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Gdax adding user channel #160

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Oct 8, 2018
Merged

Gdax adding user channel #160

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74f5c40
[gdax] Enabling of 'user' channel to receive fill messages.
bryantharris Apr 6, 2018
78808fb
Merge remote-tracking branch 'upstream/develop' into develop
bryantharris Apr 6, 2018
50a77e6
[gdax] Enabling of 'user' channel to receive fill messages. (reverted…
bryantharris Apr 6, 2018
beb0a9d
[gdax] Enabling of 'user' channel to receive fill messages. (reverted…
bryantharris Apr 6, 2018
a280d61
[gdax] Refactored obtaining of Websocket Auth Data to occur in the co…
bryantharris May 16, 2018
54638bb
Merge branch 'develop' into gdax_adding_user_channel
bryantharris Sep 27, 2018
d361c85
Merge branch 'develop' into gdax_adding_user_channel
dozd Oct 8, 2018
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16 changes: 15 additions & 1 deletion xchange-gdax/src/main/java/info/bitrich/xchangestream/gdax/GDAXStreamingExchange.java
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Original file line number Diff line number Diff line change
Expand Up @@ -7,6 +7,8 @@
import io.reactivex.Completable;
import org.knowm.xchange.ExchangeSpecification;
import org.knowm.xchange.gdax.GDAXExchange;
import org.knowm.xchange.gdax.dto.account.GDAXWebsocketAuthData;
import org.knowm.xchange.gdax.service.GDAXAccountServiceRaw;

/**
* GDAX Streaming Exchange. Connects to live WebSocket feed.
Expand All @@ -28,7 +30,19 @@ protected void initServices() {
public Completable connect(ProductSubscription... args) {
if (args == null || args.length == 0)
throw new UnsupportedOperationException("The ProductSubscription must be defined!");
this.streamingService = new GDAXStreamingService(API_URI);
ExchangeSpecification exchangeSpec = getExchangeSpecification();
GDAXWebsocketAuthData authData = null;
if ( exchangeSpec.getApiKey() != null ) {
try {
GDAXAccountServiceRaw rawAccountService = (GDAXAccountServiceRaw) getAccountService();
authData = rawAccountService.getWebsocketAuthData();
}
catch (Exception e) {
logger.warn("Failed attempting to acquire Websocket AuthData needed for private data on" +
" websocket. Will only receive public information via API", e);
}
}
this.streamingService = new GDAXStreamingService(API_URI, authData);
this.streamingMarketDataService = new GDAXStreamingMarketDataService(this.streamingService);
streamingService.subscribeMultipleCurrencyPairs(args);

Expand Down
34 changes: 24 additions & 10 deletions ...ge-gdax/src/main/java/info/bitrich/xchangestream/gdax/GDAXStreamingMarketDataService.java
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Original file line number Diff line number Diff line change
@@ -1,10 +1,18 @@
package info.bitrich.xchangestream.gdax;

import com.fasterxml.jackson.databind.DeserializationFeature;
import com.fasterxml.jackson.databind.ObjectMapper;
import info.bitrich.xchangestream.core.StreamingMarketDataService;
import info.bitrich.xchangestream.gdax.dto.GDAXWebSocketTransaction;
import io.reactivex.Observable;
import static io.netty.util.internal.StringUtil.isNullOrEmpty;
import static org.knowm.xchange.gdax.GDAXAdapters.adaptOrderBook;
import static org.knowm.xchange.gdax.GDAXAdapters.adaptTicker;
import static org.knowm.xchange.gdax.GDAXAdapters.adaptTradeHistory;
import static org.knowm.xchange.gdax.GDAXAdapters.adaptTrades;

import java.math.BigDecimal;
import java.util.HashMap;
import java.util.List;
import java.util.Map;
import java.util.SortedMap;
import java.util.TreeMap;

import org.knowm.xchange.currency.CurrencyPair;
import org.knowm.xchange.dto.marketdata.OrderBook;
import org.knowm.xchange.dto.marketdata.Ticker;
Expand All @@ -13,14 +21,16 @@
import org.knowm.xchange.gdax.dto.marketdata.GDAXProductBook;
import org.knowm.xchange.gdax.dto.marketdata.GDAXProductTicker;
import org.knowm.xchange.gdax.dto.marketdata.GDAXTrade;
import org.knowm.xchange.gdax.dto.trade.GDAXFill;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;

