exchanges/websocket: Implement subscription configuration

backtester/engine/backtest_test.go

@@ -11,6 +11,7 @@ import (
 
 	"github.com/gofrs/uuid"
 	"github.com/shopspring/decimal"
+	"github.com/stretchr/testify/assert"
 	"github.com/thrasher-corp/gocryptotrader/backtester/common"
 	"github.com/thrasher-corp/gocryptotrader/backtester/config"
 	"github.com/thrasher-corp/gocryptotrader/backtester/data"
@@ -1882,36 +1883,23 @@ func TestExecuteStrategy(t *testing.T) {
 func TestNewBacktesterFromConfigs(t *testing.T) {
 	t.Parallel()
 	_, err := NewBacktesterFromConfigs(nil, nil)
-	if !errors.Is(err, gctcommon.ErrNilPointer) {
-		t.Errorf("received '%v' expected '%v'", err, gctcommon.ErrNilPointer)
-	}
+	assert.ErrorIs(t, err, gctcommon.ErrNilPointer, "NewBacktesterFromConfigs should error on nil for both configs")
+
+	cfg, err := config.ReadStrategyConfigFromFile(filepath.Join("..", "config", "strategyexamples", "dca-api-candles.strat"))
+	assert.NoError(t, err, "ReadStrategyConfigFromFile should not error")
 
-	strat1 := filepath.Join("..", "config", "strategyexamples", "dca-api-candles.strat")
-	cfg, err := config.ReadStrategyConfigFromFile(strat1)
-	if !errors.Is(err, nil) {
-		t.Errorf("received '%v' expected '%v'", err, nil)
-	}
 	dc, err := config.GenerateDefaultConfig()
-	if !errors.Is(err, nil) {
-		t.Errorf("received '%v' expected '%v'", err, nil)
-	}
+	assert.NoError(t, err, "GenerateDefaultConfig should not error")
 
 	_, err = NewBacktesterFromConfigs(cfg, nil)
-	if !errors.Is(err, gctcommon.ErrNilPointer) {
-		t.Errorf("received '%v' expected '%v'", err, gctcommon.ErrNilPointer)
-	}
+	assert.ErrorIs(t, err, gctcommon.ErrNilPointer, "NewBacktesterFromConfigs should error on nil default config")
 
 	_, err = NewBacktesterFromConfigs(nil, dc)
-	if !errors.Is(err, gctcommon.ErrNilPointer) {
-		t.Errorf("received '%v' expected '%v'", err, gctcommon.ErrNilPointer)
-	}
+	assert.ErrorIs(t, err, gctcommon.ErrNilPointer, "NewBacktesterFromConfigs should error on nil config")
 
 	bt, err := NewBacktesterFromConfigs(cfg, dc)
-	if !errors.Is(err, nil) {
-		t.Fatalf("received '%v' expected '%v'", err, nil)
-	}
-	if bt.MetaData.DateLoaded.IsZero() {
-		t.Errorf("received '%v' expected '%v'", bt.MetaData.DateLoaded, "a date")
+	if assert.NoError(t, err, "NewBacktesterFromConfigs should not error") {
+		assert.False(t, bt.MetaData.DateLoaded.IsZero(), "DateLoaded should have a non-zero date")
 	}
 }
 

cmd/documentation/config_templates/config_readme.tmpl

@@ -6,21 +6,21 @@
 
  + Contains configurations for:
 
-	- Exchanges for utilisation of a broad or minimal amount of enabled
-	exchanges [Example](#enable-exchange-via-config-example) for
-	enabling an exchange.
+	- Enable/Disable Exchanges. [See Example](#enable-exchange-via-config-example)
 
 	- Bank accounts for withdrawal and depositing FIAT between exchange and
-	your personal accounts [Example](#enable-bank-accounts-via-config-example).
+	your personal accounts. [See Example](#enable-bank-accounts-via-config-example)
 
-	- Portfolio to monitor online and offline accounts [Example](#enable-portfolio-via-config-example).
+	- Portfolio to monitor online and offline accounts. [See Example](#enable-portfolio-via-config-example)
 
 	- Currency configurations to set your foreign exchange provider accounts,
 	your preferred display currency, suitable FIAT currency and suitable
-	cryptocurrency [Example](#enable-currency-via-config-example).
+	cryptocurrency. [See Example](#enable-currency-via-config-example)
 
