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Websocket orderbook buffering (#333)

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* 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
This commit is contained in:
Scott
2019-08-13 09:32:59 +10:00
committed by Adrian Gallagher
parent 2078ba907f
commit 0fbf8b172a
110 changed files with 2197 additions and 1909 deletions
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33
testdata/configtest.json vendored
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@@ -172,6 +172,7 @@
"httpTimeout": 15000000000,
"websocketResponseCheckTimeout": 30000000,
"websocketResponseMaxLimit": 7000000000,
"websocketOrderbookBufferLimit": 5,
"httpUserAgent": "",
"httpDebugging": false,
"authenticatedApiSupport": false,
@@ -216,6 +217,7 @@
"httpTimeout": 15000000000,
"websocketResponseCheckTimeout": 30000000,
"websocketResponseMaxLimit": 7000000000,
"websocketOrderbookBufferLimit": 5,
"httpUserAgent": "",
"httpDebugging": false,
"authenticatedApiSupport": false,
@@ -260,6 +262,7 @@
"httpTimeout": 15000000000,
"websocketResponseCheckTimeout": 30000000,
"websocketResponseMaxLimit": 7000000000,
"websocketOrderbookBufferLimit": 5,
"httpUserAgent": "",
"httpDebugging": false,
"authenticatedApiSupport": false,
@@ -312,6 +315,7 @@
"httpTimeout": 15000000000,
"websocketResponseCheckTimeout": 30000000,
"websocketResponseMaxLimit": 7000000000,
"websocketOrderbookBufferLimit": 5,
"httpUserAgent": "",
"httpDebugging": false,
"authenticatedApiSupport": false,
@@ -358,6 +362,7 @@
"httpTimeout": 15000000000,
"websocketResponseCheckTimeout": 30000000,
"websocketResponseMaxLimit": 7000000000,
"websocketOrderbookBufferLimit": 5,
"httpUserAgent": "",
"httpDebugging": false,
"authenticatedApiSupport": false,
@@ -403,6 +408,7 @@
"httpTimeout": 15000000000,
"websocketResponseCheckTimeout": 30000000,
"websocketResponseMaxLimit": 7000000000,
"websocketOrderbookBufferLimit": 5,
"httpUserAgent": "",
"httpDebugging": false,
"authenticatedApiSupport": false,
@@ -447,6 +453,7 @@
"httpTimeout": 15000000000,
"websocketResponseCheckTimeout": 30000000,
"websocketResponseMaxLimit": 7000000000,
"websocketOrderbookBufferLimit": 5,
"httpUserAgent": "",
"httpDebugging": false,
"authenticatedApiSupport": false,
@@ -492,6 +499,7 @@
"httpTimeout": 15000000000,
"websocketResponseCheckTimeout": 30000000,
"websocketResponseMaxLimit": 7000000000,
"websocketOrderbookBufferLimit": 5,
"httpUserAgent": "",
"httpDebugging": false,
"authenticatedApiSupport": false,
@@ -537,6 +545,7 @@
"httpTimeout": 15000000000,
"websocketResponseCheckTimeout": 30000000,
"websocketResponseMaxLimit": 7000000000,
"websocketOrderbookBufferLimit": 5,
"httpUserAgent": "",
"httpDebugging": false,
"authenticatedApiSupport": false,
@@ -581,6 +590,7 @@
"httpTimeout": 15000000000,
"websocketResponseCheckTimeout": 30000000,
"websocketResponseMaxLimit": 7000000000,
"websocketOrderbookBufferLimit": 5,
"httpUserAgent": "",
"httpDebugging": false,
"authenticatedApiSupport": false,
@@ -625,6 +635,7 @@
"httpTimeout": 15000000000,
"websocketResponseCheckTimeout": 30000000,
"websocketResponseMaxLimit": 7000000000,
"websocketOrderbookBufferLimit": 5,
"httpUserAgent": "",
"httpDebugging": false,
"authenticatedApiSupport": false,
@@ -671,6 +682,7 @@
"httpTimeout": 15000000000,
"websocketResponseCheckTimeout": 30000000,
"websocketResponseMaxLimit": 7000000000,
"websocketOrderbookBufferLimit": 5,
"httpUserAgent": "",
"httpDebugging": false,
"authenticatedApiSupport": false,
@@ -716,6 +728,7 @@
"httpTimeout": 15000000000,
"websocketResponseCheckTimeout": 30000000,
"websocketResponseMaxLimit": 7000000000,
"websocketOrderbookBufferLimit": 5,
"httpUserAgent": "",
"httpDebugging": false,
"authenticatedApiSupport": false,
@@ -761,6 +774,7 @@
"httpTimeout": 15000000000,
"websocketResponseCheckTimeout": 30000000,
"websocketResponseMaxLimit": 7000000000,
"websocketOrderbookBufferLimit": 5,
"httpUserAgent": "",
"httpDebugging": false,
"authenticatedApiSupport": false,
@@ -804,6 +818,7 @@
"httpTimeout": 15000000000,
