark // beforeTs = klines[0].Ts // } // // } // zlog.Infof("%s %s initial finished", inst.Exchange, inst.InstId) }