Accélération WebSocket pour le traitement des données de marché en temps réel (FMZ Quant)
Cette stratégie optimise l'utilisation des connexions WebSocket pour accélérer le traitement des données en temps réel pour plusieurs échanges dans la plate-forme de trading quantique FMZ. En tirant parti des connexions WebSocket pour les carnets de commandes et les transactions en profondeur, ce code réduit considérablement la latence dans l'obtention des données du marché et améliore les performances, en particulier pour les systèmes de trading haute fréquence (HFT).
Principales caractéristiques:
Cette solution basée sur WebSocket remplace le sondage API traditionnel par des mises à jour en temps réel, ce qui la rend idéale pour les traders qui ont besoin de minimiser la latence et de maximiser la réactivité du marché.
$.setupWebsocket()pour initialiser les connexions WebSocket pour vos échanges cibles.GetDepth()etGetTrades(). Ces fonctions utilisent automatiquement les données WebSocket en temps réel si elles sont disponibles.Ce script est conçu pour s'exécuter sur la plateforme FMZ quant, fournissant un accès rapide, fiable et évolutif aux données du marché sur plusieurs échanges.
function main() {
$.setupWebsocket()
while (true) {
exchanges.map(e=>{
Log(e.GetName(), e.GetDepth())
Log(e.GetName(), e.GetTrades())
// support custom and auto subsribe Eg: e.GetDepth('ETH_USDT')
})
EventLoop(100) // trigger by websocket or use Sleep control delay
}
}
// @ts-check
$.setupWebsocket = function(main_exchanges) {
let crc32 = function (r) {
for (var a, o = [], c = 0; c < 256; c++) {
a = c;
for (var f = 0; f < 8; f++) a = 1 & a ? 3988292384 ^ a >>> 1 : a >>> 1;
o[c] = a
}
for (var n = -1, t = 0; t < r.length; t++) n = n >>> 8 ^ o[255 & (n ^ r.charCodeAt(t))];
return (-1 ^ n) >>> 0
}
let trace = function (...args: any[]) {
args.unshift('#' + __threadId())
Log.apply(this, args)
}
let MyDial = function(address) : IDial {
let ws = Dial(address)
if (ws) {
let createTime = new Date().getTime()
let oldClose = ws.close
ws.close = function() {
oldClose()
trace(address, "closed after", (new Date().getTime() - createTime)/1e6, "seconds")
}
}
trace("connect", address, ws ? "success" : "failed")
return ws
}
interface ICtx {
name: string
symbols: string[]
callback?: Function
}
let lastUpdateSymbolsTime = new Date().getTime()
let updateSymbols = function(ctx: ICtx, callBack: Function) {
let ts = new Date().getTime()
if (ts - lastUpdateSymbolsTime < 5000) {
return
}
lastUpdateSymbolsTime = ts
let e = __threadPeekMessage(-1)
if (e) {
trace("subscribe", e, "#ff0000")
callBack(e.symbol, e.method)
if (e.method == "subscribe") {
ctx.symbols.push(e.symbol)
} else {
ctx.symbols = ctx.symbols.filter(symbol=>symbol!=e.symbol)
}
}
}
let supports = {}
supports["Binance"] = function (ctx:ICtx) {
let processMsg = function (obj) {
let event = {
ts: obj.E,
instId: obj.s,
depth: null,
trades: [],
}
if (obj.e == "depthUpdate") {
let depth = {
asks: [],
bids: []
}
obj.b.forEach(function (item) {
depth.bids.push({
price: Number(item[0]),
qty: Number(item[1])
})
})
obj.a.forEach(function (item) {
depth.asks.push({
price: Number(item[0]),
qty: Number(item[1])
})
})
event.depth = depth
} else if (obj.e == 'bookTicker') {
event.depth = {
asks: [{ price: Number(obj.a), qty: Number(obj.A) }],
bids: [{ price: Number(obj.b), qty: Number(obj.B) }]
}
} else if (obj.e == 'aggTrade') {
event.ts = obj.E
event.trades = [{
price: Number(obj.p),
qty: Number(obj.q),
ts: obj.T,