import java.math.BigDecimal;
import java.util.*;
import com.fasterxml.jackson.databind.DeserializationFeature;
import com.fasterxml.jackson.databind.ObjectMapper;

import static io.netty.util.internal.StringUtil.isNullOrEmpty;
import static org.knowm.xchange.gdax.GDAXAdapters.*;
import info.bitrich.xchangestream.core.StreamingMarketDataService;
import info.bitrich.xchangestream.gdax.dto.GDAXWebSocketTransaction;
import io.reactivex.Observable;

/**
* Created by luca on 4/3/17.
Expand Down Expand Up @@ -142,7 +152,11 @@ public Observable<Trade> getTrades(CurrencyPair currencyPair, Object... args) {
.filter(message -> !isNullOrEmpty(message.getType()) && message.getType().equals("match") &&
message.getProductId().equals(channelName))
.map(s -> {
Trades adaptedTrades = adaptTrades(new GDAXTrade[]{s.toGDAXTrade()}, currencyPair);
Trades adaptedTrades = null;
if ( s.getUserId() != null )
adaptedTrades = adaptTradeHistory(new GDAXFill[]{s.toGDAXFill()});
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@badgerwithagun badgerwithagun Sep 17, 2018 •
edited
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I'm working on something similar for Binance right now, and this bit gave me pause. Are you getting duplicated trades appearing where you get both the Trade from the matches channel and the UserTrade from the user channel?

I certainly do with Binance and it itched. The only way I could think of to resolve the issue looks something like this:

// To avoid duplication of user and public trades, we delay the public trades by one second
// and skip any trade ids which have recently been streamed as user trades. This isn't
// perfect, of course...
Cache<String, ? super Trade> recentTrades = CacheBuilder.newBuilder().maximumSize(50).build();
return publicTrades
  .concatMap(t -> Observable.just(t).delay(1, TimeUnit.SECONDS))
  .skipWhile(t -> recentTrades.asMap().containsKey(t.getId()))
  .mergeWith(
    getUserTrades()
      .filter(t -> t.getCurrencyPair().equals(currencyPair))
      .doOnNext(t -> recentTrades.put(t.getId(), t))
  );

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I think the code replaces the Trade object with a UserTrade object so there wouldn't be a duplicate.

Honestly in my usage (external to this project) I'm just looking for the fills coming in (UserTrade) so it never hurt my bot if there was or wasn't a Trade reported via the regular trade feed.

I suppose if the record came in via the trade feed with no user information there would be a duplicate.

else
adaptedTrades = adaptTrades(new GDAXTrade[]{s.toGDAXTrade()}, currencyPair);
return adaptedTrades.getTrades().get(0);
}
);
Expand Down
23 changes: 14 additions & 9 deletions xchange-gdax/src/main/java/info/bitrich/xchangestream/gdax/GDAXStreamingService.java
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Original file line number Diff line number Diff line change
@@ -1,7 +1,16 @@
package info.bitrich.xchangestream.gdax;

import java.io.IOException;
import java.util.HashMap;
import java.util.Map;

import org.knowm.xchange.gdax.dto.account.GDAXWebsocketAuthData;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;

import com.fasterxml.jackson.databind.JsonNode;
import com.fasterxml.jackson.databind.ObjectMapper;

import info.bitrich.xchangestream.core.ProductSubscription;
import info.bitrich.xchangestream.gdax.dto.GDAXWebSocketSubscriptionMessage;
import info.bitrich.xchangestream.gdax.netty.WebSocketClientCompressionAllowClientNoContextHandler;
Expand All @@ -11,12 +20,6 @@
import io.netty.handler.codec.http.websocketx.WebSocketClientHandshaker;
import io.netty.handler.codec.http.websocketx.extensions.WebSocketClientExtensionHandler;
import io.reactivex.Observable;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;

import java.io.IOException;
import java.util.HashMap;
import java.util.Map;

