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/huobi/huobi.go

@@ -22,7 +22,7 @@ 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"
 )
 
@@ -105,6 +105,7 @@ func (h *HUOBI) SetDefaults() {
 		wshandler.WebsocketMessageCorrelationSupported
 	h.WebsocketResponseMaxLimit = exchange.DefaultWebsocketResponseMaxLimit
 	h.WebsocketResponseCheckTimeout = exchange.DefaultWebsocketResponseCheckTimeout
+	h.WebsocketOrderbookBufferLimit = exchange.DefaultWebsocketOrderbookBufferLimit
 }
 
 // Setup sets user configuration
@@ -177,6 +178,13 @@ func (h *HUOBI) Setup(exch *config.ExchangeConfig) {
 			ResponseCheckTimeout: exch.WebsocketResponseCheckTimeout,
 			ResponseMaxLimit:     exch.WebsocketResponseMaxLimit,
 		}
+		h.Websocket.Orderbook.Setup(
+			exch.WebsocketOrderbookBufferLimit,
+			false,
+			false,
+			false,
+			false,
+			exch.Name)
 	}
 }
 

exchanges/huobi/huobi_test.go

@@ -16,7 +16,7 @@ import (
 	"github.com/thrasher-corp/gocryptotrader/currency"
 	exchange "github.com/thrasher-corp/gocryptotrader/exchanges"
 	"github.com/thrasher-corp/gocryptotrader/exchanges/sharedtestvalues"
-	"github.com/thrasher-corp/gocryptotrader/exchanges/wshandler"
+	"github.com/thrasher-corp/gocryptotrader/exchanges/websocket/wshandler"
 )
 
 // Please supply you own test keys here for due diligence testing.

exchanges/huobi/huobi_websocket.go

@@ -13,7 +13,7 @@ import (
 	"github.com/thrasher-corp/gocryptotrader/currency"
 	exchange "github.com/thrasher-corp/gocryptotrader/exchanges"
 	"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"
 )
 
@@ -242,7 +242,7 @@ func (h *HUOBI) wsHandleMarketData(resp WsMessage) {
 		h.Websocket.DataHandler <- wshandler.KlineData{
 			Timestamp:  time.Unix(0, kline.Timestamp),
 			Exchange:   h.GetName(),
-			AssetType:  "SPOT",
+			AssetType:  orderbook.Spot,
 			Pair:       currency.NewPairFromString(data[1]),
 			OpenPrice:  kline.Tick.Open,
 			ClosePrice: kline.Tick.Close,
@@ -260,7 +260,7 @@ func (h *HUOBI) wsHandleMarketData(resp WsMessage) {
 		data := common.SplitStrings(trade.Channel, ".")
 		h.Websocket.DataHandler <- wshandler.TradeData{
 			Exchange:     h.GetName(),
-			AssetType:    "SPOT",
+			AssetType:    orderbook.Spot,
 			CurrencyPair: currency.NewPairFromString(data[1]),
 			Timestamp:    time.Unix(0, trade.Tick.Timestamp),
 		}
@@ -268,37 +268,31 @@ func (h *HUOBI) wsHandleMarketData(resp WsMessage) {
 }
 
 // WsProcessOrderbook processes new orderbook data
-func (h *HUOBI) WsProcessOrderbook(ob *WsDepth, symbol string) error {
-	var bids []orderbook.Item
-	for _, data := range ob.Tick.Bids {
-		bidLevel := data.([]interface{})
+func (h *HUOBI) WsProcessOrderbook(update *WsDepth, symbol string) error {
+	p := currency.NewPairFromString(symbol)
+	var bids, asks []orderbook.Item
+	for i := 0; i < len(update.Tick.Bids); i++ {
+		bidLevel := update.Tick.Bids[i].([]interface{})
 		bids = append(bids, orderbook.Item{Price: bidLevel[0].(float64),
 			Amount: bidLevel[0].(float64)})
 	}
-
-	var asks []orderbook.Item
-	for _, data := range ob.Tick.Asks {
-		askLevel := data.([]interface{})
+	for i := 0; i < len(update.Tick.Asks); i++ {
+		askLevel := update.Tick.Asks[i].([]interface{})
 		asks = append(asks, orderbook.Item{Price: askLevel[0].(float64),
 			Amount: askLevel[0].(float64)})
 	}
-
-	p := currency.NewPairFromString(symbol)
-
 	var newOrderBook orderbook.Base
 	newOrderBook.Asks = asks
 	newOrderBook.Bids = bids
 	newOrderBook.Pair = p
-
-	err := h.Websocket.Orderbook.LoadSnapshot(&newOrderBook, h.GetName(), false)
+	err := h.Websocket.Orderbook.LoadSnapshot(&newOrderBook, true)
 	if err != nil {
 		return err
 	}
-
 	h.Websocket.DataHandler <- wshandler.WebsocketOrderbookUpdate{
 		Pair:     p,
 		Exchange: h.GetName(),
-		Asset:    "SPOT",
+		Asset:    orderbook.Spot,
 	}
 
 	return nil

exchanges/huobi/huobi_wrapper.go

@@ -14,7 +14,7 @@ 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"
 )