sig-pub/internal/exchange/exchange.go

package exchange

import (
	"context"
	"fmt"
	"sig-pub/api/pb"
	"sig-pub/pkg/types"
	"sig-pub/pkg/utils/collect"
	"sync/atomic"

	"github.com/govalues/decimal"
)

// 交易所行情数据订阅
type ExchangeSubscriber interface {
	// 交易所类型
	ExhcangeType() pb.ExchangeType

	// 消费k线行情数据
	ConsumerKline() <-chan *types.ChannelKline

	// 订阅产品k线行情
	SubscribeKline(instIds ...string) (err error)

	// 取消订阅产品k线行情
	UnsubscribeKline(instIds ...string) (err error)
}

// 交易所行情数据请求
type ExchangeFetcher interface {
	// 交易所类型
	ExhcangeType() pb.ExchangeType
	// 获取区间内历史k线数据
	FetchHistoryKlines(ctx context.Context, instId string, interval types.Interval, after, before int64) (klines []*types.Kline, err error)
}

// 交易所交互接口
type Exchange struct {
	ExchangeType  pb.ExchangeType
	Fetcher       ExchangeFetcher
	Subscriber    ExchangeSubscriber
	TradeInstIds  *collect.SyncMap[string, string]                 // map[string]*ExchangeTradeInstance // <TradeInstId, ExchangeInstId>
	ExchangeInsts *collect.SyncMap[string, *ExchangeTradeInstance] // map[string]*ExchangeTradeInstance // <ExchangeInstId, Inst>
}

// 交易所交易产品
type ExchangeTradeInstance struct {
	Inst          *types.TradeInstance
	Status        atomic.Int32                      // 交易产品状态, 0.初始化中 1.正常
	LiveKline     *types.IntervalState[types.Kline] // 实时k线数据
	LiveKStartTs  *types.IntervalState[int64]       // ws开始订阅k线标记时间戳
	HistoryMarkTs *types.IntervalState[int64]       // 拉取历史k线标记时间戳
	Last          decimal.Decimal                   // 交易产品实时价格tick更新
}

func NewExchange(fetcher ExchangeFetcher, subscriber ExchangeSubscriber) *Exchange {
	exType := fetcher.ExhcangeType()
	if exType != subscriber.ExhcangeType() {
		panic(fmt.Errorf("exchange type not match: %#v, %#v", exType, subscriber.ExhcangeType()))
	}

	return &Exchange{
		ExchangeType:  exType,
		Fetcher:       fetcher,
		Subscriber:    subscriber,
		TradeInstIds:  collect.NewSyncMap[string, string](),
		ExchangeInsts: collect.NewSyncMap[string, *ExchangeTradeInstance](),
	}
}