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Bitmex: Fix handling index records in WS trade stream
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Fixes handling for Size == 0 index records sent to trade stream

fixes thrasher-corp#1684
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@gbjk
gbjk committed Oct 19, 2024
1 parent ac731ce commit ac32e58
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Showing 4 changed files with 58 additions and 53 deletions.
16 changes: 11 additions & 5 deletions exchanges/bitmex/bitmex_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -1054,11 +1054,17 @@ func TestWSDeleverageExecutionInsertHandling(t *testing.T) {

func TestWsTrades(t *testing.T) {
t.Parallel()
pressXToJSON := []byte(`{"table":"trade","action":"insert","data":[{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.3,"tickDirection":"MinusTick","trdMatchID":"c427f7a0-6b26-1e10-5c4e-1bd74daf2a73","grossValue":2583000,"homeNotional":0.9904912836767037,"foreignNotional":255.84389857369254},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.3,"tickDirection":"ZeroMinusTick","trdMatchID":"95eb9155-b58c-70e9-44b7-34efe50302e0","grossValue":2583000,"homeNotional":0.9904912836767037,"foreignNotional":255.84389857369254},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.3,"tickDirection":"ZeroMinusTick","trdMatchID":"e607c187-f25c-86bc-cb39-8afff7aaf2d9","grossValue":2583000,"homeNotional":0.9904912836767037,"foreignNotional":255.84389857369254},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":17,"price":258.3,"tickDirection":"ZeroMinusTick","trdMatchID":"0f076814-a57d-9a59-8063-ad6b823a80ac","grossValue":439110,"homeNotional":0.1683835182250396,"foreignNotional":43.49346275752773},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.25,"tickDirection":"MinusTick","trdMatchID":"f4ef3dfd-51c4-538f-37c1-e5071ba1c75d","grossValue":2582500,"homeNotional":0.9904912836767037,"foreignNotional":255.79437400950872},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.25,"tickDirection":"ZeroMinusTick","trdMatchID":"81ef136b-8f4a-b1cf-78a8-fffbfa89bf40","grossValue":2582500,"homeNotional":0.9904912836767037,"foreignNotional":255.79437400950872},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.25,"tickDirection":"ZeroMinusTick","trdMatchID":"65a87e8c-7563-34a4-d040-94e8513c5401","grossValue":2582500,"homeNotional":0.9904912836767037,"foreignNotional":255.79437400950872},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":15,"price":258.25,"tickDirection":"ZeroMinusTick","trdMatchID":"1d11a74e-a157-3f33-036d-35a101fba50b","grossValue":387375,"homeNotional":0.14857369255150554,"foreignNotional":38.369156101426306},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":1,"price":258.25,"tickDirection":"ZeroMinusTick","trdMatchID":"40d49df1-f018-f66f-4ca5-31d4997641d7","grossValue":25825,"homeNotional":0.009904912836767036,"foreignNotional":2.5579437400950873},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.2,"tickDirection":"MinusTick","trdMatchID":"36135b51-73e5-c007-362b-a55be5830c6b","grossValue":2582000,"homeNotional":0.9904912836767037,"foreignNotional":255.7448494453249},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"6ee19edb-99aa-3030-ba63-933ffb347ade","grossValue":2582000,"homeNotional":0.9904912836767037,"foreignNotional":255.7448494453249},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"d44be603-cdb8-d676-e3e2-f91fb12b2a70","grossValue":2582000,"homeNotional":0.9904912836767037,"foreignNotional":255.7448494453249},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":5,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"a14b43b3-50b4-c075-c54d-dfb0165de33d","grossValue":129100,"homeNotional":0.04952456418383518,"foreignNotional":12.787242472266245},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":8,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"3c30e175-5194-320c-8f8c-01636c2f4a32","grossValue":206560,"homeNotional":0.07923930269413629,"foreignNotional":20.45958795562599},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":50,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"5b803378-760b-4919-21fc-bfb275d39ace","grossValue":1291000,"homeNotional":0.49524564183835185,"foreignNotional":127.87242472266244},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":244,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"cf57fec1-c444-b9e5-5e2d-4fb643f4fdb7","grossValue":6300080,"homeNotional":2.416798732171157,"foreignNotional":624.0174326465927}]}`)
