605 lines
17 KiB
Go
605 lines
17 KiB
Go
package okx
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import (
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"bytes"
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"encoding/csv"
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"encoding/json"
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"fmt"
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cfg "gitea.zjmud.xyz/phyer/tanya/config"
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"gitea.zjmud.xyz/phyer/tanya/elasticilm"
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"io"
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"net/http"
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"strconv"
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"strings"
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"time"
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)
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// formatTimestamp 将毫秒时间戳字符串转换为可读格式
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func formatTimestamp(ts string) (string, error) {
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millis, err := strconv.ParseInt(ts, 10, 64)
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if err != nil {
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return "", err
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}
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loc, _ := time.LoadLocation("Asia/Shanghai")
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return time.UnixMilli(millis).In(loc).Format("2006-01-02T15:04:05+08:00"), nil
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}
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// CandleList 封装Candle数组并提供序列化方法
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type CandleList struct {
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Candles []*Candle
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CoinPair string // 交易对名称，如 BTC-USDT
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Period string // 周期名称，如 15M, 1D
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}
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func MakeCandleList(instId string, period string, startTime time.Time, endTime time.Time, blockSize int) (*CandleList, error) {
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cl := &CandleList{
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CoinPair: instId,
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Period: period,
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}
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service := NewOkxPublicDataService()
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var allCandles []*Candle
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currentTime := endTime
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for currentTime.After(startTime) || currentTime.Equal(startTime) {
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req := CandlesRequest{
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InstID: instId,
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Bar: period,
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After: strconv.FormatInt(currentTime.UnixMilli(), 10),
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Limit: strconv.Itoa(blockSize),
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}
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candles, err := service.GetCandles(req)
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if err != nil {
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return nil, err
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}
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if len(candles) == 0 {
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break
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}
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allCandles = append(allCandles, candles...)
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// 更新currentTime为最后一条数据的时间戳
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lastCandleTime, _ := strconv.ParseInt(candles[len(candles)-1].Timestamp, 10, 64)
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newCurrentTime := time.UnixMilli(lastCandleTime).Add(time.Millisecond)
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currentTime = newCurrentTime
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}
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fmt.Println("lens of allCandles: ", len(allCandles))
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cl.Candles = allCandles
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return cl, nil
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}
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// ToJson 将Candle数组序列化为JSON字符串
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func (cl *CandleList) ToJson() (string, error) {
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// 创建临时结构体用于格式化时间戳
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type FormattedCandle struct {
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Timestamp string `json:"timestamp"`
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Open string `json:"open"`
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High string `json:"high"`
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Low string `json:"low"`
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Close string `json:"close"`
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Volume string `json:"volume"`
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VolumeCcy string `json:"volumeCcy"`
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}
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var formattedCandles []FormattedCandle
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for _, candle := range cl.Candles {
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formattedTs, err := formatTimestamp(candle.Timestamp)
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if err != nil {
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return "", err
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}
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formattedCandles = append(formattedCandles, FormattedCandle{
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Timestamp: formattedTs,
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Open: candle.Open,
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High: candle.High,
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Low: candle.Low,
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Close: candle.Close,
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Volume: candle.Volume,
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VolumeCcy: candle.VolumeCcy,
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})
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}
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jsonData, err := json.Marshal(formattedCandles)
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if err != nil {
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return "", err
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}
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return string(jsonData), nil
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}
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// ToCsv 将Candle数组序列化为CSV字符串
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func (cl *CandleList) ToCsv() (string, error) {