public class GDAXStreamingService extends JsonNettyStreamingService {
private static final Logger LOG = LoggerFactory.getLogger(GDAXStreamingService.class);
Expand All @@ -25,11 +28,13 @@ public class GDAXStreamingService extends JsonNettyStreamingService {
private static final String SHARE_CHANNEL_NAME = "ALL";
private final Map<String, Observable<JsonNode>> subscriptions = new HashMap<>();
private ProductSubscription product = null;
private GDAXWebsocketAuthData authData = null;

private WebSocketClientHandler.WebSocketMessageHandler channelInactiveHandler = null;

public GDAXStreamingService(String apiUrl) {
public GDAXStreamingService(String apiUrl,GDAXWebsocketAuthData authData) {
super(apiUrl, Integer.MAX_VALUE);
this.authData = authData;
}

public ProductSubscription getProduct() {
Expand Down Expand Up @@ -66,15 +71,15 @@ protected String getChannelNameFromMessage(JsonNode message) {

@Override
public String getSubscribeMessage(String channelName, Object... args) throws IOException {
GDAXWebSocketSubscriptionMessage subscribeMessage = new GDAXWebSocketSubscriptionMessage(SUBSCRIBE, product);
GDAXWebSocketSubscriptionMessage subscribeMessage = new GDAXWebSocketSubscriptionMessage(SUBSCRIBE, product, authData);
ObjectMapper objectMapper = new ObjectMapper();
return objectMapper.writeValueAsString(subscribeMessage);
}

@Override
public String getUnsubscribeMessage(String channelName) throws IOException {
GDAXWebSocketSubscriptionMessage subscribeMessage =
new GDAXWebSocketSubscriptionMessage(UNSUBSCRIBE, new String[]{"level2", "matches", "ticker"});
new GDAXWebSocketSubscriptionMessage(UNSUBSCRIBE, new String[]{"level2", "matches", "ticker"}, authData);
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Should this unsubscribe message also include "user" if authData != null? Not seen any side-effects myself in use but it seems symmetrical.

ObjectMapper objectMapper = new ObjectMapper();
return objectMapper.writeValueAsString(subscribeMessage);
}
Expand Down
57 changes: 45 additions & 12 deletions ...x/src/main/java/info/bitrich/xchangestream/gdax/dto/GDAXWebSocketSubscriptionMessage.java
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Original file line number Diff line number Diff line change
@@ -1,8 +1,10 @@
package info.bitrich.xchangestream.gdax.dto;

import com.fasterxml.jackson.annotation.JsonInclude;
import com.fasterxml.jackson.annotation.JsonProperty;
import info.bitrich.xchangestream.core.ProductSubscription;
import org.knowm.xchange.currency.CurrencyPair;
import org.knowm.xchange.gdax.dto.account.GDAXWebsocketAuthData;

import java.util.ArrayList;
import java.util.HashMap;
Expand All @@ -19,14 +21,20 @@ public class GDAXWebSocketSubscriptionMessage {
public static final String PRODUCT_IDS = "product_ids";
public static final String NAME = "name";

// if authenticating
public static final String SIGNATURE = "signature";
public static final String KEY = "key";
public static final String PASSPHRASE = "passphrase";
public static final String TIMESTAMP = "timestamp";

class GDAXProductSubsctiption {
@JsonProperty(NAME)
private String name;

@JsonProperty(PRODUCT_IDS)
private String[] productIds;

public GDAXProductSubsctiption(String name, String[] productIds) {
public GDAXProductSubsctiption(String name, String[] productIds, GDAXWebsocketAuthData authData) {
this.name = name;
this.productIds = productIds;
}
Expand All @@ -45,15 +53,31 @@ public String[] getProductIds() {

@JsonProperty(CHANNELS)
private GDAXProductSubsctiption[] channels;

public GDAXWebSocketSubscriptionMessage(String type, ProductSubscription product) {

@JsonInclude(JsonInclude.Include.NON_EMPTY)
@JsonProperty(SIGNATURE)
String signature;

@JsonInclude(JsonInclude.Include.NON_EMPTY)
@JsonProperty(KEY)
String key;

@JsonInclude(JsonInclude.Include.NON_EMPTY)
@JsonProperty(PASSPHRASE)
String passphrase;