side: obj.m ? "sell" : "buy"
}]
} else if (typeof (obj.asks) !== 'undefined') {
event.ts = obj.E || new Date().getTime()
let depth = {
asks: [],
bids: []
}
obj.bids.forEach(function (item) {
depth.bids.push({
price: Number(item[0]),
qty: Number(item[1])
})
})
obj.asks.forEach(function (item) {
depth.asks.push({
price: Number(item[0]),
qty: Number(item[1])
})
})
event.depth = depth
} else {
return
}
return event
}
let channels = ["depth20@100ms", /*"bookTicker", */"aggTrade"]
let ws = null
let endPoint = "wss://stream.binance.com/stream"
if (ctx.name == "Futures_Binance") {
endPoint = "wss://fstream.binance.com/stream"
}
while (true) {
if (!ws) {
let subscribes = []
ctx.symbols.forEach(function (symbol) {
channels.forEach(function (channel) {
subscribes.push(symbol.toLowerCase() + "@" + channel)
})
})
ws = MyDial(endPoint + (subscribes.length > 0 ? ("?streams=" + subscribes.join("/")) : ""))
}
if (!ws) {
Sleep(1000)
continue
}
updateSymbols(ctx, function(symbol:string, method:string) {
ws.write(JSON.stringify({
"method": method.toUpperCase(),
"params": channels.map(c=>symbol.toLowerCase()+'@'+c),
"id": 2
}))
})
let msg = ws.read(1000)
if (!msg) {
if (msg == "") {
trace("websocket is closed")
ws.close()
ws = null
}
continue
}
if (msg == 'ping') {
ws.write('pong')
} else if (msg == 'pong') {
} else {
let obj = JSON.parse(msg)
if (obj.error) {
trace(obj.error.msg, "#ff0000")
continue
}
if (!obj.stream) {
continue
}
if (obj.stream.indexOf("depth") != -1) {
if (typeof(obj.data.s) !== 'string') {
// patch
obj.data.s = obj.stream.split('@')[0].toUpperCase()
}
}
let event = processMsg(obj.data)
if (event) {
ctx.callback(event)
}
}
}
}
supports["OK"] = function (ctx:ICtx) {
let depthDicAll = {}
let processMsg = function (msg) {
let obj = JSON.parse(msg)
if (obj.error) {
trace(obj.error.msg, "#ff0000")
return
}
if (obj.event == 'subscribe') {
// ignore
} else if (obj.event == 'error') {
trace(obj.msg, "#ff0000")
return
} else if (obj.event == 'login') {
} else {
if (!obj.data) {
trace(msg)
return
}
let instId = obj.arg.instId
let event = {
ts: new Date().getTime(),
instId: instId,
depth: null,
trades: [],
}
obj.data.forEach(function (item) {
if (obj.arg.channel == 'trades') {
event.ts = Number(item.ts)
event.trades.push({
ts: Number(item.ts),
side: item.side,
price: Number(item.px),
qty: Number(item.sz)
})
} else if (obj.arg.channel == 'books5' || obj.arg.channel == 'books' || obj.arg.channel == 'books50-l2-tbt') {
let depth = {
asks: [],
bids: []
}
if (obj.arg.channel == 'books5') {
item.asks.forEach(function (pair) {
depth.asks.push({
price: Number(pair[0]),
qty: Number(pair[1])
})
})
item.bids.forEach(function (pair) {
depth.bids.push({
price: Number(pair[0]),
qty: Number(pair[1])
})
})
} else {
let depthDic = depthDicAll[instId]
if (typeof (depthDic) === 'undefined') {
depthDic = {
count: 0,
dic: {
asks: {},
bids: {}
}
}
depthDicAll[instId] = depthDic
}
depthDic.count += 1
for (let k in depthDic.dic) {
if (obj.action == 'snapshot') {
depthDic.dic[k] = {}
}
let mp = depthDic.dic[k]
item[k].forEach(function (book) {
if (book[1] == '0') {
delete mp[book[0]]
} else {
mp[book[0]] = [book[1], book[3], item['ts']]
}
})
}
for (let k in depth) {
let n = k == 'asks' ? 1 : -1
let mp = depthDic.dic[k]
Object.keys(depthDic.dic[k]).sort(function (a, b) {
return n * (Number(a) - Number(b))
}).forEach(function (x) {
// keep string for
depth[k].push({
price: x,
qty: mp[x][0]
})
})
}
if (depthDic.count % 5000 == 0) {
let s = []
for (let i = 0; i < 25; i++) {