err := b.wsHandleData(pressXToJSON)
if err != nil {
t.Error(err)
}
b := new(Bitmex) //nolint:govet // Intentional shadow to avoid future copy/paste mistakes
require.NoError(t, testexch.Setup(b), "Test instance Setup must not error")
b.SetSaveTradeDataStatus(true)
msg := []byte(`{"table":"trade","action":"insert","data":[{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.3,"tickDirection":"MinusTick","trdMatchID":"c427f7a0-6b26-1e10-5c4e-1bd74daf2a73","grossValue":2583000,"homeNotional":0.9904912836767037,"foreignNotional":255.84389857369254},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.3,"tickDirection":"ZeroMinusTick","trdMatchID":"95eb9155-b58c-70e9-44b7-34efe50302e0","grossValue":2583000,"homeNotional":0.9904912836767037,"foreignNotional":255.84389857369254},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.3,"tickDirection":"ZeroMinusTick","trdMatchID":"e607c187-f25c-86bc-cb39-8afff7aaf2d9","grossValue":2583000,"homeNotional":0.9904912836767037,"foreignNotional":255.84389857369254},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":17,"price":258.3,"tickDirection":"ZeroMinusTick","trdMatchID":"0f076814-a57d-9a59-8063-ad6b823a80ac","grossValue":439110,"homeNotional":0.1683835182250396,"foreignNotional":43.49346275752773},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.25,"tickDirection":"MinusTick","trdMatchID":"f4ef3dfd-51c4-538f-37c1-e5071ba1c75d","grossValue":2582500,"homeNotional":0.9904912836767037,"foreignNotional":255.79437400950872},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.25,"tickDirection":"ZeroMinusTick","trdMatchID":"81ef136b-8f4a-b1cf-78a8-fffbfa89bf40","grossValue":2582500,"homeNotional":0.9904912836767037,"foreignNotional":255.79437400950872},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.25,"tickDirection":"ZeroMinusTick","trdMatchID":"65a87e8c-7563-34a4-d040-94e8513c5401","grossValue":2582500,"homeNotional":0.9904912836767037,"foreignNotional":255.79437400950872},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":15,"price":258.25,"tickDirection":"ZeroMinusTick","trdMatchID":"1d11a74e-a157-3f33-036d-35a101fba50b","grossValue":387375,"homeNotional":0.14857369255150554,"foreignNotional":38.369156101426306},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":1,"price":258.25,"tickDirection":"ZeroMinusTick","trdMatchID":"40d49df1-f018-f66f-4ca5-31d4997641d7","grossValue":25825,"homeNotional":0.009904912836767036,"foreignNotional":2.5579437400950873},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.2,"tickDirection":"MinusTick","trdMatchID":"36135b51-73e5-c007-362b-a55be5830c6b","grossValue":2582000,"homeNotional":0.9904912836767037,"foreignNotional":255.7448494453249},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"6ee19edb-99aa-3030-ba63-933ffb347ade","grossValue":2582000,"homeNotional":0.9904912836767037,"foreignNotional":255.7448494453249},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"d44be603-cdb8-d676-e3e2-f91fb12b2a70","grossValue":2582000,"homeNotional":0.9904912836767037,"foreignNotional":255.7448494453249},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":5,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"a14b43b3-50b4-c075-c54d-dfb0165de33d","grossValue":129100,"homeNotional":0.04952456418383518,"foreignNotional":12.787242472266245},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":8,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"3c30e175-5194-320c-8f8c-01636c2f4a32","grossValue":206560,"homeNotional":0.07923930269413629,"foreignNotional":20.45958795562599},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":50,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"5b803378-760b-4919-21fc-bfb275d39ace","grossValue":1291000,"homeNotional":0.49524564183835185,"foreignNotional":127.87242472266244},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":244,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"cf57fec1-c444-b9e5-5e2d-4fb643f4fdb7","grossValue":6300080,"homeNotional":2.416798732171157,"foreignNotional":624.0174326465927}]}`)
require.NoError(t, b.wsHandleData(msg), "Must not error handling a standard stream of trades")

