okcoin-fix/index.js

OKCoin FIX API wrapper

/**
 * Created by robi on 17/2/18.
 */
var _ = require('lodash');
var events = require('events');
var quickfix = require('node-quickfix-ssl');
var md5 = require('MD5');
var moment = require('moment');

var initiator = quickfix.initiator;
const SERVERID = 'OKSERVER';
const DATATYPE = Object.freeze({
    NOTSUPPORT: -1,
    ERROR:      0,
    TRADES:     1,
    ORDERBOOK:  2,
    MARKET:     3,
    USERBASE:   4,
    ORDERSTATUS:5,
    POSITION:   6
});
const ORDERSTATUS = Object.freeze({
    0:  "new",
    1:  "pfilled",
    2:  "ffilled",
    4:  "cancelled",
    6:  "cancelling",
    8:  "rejected",
    A:  "opened"
});
const POSTYPE = Object.freeze({
    1:  "open_long",
    2:  "open_short",
    3:  "close_long",
    4:  "close_short",
});

// extend prototype
function inherits (target, source) {
    for (var k in source.prototype)
        target.prototype[k] = source.prototype[k];
}

function OKCoinFIX(config) {
    var key = config.key;
    var secret = config.secret;
    this.clientid = md5(key).toUpperCase();
    var host = config.host || 'api.okcoin.com';
    var port = config.port || 9880;
    this.config = config;
    this.reqID = 1;
    this.debug = config.debug || false;
    this.heartbeatInterval = 30;
    var logfile = config.log ? "file" : "null";

    var options = {
        credentials: {
            username: key,
            password: secret
        },
        settings: `
        [DEFAULT]
        ConnectionType=initiator
        ReconnectInterval=5
        FileStorePath=./log/client
        FileLogPath=./log/clientlog
        TargetCompID=${SERVERID}
        BeginString=FIX.4.4
        StartTime=00:00:00
        EndTime=00:00:00
        HeartBtInt=${this.heartbeatInterval}
        UseDataDictionary=Y
        DataDictionary=${config.xmlcfg || './OKFIX44.xml'}
        ResetOnLogon=Y
        ResetOnLogout=Y
        FileStoreMaxCachedMsgs=10
        ResetOnDisconnect=Y
        ResetOnError=Y
        ValidateUserDefinedFields=N
        SSLProtocol=all

        [SESSION]
        SocketConnectPort=${port}
        SocketConnectHost=${host}
        SenderCompID=${this.clientid}
        `,

        ssl : true,
        storeFactory: logfile
    };

    this.client = new initiator({
        onCreate: this.onCreate.bind(this),
        onLogon: this.onLogon.bind(this),
        onLogout: this.onLogout.bind(this),
        onLogonAttempt: this.onLogonAttempt.bind(this),
        toAdmin: this.toAdmin.bind(this),
        fromAdmin: this.fromAdmin.bind(this),
        fromApp: this.fromApp.bind(this)
    }, options);

    _.bindAll(this);

}

inherits(OKCoinFIX, events.EventEmitter);

OKCoinFIX.prototype.start = function (callback) {
    this.client.start(callback);
}

OKCoinFIX.prototype.onCreate = function (session) {
    if (this.debug)
        console.log('on create \n' + JSON.stringify(session));
}

OKCoinFIX.prototype.onLogon = function (session) {
    this.heartbeat();

    if (this.config.subscribeUserBase) {
        if (!_.isEmpty(this.config.contract))
            this.subscribeFutureUserInfo('A');
        else
            this.subscribeSpotsUserInfo();
    }
    if (this.config.subscribeUserPosition) {
        if (!_.isEmpty(this.config.contract))
            this.subscribeFutureUserInfo('P');
    }
    if (this.config.subscribeUserOrders) {
        if (!_.isEmpty(this.config.contract))
            this.subscribeFutureUserInfo('O');
    }
    if (this.config.subscribeMarket) {
        if (!_.isEmpty(this.config.contract))
            this.subscribeFutureTicker(this.config.symbol,this.config.contract);
        else
            this.subscribeSpotsTicker(this.config.symbol);
    }
    if (this.config.subscribeTrades) {
        if (!_.isEmpty(this.config.contract))
            this.subscribeFutureTrade(this.config.symbol,this.config.contract);
        else
            this.subscribeSpotsTrade(this.config.symbol);
    }
    if (this.config.subscribeOrderbook) {
        if (!_.isEmpty(this.config.contract))
            this.subscribeFutureOrderbook(this.config.symbol,this.config.contract);
        else
            this.subscribeSpotsOrderbook(this.config.symbol);
    }

    if (_.isFunction(this.config.onLogon)) {
        this.config.onLogon(this.client.isLoggedOn());
    }

