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Engine QA (#367)

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* Improved error message when no config is set on startup

* Change inccorect error wording

* bump Bitfinex websocket orderbook return length to max

* temporary fix of incorrect orderbook updates, limit to bid and ask len of 100, will be extended later if needed

* Fixed issue in binance websocket that appended 0 volume bid/ask items

* Fix panic when unmarshalling an empty pair from config

* Add get pair asset method for exchange base
Fix Bitmex orderbook stream
Unbuffer Bitmex orderbook stream

* force syncer to update ticker instead of fetch, which allows a stream

* Fix websocket last price for coinbasepro

* fix websocket ticker for coinut

* Fix websocket orderbook stream Huobi

* increase orderbook depth REST for Huobi

* Fix websocket support and ensure data integrity

* Fix time parsing issue after error checks

* check error, only process enabled currency pairs, signal websocket data processing

* expanded websocket functionality for okgroup

* Add logic to not process zero length slice for orderbooks

* fix websocket ticker only updating enabled and individual book updates

* ZB fixes to order submission/retrieval/cancellation w/ general fixes

* Quiet unnecessary warning

* updated config entry values for REST and websocket (initial hack until I come up with a better solution for asset types)

* Ch GetName function to field access modifyer & rm useless code

* Add in error I missed

* Nits addressed

* some more fixes

* Turned kraken default websocket to true and some small changes

* fixes linter issues

* Ensured okgroup books and sent update through to datahandler. Zb update as well.

* Add test case to get asset type from pair

* Add test for pairs unmarshal

* Add testing and addressed nits

* FIX linter issue

* Addressed Gees nits

* Thanks glorious spotter

* more nitorinos

* Addres even more nits

* Add stringerino 4000

* Fix for panic cause by sort slice out of range, also nits addressed

* fix linter issues

* Changed from function to field access

* Changed from function to field access

* fix for orderbook update panic, removes quick fix - caused by sync item fetching through same protocol

* Add new test and update random generator

* pass in invalid string to future ob fetching, due to futures contract expire and a http 400 error is returned
This commit is contained in:
Ryan O'Hara-Reid
2019-11-04 15:34:30 +11:00
committed by Adrian Gallagher
parent e2c349424f
commit 22ff33cd54
53 changed files with 1813 additions and 1074 deletions
Download Patch File Download Diff File Expand all files Collapse all files

14
exchanges/binance/binance_types.go
View File

@@ -92,13 +92,13 @@ type DepthUpdateParams []struct {
// WebsocketDepthStream is the difference for the update depth stream
type WebsocketDepthStream struct {
Event string `json:"e"`
Timestamp int64 `json:"E"`
Pair string `json:"s"`
FirstUpdateID int64 `json:"U"`
LastUpdateID int64 `json:"u"`
UpdateBids []interface{} `json:"b"`
UpdateAsks []interface{} `json:"a"`
Event string `json:"e"`
Timestamp int64 `json:"E"`
Pair string `json:"s"`
FirstUpdateID int64 `json:"U"`
LastUpdateID int64 `json:"u"`
UpdateBids [][]interface{} `json:"b"`
UpdateAsks [][]interface{} `json:"a"`
}
// RecentTradeRequestParams represents Klines request data.

