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orderbook: change Base struct name to Book (#1914)
* orderbook: change Base struct name to Snapshot * linter: fix * Update exchanges/exchange.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * Update exchanges/orderbook/depth.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * Update exchanges/orderbook/orderbook_types.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * Snapshot -> Book * Tranche(s) -> Level(s) * Tranche(s) -> Level(s) * rm tranche ref * linter: fix * linter: rides again * update tests * Update exchange/websocket/buffer/buffer.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * Update backtester/eventhandlers/exchange/slippage/slippage.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * Update exchange/websocket/buffer/buffer.go Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> * Update exchange/websocket/buffer/buffer.go Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> * Update exchanges/orderbook/orderbook_test.go Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> * Update exchanges/orderbook/orderbook_test.go Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> * Update exchanges/orderbook/orderbook_test.go Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> * Update exchanges/orderbook/orderbook_types.go Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> * Update exchanges/orderbook/orderbook_types.go Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> * fixup tests * Update exchanges/orderbook/orderbook_test.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * Update exchanges/orderbook/orderbook_test.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * Update exchanges/orderbook/orderbook_test.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * Update exchanges/orderbook/orderbook_test.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * Update exchanges/orderbook/orderbook_test.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * Update exchanges/orderbook/orderbook_test.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * Update exchanges/orderbook/orderbook_test.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * Update exchanges/orderbook/orderbook_test.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * Update exchanges/orderbook/orderbook_types.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * Update exchanges/orderbook/orderbook_types.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * gk: nits and rm stuff that is not needed * Update exchanges/orderbook/orderbook_test.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * gk: nits --------- Co-authored-by: shazbert <ryan.oharareid@thrasher.io> Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io>
This commit is contained in:
Ryan O'Hara-Reid
GitHub
@@ -19,7 +19,7 @@ import (
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)
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var (
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itemArray = [][]orderbook.Tranche{
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itemArray = [][]orderbook.Level{
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{{Price: 1000, Amount: 1, ID: 1000}},
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{{Price: 2000, Amount: 1, ID: 2000}},
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{{Price: 3000, Amount: 1, ID: 3000}},
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@@ -37,11 +37,11 @@ func getExclusivePair() (currency.Pair, error) {
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return currency.NewPairFromStrings(currency.BTC.String(), currency.USDT.String()+strconv.FormatInt(offset.IncrementAndGet(), 10))
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}
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func createSnapshot(pair currency.Pair, bookVerifiy ...bool) (holder *Orderbook, asks, bids orderbook.Tranches, err error) {
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asks = orderbook.Tranches{{Price: 4000, Amount: 1, ID: 6}}
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bids = orderbook.Tranches{{Price: 4000, Amount: 1, ID: 6}}
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func createSnapshot(pair currency.Pair, bookVerifiy ...bool) (holder *Orderbook, asks, bids orderbook.Levels, err error) {
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asks = orderbook.Levels{{Price: 4000, Amount: 1, ID: 6}}
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bids = orderbook.Levels{{Price: 4000, Amount: 1, ID: 6}}
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book := &orderbook.Base{
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book := &orderbook.Book{
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Exchange: exchangeName,
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Asks: asks,
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Bids: bids,
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@@ -70,14 +70,14 @@ func createSnapshot(pair currency.Pair, bookVerifiy ...bool) (holder *Orderbook,
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return holder, asks, bids, err
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}
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func bidAskGenerator() []orderbook.Tranche {
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response := make([]orderbook.Tranche, 100)
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func bidAskGenerator() []orderbook.Level {
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response := make([]orderbook.Level, 100)
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for i := range 100 {
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price := float64(rand.Intn(1000)) //nolint:gosec // no need to import crypo/rand for testing
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if price == 0 {
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price = 1
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}
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response[i] = orderbook.Tranche{
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response[i] = orderbook.Level{
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Amount: float64(rand.Intn(10)), //nolint:gosec // no need to import crypo/rand for testing
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Price: price,
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ID: int64(i),
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@@ -352,7 +352,7 @@ func TestInsertWithIDs(t *testing.T) {
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err = holder.Update(&orderbook.Update{
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UpdateTime: time.Now(),
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Asset: asset.Spot,
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Asks: []orderbook.Tranche{{Price: 999999}},
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Asks: []orderbook.Level{{Price: 999999}},