}

OKCoinFIX.prototype.onLogout = function (session) {
    if (this.debug)
        console.log('onLogout \n' + JSON.stringify(session));
}
OKCoinFIX.prototype.onLogonAttempt = function (msg,session) {
    if (this.debug) {
        console.log('onLogonAttempt \n' + JSON.stringify(session));
        console.log(JSON.stringify(msg));
    }
}
OKCoinFIX.prototype.toAdmin = function (msg,session) {
    if (this.debug) {
        console.log(JSON.stringify(msg));
    }
}
OKCoinFIX.prototype.fromAdmin = function (msg,session) {
    if (this.debug) {
        console.log('fromAdmin \n' + JSON.stringify(session));
        console.log(JSON.stringify(msg));
    }
}

OKCoinFIX.prototype.fromApp = function (msg,session) {
    if (this.debug)
        console.log(JSON.stringify(msg));

    // Futures
    if (!_.isEmpty(this.config.contract)) {
        var ret = this.parseFutureResp(msg);

        switch (ret.type) {
            case DATATYPE.ORDERBOOK:{
                if (_.isFunction(this.config.processOrderbook))
                    this.config.processOrderbook(ret);
                break;
            }
            case DATATYPE.TRADES:{
                if (_.isFunction(this.config.processTrades))
                    this.config.processTrades(ret);
                break;
            }
            case DATATYPE.POSITION:{
                if (_.isFunction(this.config.onPositionInfo))
                    this.config.onPositionInfo(ret);
                break;
            }
            case DATATYPE.USERBASE:{
                if (_.isFunction(this.config.onUserInfo))
                    this.config.onUserInfo(ret);
                //this.listFutureOpenOrders();
                break;
            }
            case DATATYPE.ORDERSTATUS:{
                if (_.isFunction(this.config.onOrderUpdated))
                    this.config.onOrderUpdated(ret.orderstatus, ret);
                break;
            }
            default:
                break;
        }
    }

    // Spots
    else {
        var ret = this.parseSpotsResp(msg);

        switch (ret.type) {
            case DATATYPE.USERBASE:{
                if (_.isFunction(this.config.onUserInfo))
                    this.config.onUserInfo(ret);
                break;
            }
            case DATATYPE.ORDERSTATUS:{
                if (ret.orderstatus === 'new') {
                    this.emit(`new_${ret.oid}`, ret);
                } else if (ret.orderstatus === 'cancelled') {
                    this.emit(`cancel_${ret.oid}`, ret);
                } else if (ret.orderstatus === 'opened' && _.isFunction(this.config.onListOpenOrder)) {
                    this.config.onListOpenOrder(ret);
                }
                break;
            }
            case DATATYPE.ORDERBOOK: {
                if (_.isFunction(this.config.processOrderbook))
                    this.config.processOrderbook(ret);
                break;
            }
            case DATATYPE.TRADES: {
                if (_.isFunction(this.config.processTrades))
                    this.config.processTrades(ret);
                break;
            }

            default:
                break;
        }

    }

}

OKCoinFIX.prototype.heartbeat = function() {
    var data = this.pack('0', {
        553:    this.config.key,
        554:    this.config.secret
    });

    this.client.send(data);

    this.retry((this.heartbeatInterval - 5)*1000, this.heartbeat);
}

OKCoinFIX.prototype.pack = function (type, tags, groups) {
    var data = {
        header: {
            8: 'FIX.4.4',
            35: type,
            49: this.clientid,
            56: SERVERID
        }
    };

    if (tags)
        data.tags = tags;

    if (groups)
        data.groups = groups;

    return data;
}

OKCoinFIX.prototype.retry = function (interval, method, args) {
    var wait = interval;    // seconds to wait for next try

    var self = this;