 	- Communication for utilisation of supported communication mediums e.g.
-	email events direct to your personal account [Example](#enable-communications-via-config-example).
+	email events direct to your personal account. [See Example](#enable-communications-via-config-example)
+
+    - Websocket subscription channels. [See Example](#configure-exchange-websocket-subscriptions)
 
 # Config Examples
 
@@ -194,6 +194,38 @@ comm method and add in your contact list if available.
 },
 ```
 
+## Configure exchange websocket subscriptions
+
++ Websocket subscriptions provide a stream of data from an exchange.
+Whilst subscriptions are specific to each exchange, some common examples are: candles, orderbook, ticker and allTrades.
+You can configure any supported channels in your exchange, but most likely you just want to disable some of the defaults, or change the default intervals.
+You cannot configure an empty list of subscriptions, instead set all of the subscriptions to enabled: false.
+
+See the section `exchange.features.enabled.subscriptions` for configuring subscriptions:
+
+```js
+"subscriptions": [
+ {
+  "enabled": true,
+  "channel": "ticker"
+ },
+ {
+  "enabled": false,
+  "channel": "allTrades"
+ },
+ {
+  "enabled": true,
+  "channel": "candles",
+  "interval": "1m"
+ },
+ {
+  "enabled": true,
+  "channel": "orderbook",
+  "interval": "100ms"
+ }
+]
+```
+
 
 ## Configure Network Time Server 
 

config/README.md

@@ -24,21 +24,21 @@ Join our slack to discuss all things related to GoCryptoTrader! [GoCryptoTrader
 
  + Contains configurations for:
 
-	- Exchanges for utilisation of a broad or minimal amount of enabled
-	exchanges [Example](#enable-exchange-via-config-example) for
-	enabling an exchange.
+	- Enable/Disable Exchanges. [See Example](#enable-exchange-via-config-example)
 
 	- Bank accounts for withdrawal and depositing FIAT between exchange and
-	your personal accounts [Example](#enable-bank-accounts-via-config-example).
+	your personal accounts. [See Example](#enable-bank-accounts-via-config-example)
 
-	- Portfolio to monitor online and offline accounts [Example](#enable-portfolio-via-config-example).
+	- Portfolio to monitor online and offline accounts. [See Example](#enable-portfolio-via-config-example)
 
 	- Currency configurations to set your foreign exchange provider accounts,
 	your preferred display currency, suitable FIAT currency and suitable
-	cryptocurrency [Example](#enable-currency-via-config-example).
+	cryptocurrency. [See Example](#enable-currency-via-config-example)
 
 	- Communication for utilisation of supported communication mediums e.g.
-	email events direct to your personal account [Example](#enable-communications-via-config-example).
+	email events direct to your personal account. [See Example](#enable-communications-via-config-example)
+
+    - Websocket subscription channels. [See Example](#configure-exchange-websocket-subscriptions)
 
 # Config Examples
 
@@ -212,6 +212,38 @@ comm method and add in your contact list if available.
 },
 ```
 
+## Configure exchange websocket subscriptions
+
++ Websocket subscriptions provide a stream of data from an exchange.
+Whilst subscriptions are specific to each exchange, some common examples are: candles, orderbook, ticker and allTrades.
+You can configure any supported channels in your exchange, but most likely you just want to disable some of the defaults, or change the default intervals.
+You cannot configure an empty list of subscriptions, instead set all of the subscriptions to enabled: false.
+
+See the section `exchange.features.enabled.subscriptions` for configuring subscriptions:
+
+```js
+"subscriptions": [
+ {
+  "enabled": true,
+  "channel": "ticker"
+ },
+ {
+  "enabled": false,
+  "channel": "allTrades"
+ },
+ {
+  "enabled": true,
+  "channel": "candles",
+  "interval": "1m"
+ },
+ {
+  "enabled": true,
+  "channel": "orderbook",
+  "interval": "100ms"
+ }
+]
+```
+
 
