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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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3
tools/exchange_template/exchange_template.go
View File

@@ -10,6 +10,7 @@ import (
"github.com/thrasher-corp/gocryptotrader/common"
"github.com/thrasher-corp/gocryptotrader/config"
"github.com/thrasher-corp/gocryptotrader/exchanges/orderbook"
)
const (
@@ -120,7 +121,7 @@ func main() {
newExchConfig.RESTPollingDelay = 10
newExchConfig.APIKey = "Key"
newExchConfig.APISecret = "Secret"
newExchConfig.AssetTypes = "SPOT"
newExchConfig.AssetTypes = orderbook.Spot
configTestFile.Exchanges = append(configTestFile.Exchanges, newExchConfig)
// TODO sorting function so exchanges are in alphabetical order - low priority

2
tools/exchange_template/main_file.tmpl
View File

@@ -47,7 +47,7 @@ func ({{.Variable}} *{{.CapitalName}}) SetDefaults() {
common.NewHTTPClientWithTimeout(exchange.DefaultHTTPTimeout))
{{.Variable}}.APIUrlDefault = {{.Name}}APIURL
{{.Variable}}.APIUrl = {{.Variable}}.APIUrlDefault
{{.Variable}}.Websocket = wshandler.New()
{{.Variable}}.Websocket = monitor.New()
{{.Variable}}.WebsocketResponseMaxLimit = exchange.DefaultWebsocketResponseMaxLimit
{{.Variable}}.WebsocketResponseCheckTimeout = exchange.DefaultWebsocketResponseCheckTimeout
}

6
tools/exchange_template/wrapper_file.tmpl
View File

@@ -187,20 +187,20 @@ func ({{.Variable}} *{{.CapitalName}}) GetFeeByType(feeBuilder *exchange.FeeBuil
// SubscribeToWebsocketChannels appends to ChannelsToSubscribe
// which lets websocket.manageSubscriptions handle subscribing
func ({{.Variable}} *{{.CapitalName}}) SubscribeToWebsocketChannels(channels []wshandler.WebsocketChannelSubscription) error {
func ({{.Variable}} *{{.CapitalName}}) SubscribeToWebsocketChannels(channels []monitor.WebsocketChannelSubscription) error {
{{.Variable}}.Websocket.SubscribeToChannels(channels)
return nil
}
// UnsubscribeToWebsocketChannels removes from ChannelsToSubscribe
// which lets websocket.manageSubscriptions handle unsubscribing
func ({{.Variable}} *{{.CapitalName}}) UnsubscribeToWebsocketChannels(channels []wshandler.WebsocketChannelSubscription) error {
func ({{.Variable}} *{{.CapitalName}}) UnsubscribeToWebsocketChannels(channels []monitor.WebsocketChannelSubscription) error {
{{.Variable}}.Websocket.UnubscribeToChannels(channels)
return nil
}
// GetSubscriptions returns a copied list of subscriptions
func ({{.Variable}} *{{.CapitalName}}) GetSubscriptions() ([]wshandler.WebsocketChannelSubscription, error) {
func ({{.Variable}} *{{.CapitalName}}) GetSubscriptions() ([]monitor.WebsocketChannelSubscription, error) {
return nil, common.ErrNotYetImplemented
}