    // make sure the callback (and any other fn)
    // is bound to Trader
    _.each(args, function (arg, i) {
        if (_.isFunction(arg))
            args[i] = _.bind(arg, self);
    });

    // run the failed method again with the same
    // arguments after wait
    setTimeout(
        function () {
            method.apply(self, args)
        },
        wait
    );
}

/////////////////////////////////////////////////////
// Spots APIs
/////////////////////////////////////////////////////

/**
 * 订阅用户信息
 */
OKCoinFIX.prototype.subscribeSpotsUserInfo = function () {
    var data = this.pack('Z1000', {
        1:      this.config.key + ',' + this.config.secret,
        8000:   0,
    });

    this.client.send(data);

    this.retry(3000, this.subscribeSpotsUserInfo);
}

/**
 * 订阅订单更新数据
 * @param symbol
 */
OKCoinFIX.prototype.subscribeSpotsTrade = function (symbol) {
    var data = this.pack('V', {
        262:    ++this.reqID,
        263:    1,
        264:    0,
        265:    1,
    }, [
        {'index':146, 'delim':146, 'entries': [{
            55: symbol
        }]},
        {'index':267, 'delim':267, 'entries': [{
            269: 2
        }]},
    ]);

    this.client.send(data);
}

/**
 * 订阅现货Orderbook
 * @param symbol
 */
OKCoinFIX.prototype.subscribeSpotsOrderbook = function (symbol) {
    var data = this.pack('V', {
        262:    ++this.reqID,
        263:    1,
        264:    0,
        265:    1,
    }, [
        {'index':146, 'delim':146, 'entries': [{
            55: symbol,
        }]},
        {'index':267, 'delim':267, 'entries': [{
            269: 0
        },{
            269: 1
        }]},
    ]);

    this.client.send(data);

}

/**
 * 订阅Ticker
 * @param symbol
 */
OKCoinFIX.prototype.subscribeSpotsTicker = function (symbol) {
    var data = this.pack('V', {
        262:    ++this.reqID,
        263:    1,
        264:    0,
        265:    0,
    }, [
        {'index':146, 'delim':146, 'entries': [{
            55: symbol,
        }]},
        {'index':267, 'delim':267, 'entries': [
            {269: 4},
            {269: 5},
            {269: 7},
            {269: 8},
            {269: 9},
            {269: 'B'},
        ]},
    ]);

    this.client.send(data);

}

/**
 * 新建一个订单, callback为okcoin的回传数据
 * @param order {
 * oid: '用户分配的每个订单唯一编号',
 * amount: '订单数量',
 * price:  '限价单价格',
 * side:   '订单方向 1 = 买 2 = 卖'
 * }
 * @param callback (data)
 */
OKCoinFIX.prototype.executeSpotsOrder = function (order, callback) {
    var now = moment().format('YYYYMMDD-HH:mm:ss.SSS');
    var data = this.pack('D', {
        1:      this.config.key + ',' + this.config.secret,
        11:     order.oid,
        38:     order.amount,
        40:     2,
        44:     order.price,
        54:     order.side,
        55:     this.config.symbol,
        60:     now,
    });

    this.once(`new_${order.oid}`, callback);
    this.client.send(data);
}

/**
 * 取消一个订单, callback为okcoin的回传数据
 * @param order {
 * oid: '用户分配的每个订单唯一编号',
 * exoid: 'okcoin的订单号',
 * side:  '订单方向 1 = 买 2 = 卖',
 * }
 * @param callback (data)
 */
OKCoinFIX.prototype.executeSpotsCancelOrder = function (order, callback) {
    var now = moment().format('YYYYMMDD-HH:mm:ss.SSS');
    var data = this.pack('F', {
        11:     order.oid,
        41:     order.exoid,
        54:     order.side ,
        55:     this.config.symbol,
        60:     now,
    });

    this.once(`cancel_${order.oid}`, callback);
    this.client.send(data);
}

/**
 * 列出所有Open状态的订单,callback为okcoin的回传数据
 * @param callback (data)
 */
OKCoinFIX.prototype.listSpotsOpenOrders = function () {
    var data = this.pack('AF', {
        1:      this.config.key + ',' + this.config.secret,
        584:    0,
        585:    7,
    });

    this.client.send(data);
}

/**
 * This method should only be called internally
 * @param resp
 * @returns {{}}
 */
OKCoinFIX.prototype.parseSpotsResp = function (resp) {
    var data = {};
    data.type       = DATATYPE.NOTSUPPORT;
    data.msgSeqNum  = resp.header['34'];
    data.msgType    = resp.header['35'];
    data.sendTime   = resp.header['52'];