msg = []byte(`{"table":"trade","action":"insert","data":[{"timestamp":"2020-02-17T01:35:36.442Z","symbol":".BGCT","size":14,"price":258.2,"side":"sell"}]}`)
require.ErrorIs(t, b.wsHandleData(msg), exchange.ErrSymbolCannotBeMatched, "Must error correctly with an unknown symbol")

msg = []byte(`{"table":"trade","action":"insert","data":[{"timestamp":"2020-02-17T01:35:36.442Z","symbol":".BGCT","size":0,"price":258.2,"side":"sell"}]}`)
require.NoError(t, b.wsHandleData(msg), "Must not error that symbol is unknown when index trade is ignored due to zero size")
}

func TestGetRecentTrades(t *testing.T) {
Expand Down
81 changes: 39 additions & 42 deletions exchanges/bitmex/bitmex_websocket.go
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Original file line number Diff line number Diff line change
Expand Up @@ -199,48 +199,7 @@ func (b *Bitmex) wsHandleData(respRaw []byte) error {
return err
}
case bitmexWSTrade:
if !b.IsSaveTradeDataEnabled() {
return nil
}
var tradeHolder TradeData
err = json.Unmarshal(respRaw, &tradeHolder)
if err != nil {
return err
}
var trades []trade.Data
for i := range tradeHolder.Data {
if tradeHolder.Data[i].Price == 0 {
// Please note that indices (symbols starting with .) post trades at intervals to the trade feed.
// These have a size of 0 and are used only to indicate a changing price.
continue
}
var p currency.Pair
var a asset.Item
p, a, err = b.GetPairAndAssetTypeRequestFormatted(tradeHolder.Data[i].Symbol)
if err != nil {
return err
}
var oSide order.Side
oSide, err = order.StringToOrderSide(tradeHolder.Data[i].Side)
if err != nil {
b.Websocket.DataHandler <- order.ClassificationError{
Exchange: b.Name,
Err: err,
}
}

trades = append(trades, trade.Data{
TID: tradeHolder.Data[i].TrdMatchID,
Exchange: b.Name,
CurrencyPair: p,
AssetType: a,
Side: oSide,
Price: tradeHolder.Data[i].Price,
Amount: float64(tradeHolder.Data[i].Size),
Timestamp: tradeHolder.Data[i].Timestamp,
})
}
return b.AddTradesToBuffer(trades...)
return b.handleWsTrades(respRaw)
case bitmexWSAnnouncement:
var announcement AnnouncementData
err = json.Unmarshal(respRaw, &announcement)
Expand Down Expand Up @@ -543,6 +502,44 @@ func (b *Bitmex) processOrderbook(data []OrderBookL2, action string, p currency.
return nil
}

func (b *Bitmex) handleWsTrades(msg []byte) error {
if !b.IsSaveTradeDataEnabled() {
return nil
}
var tradeHolder TradeData
if err := json.Unmarshal(msg, &tradeHolder); err != nil {
return err
}
trades := make([]trade.Data, 0, len(tradeHolder.Data))
for _, t := range tradeHolder.Data {
if t.Size == 0 {
// Indices (symbols starting with .) post trades at intervals to the trade feed
// These have a size of 0 and are used only to indicate a changing price
continue
}
p, a, err := b.GetPairAndAssetTypeRequestFormatted(t.Symbol)
if err != nil {
return err
}
oSide, err := order.StringToOrderSide(t.Side)
if err != nil {
return err
}

trades = append(trades, trade.Data{
TID: t.TrdMatchID,
Exchange: b.Name,
CurrencyPair: p,
AssetType: a,
Side: oSide,
Price: t.Price,
Amount: float64(t.Size),
Timestamp: t.Timestamp,
})
}
return b.AddTradesToBuffer(trades...)
}

// generateSubscriptions returns Adds default subscriptions to websocket to be handled by ManageSubscriptions()
func (b *Bitmex) generateSubscriptions() (subscription.List, error) {
authed := b.Websocket.CanUseAuthenticatedEndpoints()
Expand Down
4 changes: 2 additions & 2 deletions exchanges/bitmex/bitmex_websocket_types.go
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Original file line number Diff line number Diff line change
Expand Up @@ -64,8 +64,8 @@ type OrderBookData struct {

// TradeData contains trade resp data with action to be taken
type TradeData struct {
Data []Trade `json:"data"`
Action string `json:"action"`
Data []*Trade `json:"data"`
Action string `json:"action"`
}

// AnnouncementData contains announcement resp data with action to be taken
Expand Down
10 changes: 6 additions & 4 deletions exchanges/exchange.go
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Original file line number Diff line number Diff line change
Expand Up @@ -49,13 +49,15 @@ const (
DefaultWebsocketOrderbookBufferLimit = 5
)

// Public Errors
var (
// ErrExchangeNameIsEmpty is returned when the exchange name is empty
ErrExchangeNameIsEmpty = errors.New("exchange name is empty")
ErrExchangeNameIsEmpty = errors.New("exchange name is empty")
ErrSymbolCannotBeMatched = errors.New("symbol cannot be matchedX")
)

var (
errEndpointStringNotFound = errors.New("endpoint string not found")
errConfigPairFormatRequiresDelimiter = errors.New("config pair format requires delimiter")
errSymbolCannotBeMatched = errors.New("symbol cannot be matched")
errSetDefaultsNotCalled = errors.New("set defaults not called")
errExchangeIsNil = errors.New("exchange is nil")
errBatchSizeZero = errors.New("batch size cannot be 0")
Expand Down Expand Up @@ -248,7 +250,7 @@ func (b *Base) GetPairAndAssetTypeRequestFormatted(symbol string) (currency.Pair
}
}
}
return currency.EMPTYPAIR, asset.Empty, errSymbolCannotBeMatched
return currency.EMPTYPAIR, asset.Empty, ErrSymbolCannotBeMatched
}

// GetClientBankAccounts returns banking details associated with
Expand Down

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