['bids', 'asks'].forEach(function (k) {
if (i < depth[k].length) {
s.push(depth[k][i].price + ':' + depth[k][i].qty)
}
})
}
if (crc32(s.join(":")) != Uint32Array.from(Int32Array.of(item.checksum))[0]) {
throw "depth checksum error"
}
}
// convert to number
for (let dir in depth) {
let books = depth[dir]
for (let i = 0; i < books.length; i++) {
books[i].price = Number(books[i].price)
books[i].qty = Number(books[i].qty)
}
}
}
event.depth = depth
event.ts = Number(item.ts)
}
})
return event
}
}
let channels = ['books5', 'trades']
let ws = null
let lastPing = new Date().getTime()
while (true) {
if (!ws) {
depthDicAll = {} // reset
ws = MyDial("wss://ws.okx.com:8443/ws/v5/public")
if (ws) {
let subscribes = []
ctx.symbols.forEach(function (symbol) {
channels.forEach(function (channel) {
subscribes.push({
channel: channel,
instId: symbol // "BTC-USDT"
})
})
})
if (subscribes.length > 0) {
ws.write(JSON.stringify({ "op": "subscribe", "args": subscribes }))
}
}
}
if (!ws) {
Sleep(1000)
continue
}
updateSymbols(ctx, function(symbol:string, method:string) {
ws.write(JSON.stringify({
"op": method,
"args": channels.map(c=>({channel: c, instId: symbol}))
}))
})
// every 10 seconds
let ts = new Date().getTime()
if (ts - lastPing > 10000) {
ws.write("ping")
lastPing = ts
}
let msg = ws.read(1000)
if (!msg) {
if (msg == "") {
trace("websocket is closed")
ws.close()
ws = null
}
continue
}
if (msg != 'pong') {
let event = processMsg(msg)
if (event && (event.depth || (event.trades && event.trades.length > 0))) {
ctx.callback(event)
}
}
}
}
supports["Bybit"] = function (ctx:ICtx) {
let depthMp = {}
let processMsg = function (obj:any) {
let event = {
ts: obj.ts,
instId: obj.data.s,
depth: null,
trades: [],
}
if (obj.topic.startsWith("orderbook")) {
let depthDic = depthMp[event.instId]
if (typeof(depthDic) === 'undefined') {
depthDic = {}
depthMp[event.instId] = depthDic
}
let data = {asks: obj.data.a, bids: obj.data.b}
let depth = {asks: [], bids: []}
if (obj.type == "snapshot") {
depthDic.asks = {}
depthDic.bids = {}
for (let k in depth) {
if (!data[k]) {
continue
}
depth[k] = data[k].map(function(item) {
depthDic[k][item[0]] = item[1]
return {
price: Number(item[0]),
qty: Number(item[1]),
}
})
}
} else if (obj.type == "delta") {
depthDic.count++
for (let k in depth) {
if (!data[k]) {
continue
}
data[k].forEach(function(item) {
if (item[1] == '0') {
delete depthDic[k][item[0]]
} else {
depthDic[k][item[0]] = item[1]
}
})
}
// build depth
for (let k in depth) {
let n = k == 'asks' ? 1 : -1
let mp = depthDic[k]
Object.keys(depthDic[k]).sort(function(a, b) {
return n * (Number(a) - Number(b))
}).forEach(function(x) {
depth[k].push({
price: x,
qty: mp[x]
})
})
}
// convert to number
for (let dir in depth) {
depth[dir].forEach(function(item) {
item.price = Number(item.price)
item.qty = Number(item.qty)
})
}
}
depth.asks = depth.asks.slice(0, 50)
depth.bids = depth.bids.slice(0, 50)
event.depth = depth
} else if (obj.topic.startsWith("publicTrade")) {
event.trades = obj.data.map(function(item) {
if (!event.instId) {
event.instId = item.s
}
return {
//id: item.i,
ts: item.T,
price: Number(item.p),
qty: Number(item.v),
side: item.S.toLowerCase()
}
})
}
return event
}
let channels = ["orderbook.50", "publicTrade"]
let ws = null
let endPoint = "wss://stream.bybit.com/v5/public/spot"
let isInverse = false
ctx.symbols.forEach(s=>{
let prefix = s.split('.')[0]
if (!prefix.endsWith('USDT') && !prefix.endsWith('USDC')) {
isInverse = true;