    // MARKET_DATA_SNAPSHOT_FULL_REFRESH
    if (data.msgType === 'W') {
        data.symbol         = resp.tags['55'];
        data.length         = resp.tags['268'];
        this.updateSpotsMarket(data, resp.groups['268']);
    }

    // MARKET_DATA_INCREMENTAL_REFRESH
    else if (data.msgType === 'X') {
        data.symbol         = this.config.symbol;
        data.length         = resp.tags['268'];
        this.updateSpotsOrderbook(data, resp.groups['268']);
    }

    // MARKET_DATA_REQUEST_REJECT
    else if (data.msgType === 'Y') {
        data.symbol         = this.config.symbol;
        data.type           = DATATYPE.ERROR;
        data.error          = resp.tags['58'];
        data.error_code     = resp.tags['281'];
    }

    // 订阅用户数据应答/拒绝
    else if (data.msgType === 'Z1001') {
        data.symbol         = resp.tags['15'];
        data.balance        = resp.tags['8001'];
        data.free           = resp.tags['8103'] + '/' + resp.tags['8101'] + '/' + resp.tags['8102'];
        data.frozen         = resp.tags['8106'] + '/' + resp.tags['8104'] + '/' + resp.tags['8105'];
        data.type           = DATATYPE.USERBASE;
    }

    // EXECUTION REPORT(8) 新订单请求/拒绝 | 订单取消确认 | 交易报告 | 报告订单状态
    else if (data.msgType === '8') {
        data.symbol         = resp.tags['55'];
        data.oid            = resp.tags['11'];
        data.orderstatus    = ORDERSTATUS[resp.tags['39']];
        data.cumqty         = resp.tags['14'];
        data.totqty         = resp.tags['38'];
        data.side           = parseInt(resp.tags['54']) == 2? "sell" : "buy";
        data.exoid          = resp.tags['37'];
        data.type           = DATATYPE.ORDERSTATUS;
    }

    // ORDER CANCEL REJECT(9) 拒绝取消
    else if (data.msgType === '9') {
        data.symbol         = this.config.symbol;
        data.error          = resp.tags['58'];
        data.error_code     = resp.tags['434'];
    }

    // 接收服务器推送的用户持仓信息
    else if (data.msgType === 'E1000') {
        data.symbol         = this.config.symbol;
        data.error          = resp.tags['58'];
        data.error_code     = resp.tags['8600'];
    }

    return data;
}

/**
 * This method should only be called internally
 * @param data
 * @param groups
 */
OKCoinFIX.prototype.updateSpotsMarket = function (data, groups) {
    if (data.length < 1) return;

    // 二十四小时行情更新
    if (data.length == 6 && groups[5]['tags']['269'] === 'B') {
        data.type = DATATYPE.MARKET;
        // TODO:
    }

    // 订单记录更新
    else if (groups[0]['tags']['269'] === '2') {
        data.type = DATATYPE.TRADES;

        var trades = [];
        var numbuy = 0;
        var numsell = 0;
        var date = moment.utc(data.sendTime,"YYYYMMDD-HH:mm:ss.SSS");
        for (var i = 0 ; i < data.length ; ++i) {
            var isbuy = false;
            if (groups[i]['tags']['54'] === '1') {
                ++numbuy;
                isbuy = true;
            } else if (groups[i]['tags']['54'] === '2') {
                ++numsell;
            }
            trades.push({
                tid: date.unix(),
                type: isbuy ? 'buy':'sell',
                price: parseFloat(groups[i]['tags']['270']),
                amount: parseFloat(groups[i]['tags']['271']),
                date: date.unix(),
                date_ms: date.valueOf()
            });
        }

        data.trades = {
            date:       date,
            buys:       numbuy,
            sells:      numsell,
            trades:     trades
        };
    }

