Merge pull request #1760 from c9s/chiahung/max/query-depth

FEATURE: [max] add QueryDepth v3 API to query orderbook

pkg/exchange/max/convert.go

@@ -371,3 +371,20 @@ func convertWithdrawStatusV2(state max.WithdrawState) types.WithdrawStatus {
 		return types.WithdrawStatus(state)
 	}
 }
+
+func convertDepth(symbol string, depth *v3.Depth) (snapshot types.SliceOrderBook, finalUpdateID int64, err error) {
+	snapshot.Symbol = symbol
+	snapshot.Time = time.Unix(depth.Timestamp, 0)
+	snapshot.LastUpdateId = depth.LastUpdateId
+
+	finalUpdateID = depth.LastUpdateId
+	for _, entry := range depth.Bids {
+		snapshot.Bids = append(snapshot.Bids, types.PriceVolume{Price: entry[0], Volume: entry[1]})
+	}
+
+	for _, entry := range depth.Asks {
+		snapshot.Asks = append(snapshot.Asks, types.PriceVolume{Price: entry[0], Volume: entry[1]})
+	}
+
+	return snapshot, finalUpdateID, err
+}

pkg/exchange/max/exchange.go

@@ -1134,6 +1134,19 @@ func (e *Exchange) QueryKLines(
 	return kLines, nil
 }
 
+func (e *Exchange) QueryDepth(ctx context.Context, symbol string, limit int) (snapshot types.SliceOrderBook, finalUpdateID int64, err error) {
+	req := e.v3client.NewGetDepthRequest()
+	req.Market(symbol)
+	req.Limit(limit)
+
+	depth, err := req.Do(ctx)
+	if err != nil {
+		return snapshot, finalUpdateID, err
+	}
+
+	return convertDepth(symbol, depth)
+}
+
 var Two = fixedpoint.NewFromInt(2)
 
 func (e *Exchange) QueryAveragePrice(ctx context.Context, symbol string) (fixedpoint.Value, error) {

pkg/exchange/max/maxapi/v3/get_depth_request.go

@@ -0,0 +1,29 @@
+package v3
+
+//go:generate -command GetRequest requestgen -method GET
+
+import (
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/requestgen"
+)
+
+type Depth struct {
+	Timestamp         int64                `json:"timestamp"`
+	LastUpdateVersion int64                `json:"last_update_version"`
+	LastUpdateId      int64                `json:"last_update_id"`
+	Bids              [][]fixedpoint.Value `json:"bids"`
+	Asks              [][]fixedpoint.Value `json:"asks"`
+}
+
+//go:generate GetRequest -url "/api/v3/depth" -type GetDepthRequest -responseType Depth
+type GetDepthRequest struct {
+	client requestgen.APIClient
+
+	market      string `param:"market,required"`
+	limit       *int   `param:"limit"`
+	sortByPrice *bool  `param:"sort_by_price"`
+}
+
+func (s *Client) NewGetDepthRequest() *GetDepthRequest {
+	return &GetDepthRequest{client: s.Client}
+}