58
exchanges/binance/binance_websocket.go
View File

@@ -236,12 +236,16 @@ func (b *Binance) SeedLocalCache(p currency.Pair) error {
}
for i := range orderbookNew.Bids {
newOrderBook.Bids = append(newOrderBook.Bids,
orderbook.Item{Amount: orderbookNew.Bids[i].Quantity, Price: orderbookNew.Bids[i].Price})
newOrderBook.Bids = append(newOrderBook.Bids, orderbook.Item{
Amount: orderbookNew.Bids[i].Quantity,
Price: orderbookNew.Bids[i].Price,
})
}
for i := range orderbookNew.Asks {
newOrderBook.Asks = append(newOrderBook.Asks,
orderbook.Item{Amount: orderbookNew.Asks[i].Quantity, Price: orderbookNew.Asks[i].Price})
newOrderBook.Asks = append(newOrderBook.Asks, orderbook.Item{
Amount: orderbookNew.Asks[i].Quantity,
Price: orderbookNew.Asks[i].Price,
})
}
newOrderBook.LastUpdated = time.Unix(orderbookNew.LastUpdateID, 0)
@@ -256,38 +260,38 @@ func (b *Binance) SeedLocalCache(p currency.Pair) error {
func (b *Binance) UpdateLocalCache(wsdp *WebsocketDepthStream) error {
var updateBid, updateAsk []orderbook.Item
for i := range wsdp.UpdateBids {
var priceToBeUpdated orderbook.Item
for i, bids := range wsdp.UpdateBids[i].([]interface{}) {
switch i {
case 0:
priceToBeUpdated.Price, _ = strconv.ParseFloat(bids.(string), 64)
case 1:
priceToBeUpdated.Amount, _ = strconv.ParseFloat(bids.(string), 64)
}
p, err := strconv.ParseFloat(wsdp.UpdateBids[i][0].(string), 64)
if err != nil {
return err
}
updateBid = append(updateBid, priceToBeUpdated)
a, err := strconv.ParseFloat(wsdp.UpdateBids[i][1].(string), 64)
if err != nil {
return err
}
updateBid = append(updateBid, orderbook.Item{Price: p, Amount: a})
}
for i := range wsdp.UpdateAsks {
var priceToBeUpdated orderbook.Item
for i, asks := range wsdp.UpdateAsks[i].([]interface{}) {
switch i {
case 0:
priceToBeUpdated.Price, _ = strconv.ParseFloat(asks.(string), 64)
case 1:
priceToBeUpdated.Amount, _ = strconv.ParseFloat(asks.(string), 64)
}
p, err := strconv.ParseFloat(wsdp.UpdateAsks[i][0].(string), 64)
if err != nil {
return err
}
updateAsk = append(updateAsk, priceToBeUpdated)
a, err := strconv.ParseFloat(wsdp.UpdateAsks[i][1].(string), 64)
if err != nil {
return err
}
updateAsk = append(updateAsk, orderbook.Item{Price: p, Amount: a})
}
currencyPair := currency.NewPairFromFormattedPairs(wsdp.Pair, b.GetEnabledPairs(asset.Spot),
b.GetPairFormat(asset.Spot, true))
return b.Websocket.Orderbook.Update(&wsorderbook.WebsocketOrderbookUpdate{
Bids: updateBid,
Asks: updateAsk,
CurrencyPair: currencyPair,
UpdateID: wsdp.LastUpdateID,
AssetType: asset.Spot,
Bids: updateBid,
Asks: updateAsk,
Pair: currencyPair,
UpdateID: wsdp.LastUpdateID,
Asset: asset.Spot,
})
}

10
exchanges/binance/binance_wrapper.go
View File

@@ -162,7 +162,7 @@ func (b *Binance) Setup(exch *config.ExchangeConfig) error {
b.Websocket.Orderbook.Setup(
exch.WebsocketOrderbookBufferLimit,
true,
false,
true,
true,
false,
@@ -202,7 +202,8 @@ func (b *Binance) Run() {
if err != nil {
log.Errorf(log.ExchangeSys,
"%s failed to update currencies. Err: %s\n",
b.Name, err)
b.Name,
err)
}
}
@@ -247,7 +248,10 @@ func (b *Binance) UpdateTradablePairs(forceUpdate bool) error {
return err
}
return b.UpdatePairs(currency.NewPairsFromStrings(pairs), asset.Spot, false, forceUpdate)
return b.UpdatePairs(currency.NewPairsFromStrings(pairs),
asset.Spot,
false,
forceUpdate)
}
// UpdateTicker updates and returns the ticker for a currency pair