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Merge pull request #73 from namjug-kim/add_poloniex
feat: add poloniex websocket client
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‎README.md‎

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@@ -34,6 +34,7 @@ Support public market feature (tickData, orderBook)
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| ![bitmax](https://user-images.githubusercontent.com/16334718/57548356-b082d480-739b-11e9-9539-b27c60877fb6.jpg) | Bitmax | BITMAX | v1.2 | [ws](https://github.com/bitmax-exchange/api-doc/blob/master/bitmax-api-doc-v1.2.md) |
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| ![idax](https://user-images.githubusercontent.com/16334718/58029691-128bc880-7b58-11e9-9aaa-a331f394c8bd.jpg) | Idax | IDAX | * | [ws](https://github.com/idax-exchange/idax-official-api-docs/blob/master/open-ws_en.md) |
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| ![coineal](https://user-images.githubusercontent.com/16334718/58037062-7d90cb80-7b67-11e9-9278-e8b03c5ddd86.jpg) | Coineal | COINEAL | ⚠️ | ⚠️ |
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| ![poloniex](https://user-images.githubusercontent.com/16334718/59551277-335a0900-8fb2-11e9-9d1e-4ab2a7574148.jpg) | Poloniex | POLONIEX | * | [ws](https://docs.poloniex.com/#websocket-api) |
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⚠️ : Uses endpoints that are used by the official web. This is not an official api and should be used with care.
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‎reactive-crypto-core/src/main/kotlin/com/njkim/reactivecrypto/core/common/model/ExchangeVendor.kt‎

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@@ -30,6 +30,7 @@ enum class ExchangeVendor {
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BITMAX,
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IDAX,
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COINEAL,
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POLONIEX,
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UNKNOWN;
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/**

‎reactive-crypto-poloniex/build.gradle‎

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/*
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* Copyright 2019 namjug-kim
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*
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* LINE Corporation licenses this file to you under the Apache License,
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* version 2.0 (the "License"); you may not use this file except in compliance
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* with the License. You may obtain a copy of the License at:
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*
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* https://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS, WITHOUT
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* WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the
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* License for the specific language governing permissions and limitations
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* under the License.
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*/
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apply plugin: 'kotlin'
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apply plugin: 'org.jetbrains.kotlin.jvm'
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version '1.0-SNAPSHOT'
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dependencies {
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compile project(':reactive-crypto-core')
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compile "org.jetbrains.kotlin:kotlin-stdlib-jdk8"
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}
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compileKotlin {
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kotlinOptions.jvmTarget = "1.8"
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}
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compileTestKotlin {
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kotlinOptions.jvmTarget = "1.8"
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}

‎reactive-crypto-poloniex/src/main/kotlin/com/njkim/reactivecrypto/poloniex/PoloniexJsonObjectMapper.kt‎