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var sb strings.Builder
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writer := csv.NewWriter(&sb)
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// 写入CSV头
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header := []string{"Timestamp", "Open", "High", "Low", "Close", "Volume", "VolumeCcy"}
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if err := writer.Write(header); err != nil {
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return "", err
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}
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// 调试信息
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fmt.Printf("Number of candles: %d\n", len(cl.Candles))
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for _, candle := range cl.Candles {
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formattedTs, err := formatTimestamp(candle.Timestamp)
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if err != nil {
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return "", err
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}
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record := []string{
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formattedTs,
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candle.Open,
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candle.High,
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candle.Low,
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candle.Close,
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candle.Volume,
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candle.VolumeCcy,
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}
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if err := writer.Write(record); err != nil {
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return "", err
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}
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}
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writer.Flush()
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if err := writer.Error(); err != nil {
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return "", err
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}
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return sb.String(), nil
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}
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// ToFluentd 将Candle数据发送到Fluentd
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func (cl *CandleList) ToFluentd() error {
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// 获取当前年份
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currentYear := time.Now().Year()
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// 构造tag，格式为：tanya.candle.交易对.年份.周期（保持周期原样）
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tag := fmt.Sprintf("tanya.candle.%s.%d.%s", cl.CoinPair, currentYear, cl.Period)
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// 解析周期
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duration, err := parsePeriod(cl.Period)
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if err != nil {
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return fmt.Errorf("invalid period: %v", err)
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}
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// 逐条发送记录
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for _, candle := range cl.Candles {
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// 验证时间戳是否为周期的整数倍
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ts, err := strconv.ParseInt(candle.Timestamp, 10, 64)
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if err != nil {
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fmt.Println("invalid timestamp:", ts, err)
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continue
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}
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// 转换为东八区时间
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loc, _ := time.LoadLocation("Asia/Shanghai")
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cstTime := time.UnixMilli(ts).In(loc)
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// 对于日线数据，检查是否为当天的 00:00:00
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if cl.Period == "1D" {
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if cstTime.Hour() != 0 || cstTime.Minute() != 0 || cstTime.Second() != 0 {
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return fmt.Errorf("timestamp %d (%s) is not aligned with period :%s", ts, cstTime.Format("2006-01-02 15:04:05"), cl.Period)
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}
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} else {
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// 对于其他周期，使用原来的对齐检查
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if cstTime.UnixMilli()%duration.Milliseconds() != 0 {
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return fmt.Errorf("timestamp %d is not aligned with period %s", ts, cl.Period)
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}
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}
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// 格式化时间
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formattedTime := cstTime.Format("2006-01-02 15:04:05")
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// 构造记录
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record := map[string]interface{}{
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"_id": ts, // 使用时间戳作为_id
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"dataTime": formattedTime,
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"open": candle.Open,
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"high": candle.High,
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"low": candle.Low,
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"close": candle.Close,
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"volume": candle.Volume,
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"volumeCcy": candle.VolumeCcy,
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}
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// 构造请求体
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payload := map[string]interface{}{
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"tag": tag,
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"record": record,
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}
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jsonData, err := json.Marshal(payload)
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if err != nil {
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return fmt.Errorf("failed to marshal data: %v", err)
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}
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// 尝试从不同层级加载配置
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var config *cfg.Config
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configPaths := []string{
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"config/config.json", // 当前目录下的config目录
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"../config/config.json", // 上一级目录下的config目录
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"../../config/config.json", // 上两级目录下的config目录
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}
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for _, path := range configPaths {
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config, err = cfg.LoadConfig(path)