} else {
if (isInverse) {
throw "symbols type not support concurrent"
}
}
})
if (ctx.name == "Futures_Bybit") {
endPoint = "wss://stream.bybit.com/v5/public/linear"
if (isInverse) {
endPoint = "wss://stream.bybit.com/v5/public/inverse"
}
}
let lastPing = new Date().getTime()
while (true) {
if (!ws) {
ws = MyDial(endPoint)
if (ws) {
let subscribes = []
ctx.symbols.forEach(function (symbol) {
channels.forEach(function (channel) {
subscribes.push(channel+ "." + symbol)
})
})
if (subscribes.length > 0) {
ws.write(JSON.stringify({ op:"subscribe", args: subscribes }))
}
}
}
if (!ws) {
Sleep(1000)
continue
}
// every 10 seconds
let ts = new Date().getTime()
if (ts - lastPing > 10000) {
ws.write(JSON.stringify({ op: "ping" }))
lastPing = ts
}
updateSymbols(ctx, function(symbol:string, method:string) {
ws.write(JSON.stringify({
"op": method,
"args": channels.map(c=>c+"."+symbol)
}))
})
let msg = ws.read(1000)
if (!msg) {
if (msg == "") {
trace("websocket is closed")
ws.close()
ws = null
depthMp = {}
}
continue
} else if (msg) {
let obj = JSON.parse(msg)
if (obj.op == "ping" && obj.ret_msg == "pong") {
// ignore
} else if (obj.op == 'pong') {
} else if (obj.op == 'subscribe' || obj.op == 'unsubscribe' || !obj.topic) {
trace(obj)
} else {
try {
let event = processMsg(obj)
if (event && (event.depth || event.trades.length > 0)) {
ctx.callback(event)
}
} catch(e) {
trace("Error:", msg)
ws.close()
}
}
}
}
}
supports["Bitget"] = function (ctx:ICtx) {
let processMsg = function (obj) {
let event = {
ts: Number(obj.ts),
instId: obj.arg.instId,
depth: null,
trades: [],
}
if (obj.arg.channel == 'trade') {
event.trades = obj.data.map(function(item) {
return {
//id: Number(item.tradeId),
ts: Number(item.ts),
price: Number(item.price),
qty: Number(item.size),
side: item.side.toLowerCase()
}
})
} else if (obj.arg.channel == 'books15') {
let depth = {asks: [], bids: []}
for (let k in depth) {
if (!obj.data[0][k]) {
continue
}
depth[k] = obj.data[0][k].map(function(item) {
return { price: Number(item[0]), qty: Number(item[1]) }
})
}
event.depth = depth
}
return event
}
let geInstType = function(s) {
if (ctx.name.indexOf("Futures_") == 0) {
let supports = {
"USDT": "USDT-FUTURES",
"USD": "COIN-FUTURES",
"USDC": "USDC-FUTURES"
//"SUMCBL": "SUSDT-FUTURES",
//"SDMCBL": "SCOIN-FUTURES",
//"SCMCBL": "SUSDC-FUTURES"
}
let quotes = Object.keys(supports)
for (let i = 0; i < quotes.length; i++) {
if (s.endsWith(quotes[i])) {
return supports[quotes[i]]
}
}
}
return "SPOT";
}
let channels = ['books15', 'trade']
let ws = null
let lastPing = new Date().getTime()
while (true) {
if (!ws) {
ws = MyDial("wss://ws.bitget.com/v2/ws/public")
if (ws) {
let subscribes = []
ctx.symbols.forEach(function (symbol) {
channels.forEach(function (channel) {
subscribes.push({instType: geInstType(symbol), channel: channel, instId: symbol})
})
})
if (subscribes.length > 0) {
ws.write(JSON.stringify({ op: "subscribe", args: subscribes }))
}
}
}
if (!ws) {
Sleep(1000)
continue
}
updateSymbols(ctx, function(symbol:string, method:string) {
ws.write(JSON.stringify({
"op": method,
"args": channels.map(c=>({instType: geInstType(symbol), channel: c, instId: symbol}))
}))
})
// every 10 seconds
let ts = new Date().getTime()
if (ts - lastPing > 10000) {
ws.write("ping")
lastPing = ts
}
let msg = ws.read(1000)
if (!msg) {
// is closed
if (msg == "") {
trace("websocket is closed")
ws.close()
ws = null
}
continue
}
if (msg == "ping" || msg == "pong") {
continue
}
let obj = JSON.parse(msg)