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Pair: cp,
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})
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require.NoError(t, err)
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@@ -437,11 +437,11 @@ func TestOrderbookLastUpdateID(t *testing.T) {
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assert.Equal(t, 1000., itemArray[0][0].Price)
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holder.checksum = func(*orderbook.Base, uint32) error { return errors.New("testerino") }
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holder.checksum = func(*orderbook.Book, uint32) error { return errors.New("testerino") }
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// this update invalidates the book
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err = holder.Update(&orderbook.Update{
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Asks: []orderbook.Tranche{{Price: 999999}},
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Asks: []orderbook.Level{{Price: 999999}},
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Pair: cp,
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UpdateID: -1,
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Asset: asset.Spot,
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@@ -455,7 +455,7 @@ func TestOrderbookLastUpdateID(t *testing.T) {
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holder, _, _, err = createSnapshot(cp)
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require.NoError(t, err)
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holder.checksum = func(*orderbook.Base, uint32) error { return nil }
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holder.checksum = func(*orderbook.Book, uint32) error { return nil }
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holder.updateIDProgression = true
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for i := range itemArray {
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@@ -472,7 +472,7 @@ func TestOrderbookLastUpdateID(t *testing.T) {
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// out of order
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err = holder.Update(&orderbook.Update{
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Asks: []orderbook.Tranche{{Price: 999999}},
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Asks: []orderbook.Level{{Price: 999999}},
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Pair: cp,
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UpdateID: 1,
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Asset: asset.Spot,
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@@ -491,8 +491,8 @@ func TestRunUpdateWithoutSnapshot(t *testing.T) {
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require.NoError(t, err)
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var holder Orderbook
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asks := []orderbook.Tranche{{Price: 4000, Amount: 1, ID: 8}}
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bids := []orderbook.Tranche{{Price: 5999, Amount: 1, ID: 8}, {Price: 4000, Amount: 1, ID: 9}}
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asks := []orderbook.Level{{Price: 4000, Amount: 1, ID: 8}}
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bids := []orderbook.Level{{Price: 5999, Amount: 1, ID: 8}, {Price: 4000, Amount: 1, ID: 9}}
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holder.exchangeName = exchangeName
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err = holder.Update(&orderbook.Update{
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Bids: bids,
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@@ -513,8 +513,8 @@ func TestRunUpdateWithoutAnyUpdates(t *testing.T) {
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var obl Orderbook
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obl.exchangeName = exchangeName
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err = obl.Update(&orderbook.Update{
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Bids: []orderbook.Tranche{},
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Asks: []orderbook.Tranche{},
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Bids: []orderbook.Level{},
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Asks: []orderbook.Level{},
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Pair: cp,
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UpdateTime: time.Now(),
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Asset: asset.Spot,
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@@ -531,7 +531,7 @@ func TestRunSnapshotWithNoData(t *testing.T) {
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var obl Orderbook
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obl.ob = make(map[key.PairAsset]*orderbookHolder)
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obl.dataHandler = make(chan any, 1)
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var snapShot1 orderbook.Base
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var snapShot1 orderbook.Book
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snapShot1.Asset = asset.Spot
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snapShot1.Pair = cp
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snapShot1.Exchange = "test"
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@@ -549,10 +549,10 @@ func TestLoadSnapshot(t *testing.T) {
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var obl Orderbook
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obl.dataHandler = make(chan any, 100)
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obl.ob = make(map[key.PairAsset]*orderbookHolder)
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var snapShot1 orderbook.Base
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var snapShot1 orderbook.Book
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snapShot1.Exchange = "SnapshotWithOverride"
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asks := []orderbook.Tranche{{Price: 4000, Amount: 1, ID: 8}}
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bids := []orderbook.Tranche{{Price: 4000, Amount: 1, ID: 9}}
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asks := []orderbook.Level{{Price: 4000, Amount: 1, ID: 8}}
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bids := []orderbook.Level{{Price: 4000, Amount: 1, ID: 9}}
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snapShot1.Asks = asks
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snapShot1.Bids = bids
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snapShot1.Asset = asset.Spot
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@@ -584,9 +584,9 @@ func TestInsertingSnapShots(t *testing.T) {
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var holder Orderbook
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holder.dataHandler = make(chan any, 100)
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holder.ob = make(map[key.PairAsset]*orderbookHolder)