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if err == nil {
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break
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}
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}
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if err != nil {
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return fmt.Errorf("failed to load config after trying paths: %v. Tried paths: %v", err, configPaths)
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}
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// 构造完整URL，添加json参数
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fullURL := fmt.Sprintf("%s/%s?json", strings.TrimRight(config.Fluentd.URL, "/"), tag)
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// 输出完整请求URL和请求体到日志
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fmt.Printf("Sending request to URL: %s\n", fullURL)
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fmt.Printf("Request Body: %s\n", string(jsonData))
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// 创建带超时的HTTP客户端
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client := &http.Client{
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Timeout: 30 * time.Second,
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}
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// 创建请求
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req, err := http.NewRequest("POST", fullURL, bytes.NewBuffer(jsonData))
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if err != nil {
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return fmt.Errorf("failed to create request: %v", err)
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}
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// 设置请求头
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req.Header.Set("Content-Type", "application/json")
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req.Header.Set("Accept", "application/json")
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// 发送HTTP请求
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resp, err := client.Do(req)
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if err != nil {
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return fmt.Errorf("failed to send data to Fluentd: %v", err)
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}
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defer resp.Body.Close()
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// 读取响应体
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body, err := io.ReadAll(resp.Body)
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if err != nil {
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return fmt.Errorf("failed to read response body: %v", err)
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}
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// 输出完整的响应信息
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fmt.Printf("HTTP Response Status: %s\n", resp.Status)
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fmt.Printf("HTTP Response Headers: %v\n", resp.Header)
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fmt.Printf("HTTP Response Body: %s\n", string(body))
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if resp.StatusCode != http.StatusOK {
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return fmt.Errorf("unexpected status code: %d, response: %s", resp.StatusCode, string(body))
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}
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fmt.Printf("Successfully sent record to Fluentd: %s\n", fullURL)
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}
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return nil
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}
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// CalculateCrossPair 计算两个币对的中间币对
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func (cl *CandleList) CalculateCrossPair(other *CandleList) (*CandleList, error) {
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// 验证周期是否一致
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if cl.Period != other.Period {
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return nil, fmt.Errorf("period mismatch: %s vs %s", cl.Period, other.Period)
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}
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// 解析币对名称
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base1, quote1 := parsePair(cl.CoinPair)
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base2, quote2 := parsePair(other.CoinPair)
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// 验证是否构成交叉币对
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if quote1 != quote2 {
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return nil, fmt.Errorf("not a valid cross pair: %s and %s", cl.CoinPair, other.CoinPair)
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}
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// 创建新的CandleList
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crossPair := fmt.Sprintf("%s-%s", base1, base2)
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result := &CandleList{
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CoinPair: crossPair,
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Period: cl.Period,
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}
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fmt.Println("result.CoinPair, result.Period: ", result.CoinPair, result.Period)
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// 创建时间戳映射
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clMap := make(map[string]*Candle)
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for _, candle := range cl.Candles {
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clMap[candle.Timestamp] = candle
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}
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// 遍历另一个CandleList，寻找匹配的时间戳
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for _, otherCandle := range other.Candles {
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if clCandle, exists := clMap[otherCandle.Timestamp]; exists {
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// 计算中间币对的价格
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open, err := calculateCrossPrice(clCandle.Open, otherCandle.Open)
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if err != nil {
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return nil, err
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}
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high, err := calculateCrossPrice(clCandle.High, otherCandle.High)
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if err != nil {
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return nil, err
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}
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low, err := calculateCrossPrice(clCandle.Low, otherCandle.Low)
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if err != nil {
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return nil, err
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}
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close, err := calculateCrossPrice(clCandle.Close, otherCandle.Close)
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if err != nil {
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return nil, err
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}
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// 创建新的Candle
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crossCandle := &Candle{