 ## Configure Network Time Server 
 

config/config_types.go

@@ -9,6 +9,7 @@ import (
 	"github.com/thrasher-corp/gocryptotrader/currency"
 	"github.com/thrasher-corp/gocryptotrader/database"
 	"github.com/thrasher-corp/gocryptotrader/exchanges/protocol"
+	"github.com/thrasher-corp/gocryptotrader/exchanges/subscription"
 	gctscript "github.com/thrasher-corp/gocryptotrader/gctscript/vm"
 	"github.com/thrasher-corp/gocryptotrader/log"
 	"github.com/thrasher-corp/gocryptotrader/portfolio"
@@ -313,8 +314,9 @@ type FeaturesEnabledConfig struct {
 
 // FeaturesConfig stores the exchanges supported and enabled features
 type FeaturesConfig struct {
-	Supports FeaturesSupportedConfig `json:"supports"`
-	Enabled  FeaturesEnabledConfig   `json:"enabled"`
+	Supports      FeaturesSupportedConfig      `json:"supports"`
+	Enabled       FeaturesEnabledConfig        `json:"enabled"`
+	Subscriptions []*subscription.Subscription `json:"subscriptions,omitempty"`
 }
 
 // APIEndpointsConfig stores the API endpoint addresses

currency/currencies.go

@@ -20,6 +20,14 @@ func NewCurrenciesFromStringArray(currencies []string) Currencies {
 // Currencies define a range of supported currency codes
 type Currencies []Code
 
+// Add adds a currency to the list if it doesn't exist
+func (c Currencies) Add(a Code) Currencies {
+	if !c.Contains(a) {
+		c = append(c, a)
+	}
+	return c
+}
+
 // Strings returns an array of currency strings
 func (c Currencies) Strings() []string {
 	list := make([]string, len(c))

currency/currencies_test.go

@@ -3,6 +3,8 @@ package currency
 import (
 	"encoding/json"
 	"testing"
+
+	"github.com/stretchr/testify/assert"
 )
 
 func TestCurrenciesUnmarshalJSON(t *testing.T) {
@@ -62,3 +64,13 @@ func TestMatch(t *testing.T) {
 		t.Fatal("should not match")
 	}
 }
+
+func TestCurrenciesAdd(t *testing.T) {
+	c := Currencies{}
+	c = c.Add(BTC)
+	assert.Len(t, c, 1, "Should have one currency")
+	c = c.Add(ETH)
+	assert.Len(t, c, 2, "Should have two currencies")
+	c = c.Add(BTC)
+	assert.Len(t, c, 2, "Adding a duplicate should not change anything")
+}

docs/ADD_NEW_EXCHANGE.md

@@ -736,9 +736,9 @@ func (f *FTX) WsConnect() error {
 
 ```go
 // GenerateDefaultSubscriptions generates default subscription
-func (f *FTX) GenerateDefaultSubscriptions() ([]stream.ChannelSubscription, error) {
-	var subscriptions []stream.ChannelSubscription
-	subscriptions = append(subscriptions, stream.ChannelSubscription{
+func (f *FTX) GenerateDefaultSubscriptions() ([]subscription.Subscription, error) {
+	var subscriptions []subscription.Subscription
+	subscriptions = append(subscriptions, subscription.Subscription{
 		Channel: wsMarkets,
 	})
 	// Ranges over available channels, pairs and asset types to produce a full
@@ -756,9 +756,9 @@ func (f *FTX) GenerateDefaultSubscriptions() ([]stream.ChannelSubscription, erro
 				"-")
 			for x := range channels {
 				subscriptions = append(subscriptions,
-					stream.ChannelSubscription{
+					subscription.Subscription{
 						Channel:  channels[x],
-						Currency: newPair,
+						Pair: newPair,
 						Asset:    assets[a],
 					})
 			}
@@ -768,7 +768,7 @@ func (f *FTX) GenerateDefaultSubscriptions() ([]stream.ChannelSubscription, erro
 	if f.IsWebsocketAuthenticationSupported() {
 		var authchan = []string{wsOrders, wsFills}
 		for x := range authchan {
-			subscriptions = append(subscriptions, stream.ChannelSubscription{
+			subscriptions = append(subscriptions, subscription.Subscription{
 				Channel: authchan[x],
 			})
 		}
@@ -811,7 +811,7 @@ type WsSub struct {
 