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var snapShot1 orderbook.Base
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var snapShot1 orderbook.Book
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snapShot1.Exchange = "WSORDERBOOKTEST1"
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asks := []orderbook.Tranche{
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asks := []orderbook.Level{
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{Price: 6000, Amount: 1, ID: 1},
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{Price: 6001, Amount: 0.5, ID: 2},
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{Price: 6002, Amount: 2, ID: 3},
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@@ -600,7 +600,7 @@ func TestInsertingSnapShots(t *testing.T) {
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{Price: 6010, Amount: 7, ID: 11},
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}
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bids := []orderbook.Tranche{
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bids := []orderbook.Level{
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{Price: 5999, Amount: 1, ID: 12},
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{Price: 5998, Amount: 0.5, ID: 13},
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{Price: 5997, Amount: 2, ID: 14},
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@@ -621,9 +621,9 @@ func TestInsertingSnapShots(t *testing.T) {
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snapShot1.LastUpdated = time.Now()
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require.NoError(t, holder.LoadSnapshot(&snapShot1))
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var snapShot2 orderbook.Base
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var snapShot2 orderbook.Book
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snapShot2.Exchange = "WSORDERBOOKTEST2"
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asks = []orderbook.Tranche{
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asks = []orderbook.Level{
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{Price: 51, Amount: 1, ID: 1},
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{Price: 52, Amount: 0.5, ID: 2},
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{Price: 53, Amount: 2, ID: 3},
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@@ -637,7 +637,7 @@ func TestInsertingSnapShots(t *testing.T) {
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{Price: 60, Amount: 7, ID: 11},
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}
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bids = []orderbook.Tranche{
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bids = []orderbook.Level{
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{Price: 49, Amount: 1, ID: 12},
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{Price: 48, Amount: 0.5, ID: 13},
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{Price: 47, Amount: 2, ID: 14},
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@@ -662,9 +662,9 @@ func TestInsertingSnapShots(t *testing.T) {
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snapShot2.LastUpdated = time.Now()
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require.NoError(t, holder.LoadSnapshot(&snapShot2))
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var snapShot3 orderbook.Base
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var snapShot3 orderbook.Book
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snapShot3.Exchange = "WSORDERBOOKTEST3"
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asks = []orderbook.Tranche{
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asks = []orderbook.Level{
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{Price: 511, Amount: 1, ID: 1},
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{Price: 52, Amount: 0.5, ID: 2},
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{Price: 53, Amount: 2, ID: 3},
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@@ -678,7 +678,7 @@ func TestInsertingSnapShots(t *testing.T) {
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{Price: 60, Amount: 7, ID: 11},
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}
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bids = []orderbook.Tranche{
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bids = []orderbook.Level{
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{Price: 49, Amount: 1, ID: 12},
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{Price: 48, Amount: 0.5, ID: 13},
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{Price: 47, Amount: 2, ID: 14},
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@@ -844,10 +844,10 @@ func TestEnsureMultipleUpdatesViaPrice(t *testing.T) {
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assert.LessOrEqual(t, 3, askLen)
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}
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func deploySliceOrdered(size int) orderbook.Tranches {
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items := make([]orderbook.Tranche, size)
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func deploySliceOrdered(size int) orderbook.Levels {
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items := make([]orderbook.Level, size)
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for i := range size {
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items[i] = orderbook.Tranche{Amount: 1, Price: rand.Float64() + float64(i), ID: rand.Int63()} //nolint:gosec // Not needed for tests
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items[i] = orderbook.Level{Amount: 1, Price: rand.Float64() + float64(i), ID: rand.Int63()} //nolint:gosec // Not needed for tests
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}
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return items
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}
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@@ -878,7 +878,7 @@ func TestUpdateByIDAndAction(t *testing.T) {
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err = holder.updateByIDAndAction(&orderbook.Update{
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Action: orderbook.Amend,
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Bids: []orderbook.Tranche{{Price: 100, ID: 6969}},
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Bids: []orderbook.Level{{Price: 100, ID: 6969}},
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})
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require.ErrorIs(t, err, errAmendFailure)
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@@ -888,8 +888,8 @@ func TestUpdateByIDAndAction(t *testing.T) {
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// append to slice
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err = holder.updateByIDAndAction(&orderbook.Update{
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Action: orderbook.UpdateInsert,
