ریئل ٹائم مارکیٹ ڈیٹا پروسیسنگ کے لئے ویب ساکٹ ایکسلریشن (FMZ Quant)
یہ حکمت عملی ایف ایم زیڈ کوانٹ ٹریڈنگ پلیٹ فارم میں متعدد تبادلے کے لئے ریئل ٹائم ڈیٹا پروسیسنگ کو تیز کرنے کے لئے ویب ساکٹ کنکشن کے استعمال کو بہتر بناتی ہے۔ گہری آرڈر بکس اور تجارت کے لئے ویب ساکٹ کنکشن کا فائدہ اٹھاتے ہوئے ، یہ کوڈ مارکیٹ کے ڈیٹا کو حاصل کرنے میں تاخیر کو نمایاں طور پر کم کرتا ہے اور کارکردگی کو بہتر بناتا ہے ، خاص طور پر ہائی فریکوئینسی ٹریڈنگ (ایچ ایف ٹی) سسٹم کے لئے۔
اہم خصوصیات:
یہ ویب ساکٹ پر مبنی حل روایتی اے پی آئی پولنگ کو ریئل ٹائم اپ ڈیٹس کے ساتھ تبدیل کرتا ہے ، جس سے یہ ان تاجروں کے لئے مثالی ہے جنھیں تاخیر کو کم سے کم کرنے اور مارکیٹ کی ردعمل کو زیادہ سے زیادہ کرنے کی ضرورت ہے۔
$.setupWebsocket()
آپ کے ہدف کے تبادلے کے لئے WebSocket کنکشن شروع کرنے کے لئے.GetDepth()
اورGetTrades()
. یہ افعال خود کار طریقے سے حقیقی وقت ویب ساکٹ کے اعداد و شمار کا استعمال کرتے ہیں اگر دستیاب ہو.یہ اسکرپٹ ایف ایم زیڈ کوانٹ پلیٹ فارم پر چلانے کے لئے ڈیزائن کیا گیا ہے ، جو متعدد تبادلے میں مارکیٹ کے ڈیٹا تک تیز ، قابل اعتماد اور توسیع پذیر رسائی فراہم کرتا ہے۔
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 } }