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Timestamp: otherCandle.Timestamp,
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Open: open,
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High: high,
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Low: low,
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Close: close,
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Volume: "0", // 成交量不直接转换
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VolumeCcy: "0", // 成交量不直接转换
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}
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result.Candles = append(result.Candles, crossCandle)
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}
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}
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if len(result.Candles) == 0 {
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return nil, fmt.Errorf("no overlapping timestamps found")
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}
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return result, nil
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}
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// parsePair 解析币对名称
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func parsePair(pair string) (string, string) {
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parts := strings.Split(pair, "-")
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if len(parts) != 2 {
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return "", ""
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}
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return parts[0], parts[1]
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}
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// calculateCrossPrice 计算交叉币对价格
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func calculateCrossPrice(price1, price2 string) (string, error) {
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p1, err := strconv.ParseFloat(price1, 64)
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if err != nil {
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return "", fmt.Errorf("invalid price1: %v", err)
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}
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p2, err := strconv.ParseFloat(price2, 64)
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if err != nil {
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return "", fmt.Errorf("invalid price2: %v", err)
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}
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if err != nil {
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return "", fmt.Errorf("invalid price2: %v", err)
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}
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if p2 == 0 {
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return "", fmt.Errorf("division by zero")
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}
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result := p1 / p2
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return fmt.Sprintf("%.8f", result), nil
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}
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// ToElastic 将 Candle 数据发送到 Elasticsearch
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func (cl *CandleList) ToElastic() error {
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client := &http.Client{Timeout: 30 * time.Second}
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_, err := parsePeriod(cl.Period)
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if err != nil {
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return fmt.Errorf("failed to parse period: %v", err)
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}
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var config *cfg.Config
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configPaths := []string{"config/config.json", "../config/config.json", "../../config/config.json"}
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for _, path := range configPaths {
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config, err = cfg.LoadConfig(path)
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if err == nil {
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break
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}
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}
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if err != nil {
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return fmt.Errorf("failed to load config: %v", err)
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}
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if len(cl.Candles) == 0 {
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return nil
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}
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// 按月分组数据
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type monthlyCandles struct {
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Index string
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Candles []*Candle
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IndexTime time.Time
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}
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indexMap := make(map[string]monthlyCandles)
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loc, _ := time.LoadLocation("Asia/Shanghai")
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for _, candle := range cl.Candles {
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ts, err := strconv.ParseInt(candle.Timestamp, 10, 64)
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if err != nil {
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fmt.Printf("invalid timestamp: %s, skipping: %v\n", candle.Timestamp, err)
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continue
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}
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cstTime := time.UnixMilli(ts).In(loc)
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index := fmt.Sprintf("logstash-%s.candle.%s.%d-%02d",
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strings.ToLower(cl.Period),
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strings.ToLower(cl.CoinPair),
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cstTime.Year(),
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int(cstTime.Month()),
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)
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if group, exists := indexMap[index]; exists {
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group.Candles = append(group.Candles, candle)
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indexMap[index] = group
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} else {
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indexMap[index] = monthlyCandles{
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Index: index,
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Candles: []*Candle{candle},
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IndexTime: cstTime,
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}
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}
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}
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// 为每个月的索引配置 ILM 并插入数据
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for _, group := range indexMap {
