Websocket orderbook buffering (#333)

* Initial commit setting up a map orderbook system with a buffer. It will write to the buffer, sort apply to main orderbook and then process.

* Moves namespaces again

* Updates orderbook to use a sweet new WebsocketOrderbookUpdate type to handle all updates whether its using ID or not. So good. Adds many tests

* Starting to implement orderbook update handling per exchange. Updates namespaces again. Hopefuylly will find a way to update via ID not timestamp, too many endpoints dont provide update timestamps

* Changes orderbookbuffer to use BufferUpdate type instead of orderbook.Base to achieve more functionality and no need for type conversion functions. Updates tests

* Updates all instances of ws.orderbook.Update. Simplifies some orderbook logic

* Introduces toggleable buffer. Renames orderbooks. Completes implementation for everywhere but OKGroup due to hash calculation

* Implements orderbook update for okgroup, but forgets about the orderbook hash checking

* Fixes okgroup checksum calculation. Fixes linting issue. Removes redundant Kraken tests.

* Introduces sorting toggle and separates from buffer toggle. Uses benchmarks to highlight performance gains

* Fixes Gemini rate limit and parsing. Removes comments and fixes typos

* Fixes bitfinex orderbook processing

* Inbuilt sorting, minor fixes for websocket implementations. Improves test coverage

* Adds surprise LakeBTC websocket support

* Fixes data race

* Fixes rebasing issues due to namespace movements

* Addresses PR nits: moves folder namespace from ws to websocket. Removes line spaces in imports. Fixes lakebtc websocket returns and defer fucntions. Fixes comments

* Adds poloniex orderook sorting support

* Enables bitstamp and hitbtc orderbook sorting. Fixes poloniex's sorting

* Renames namespaces and combines monitor and connection into wshandler. Removes unused SPOT const. Changes how orderbook stuff is loaded. It is done in startup with a setup. Removes exchange name from loadsnapshot as well

* Removes the connection.go from rebasing issues. Removes error response from functions used in goroutines

* Fixes test with exchange name output change

* Fixes issues where copy and paste and replace all were used poorly

exchanges/btse/btse.go

@@ -14,7 +14,7 @@ import (
 	exchange "github.com/thrasher-corp/gocryptotrader/exchanges"
 	"github.com/thrasher-corp/gocryptotrader/exchanges/request"
 	"github.com/thrasher-corp/gocryptotrader/exchanges/ticker"
-	"github.com/thrasher-corp/gocryptotrader/exchanges/wshandler"
+	"github.com/thrasher-corp/gocryptotrader/exchanges/websocket/wshandler"
 	log "github.com/thrasher-corp/gocryptotrader/logger"
 )
 
@@ -71,6 +71,7 @@ func (b *BTSE) SetDefaults() {
 		wshandler.WebsocketUnsubscribeSupported
 	b.WebsocketResponseMaxLimit = exchange.DefaultWebsocketResponseMaxLimit
 	b.WebsocketResponseCheckTimeout = exchange.DefaultWebsocketResponseCheckTimeout
+	b.WebsocketOrderbookBufferLimit = exchange.DefaultWebsocketOrderbookBufferLimit
 }
 
 // Setup takes in the supplied exchange configuration details and sets params
@@ -129,6 +130,13 @@ func (b *BTSE) Setup(exch *config.ExchangeConfig) {
 			ResponseCheckTimeout: exch.WebsocketResponseCheckTimeout,
 			ResponseMaxLimit:     exch.WebsocketResponseMaxLimit,
 		}
+		b.Websocket.Orderbook.Setup(
+			exch.WebsocketOrderbookBufferLimit,
+			false,
+			false,
+			false,
+			false,
+			exch.Name)
 	}
 }
 

exchanges/btse/btse_websocket.go

@@ -11,7 +11,7 @@ import (
 	"github.com/thrasher-corp/gocryptotrader/common"
 	"github.com/thrasher-corp/gocryptotrader/currency"
 	"github.com/thrasher-corp/gocryptotrader/exchanges/orderbook"
-	"github.com/thrasher-corp/gocryptotrader/exchanges/wshandler"
+	"github.com/thrasher-corp/gocryptotrader/exchanges/websocket/wshandler"
 	log "github.com/thrasher-corp/gocryptotrader/logger"
 )
 
