WebSocket Acceleration untuk Pemprosesan Data Pasaran Masa Nyata (FMZ Quant)
Strategi ini mengoptimumkan penggunaan sambungan WebSocket untuk mempercepat pemprosesan data masa nyata untuk pelbagai pertukaran dalam platform perdagangan kuant FMZ. Dengan memanfaatkan sambungan WebSocket untuk buku pesanan dan perdagangan yang mendalam, kod ini mengurangkan latensi dalam mengambil data pasaran dan meningkatkan prestasi, terutamanya untuk sistem perdagangan frekuensi tinggi (HFT).
Ciri Utama:
Penyelesaian berasaskan WebSocket ini menggantikan tinjauan API tradisional dengan kemas kini masa nyata, menjadikannya ideal untuk peniaga yang perlu meminimumkan latensi dan memaksimumkan tindak balas pasaran.
$.setupWebsocket()untuk memulakan sambungan WebSocket untuk pertukaran sasaran anda.GetDepth()danGetTrades(). Fungsi ini secara automatik menggunakan data WebSocket masa nyata jika tersedia.Skrip ini direka untuk berjalan di platform kuant FMZ, menyediakan akses yang cepat, boleh dipercayai, dan berskala kepada data pasaran di pelbagai pertukaran.
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
}
}