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// 配置 ILM，使用该月第一条数据的时间
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err = elasticilm.ConfigureILM(client, config, "candle", strings.ToLower(cl.Period), group.IndexTime)
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if err != nil {
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return fmt.Errorf("failed to configure ILM for index %s: %v", group.Index, err)
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}
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// 插入该月的所有数据
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for _, candle := range group.Candles {
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ts, err := strconv.ParseInt(candle.Timestamp, 10, 64)
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if err != nil {
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fmt.Printf("invalid timestamp: %s, skipping: %v\n", candle.Timestamp, err)
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continue
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}
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cstTime := time.UnixMilli(ts).In(loc)
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// 时间戳对齐检查
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duration, err := parsePeriod(cl.Period)
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if err != nil {
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return fmt.Errorf("failed to parse period: %v", err)
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}
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// 对于日线及以上周期，检查是否为周期的整数倍
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if duration >= 24*time.Hour {
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// 特殊处理1D周期
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if cl.Period == "1D" {
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// 检查是否为当天的00:00:00
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if cstTime.Hour() != 0 || cstTime.Minute() != 0 || cstTime.Second() != 0 {
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return fmt.Errorf("timestamp %d (%s) is not aligned with period %s", ts, cstTime.Format("2006-01-02 15:04:05"), cl.Period)
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}
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} else {
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// 对于其他日线及以上周期，使用原来的检查逻辑
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totalHours := cstTime.Unix() / 3600
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periodHours := int64(duration.Hours())
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if totalHours%periodHours != 0 {
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return fmt.Errorf("timestamp %d (%s) is not aligned with period %s", ts, cstTime.Format("2006-01-02 15:04:05"), cl.Period)
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}
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if cstTime.Minute() != 0 || cstTime.Second() != 0 {
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return fmt.Errorf("timestamp %d (%s) has non-zero minutes/seconds for period %s", ts, cstTime.Format("2006-01-02 15:04:05"), cl.Period)
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}
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}
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} else if duration >= time.Hour {
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// 对于小时级周期，检查小时、分钟、秒是否对齐
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switch cl.Period {
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case "1H":
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if cstTime.Minute() != 0 || cstTime.Second() != 0 {
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return fmt.Errorf("timestamp %d (%s) has non-zero minutes/seconds for period %s", ts, cstTime.Format("2006-01-02 15:04:05"), cl.Period)
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}
|
||
case "2H":
|
||
if cstTime.Hour()%2 != 0 || cstTime.Minute() != 0 || cstTime.Second() != 0 {
|
||
return fmt.Errorf("timestamp %d (%s) is not aligned with period %s", ts, cstTime.Format("2006-01-02 15:04:05"), cl.Period)
|
||
}
|
||
case "4H":
|
||
if cstTime.Hour()%4 != 0 || cstTime.Minute() != 0 || cstTime.Second() != 0 {
|
||
return fmt.Errorf("timestamp %d (%s) is not aligned with period %s", ts, cstTime.Format("2006-01-02 15:04:05"), cl.Period)
|
||
}
|
||
case "6H":
|
||
if (cstTime.Hour()%6 != 0) || cstTime.Minute() != 0 || cstTime.Second() != 0 {
|
||
return fmt.Errorf("timestamp %d (%s) is not aligned with period %s", ts, cstTime.Format("2006-01-02 15:04:05"), cl.Period)
|
||
}
|
||
case "12H":
|
||
if (cstTime.Hour() != 0 && cstTime.Hour() != 12) || cstTime.Minute() != 0 || cstTime.Second() != 0 {
|
||
return fmt.Errorf("timestamp %d (%s) is not aligned with period %s", ts, cstTime.Format("2006-01-02 15:04:05"), cl.Period)
|
||
}
|
||
default:
|
||
if cstTime.UnixMilli()%duration.Milliseconds() != 0 {
|
||
return fmt.Errorf("timestamp %d is not aligned with period %s", ts, cl.Period)
|
||
}
|
||
}
|
||
} else {
|
||
// 对于分钟级周期，使用毫秒取模检查
|
||
if cstTime.UnixMilli()%duration.Milliseconds() != 0 {
|
||
return fmt.Errorf("timestamp %d is not aligned with period %s", ts, cl.Period)
|
||
}
|
||
}
|
||
|
||
record := map[string]interface{}{
|
||
"dataTime": cstTime.Format("2006-01-02 15:04:05"),
|
||
"open": candle.Open,
|
||
"high": candle.High,
|
||
"low": candle.Low,
|
||
"close": candle.Close,
|
||
"volume": candle.Volume,
|
||
"volumeCcy": candle.VolumeCcy,
|
||
}
|
||
|
||
jsonData, err := json.Marshal(record)
|
||
if err != nil {
|
||
return fmt.Errorf("failed to marshal data: %v", err)
|
||
}
|
||
|
||
fullURL := fmt.Sprintf("%s/%s/_doc/%d", strings.TrimRight(config.Elasticsearch.URL, "/"), group.Index, ts)
|
||
req, err := http.NewRequest("POST", fullURL, bytes.NewBuffer(jsonData))
|
||
if err != nil {
|
||
return fmt.Errorf("failed to create request: %v", err)
|
||
}
|
||
|
||
req.Header.Set("Content-Type", "application/json")
|
||
req.SetBasicAuth(config.Elasticsearch.Auth.Username, config.Elasticsearch.Auth.Password)
|
||
|
||
resp, err := client.Do(req)
|
||
if err != nil {
|
||
return fmt.Errorf("failed to send data to Elasticsearch: %v", err)
|
||
}
|
||
defer resp.Body.Close()
|
||
|
||
if resp.StatusCode != http.StatusOK && resp.StatusCode != http.StatusCreated {
|
||
body, _ := io.ReadAll(resp.Body)
|
||
return fmt.Errorf("unexpected status code: %d, response: %s", resp.StatusCode, string(body))
|
||
}
|
||
|
||
fmt.Printf("Successfully sent record to Elasticsearch: %s\n", fullURL)
|
||
}
|
||
}
|
||
|
||
return nil
|
||
}
|
||
|
||
// parsePeriod 将时间框架字符串转换为 time.Duration
|
||
func parsePeriod(period string) (time.Duration, error) {
|
||
switch period {
|
||
case "1m":
|
||
return time.Minute, nil
|
||
case "3m":
|
||
return 3 * time.Minute, nil
|
||
case "5m":
|
||
return 5 * time.Minute, nil
|
||
case "15m":
|
||
return 15 * time.Minute, nil
|
||
case "30m":
|
||
return 30 * time.Minute, nil
|
||
case "1H":
|
||
return time.Hour, nil
|
||
case "2H":
|
||
return 2 * time.Hour, nil
|
||
case "4H":
|
||
return 4 * time.Hour, nil
|
||
case "6H":
|
||
return 6 * time.Hour, nil
|
||
case "12H":
|
||
return 12 * time.Hour, nil
|
||
case "1D", "1d":
|
||
return 24 * time.Hour, nil
|
||
case "2D":
|
||
return 48 * time.Hour, nil
|
||
case "5D":
|
||
return 120 * time.Hour, nil
|
||
case "1W":
|
||
return 168 * time.Hour, nil
|
||
case "1M":
|
||
return 720 * time.Hour, nil // 假设 30 天
|
||
default:
|
||
return 0, fmt.Errorf("unsupported period: %s", period)
|
||
}
|
||
}
|