@@ -94,7 +94,7 @@ func (b *BTSE) WsHandleData() {
 				b.Websocket.DataHandler <- wshandler.TickerData{
 					Timestamp: time.Now(),
 					Pair:      currency.NewPairDelimiter(t.ProductID, "-"),
-					AssetType: "SPOT",
+					AssetType: orderbook.Spot,
 					Exchange:  b.GetName(),
 					OpenPrice: price,
 				}
@@ -119,14 +119,14 @@ func (b *BTSE) WsHandleData() {
 // ProcessSnapshot processes the initial orderbook snap shot
 func (b *BTSE) wsProcessSnapshot(snapshot *websocketOrderbookSnapshot) error {
 	var base orderbook.Base
-	for _, bid := range snapshot.Bids {
-		p := strings.Replace(bid[0].(string), ",", "", -1)
+	for i := range snapshot.Bids {
+		p := strings.Replace(snapshot.Bids[i][0].(string), ",", "", -1)
 		price, err := strconv.ParseFloat(p, 64)
 		if err != nil {
 			return err
 		}
 
-		a := strings.Replace(bid[1].(string), ",", "", -1)
+		a := strings.Replace(snapshot.Bids[i][1].(string), ",", "", -1)
 		amount, err := strconv.ParseFloat(a, 64)
 		if err != nil {
 			return err
@@ -136,14 +136,14 @@ func (b *BTSE) wsProcessSnapshot(snapshot *websocketOrderbookSnapshot) error {
 			orderbook.Item{Price: price, Amount: amount})
 	}
 
-	for _, ask := range snapshot.Asks {
-		p := strings.Replace(ask[0].(string), ",", "", -1)
+	for i := range snapshot.Asks {
+		p := strings.Replace(snapshot.Asks[i][0].(string), ",", "", -1)
 		price, err := strconv.ParseFloat(p, 64)
 		if err != nil {
 			return err
 		}
 
-		a := strings.Replace(ask[1].(string), ",", "", -1)
+		a := strings.Replace(snapshot.Asks[i][1].(string), ",", "", -1)
 		amount, err := strconv.ParseFloat(a, 64)
 		if err != nil {
 			return err
@@ -154,19 +154,19 @@ func (b *BTSE) wsProcessSnapshot(snapshot *websocketOrderbookSnapshot) error {
 	}
 
 	p := currency.NewPairDelimiter(snapshot.ProductID, "-")
-	base.AssetType = "SPOT"
+	base.AssetType = orderbook.Spot
 	base.Pair = p
 	base.LastUpdated = time.Now()
 	base.ExchangeName = b.Name
 
-	err := base.Process()
+	err := b.Websocket.Orderbook.LoadSnapshot(&base, true)
 	if err != nil {
 		return err
 	}
 
 	b.Websocket.DataHandler <- wshandler.WebsocketOrderbookUpdate{
 		Pair:     p,
-		Asset:    "SPOT",
+		Asset:    orderbook.Spot,
 		Exchange: b.GetName(),
 	}
 

exchanges/btse/btse_wrapper.go

@@ -12,7 +12,7 @@ import (
 	exchange "github.com/thrasher-corp/gocryptotrader/exchanges"
 	"github.com/thrasher-corp/gocryptotrader/exchanges/orderbook"
 	"github.com/thrasher-corp/gocryptotrader/exchanges/ticker"
-	"github.com/thrasher-corp/gocryptotrader/exchanges/wshandler"
+	"github.com/thrasher-corp/gocryptotrader/exchanges/websocket/wshandler"
 	log "github.com/thrasher-corp/gocryptotrader/logger"
 )