@JsonInclude(JsonInclude.Include.NON_EMPTY)
@JsonProperty(TIMESTAMP)
String timestamp;

public GDAXWebSocketSubscriptionMessage(String type, ProductSubscription product, GDAXWebsocketAuthData authData) {
this.type = type;
generateSubscriptionMessage(product);
generateSubscriptionMessage(product, authData);
}

public GDAXWebSocketSubscriptionMessage(String type, String[] channelNames) {
public GDAXWebSocketSubscriptionMessage(String type, String[] channelNames, GDAXWebsocketAuthData authData) {
this.type = type;
generateSubscriptionMessage(channelNames);
generateSubscriptionMessage(channelNames, authData);
}

private String[] generateProductIds(CurrencyPair[] pairs) {
Expand All @@ -65,39 +89,48 @@ private String[] generateProductIds(CurrencyPair[] pairs) {
return productIds.toArray(new String[productIds.size()]);
}

private GDAXProductSubsctiption generateGDAXProduct(String name, CurrencyPair[] pairs) {
private GDAXProductSubsctiption generateGDAXProduct(String name, CurrencyPair[] pairs, GDAXWebsocketAuthData authData) {
String[] productsIds;
productsIds = generateProductIds(pairs);
return new GDAXProductSubsctiption(name, productsIds);
return new GDAXProductSubsctiption(name, productsIds, authData);
}

private void generateSubscriptionMessage(String[] channelNames) {
private void generateSubscriptionMessage(String[] channelNames, GDAXWebsocketAuthData authData) {
List<GDAXProductSubsctiption> channels = new ArrayList<>(3);
for (String name : channelNames) {
channels.add(new GDAXProductSubsctiption(name, null));
channels.add(new GDAXProductSubsctiption(name, null, authData));
}

this.channels = channels.toArray(new GDAXProductSubsctiption[channels.size()]);
}

private void generateSubscriptionMessage(ProductSubscription productSubscription) {
private void generateSubscriptionMessage(ProductSubscription productSubscription, GDAXWebsocketAuthData authData) {
List<GDAXProductSubsctiption> channels = new ArrayList<>(3);
Map<String, List<CurrencyPair>> pairs = new HashMap<>(3);

pairs.put("level2", productSubscription.getOrderBook());
pairs.put("ticker", productSubscription.getTicker());
pairs.put("matches", productSubscription.getTrades());
if ( authData != null )
pairs.put("user", productSubscription.getTrades());

for (Map.Entry<String, List<CurrencyPair>> product : pairs.entrySet()) {
List<CurrencyPair> currencyPairs = product.getValue();
if (currencyPairs == null || currencyPairs.size() == 0) {
continue;
}
GDAXProductSubsctiption gdaxProduct = generateGDAXProduct(product.getKey(), product.getValue().toArray(new CurrencyPair[product.getValue().size()]));
GDAXProductSubsctiption gdaxProduct = generateGDAXProduct(product.getKey(), product.getValue().toArray(new CurrencyPair[product.getValue().size()]), authData);
channels.add(gdaxProduct);
}

this.channels = channels.toArray(new GDAXProductSubsctiption[channels.size()]);

if ( authData != null ) {
this.key = authData.getKey();
this.passphrase = authData.getPassphrase();
this.signature = authData.getSignature();
this.timestamp = String.valueOf(authData.getTimestamp());
}
}

public String getType() {
Expand Down
58 changes: 54 additions & 4 deletions xchange-gdax/src/main/java/info/bitrich/xchangestream/gdax/dto/GDAXWebSocketTransaction.java
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Original file line number Diff line number Diff line change
Expand Up @@ -5,6 +5,7 @@
import org.knowm.xchange.gdax.dto.marketdata.GDAXProductStats;
import org.knowm.xchange.gdax.dto.marketdata.GDAXProductTicker;
import org.knowm.xchange.gdax.dto.marketdata.GDAXTrade;
import org.knowm.xchange.gdax.dto.trade.GDAXFill;

import java.math.BigDecimal;
import java.text.SimpleDateFormat;
Expand Down Expand Up @@ -38,7 +39,12 @@ public class GDAXWebSocketTransaction {
private final String reason;
private final long tradeId;
private final String makerOrderId;
private final String takenOrderId;
private final String takerOrderId;