    // Orderbook初始化
    else {
        data.type = DATATYPE.ORDERBOOK;

        this.updateSpotsOrderbook(data, groups);
    }
};

/**
 * This method should only be called internally
 * @param data
 * @param groups
 */
OKCoinFIX.prototype.updateSpotsOrderbook = function (data, groups) {
    data.type = DATATYPE.ORDERBOOK;

    var asks = [];
    var bids = [];
    for (var i = data.length - 1 ; i >= 0 ; --i) {
        var side = parseInt(groups[i]['tags']['269']);
        // type 0 - new, type 1 - change, type 2 - delete
        if (side == 1) {
            asks.push({
                price: parseFloat(groups[i]['tags']['270']),
                amount: parseFloat(groups[i]['tags']['271']),
                type: parseInt(groups[i]['tags']['279']) || 0
            });
        } else {
            bids.push({
                price: parseFloat(groups[i]['tags']['270']),
                amount: parseFloat(groups[i]['tags']['271']),
                type: parseInt(groups[i]['tags']['279']) || 0
            });
        }
    }

    _.reverse(bids);

    data.LOB = {
        asks:   asks,
        bids:   bids,
        date:   moment.utc(data.sendTime,"YYYYMMDD-HH:mm:ss.SSS")
    };

};

/////////////////////////////////////////////////////
// Future APIs
/////////////////////////////////////////////////////

OKCoinFIX.prototype.subscribeFutureUserInfo = function (subtype) {
    var data = this.pack('Z2001', {
        8216:   subtype,
        167:    'FUT'
    });

    this.client.send(data);
};

OKCoinFIX.prototype.subscribeFutureOrderbook = function (symbol, contract_type) {
    var data = this.pack('V', {
        262:    ++this.reqID,
        263:    1,
        264:    0,
        265:    1,
    }, [
        {'index':146, 'delim':146, 'entries': [{
            55: contract_type,
            167:'FUT',
            947:symbol
        }]},
        {'index':267, 'delim':267, 'entries': [{
            269: 0
        },{
            269: 1
        }]},
    ]);

    this.client.send(data);

};

OKCoinFIX.prototype.subscribeFutureTrade = function (symbol, contract_type) {
    var data = this.pack('V', {
        262:    ++this.reqID,
        263:    1,
        264:    0,
    }, [
        {'index':146, 'delim':146, 'entries': [{
            55: contract_type,
            167:'FUT',
            947:symbol
        }]},
        {'index':267, 'delim':267, 'entries': [{
            269: 2
        }]},
    ]);

    this.client.send(data);
};

OKCoinFIX.prototype.subscribeFutureTicker = function (symbol, contract_type) {
    var data = this.pack('V', {
        262:    ++this.reqID,
        263:    1,
        264:    0,
    }, [
        {'index':146, 'delim':146, 'entries': [{
            55: contract_type,
            167:'FUT',
            947:symbol
        }]},
        {'index':267, 'delim':267, 'entries': [
            {269: 4},
            {269: 5},
            {269: 7},
            {269: 8},
            {269: 9},
            {269: 'B'},

        ]},
    ]);

    this.client.send(data);
};

OKCoinFIX.prototype.parseFutureResp = function (resp) {
    var data = {};
    data.type       = DATATYPE.NOTSUPPORT;
    data.msgSeqNum  = resp.header['34'];
    data.msgType    = resp.header['35'];
    data.sendTime   = resp.header['52'];

    // MARKET_DATA_SNAPSHOT_FULL_REFRESH
    if (data.msgType === 'W') {
        data.symbol         = resp.tags['15'];
        data.contractType   = resp.tags['55'];
        data.length         = resp.tags['268'];

        this.updateFutureMarket(data, resp.groups['268']);
    }

    // MARKET_DATA_INCREMENTAL_REFRESH
    else if (data.msgType === 'X') {
        data.symbol         = this.config.symbol;
        data.contractType   = resp.tags['55'];
        data.length         = resp.tags['268'];

        this.updateFutureOrderbook(data, resp.groups['268']);
    }

    // MARKET_DATA_REQUEST_REJECT
    else if (data.msgType === 'Y') {
        data.symbol         = this.config.symbol;
        data.contractType   = this.config.contract;
        data.type           = DATATYPE.ERROR;
        data.error          = resp.tags['58'];
        data.error_code     = resp.tags['281'];
    }