if (obj.event == "ping") {
ws.write(JSON.stringify({event: "ping"}))
} else if (obj.data && obj.arg && obj.arg.channel) {
let event = processMsg(obj)
if (event && (event.depth || (event.trades && event.trades.length > 0))) {
ctx.callback(event)
}
} else {
trace(msg)
}
}
}
let getFunction = function (eName:String) {
for (let key in supports) {
if (eName.toLowerCase().indexOf(key.toLowerCase()) != -1) {
return supports[key]
}
}
}
this.wssPublic = function (ctx:ICtx) {
let func = getFunction(ctx.name)
if (!func) {
throw "not support " + ctx.name
}
trace("#"+__threadId(), "init websocket for", ctx.name)
return func(ctx)
}
function threadMarket(eName: string, symbols: string[]) {
let trades = []
let tradeId = 0
let currentTid = __threadId()
this.wssPublic({ name: eName, symbols: symbols, callback: function (event) {
let tick = {event: 'tick', name: eName, method: ''}
if (event.depth) {
tick.method = event.instId+'_depth'
__threadSetData(currentTid, tick.method, event)
} else if (event.trades) {
tick.method = event.instId+'_trades'
event.trades.forEach(item=>{
trades.push({
Id: ++tradeId,
Time: item.ts,
Price: item.price,
Amount: item.qty,
Type: item.side == 'buy' ? 0 : 1
})
})
let tradePos = __threadGetData(currentTid, "tradePos")
if (typeof(tradePos) === 'number') {
while (trades.length > 0 && (trades[0].Id <= tradePos || trades.length > 1000)) {
trades.shift()
}
}
__threadSetData(currentTid, tick.method, trades)
}
__threadPostMessage(0, tick)
}})
}
if (__threadId() > 0) {
return
}
// init inside main thread
let tidMap = {}
if (typeof(main_exchanges) === 'undefined') {
main_exchanges = exchanges
}
main_exchanges.forEach(function(e) {
let markets = e.GetMarkets()
let eName = e.GetName()
if (typeof(getFunction(eName)) !== 'function') {
Log(eName, "websocket driver is not implemented yet")
return
}
let tid = tidMap[eName]
let subscribe = {}
if (typeof(tid) !== 'number') {
tid = __Thread([threadMarket, eName, []], [$.setupWebsocket])
tidMap[eName] = tid
}
let getSymbol = function(symbol) {
if (typeof(symbol) === 'undefined') {
symbol = e.GetCurrency()
if (e.GetName().indexOf("Futures_") != -1) {
symbol += '.' + e.GetContractType()
}
}
if (typeof(subscribe[symbol]) === 'undefined') {
let info = markets[symbol]
if (info) {
subscribe[symbol] = true
__threadPostMessage(tid, {method: 'subscribe', symbol: info.Symbol})
}
}
return symbol
}
let origin_GetDepth = e.GetDepth
let origin_GetTrades = e.GetTrades
e.GetDepth = function(symbol) : IDepth {
symbol = getSymbol(symbol)
let info = markets[symbol]
if (info) {
let obj = __threadGetData(tid, info.Symbol+'_depth')
if (obj && new Date().getTime() - obj.ts < 3000) {
let ret = {Time: obj.ts, Asks: [], Bids: [], Symbol: symbol, Info: null, Alias: info.Symbol, Ref: 'websocket'};
obj.depth.asks.forEach(item=>{ret.Asks.push({Price: item.price, Amount: item.qty})})
obj.depth.bids.forEach(item=>{ret.Bids.push({Price: item.price, Amount: item.qty})})
return ret
}
}
return origin_GetDepth(symbol) ;
}
e.GetTrades = function(symbol) : ITrade[] {
symbol = getSymbol(symbol)
let info = markets[symbol]
if (info) {
let obj = __threadGetData(tid, info.Symbol+'_trades')
if (obj) {
if (obj.length > 0) {
__threadSetData(tid, "tradePos", obj[obj.length-1].Id)
}
return obj
}
}
return origin_GetTrades(symbol) ;
}
})
}
function main() {
$.setupWebsocket()
while (true) {
exchanges.map(e=>{
Log(e.GetName(), e.GetDepth())
Log(e.GetName(), e.GetTrades())
})
EventLoop(100) // trigger by websocket
}
}