sig-pub/internal/trading/trading_service.go

package trading

import (
	"context"
	"io"
	"sig-pub/api/pb"
	"sig-pub/pkg/client"
	"sig-pub/pkg/mq"
	"sig-pub/pkg/types"
	"sig-pub/pkg/utils/collect"
	"sig-pub/pkg/zlog"
	"time"

	"google.golang.org/grpc"
)

type TradingService struct {
	marketClientAside *client.TradeInstanceAside
	exchangeClient    pb.ExchangeServiceClient

	klineStore *KlineStore

	subscribeKlineIntervals []string
	subKlineInsts           [3][]string
	subKlineStream          grpc.BidiStreamingClient[pb.ReqStreamSubscribeKline, pb.RspStreamSubscribeKline]
}

func NewTradingService(
	marketClientAside *client.TradeInstanceAside,
	exchangeClient pb.ExchangeServiceClient,
) *TradingService {
	// 订阅实时k线周期列表
	subscribeKlineIntervals := collect.Map2Slice(types.SupportedIntervals, func(interval types.Interval, _ types.IntervalAdder) string {
		return string(interval)
	})
	return &TradingService{
		marketClientAside:       marketClientAside,
		exchangeClient:          exchangeClient,
		subscribeKlineIntervals: subscribeKlineIntervals,
	}
}

// 初始化历史k线, 订阅实时k线
func (svr *TradingService) Init() (err error) {
	svr.klineStore = NewKlineSeriesStore()

	// get instance
	exchangeTradeInsts, err := svr.marketClientAside.ListExchangeTradeInstance(context.Background(), pb.ExchangeType_OKX)
	if err != nil {
		return
	}
	for _, exInst := range exchangeTradeInsts {
		svr.subKlineInsts[exInst.Exchange] = append(svr.subKlineInsts[exInst.Exchange], exInst.InstId)
	}

	// 拉取已初始化完成交易产品, 初始化k线, 开始订阅k线

	// 订阅交易产品初始化完成事件
	mq.NatsCreateConsumer("trading", mq.StreamExchange, mq.TopicExchangeTradeInstanceInited, func() *mq.PublishExchangeTradeInstanceInited { return new(mq.PublishExchangeTradeInstanceInited) },
		func(msg *mq.PublishExchangeTradeInstanceInited) (err error) {
			// 初始化k线, 开始订阅k线
			zlog.Infof("trade instance inited: %#v", msg)
			return
		})

	// 订阅k线
	go svr.subscribeStreamKlines(false)
	return
}

func (svr *TradingService) subscribeKlines() {

}

func (svr *TradingService) subscribeStreamKlines(reconnect bool) {
	defer func() {
		if svr.subKlineStream != nil {
			svr.subKlineStream.CloseSend()
			svr.subKlineStream = nil
		}
		go svr.subscribeStreamKlines(true)
	}()

	if reconnect {
		zlog.Infof("subscribeKlines will reconnect after 5s")
		time.Sleep(5 * time.Second)
	}

	stream, err := svr.exchangeClient.SubscribeKline(context.Background())
	if err != nil {
		zlog.Error("subscribeKlines reqeust error: ", err)
		return
	}
	svr.subKlineStream = stream

	// 发送订阅消息
	exchanges := []pb.ExchangeType{pb.ExchangeType_OKX}
	for _, exchange := range exchanges {
		instIds := svr.subKlineInsts[exchange]
		if len(instIds) == 0 {
			continue
		}
		msg := &pb.ReqStreamSubscribeKline{
			SubType:     pb.SubscribeType_Subscribe,
			Exchanges:   []pb.ExchangeType{exchange},
			InstIds:     instIds,
			Intervals:   svr.subscribeKlineIntervals,
			OnlyConfirm: true,
		}
		zlog.Debugf("send stream subscribe kline msg: %#v", msg)
		if err = stream.Send(msg); err != nil {
			zlog.Errorf("send stream subscribe kline msg error: %v", msg, err)
			return
		}
	}

	// 接收消息的goroutine
	for {
		msg, err := stream.Recv()
		if err == io.EOF {
			zlog.Debugf("subscribeKlines connection server closeed")
			return
		}
		if err != nil {
			zlog.Error("subscribeKlines recv error: ", err)
			return
		}

		for _, k := range msg.Kline.Klines {
			kline := new(types.Kline)
			kline.ParsePBKline(msg.Kline.Exchange, k)
			zlog.Debugf("recv: streamId=%d, %v, %s, %#v", msg.Kline.StreamId, msg.Kline.Exchange, msg.Kline.InstId, kline)
			// kline klineStore -> klineSeries -> strategy -> indicator -> klineSeries.Series
			svr.klineStore.Update(msg.Kline.Exchange, msg.Kline.InstId, kline)
		}
	}
}