    // 订阅用户数据应答/拒绝
    else if (data.msgType === 'Z2002') {
        data.symbol         = this.config.symbol;
        data.contractType   = this.config.contract;
        if (resp.tags['8217'] != 'Y') {
            data.type           = DATATYPE.ERROR;
            data.error          = resp.tags['58'];
        } else {
            data.type           = DATATYPE.NOTSUPPORT;
        }
    }

    // EXECUTION REPORT(8) 新订单请求/拒绝 | 订单取消确认 | 交易报告 | 报告订单状态
    else if (data.msgType === '8') {
        data.symbol         = resp.tags['15'];
        data.contractType   = resp.tags['55'];
        data.oid            = resp.tags['11'];
        data.cumqty         = resp.tags['14'];
        data.totqty         = resp.tags['38'];
        data.orderstatus    = ORDERSTATUS[resp.tags['39']];
        data.ordertype      = POSTYPE[parseInt(resp.tags['40'])];
        data.price          = resp.tags['44'];
        data.side           = parseInt(resp.tags['54']) == 2? "short" : "long";
        data.exoid          = resp.tags['37'];
        data.exeType        = resp.tags['150'];
        data.leavesQty      = resp.tags['151'];
        data.lever          = resp.tags['898'];
        data.type           = DATATYPE.ORDERSTATUS;
        //data.test           = `${resp.tags['40']} - ${resp.tags['54']}`;
    }

    // ORDER CANCEL REJECT(9) 拒绝取消
    else if (data.msgType === '9') {
        data.symbol         = this.config.symbol;
        data.contractType   = this.config.contract;
        data.exoid          = resp.tags['37'];
        data.oid            = resp.tags['11'];
        data.side           = parseInt(resp.tags['54']) == 2? "short" : "long";
        data.orderstatus    = ORDERSTATUS[resp.tags['39']];
        data.error          = resp.tags['58'];
        data.error_code     = resp.tags['434'];
        data.type           = DATATYPE.ORDERSTATUS;
    }

    // 接收服务器推送的用户持仓信息
    else if (data.msgType === 'Z3001') {
        data.symbol         = this.config.symbol;
        data.contractType   = this.config.contract;

        if (!_.isEmpty(resp.groups))
            this.updateFuturePosition(data, resp.groups['8303']);
    }

    // 推送用户信息
    else if (data.msgType === 'Z3003') {
        data.symbol         = this.config.symbol;
        data.contractType   = this.config.contract;
        data.balance        = resp.tags['8001'];

        if (!_.isEmpty(resp.groups))
            this.updateFutureUserInfo(data, resp.groups['8302']);
    }

    // 接收服务器推送的用户持仓信息
    else if (data.msgType === 'E1000') {
        data.symbol         = this.config.symbol;
        data.contractType   = this.config.contract;
        data.error          = resp.tags['58'];
        data.error_code     = resp.tags['8600'];

        if (data.error_code === "10009") {
            data.type           = DATATYPE.ORDERSTATUS;
            data.orderstatus    = "empty";
        }
    }

    return data;
};

OKCoinFIX.prototype.updateFutureUserInfo = function (data, groups) {
    data.type = DATATYPE.USERBASE;
    data.account = {};

    var len = groups.length;
    for (var i = 0; i < len; ++i) {
        if (groups[i]['tags']['15'] === this.config.symbol && groups[i]['tags']['55'] === this.config.contract) {
            data.account = {
                balance:    parseFloat(groups[i]['tags']['8001']),
                available:  parseFloat(groups[i]['tags']['8202']),
                profit:     parseFloat(groups[i]['tags']['8203']),
                frozen:     parseFloat(groups[i]['tags']['8207']),
                margin:     parseFloat(groups[i]['tags']['8208']),
            };

            break;
        }
    }

};