 ```go
 // Subscribe sends a websocket message to receive data from the channel
-func (f *FTX) Subscribe(channelsToSubscribe []stream.ChannelSubscription) error {
+func (f *FTX) Subscribe(channelsToSubscribe []subscription.Subscription) error {
 	// For subscriptions we try to batch as much as possible to limit the amount
 	// of connection usage but sometimes this is not supported on the exchange 
 	// API.
@@ -827,13 +827,13 @@ channels:
 		case wsFills, wsOrders, wsMarkets:
 		// Authenticated wsFills && wsOrders or wsMarkets which is a channel subscription for the full set of tradable markets do not need a currency pair association. 
 		default:
-			a, err := f.GetPairAssetType(channelsToSubscribe[i].Currency)
+			a, err := f.GetPairAssetType(channelsToSubscribe[i].Pair)
 			if err != nil {
 				errs = append(errs, err)
 				continue channels
 			}
 			// Ensures our outbound currency pair is formatted correctly, sometimes our configuration format is different from what our request format needs to be.
-			formattedPair, err := f.FormatExchangeCurrency(channelsToSubscribe[i].Currency, a)
+			formattedPair, err := f.FormatExchangeCurrency(channelsToSubscribe[i].Pair, a)
 			if err != nil {
 				errs = append(errs, err)
 				continue channels
@@ -1065,7 +1065,7 @@ func (f *FTX) WsAuth(ctx context.Context) error {
 
 ```go
 // Unsubscribe sends a websocket message to stop receiving data from the channel
-func (f *FTX) Unsubscribe(channelsToUnsubscribe []stream.ChannelSubscription) error {
+func (f *FTX) Unsubscribe(channelsToUnsubscribe []subscription.Subscription) error {
 	// As with subscribing we want to batch as much as possible, but sometimes this cannot be achieved due to API shortfalls. 
 	var errs common.Errors
 channels:
@@ -1076,13 +1076,13 @@ channels:
 		switch channelsToUnsubscribe[i].Channel {
 		case wsFills, wsOrders, wsMarkets:
 		default:
-			a, err := f.GetPairAssetType(channelsToUnsubscribe[i].Currency)
+			a, err := f.GetPairAssetType(channelsToUnsubscribe[i].Pair)
 			if err != nil {
 				errs = append(errs, err)
 				continue channels
 			}
 
-			formattedPair, err := f.FormatExchangeCurrency(channelsToUnsubscribe[i].Currency, a)
+			formattedPair, err := f.FormatExchangeCurrency(channelsToUnsubscribe[i].Pair, a)
 			if err != nil {
 				errs = append(errs, err)
 				continue channels

engine/rpcserver.go

@@ -3103,10 +3103,10 @@ func (s *RPCServer) WebsocketGetSubscriptions(_ context.Context, r *gctrpc.Webso
 		}
 		payload.Subscriptions = append(payload.Subscriptions,
 			&gctrpc.WebsocketSubscription{
-				Channel:  subs[i].Channel,
-				Currency: subs[i].Currency.String(),
-				Asset:    subs[i].Asset.String(),
-				Params:   string(params),
+				Channel: subs[i].Channel,
+				Pair:    subs[i].Pair.String(),
+				Asset:   subs[i].Asset.String(),
+				Params:  string(params),
 			})
 	}
 	return payload, nil

exchanges/binance/binance.go

@@ -19,6 +19,7 @@ import (
 	"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
 	"github.com/thrasher-corp/gocryptotrader/exchanges/order"
 	"github.com/thrasher-corp/gocryptotrader/exchanges/request"
+	"github.com/thrasher-corp/gocryptotrader/exchanges/subscription"
 )
 
 // Binance is the overarching type across the Binance package
@@ -107,6 +108,13 @@ var (
 	errEitherLoanOrCollateralAmountsMustBeSet = errors.New("either loan or collateral amounts must be set")
 )
 
+var subscriptionNames = map[string]string{
+	subscription.TickerChannel:    "ticker",
+	subscription.OrderbookChannel: "depth",
+	subscription.CandlesChannel:   "kline",
+	subscription.AllTradesChannel: "trade",
+}
+
 // GetExchangeInfo returns exchange information. Check binance_types for more
 // information
 func (b *Binance) GetExchangeInfo(ctx context.Context) (ExchangeInfo, error) {