"websocketResponseCheckTimeout": 30000000,
"websocketResponseMaxLimit": 7000000000,
"websocketOrderbookBufferLimit": 5,
"httpUserAgent": "",
"httpDebugging": false,
"authenticatedApiSupport": false,
@@ -848,6 +863,7 @@
"httpTimeout": 15000000000,
"websocketResponseCheckTimeout": 30000000,
"websocketResponseMaxLimit": 7000000000,
"websocketOrderbookBufferLimit": 5,
"httpUserAgent": "",
"httpDebugging": false,
"authenticatedApiSupport": false,
@@ -893,6 +909,7 @@
"httpTimeout": 15000000000,
"websocketResponseCheckTimeout": 30000000,
"websocketResponseMaxLimit": 7000000000,
"websocketOrderbookBufferLimit": 5,
"httpUserAgent": "",
"httpDebugging": false,
"authenticatedApiSupport": false,
@@ -938,6 +955,7 @@
"httpTimeout": 15000000000,
"websocketResponseCheckTimeout": 30000000,
"websocketResponseMaxLimit": 7000000000,
"websocketOrderbookBufferLimit": 5,
"httpUserAgent": "",
"httpDebugging": false,
"authenticatedApiSupport": false,
@@ -983,6 +1001,7 @@
"httpTimeout": 15000000000,
"websocketResponseCheckTimeout": 30000000,
"websocketResponseMaxLimit": 7000000000,
"websocketOrderbookBufferLimit": 5,
"httpUserAgent": "",
"httpDebugging": false,
"authenticatedApiSupport": false,
@@ -1022,12 +1041,13 @@
"name": "LakeBTC",
"enabled": true,
"verbose": false,
"websocket": false,
"websocket": true,
"useSandbox": false,
"restPollingDelay": 10,
"httpTimeout": 15000000000,
"websocketResponseCheckTimeout": 30000000,
"websocketResponseMaxLimit": 7000000000,
"websocketOrderbookBufferLimit": 5,
"httpUserAgent": "",
"httpDebugging": false,
"authenticatedApiSupport": false,
@@ -1038,8 +1058,8 @@
"apiUrlSecondary": "NON_DEFAULT_HTTP_LINK_TO_EXCHANGE_API",
"proxyAddress": "",
"websocketUrl": "NON_DEFAULT_HTTP_LINK_TO_WEBSOCKET_EXCHANGE_API",
"availablePairs": "ETHBTC,USDNGN,USDSGD,EURUSD,USDHKD,BACETH,BTCCHF,BTCGBP,BTCJPY,BTCCAD,BTCEUR,USDCAD,BTCNGN,AUDUSD,GBPUSD,USDJPY,LTCBTC,BCHBTC,USDCHF,NZDUSD,XRPBTC",
"enabledPairs": "ETHBTC",
"availablePairs": "ETHBTC,USDNGN,USDSGD,EURUSD,USDHKD,BACETH,BTCCHF,BTCGBP,BTCJPY,BTCCAD,BTCEUR,USDCAD,BTCNGN,AUDUSD,GBPUSD,USDJPY,LTCBTC,BCHBTC,USDCHF,NZDUSD,XRPBTC,BTCUSD",
"enabledPairs": "BTCUSD,BTCEUR,LTCBTC",
"baseCurrencies": "USD,EUR,HKD,AUD,GBP,NZD,JPY,SGD,NGN,CHF,CAD",
"assetTypes": "SPOT",
"supportsAutoPairUpdates": true,
@@ -1071,6 +1091,7 @@
"httpTimeout": 15000000000,
"websocketResponseCheckTimeout": 30000000,
"websocketResponseMaxLimit": 7000000000,
"websocketOrderbookBufferLimit": 5,
"httpUserAgent": "",
"httpDebugging": false,
"authenticatedApiSupport": false,
@@ -1114,6 +1135,7 @@
"httpTimeout": 15000000000,
"websocketResponseCheckTimeout": 30000000,
"websocketResponseMaxLimit": 7000000000,
"websocketOrderbookBufferLimit": 5,
"httpUserAgent": "",
"httpDebugging": false,
"authenticatedApiSupport": false,
@@ -1159,6 +1181,7 @@
"httpTimeout": 15000000000,
"websocketResponseCheckTimeout": 30000000,
"websocketResponseMaxLimit": 7000000000,
"websocketOrderbookBufferLimit": 5,
"httpUserAgent": "",
"httpDebugging": false,
"authenticatedApiSupport": false,
@@ -1204,6 +1227,7 @@
"httpTimeout": 15000000000,
"websocketResponseCheckTimeout": 30000000,
"websocketResponseMaxLimit": 7000000000,
"websocketOrderbookBufferLimit": 5,
"httpUserAgent": "",
"httpDebugging": false,
"authenticatedApiSupport": false,
@@ -1249,6 +1273,7 @@
"httpTimeout": 15000000000,
"websocketResponseCheckTimeout": 30000000,
"websocketResponseMaxLimit": 7000000000,
"websocketOrderbookBufferLimit": 5,
"httpUserAgent": "",
"httpDebugging": false,
"authenticatedApiSupport": false,
@@ -1296,6 +1321,7 @@
"httpTimeout": 15000000000,
"websocketResponseCheckTimeout": 30000000,
"websocketResponseMaxLimit": 7000000000,
"websocketOrderbookBufferLimit": 5,
"httpUserAgent": "",
"httpDebugging": false,
"authenticatedApiSupport": false,
@@ -1341,6 +1367,7 @@
"httpTimeout": 15000000000,
"websocketResponseCheckTimeout": 30000000,
"websocketResponseMaxLimit": 7000000000,
"websocketOrderbookBufferLimit": 5,
"httpUserAgent": "",
"httpDebugging": false,
"authenticatedApiSupport": false,