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/*
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* Copyright 2019 namjug-kim
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*
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* LINE Corporation licenses this file to you under the Apache License,
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* version 2.0 (the "License"); you may not use this file except in compliance
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* with the License. You may obtain a copy of the License at:
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*
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* https://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS, WITHOUT
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* WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the
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* License for the specific language governing permissions and limitations
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* under the License.
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*/
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package com.njkim.reactivecrypto.poloniex
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import com.fasterxml.jackson.core.JsonParser
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import com.fasterxml.jackson.databind.DeserializationContext
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import com.fasterxml.jackson.databind.JsonDeserializer
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import com.fasterxml.jackson.databind.JsonNode
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import com.fasterxml.jackson.databind.ObjectMapper
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import com.fasterxml.jackson.databind.module.SimpleModule
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import com.njkim.reactivecrypto.core.ExchangeJsonObjectMapper
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import com.njkim.reactivecrypto.core.common.model.currency.CurrencyPair
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import com.njkim.reactivecrypto.core.common.model.order.OrderBookUnit
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import com.njkim.reactivecrypto.core.common.model.order.OrderSideType
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import com.njkim.reactivecrypto.core.common.model.order.TradeSideType
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import com.njkim.reactivecrypto.poloniex.model.*
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import java.math.BigDecimal
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import java.time.Instant
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import java.time.ZoneId
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import java.time.ZonedDateTime
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class PoloniexJsonObjectMapper : ExchangeJsonObjectMapper {
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companion object {
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val instance: ObjectMapper = com.njkim.reactivecrypto.poloniex.PoloniexJsonObjectMapper().objectMapper()
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}
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override fun zonedDateTimeDeserializer(): JsonDeserializer<ZonedDateTime> {
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return object : JsonDeserializer<ZonedDateTime>() {
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override fun deserialize(p: JsonParser, ctxt: DeserializationContext): ZonedDateTime {
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return Instant.ofEpochSecond(p.valueAsLong).atZone(ZoneId.systemDefault())
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}
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}
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}
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/**
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* {baseCurrency}_{targetCurrency}
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*/
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override fun currencyPairDeserializer(): JsonDeserializer<CurrencyPair> {
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return object : JsonDeserializer<CurrencyPair>() {
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override fun deserialize(p: JsonParser, ctxt: DeserializationContext): CurrencyPair {
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val currencyPairRawValue = p.valueAsString
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val split = currencyPairRawValue.split("_")
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return CurrencyPair.parse(split[1], split[0])
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}
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}
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}
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override fun orderSideTypeDeserializer(): JsonDeserializer<OrderSideType>? {
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// <1 for bid 0 for ask>
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return object : JsonDeserializer<OrderSideType>() {
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override fun deserialize(p: JsonParser, ctxt: DeserializationContext): OrderSideType {
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return when (p.valueAsInt) {
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0 -> OrderSideType.ASK
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1 -> OrderSideType.BID
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else -> throw IllegalArgumentException()
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}
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}
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}
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}
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override fun tradeSideTypeDeserializer(): JsonDeserializer<TradeSideType>? {
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// <1 for buy 0 for sell>
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return object : JsonDeserializer<TradeSideType>() {
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override fun deserialize(p: JsonParser, ctxt: DeserializationContext): TradeSideType {
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return when (p.valueAsInt) {
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0 -> TradeSideType.SELL
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1 -> TradeSideType.BUY
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else -> throw IllegalArgumentException()
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}
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}
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}
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}
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override fun customConfiguration(simpleModule: SimpleModule) {
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val poloniexMessageFrameDeserializer = object : JsonDeserializer<PoloniexMessageFrame>() {
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override fun deserialize(p: JsonParser, ctxt: DeserializationContext): PoloniexMessageFrame {
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val jsonNode: JsonNode = p.codec.readTree(p)
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val channelId = jsonNode[0].asLong()
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val sequenceNumber = jsonNode[1].asLong()
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val events = jsonNode[2].map { event ->
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val eventType = PoloniexEventType.parse(event[0].asText())
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PoloniexJsonObjectMapper.instance.convertValue(event, eventType.classType)
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}
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return PoloniexMessageFrame(
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channelId, sequenceNumber, events
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)
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}
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}
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// ["t", "<trade id>", <1 for buy 0 for sell>, "<price>", "<size>", <timestamp>] ]
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val tradeEventDeserializer = object : JsonDeserializer<PoloniexTradeEvent>() {
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override fun deserialize(p: JsonParser, ctxt: DeserializationContext): PoloniexTradeEvent {
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val jsonNode: JsonNode = p.codec.readTree(p)
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val tradeId: String = jsonNode[1].asText()
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val side: TradeSideType = instance.convertValue(jsonNode[2], TradeSideType::class.java)
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val price: BigDecimal = instance.convertValue(jsonNode[3], BigDecimal::class.java)
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val size: BigDecimal = instance.convertValue(jsonNode[4], BigDecimal::class.java)
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val timestamp: ZonedDateTime = instance.convertValue(jsonNode[5], ZonedDateTime::class.java)
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return PoloniexTradeEvent(
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tradeId,
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side,
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price,
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size,
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timestamp
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)
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}
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}
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val orderBookUpdateEventDeserializer = object : JsonDeserializer<PoloniexOrderBookUpdateEvent>() {
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override fun deserialize(p: JsonParser, ctxt: DeserializationContext): PoloniexOrderBookUpdateEvent {
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val jsonNode: JsonNode = p.codec.readTree(p)
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val side: OrderSideType = instance.convertValue(jsonNode[1], OrderSideType::class.java)
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val price: BigDecimal = instance.convertValue(jsonNode[2], BigDecimal::class.java)
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val size: BigDecimal = instance.convertValue(jsonNode[3], BigDecimal::class.java)
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return PoloniexOrderBookUpdateEvent(
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side,
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price,
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size
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)
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}
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}
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/**
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* [
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* "i",
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* {
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* "currencyPair": "<currency pair name>",
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* "orderBook": [
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* { "<lowest ask price>": "<lowest ask size>", "<next ask price>": "<next ask size>", ... },
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* { "<highest bid price>": "<highest bid size>", "<next bid price>": "<next bid size>", ... }
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* ]
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* }
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* ]
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*/
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val orderBookSnapshotEventDeserializer = object : JsonDeserializer<PoloniexOrderBookSnapshotEvent>() {
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override fun deserialize(p: JsonParser, ctxt: DeserializationContext): PoloniexOrderBookSnapshotEvent {
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val jsonNode: JsonNode = p.codec.readTree(p)
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val orderBookSnapshotNode = jsonNode.get(1)
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val currencyPair =
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instance.convertValue(orderBookSnapshotNode.get("currencyPair"), CurrencyPair::class.java)
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val orderBookNode = orderBookSnapshotNode.get("orderBook")
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val asksNode = orderBookNode.get(0)
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val asks = asksNode.fields().asSequence().toList().map { mutableEntry ->
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val price = mutableEntry.key
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val size = mutableEntry.value
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OrderBookUnit(
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instance.convertValue(price, BigDecimal::class.java),
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instance.convertValue(size, BigDecimal::class.java),
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OrderSideType.ASK
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)
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}
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val bidsNode = orderBookNode.get(1)
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val bids = bidsNode.fields().asSequence().toList().map { mutableEntry ->
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val price = mutableEntry.key
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val size = mutableEntry.value
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OrderBookUnit(
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instance.convertValue(price, BigDecimal::class.java),
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instance.convertValue(size, BigDecimal::class.java),
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OrderSideType.BID
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)
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}
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return PoloniexOrderBookSnapshotEvent(
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currencyPair,
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bids,
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asks
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)
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}
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}
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simpleModule.addDeserializer(PoloniexMessageFrame::class.java, poloniexMessageFrameDeserializer)
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simpleModule.addDeserializer(PoloniexTradeEvent::class.java, tradeEventDeserializer)
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simpleModule.addDeserializer(PoloniexOrderBookUpdateEvent::class.java, orderBookUpdateEventDeserializer)
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simpleModule.addDeserializer(PoloniexOrderBookSnapshotEvent::class.java, orderBookSnapshotEventDeserializer)
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}
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}