private final String takerUserId;
private final String userId;
private final String takerProfileId;
private final String profileId;

public GDAXWebSocketTransaction(
@JsonProperty("type") String type,
Expand All @@ -65,13 +71,17 @@ public GDAXWebSocketTransaction(
@JsonProperty("reason") String reason,
@JsonProperty("trade_id") long tradeId,
@JsonProperty("maker_order_id") String makerOrderId,
@JsonProperty("taken_order_id") String takenOrderId) {
@JsonProperty("taker_order_id") String takerOrderId,
@JsonProperty("taker_user_id") String takerUserId,
@JsonProperty("user_id") String userId,
@JsonProperty("taker_profile_id") String takerProfileId,
@JsonProperty("profile_id") String profileId) {

this.remainingSize = remainingSize;
this.reason = reason;
this.tradeId = tradeId;
this.makerOrderId = makerOrderId;
this.takenOrderId = takenOrderId;
this.takerOrderId = takerOrderId;
this.type = type;
this.orderId = orderId;
this.orderType = orderType;
Expand All @@ -92,6 +102,10 @@ public GDAXWebSocketTransaction(
this.productId = productId;
this.sequence = sequence;
this.time = time;
this.takerUserId = takerUserId;
this.userId = userId;
this.takerProfileId = takerProfileId;
this.profileId = profileId;
}

private String[][] GDAXOrderBookChanges(String side, String[][] changes, SortedMap<BigDecimal, String> sideEntries,
Expand Down Expand Up @@ -151,6 +165,11 @@ public GDAXTrade toGDAXTrade() {
return new GDAXTrade(time, tradeId, price, size, side);
}

public GDAXFill toGDAXFill() {
boolean taker = userId != null && takerUserId != null && userId.equals(takerUserId);
return new GDAXFill(String.valueOf(tradeId), productId, price, size, taker ? takerOrderId : makerOrderId, time, null, null, true, side);
}

public String getType() {
return type;
}
Expand Down Expand Up @@ -235,8 +254,31 @@ public String getMakerOrderId() {
return makerOrderId;
}

/**
* @deprecated Use {@link #getTakerOrderId()}
*/
public String getTakenOrderId() {
return takenOrderId;
return takerOrderId;
}

public String getTakerOrderId() {
return takerOrderId;
}

public String getTakerUserId() {
return takerUserId;
}

public String getUserId() {
return userId;
}

public String getTakerProfileId() {
return takerProfileId;
}

public String getProfileId() {
return profileId;
}

@Override
Expand All @@ -259,6 +301,14 @@ public String toString() {
sb.append(", productId='").append(productId).append('\'');
sb.append(", sequence=").append(sequence);
sb.append(", time='").append(time).append('\'');
if ( userId != null )
sb.append(", userId='").append(userId).append('\'');
if ( profileId != null )
sb.append(", profileId='").append(profileId).append('\'');
if ( takerUserId != null )
sb.append(", takerUserId='").append(takerUserId).append('\'');
if ( takerProfileId != null )
sb.append(", takerProfileId='").append(takerProfileId).append('\'');
sb.append('}');
return sb.toString();
}
Expand Down
2 changes: 1 addition & 1 deletion ...c/test/java/info/bitrich/xchangestream/gdax/dto/GDAXWebSocketSubscriptionMessageTest.java
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Expand Up @@ -18,7 +18,7 @@ public void testWebSocketMessageSerialization() throws JsonProcessingException {

ProductSubscription productSubscription = ProductSubscription.create().addOrderbook(CurrencyPair.BTC_USD)
.addTrades(CurrencyPair.BTC_USD).addTicker(CurrencyPair.BTC_USD).build();
GDAXWebSocketSubscriptionMessage message = new GDAXWebSocketSubscriptionMessage("subscribe", productSubscription);
GDAXWebSocketSubscriptionMessage message = new GDAXWebSocketSubscriptionMessage("subscribe", productSubscription, null);

final ObjectMapper mapper = new ObjectMapper();
mapper.configure(DeserializationFeature.FAIL_ON_UNKNOWN_PROPERTIES, true);
Expand Down