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Bids: []orderbook.Tranche{{Price: 0, ID: 1337, Amount: 1}},
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Asks: []orderbook.Tranche{{Price: 100, ID: 1337, Amount: 1}},
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Bids: []orderbook.Level{{Price: 0, ID: 1337, Amount: 1}},
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Asks: []orderbook.Level{{Price: 100, ID: 1337, Amount: 1}},
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UpdateTime: time.Now(),
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})
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require.NoError(t, err)
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@@ -902,8 +902,8 @@ func TestUpdateByIDAndAction(t *testing.T) {
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// Change amount
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err = holder.updateByIDAndAction(&orderbook.Update{
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Action: orderbook.UpdateInsert,
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Bids: []orderbook.Tranche{{Price: 0, ID: 1337, Amount: 100}},
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Asks: []orderbook.Tranche{{Price: 100, ID: 1337, Amount: 100}},
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Bids: []orderbook.Level{{Price: 0, ID: 1337, Amount: 100}},
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Asks: []orderbook.Level{{Price: 100, ID: 1337, Amount: 100}},
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UpdateTime: time.Now(),
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})
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require.NoError(t, err)
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@@ -916,8 +916,8 @@ func TestUpdateByIDAndAction(t *testing.T) {
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// Change price level
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err = holder.updateByIDAndAction(&orderbook.Update{
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Action: orderbook.UpdateInsert,
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Bids: []orderbook.Tranche{{Price: 100, ID: 1337, Amount: 99}},
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Asks: []orderbook.Tranche{{Price: 0, ID: 1337, Amount: 99}},
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Bids: []orderbook.Level{{Price: 100, ID: 1337, Amount: 99}},
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Asks: []orderbook.Level{{Price: 0, ID: 1337, Amount: 99}},
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UpdateTime: time.Now(),
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})
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require.NoError(t, err)
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@@ -935,7 +935,7 @@ func TestUpdateByIDAndAction(t *testing.T) {
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// Delete - not found
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err = holder.updateByIDAndAction(&orderbook.Update{
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Action: orderbook.Delete,
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Asks: []orderbook.Tranche{{Price: 0, ID: 1337, Amount: 99}},
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Asks: []orderbook.Level{{Price: 0, ID: 1337, Amount: 99}},
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})
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require.ErrorIs(t, err, errDeleteFailure)
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@@ -945,7 +945,7 @@ func TestUpdateByIDAndAction(t *testing.T) {
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// Delete - found
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err = holder.updateByIDAndAction(&orderbook.Update{
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Action: orderbook.Delete,
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Asks: []orderbook.Tranche{asks[0]},
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Asks: []orderbook.Level{asks[0]},
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UpdateTime: time.Now(),
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})
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require.NoError(t, err)
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@@ -957,7 +957,7 @@ func TestUpdateByIDAndAction(t *testing.T) {
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// Apply update
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err = holder.updateByIDAndAction(&orderbook.Update{
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Action: orderbook.Amend,
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Asks: []orderbook.Tranche{{ID: 123456}},
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Asks: []orderbook.Level{{ID: 123456}},
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})
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require.ErrorIs(t, err, errAmendFailure)
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@@ -974,7 +974,7 @@ func TestUpdateByIDAndAction(t *testing.T) {
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err = holder.updateByIDAndAction(&orderbook.Update{
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Action: orderbook.Amend,
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Asks: []orderbook.Tranche{update},
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Asks: []orderbook.Level{update},
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UpdateTime: time.Now(),
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})
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require.NoError(t, err)
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@@ -993,10 +993,10 @@ func TestFlushOrderbook(t *testing.T) {
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err = w.Setup(&config.Exchange{Name: "test"}, &Config{}, make(chan any, 2))
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require.NoError(t, err)
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var snapShot1 orderbook.Base
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var snapShot1 orderbook.Book
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snapShot1.Exchange = "Snapshooooot"
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asks := []orderbook.Tranche{{Price: 4000, Amount: 1, ID: 8}}
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bids := []orderbook.Tranche{{Price: 4000, Amount: 1, ID: 9}}
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asks := []orderbook.Level{{Price: 4000, Amount: 1, ID: 8}}
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bids := []orderbook.Level{{Price: 4000, Amount: 1, ID: 9}}
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snapShot1.Asks = asks
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snapShot1.Bids = bids
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snapShot1.Asset = asset.Spot
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