sig-pub/internal/exchange/okx/okx_fetch.go

package okx

import (
	"context"
	"errors"
	"fmt"
	"net/http"
	"net/url"
	"sig-pub/pkg/types"
	"strconv"
	"strings"
	"time"

	"github.com/bytedance/sonic"
	"github.com/go-resty/resty/v2"
	"github.com/govalues/decimal"
)

const (
	HttpBaseUrl = "https://www.okx.com"
)

type OkxFetcher struct {
	client    *resty.Client
	httpProxy string
}

func NewOkxFetcher(httpProxy string) (f *OkxFetcher) {
	client := resty.New()
	client.SetTimeout(30 * time.Second)
	client.SetTransport(&http.Transport{
		MaxIdleConns:        100,
		MaxConnsPerHost:     10,
		IdleConnTimeout:     90 * time.Second,
		TLSHandshakeTimeout: 10 * time.Second,
	})
	if httpProxy != "" {
		client.SetProxy(httpProxy)
	}

	f = &OkxFetcher{
		client:    client,
		httpProxy: httpProxy,
	}
	return
}

func (okx *OkxFetcher) ExhcangeType() types.Exchange {
	return types.ExchangeOKX
}

// FetchHistoryKlines 获取交易产品历史K线数据
// https://my.okx.com/docs-v5/zh/#order-book-trading-market-data-get-candlesticks-history
// 周期区间 after > before, (after, before)
func (f *OkxFetcher) FetchHistoryKlines(ctx context.Context, okxInstId string, interval types.Interval, after, before int64) (klines []*types.Kline, err error) {
	if okxInstId == "" {
		err = errors.New("instid is empty")
		return
	}
	if after <= 0 && before <= 0 {
		err = errors.New("time range zero")
		return
	}
	if err = fetchHistoryKlineLimiter.Wait(ctx); err != nil {
		return
	}

	var params []string
	params = append(params, fmt.Sprintf("instId=%s", url.QueryEscape(okxInstId)))
	params = append(params, "limit=100") // 最大为100
	if v, ok := subscribeCandles[interval]; ok {
		params = append(params, "bar="+v)
	}
	if after > 0 {
		params = append(params, fmt.Sprintf("after=%d", after))
	}
	if before > 0 {
		params = append(params, fmt.Sprintf("before=%d", before))
	}
	url := fmt.Sprintf("%s/api/v5/market/history-candles?%s", HttpBaseUrl, strings.Join(params, "&"))

	resp, err := f.client.R().Get(url)
	if err != nil {
		return
	}

	// http status: 429 Too Many Requests
	status := resp.StatusCode()
	if status != 200 {
		err = fmt.Errorf("request history klines status error: %s, %s", url, resp.Status())
		return
	}

	r := new(RespHistoryKline)
	if err = sonic.Unmarshal(resp.Body(), r); err != nil {
		return
	}
	if r.Code != "0" {
		err = fmt.Errorf("code: %s, msg: %s", r.Code, r.Msg)
		return
	}
	for _, data := range r.Data {
		ts, e := strconv.ParseInt(data[0], 10, 64)
		if e != nil {
			err = e
			return
		}
		kline := &types.Kline{
			Interval: interval,
			Ts:       ts,
			Confirm:  data[8] == "1",
		}
		var kinds = []*decimal.Decimal{&kline.Open, &kline.High, &kline.Low, &kline.Close, &kline.Vol, nil, &kline.VolQuote}
		for i := 1; i <= 7; i++ {
			if kinds[i-1] == nil {
				continue
			}
			*kinds[i-1], err = decimal.Parse(data[i])
			if err != nil {
				return
			}
		}
		klines = append(klines, kline)
	}
	return
}