OKCoinFIX.prototype.updateFuturePosition = function (data, groups) {
    data.type = DATATYPE.POSITION;
    data.position = [];

    var len = groups.length;
    for (var i = 0; i < len; ++i) {
        if (groups[i]['tags']['55'] === this.config.contract) {
            var pos = {
                id:         groups[i]['tags']['8209'],
                profit:     parseFloat(groups[i]['tags']['8203']),
                margin:     parseFloat(groups[i]['tags']['8208']),
                frozenMargin: parseFloat(groups[i]['tags']['8207']),
                direction:  (parseInt(groups[i]['tags']['8210']) == 2 ? -1 : 1),
                amount:     (parseInt(groups[i]['tags']['38'])),
                openPrice:  parseFloat(groups[i]['tags']['44']),
                avgOpenPrice: parseFloat(groups[i]['tags']['6']),
                lever:      parseInt(groups[i]['tags']['898']),
            };

            // only return opened positions
            if (pos.amount > 0)
                data.position.push(pos);
        } else {
            continue;
        }
    }
};

OKCoinFIX.prototype.updateFutureMarket = function (data, groups) {
    if (data.length < 1) return;

    // 二十四小时行情更新
    if (data.length == 6 && groups[5]['tags']['269'] === 'B') {
        data.type = DATATYPE.MARKET;
        // TODO:
    }

    // 订单记录更新
    else if (!_.isEmpty(groups[0]['tags']['37'])) {
        data.type = DATATYPE.TRADES;

        var trades = [];
        var numbuy = 0;
        var numsell = 0;
        var date = moment.utc(data.sendTime,"YYYYMMDD-HH:mm:ss.SSS");

        for (var i = 0 ; i < data.length ; ++i) {
            var isbuy = false;
            if (groups[i]['tags']['54'] === '1') {
                ++numbuy;
                isbuy = true;
            } else if (groups[i]['tags']['54'] === '2') {
                ++numsell;
            }
            trades.push({
                tid: groups[i]['tags']['37'],
                type: isbuy ? 'buy':'sell',
                price: parseFloat(groups[i]['tags']['270']),
                amount: parseFloat(groups[i]['tags']['271']),
                date: date.unix(),
                date_ms: date.valueOf()
            });
        }

        data.trades = {
            date:       date,
            buys:       numbuy,
            sells:      numsell,
            trades:     trades
        };
    }

    // Orderbook初始化
    else {
        data.type = DATATYPE.ORDERBOOK;

        this.updateFutureOrderbook(data, groups);
    }
}

OKCoinFIX.prototype.updateFutureOrderbook = function (data, groups) {
    data.type = DATATYPE.ORDERBOOK;

    var asks = [];
    var bids = [];
    for (var i = data.length - 1 ; i >= 0 ; --i) {
        var side = parseInt(groups[i]['tags']['269']);
        // type 0 - new, type 1 - change, type 2 - delete
        if (side == 1) {
            asks.push({
                price: parseFloat(groups[i]['tags']['270']),
                amount: parseFloat(groups[i]['tags']['271']),
                type: parseInt(groups[i]['tags']['279']) || 0
            });
        } else {
            bids.push({
                price: parseFloat(groups[i]['tags']['270']),
                amount: parseFloat(groups[i]['tags']['271']),
                type: parseInt(groups[i]['tags']['279']) || 0
            });
        }
    }

    _.reverse(bids);

    data.LOB = {
        asks:   asks,
        bids:   bids,
        date:   moment.utc(data.sendTime,"YYYYMMDD-HH:mm:ss.SSS")
    };

}

/**
 * 新建一个订单, callback为okcoin的回传数据
 * @param order {
 * oid: '用户分配的每个订单唯一编号',
 * amount: '订单数量',
 * price:  '限价单价格',
 * side:   '开仓:1 = 买，2 = 卖 平仓: 1=卖，2=买',
 * position: 'O = 开仓, C = 平仓',
 * lever:   '杠杆数10/20'
 * }
 * @param force 是否为市价单
 * 77=O 54=1 表示开多 77=O 54=2 表示开空
 * 77=C 54=1 表示平多 77=C 54=2 表示平空
 * @param callback (data)
 */
OKCoinFIX.prototype.executeFutureOrder = function (order, force) {
    var now = moment().format('YYYYMMDD-HH:mm:ss.SSS');
    var data = this.pack('D', {
        1:      this.config.key + ',' + this.config.secret,
        11:     order.oid,
        15:     this.config.symbol,
        38:     order.amount,
        40:     force ? 1 : 2,
        44:     order.price,
        54:     order.side,
        77:     order.position,
        55:     this.config.contract,
        60:     now,
        167:    'FUT',
        898:    order.lever
    });

