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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
@@ -461,24 +461,24 @@ func (b *Binance) SeedLocalCache(ctx context.Context, p currency.Pair) error {
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// SeedLocalCacheWithBook seeds the local orderbook cache
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func (b *Binance) SeedLocalCacheWithBook(p currency.Pair, orderbookNew *OrderBook) error {
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newOrderBook := orderbook.Base{
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newOrderBook := orderbook.Book{
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Pair: p,
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Asset: asset.Spot,
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Exchange: b.Name,
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LastUpdateID: orderbookNew.LastUpdateID,
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VerifyOrderbook: b.CanVerifyOrderbook,
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Bids: make(orderbook.Tranches, len(orderbookNew.Bids)),
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Asks: make(orderbook.Tranches, len(orderbookNew.Asks)),
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Bids: make(orderbook.Levels, len(orderbookNew.Bids)),
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Asks: make(orderbook.Levels, len(orderbookNew.Asks)),
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LastUpdated: time.Now(), // Time not provided in REST book.
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}
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for i := range orderbookNew.Bids {
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newOrderBook.Bids[i] = orderbook.Tranche{
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newOrderBook.Bids[i] = orderbook.Level{
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Amount: orderbookNew.Bids[i].Quantity,
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Price: orderbookNew.Bids[i].Price,
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}
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}
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for i := range orderbookNew.Asks {
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newOrderBook.Asks[i] = orderbook.Tranche{
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newOrderBook.Asks[i] = orderbook.Level{
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Amount: orderbookNew.Asks[i].Quantity,
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Price: orderbookNew.Asks[i].Price,
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}
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@@ -615,16 +615,16 @@ func (b *Binance) manageSubs(op string, subs subscription.List) error {
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// ProcessOrderbookUpdate processes the websocket orderbook update
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func (b *Binance) ProcessOrderbookUpdate(cp currency.Pair, a asset.Item, ws *WebsocketDepthStream) error {
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updateBid := make([]orderbook.Tranche, len(ws.UpdateBids))
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updateBid := make([]orderbook.Level, len(ws.UpdateBids))
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for i := range ws.UpdateBids {
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updateBid[i] = orderbook.Tranche{
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updateBid[i] = orderbook.Level{
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Price: ws.UpdateBids[i][0].Float64(),
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Amount: ws.UpdateBids[i][1].Float64(),
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}
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}
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updateAsk := make([]orderbook.Tranche, len(ws.UpdateAsks))
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updateAsk := make([]orderbook.Level, len(ws.UpdateAsks))
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for i := range ws.UpdateAsks {
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updateAsk[i] = orderbook.Tranche{
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updateAsk[i] = orderbook.Level{
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Price: ws.UpdateAsks[i][0].Float64(),
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Amount: ws.UpdateAsks[i][1].Float64(),
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}
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@@ -919,7 +919,7 @@ func (o *orderbookManager) fetchBookViaREST(pair currency.Pair) error {
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}
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}
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func (o *orderbookManager) checkAndProcessOrderbookUpdate(processor func(currency.Pair, asset.Item, *WebsocketDepthStream) error, pair currency.Pair, recent *orderbook.Base) error {
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func (o *orderbookManager) checkAndProcessOrderbookUpdate(processor func(currency.Pair, asset.Item, *WebsocketDepthStream) error, pair currency.Pair, recent *orderbook.Book) error {
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o.Lock()
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defer o.Unlock()
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state, ok := o.state[pair.Base][pair.Quote][asset.Spot]
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@@ -953,7 +953,7 @@ buffer:
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}
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// validate checks for correct update alignment
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func (u *update) validate(updt *WebsocketDepthStream, recent *orderbook.Base) (bool, error) {
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func (u *update) validate(updt *WebsocketDepthStream, recent *orderbook.Book) (bool, error) {
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if updt.LastUpdateID <= recent.LastUpdateID {
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// Drop any event where u is <= lastUpdateId in the snapshot.
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return false, nil
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@@ -513,14 +513,14 @@ func (b *Binance) UpdateTicker(ctx context.Context, p currency.Pair, a asset.Ite
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}
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// UpdateOrderbook updates and returns the orderbook for a currency pair
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func (b *Binance) UpdateOrderbook(ctx context.Context, p currency.Pair, assetType asset.Item) (*orderbook.Base, error) {
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func (b *Binance) UpdateOrderbook(ctx context.Context, p currency.Pair, assetType asset.Item) (*orderbook.Book, error) {
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if p.IsEmpty() {
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return nil, currency.ErrCurrencyPairEmpty
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}
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if err := b.CurrencyPairs.IsAssetEnabled(assetType); err != nil {
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return nil, err
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}
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book := &orderbook.Base{
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book := &orderbook.Book{
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Exchange: b.Name,
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Pair: p,
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Asset: assetType,
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@@ -547,16 +547,16 @@ func (b *Binance) UpdateOrderbook(ctx context.Context, p currency.Pair, assetTyp
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return book, err
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}
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book.Bids = make(orderbook.Tranches, len(orderbookNew.Bids))
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book.Bids = make(orderbook.Levels, len(orderbookNew.Bids))
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for x := range orderbookNew.Bids {
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book.Bids[x] = orderbook.Tranche{
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book.Bids[x] = orderbook.Level{
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Amount: orderbookNew.Bids[x].Quantity,
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Price: orderbookNew.Bids[x].Price,
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}
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}
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book.Asks = make(orderbook.Tranches, len(orderbookNew.Asks))
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book.Asks = make(orderbook.Levels, len(orderbookNew.Asks))
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for x := range orderbookNew.Asks {
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book.Asks[x] = orderbook.Tranche{
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book.Asks[x] = orderbook.Level{
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Amount: orderbookNew.Asks[x].Quantity,
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Price: orderbookNew.Asks[x].Price,
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}
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