‎reactive-crypto-poloniex/src/main/kotlin/com/njkim/reactivecrypto/poloniex/PoloniexRawWebsocketClient.kt‎

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package com.njkim.reactivecrypto.poloniex
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import com.fasterxml.jackson.module.kotlin.readValue
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import com.njkim.reactivecrypto.core.common.model.currency.CurrencyPair
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import com.njkim.reactivecrypto.poloniex.model.PoloniexEventType
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import com.njkim.reactivecrypto.poloniex.model.PoloniexMessageFrame
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import com.njkim.reactivecrypto.poloniex.model.PoloniexOrderBookSnapshotEvent
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import reactor.core.publisher.Flux
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import reactor.core.publisher.toFlux
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import reactor.netty.http.client.HttpClient
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class PoloniexRawWebsocketClient {
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private val baseUrl: String = "wss://api2.poloniex.com"
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/**
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* Subscribe to price aggregated depth of book by currency pair.
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* Response includes an initial book snapshot, book modifications, and trades.
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* Book modification updates with 0 quantity should be treated as removal of the price level.
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* Note that the updates are price aggregated and do not contain individual orders.
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*
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*/
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fun priceAggregatedBook(currencyPairs: List<CurrencyPair>): Flux<PoloniexMessageFrame> {
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val channelIdCurrencyPairMap: MutableMap<Long, CurrencyPair> = HashMap()
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// { "command": "subscribe", "channel": "<channel id>" }
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val subscribeChannels = currencyPairs
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.map { "${it.baseCurrency}_${it.targetCurrency}" }
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.map { "{ \"command\": \"subscribe\", \"channel\": \"$it\" }" }
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.toFlux()
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// TODO heartbeat check
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return HttpClient.create()
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.websocket(655360)
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.uri(baseUrl)
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.handle { inbound, outbound ->
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outbound.sendString(subscribeChannels)
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.then()
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.thenMany(inbound.receive().asString())
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}
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.filter { it != "[1010]" } // ping message
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.map { PoloniexJsonObjectMapper.instance.readValue<PoloniexMessageFrame>(it) }
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// set currencyPair info for each channel
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.doOnNext { messageFrame ->
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val orderBookSnapshotEvent = messageFrame.events
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.filter { it.eventType == PoloniexEventType.ORDER_BOOK_SNAPSHOT }
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.map { it as PoloniexOrderBookSnapshotEvent }
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.firstOrNull()
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if (orderBookSnapshotEvent != null) {
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val channelId = messageFrame.channelId
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channelIdCurrencyPairMap[channelId] = orderBookSnapshotEvent.currencyPair
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}
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}
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.doOnNext { messageFrame ->
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val channelId = messageFrame.channelId
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messageFrame.events
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.forEach { event ->
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event.currencyPair = channelIdCurrencyPairMap[channelId]!!
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}
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}
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.doFinally {
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channelIdCurrencyPairMap.clear()
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}
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}
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}

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