    //this.once(`new_${order.oid}`, callback);
    //console.log(`Order Make ${JSON.stringify(data)}`);
    this.client.send(data);
}

/**
 * 取消一个订单, callback为okcoin的回传数据
 * @param order {
 * oid: '用户分配的每个订单唯一编号',
 * exoid: 'okcoin的订单号',
 * side:   '原始订单的方向 开仓:1 = 买，2 = 卖 平仓: 1=卖，2=买',
 * }
 * @param callback (data)
 */
OKCoinFIX.prototype.executeFutureCancelOrder = function (order) {
    var now = moment().format('YYYYMMDD-HH:mm:ss.SSS');
    if (order.ordertype === POSTYPE[1] || order.ordertype === POSTYPE[3])
        order.side = 1;
    else if (order.ordertype === POSTYPE[2] || order.ordertype === POSTYPE[4])
        order.side = 2;

    var data = this.pack('F', {
        11:     order.oid,
        41:     order.exoid,
        54:     order.side ,
        55:     this.config.contract,
        60:     now,
        167:    'FUT',
        947:    this.config.symbol
    });

    //this.once(`cancel_${order.oid}`, callback);
    this.client.send(data);
}

/**
 * 列出所有Open状态的订单,callback为okcoin的回传数据
 * @param callback (data)
 */
OKCoinFIX.prototype.listFutureOpenOrders = function () {
    var data = this.pack('Z2000', {
        8214:   1,
        39:     1,
        55:     this.config.contract,
        947:    this.config.symbol,
        167:    'FUT',
    });

    this.client.send(data);
};

function errorMessage(code) {
    var codes = {
        10000: 'Required parameter is empty',
        10001: 'Illegal parameters',
        10002: 'Authentication failure',
        10003: 'This connection has requested other user data',
        10004: 'This connection did not request this user data',
        10005: 'System error',
        10009: 'Order does not exist',
        10010: 'Insufficient funds',
        10011: 'Order quantity too low',
        10012: 'Only support btc_usd ltc_usd',
        10014: 'Order price must be between 0 - 1,000,000',
        10015: 'Channel subscription temporally not available',
        10016: 'Insufficient coins',
        10017: 'WebSocket authorization error',
        10100: 'user frozen',
        10216: 'non-public API',
        20001: 'user does not exist',
        20002: 'user frozen',
        20003: 'frozen due to force liquidation',
        20004: 'future account frozen',
        20005: 'user future account does not exist',
        20006: 'required field can not be null',
        20007: 'illegal parameter',
        20008: 'future account fund balance is zero',
        20009: 'future contract status error',
        20010: 'risk rate information does not exist',
        20011: 'risk rate bigger than 90% before opening position',
        20012: 'risk rate bigger than 90% after opening position',
        20013: 'temporally no counter party price',
        20014: 'system error',
        20015: 'order does not exist',
        20016: 'liquidation quantity bigger than holding',
        20017: 'not authorized/illegal order ID',
        20018: 'order price higher than 105% or lower than 95% of the price of last minute',
        20019: 'IP restrained to access the resource',
        20020: 'secret key does not exist',
        20021: 'index information does not exist',
        20022: 'wrong API interface',
        20023: 'fixed margin user',
        20024: 'signature does not match',
        20025: 'leverage rate error',
        20100: 'request time out',
        20101: 'the format of data is error',
        20102: 'invalid login',
        20103: 'event type error',
        20104: 'subscription type error',
        20107: 'JSON format error'
    };
    if (!codes[code]) {
        return 'OKCoinWS error code: ' + code + 'is not supported';
    }

    return codes[code];
}

module.exports = OKCoinFIX;