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>
2026-06-08 07:26:48 +00:00 · 2025-06-16 17:09:25 +10:00
parent fd021d364a
commit 2958e64afe
93 changed files with 1259 additions and 1391 deletions
--- a/exchanges/gateio/gateio_types.go
+++ b/exchanges/gateio/gateio_types.go
@@ -2212,12 +2212,12 @@ type WsFuturesAndOptionsOrderbookUpdate struct {
 	ContractName   currency.Pair `json:"s"`
 	FirstUpdatedID int64         `json:"U"`
 	LastUpdatedID  int64         `json:"u"`
-	Bids           []Tranche     `json:"b"`
-	Asks           []Tranche     `json:"a"`
+	Bids           []Level       `json:"b"`
+	Asks           []Level       `json:"a"`
 }

-// Tranche represents a tranche of orderbook data
-type Tranche struct {
+// Level represents a level of orderbook data
+type Level struct {
 	Price types.Number `json:"p"`
 	Size  float64      `json:"s"`
 }
@@ -2227,8 +2227,8 @@ type WsFuturesOrderbookSnapshot struct {
 	Timestamp   types.Time    `json:"t"`
 	Contract    currency.Pair `json:"contract"`
 	OrderbookID int64         `json:"id"`
-	Asks        []Tranche     `json:"asks"`
-	Bids        []Tranche     `json:"bids"`
+	Asks        []Level       `json:"asks"`
+	Bids        []Level       `json:"bids"`
 }

 // WsFuturesOrderbookUpdateEvent represents futures orderbook push data with the event 'update'
--- a/exchanges/gateio/gateio_websocket.go
+++ b/exchanges/gateio/gateio_websocket.go
@@ -358,14 +358,14 @@ func (g *Gateio) processOrderbookTicker(incoming []byte, lastPushed time.Time) e
 	if err := json.Unmarshal(incoming, &data); err != nil {
 		return err
 	}
-	return g.Websocket.Orderbook.LoadSnapshot(&orderbook.Base{
+	return g.Websocket.Orderbook.LoadSnapshot(&orderbook.Book{
 		Exchange:    g.Name,
 		Pair:        data.Pair,
 		Asset:       asset.Spot,
 		LastUpdated: data.UpdateTime.Time(),
 		LastPushed:  lastPushed,
-		Bids:        []orderbook.Tranche{{Price: data.BestBidPrice.Float64(), Amount: data.BestBidAmount.Float64()}},
-		Asks:        []orderbook.Tranche{{Price: data.BestAskPrice.Float64(), Amount: data.BestAskAmount.Float64()}},
+		Bids:        []orderbook.Level{{Price: data.BestBidPrice.Float64(), Amount: data.BestBidAmount.Float64()}},
+		Asks:        []orderbook.Level{{Price: data.BestAskPrice.Float64(), Amount: data.BestAskAmount.Float64()}},
 	})
 }

@@ -374,12 +374,12 @@ func (g *Gateio) processOrderbookUpdate(ctx context.Context, incoming []byte, la
 	if err := json.Unmarshal(incoming, &data); err != nil {
 		return err
 	}
-	asks := make([]orderbook.Tranche, len(data.Asks))
+	asks := make([]orderbook.Level, len(data.Asks))
 	for x := range data.Asks {
 		asks[x].Price = data.Asks[x][0].Float64()
 		asks[x].Amount = data.Asks[x][1].Float64()
 	}
-	bids := make([]orderbook.Tranche, len(data.Bids))
+	bids := make([]orderbook.Level, len(data.Bids))
 	for x := range data.Bids {
 		bids[x].Price = data.Bids[x][0].Float64()
 		bids[x].Amount = data.Bids[x][1].Float64()
@@ -402,12 +402,12 @@ func (g *Gateio) processOrderbookSnapshot(incoming []byte, lastPushed time.Time)
 		return err
 	}

-	asks := make([]orderbook.Tranche, len(data.Asks))
+	asks := make([]orderbook.Level, len(data.Asks))
 	for x := range data.Asks {
 		asks[x].Price = data.Asks[x][0].Float64()
 		asks[x].Amount = data.Asks[x][1].Float64()
 	}
-	bids := make([]orderbook.Tranche, len(data.Bids))
+	bids := make([]orderbook.Level, len(data.Bids))
 	for x := range data.Bids {
 		bids[x].Price = data.Bids[x][0].Float64()
 		bids[x].Amount = data.Bids[x][1].Float64()
@@ -415,7 +415,7 @@ func (g *Gateio) processOrderbookSnapshot(incoming []byte, lastPushed time.Time)

 	for _, a := range standardMarginAssetTypes {
 		if enabled, _ := g.CurrencyPairs.IsPairEnabled(data.CurrencyPair, a); enabled {
-			if err := g.Websocket.Orderbook.LoadSnapshot(&orderbook.Base{
+			if err := g.Websocket.Orderbook.LoadSnapshot(&orderbook.Book{
 				Exchange:    g.Name,
 				Pair:        data.CurrencyPair,
 				Asset:       a,
--- a/exchanges/gateio/gateio_websocket_futures.go
+++ b/exchanges/gateio/gateio_websocket_futures.go
@@ -411,12 +411,12 @@ func (g *Gateio) processFuturesOrderbookUpdate(ctx context.Context, incoming []b
 	if err := json.Unmarshal(incoming, &data); err != nil {
 		return err
 	}
-	asks := make([]orderbook.Tranche, len(data.Asks))
+	asks := make([]orderbook.Level, len(data.Asks))
 	for x := range data.Asks {
 		asks[x].Price = data.Asks[x].Price.Float64()
 		asks[x].Amount = data.Asks[x].Size
 	}
-	bids := make([]orderbook.Tranche, len(data.Bids))
+	bids := make([]orderbook.Level, len(data.Bids))
 	for x := range data.Bids {
 		bids[x].Price = data.Bids[x].Price.Float64()
 		bids[x].Amount = data.Bids[x].Size
@@ -441,7 +441,7 @@ func (g *Gateio) processFuturesOrderbookSnapshot(event string, incoming []byte,
 		if err != nil {
 			return err
 		}
-		base := orderbook.Base{
+		base := orderbook.Book{
 			Asset:           assetType,
 			Exchange:        g.Name,
 			Pair:            data.Contract,
@@ -449,12 +449,12 @@ func (g *Gateio) processFuturesOrderbookSnapshot(event string, incoming []byte,
 			LastPushed:      lastPushed,
 			VerifyOrderbook: g.CanVerifyOrderbook,
 		}
-		base.Asks = make([]orderbook.Tranche, len(data.Asks))
+		base.Asks = make([]orderbook.Level, len(data.Asks))
 		for x := range data.Asks {
 			base.Asks[x].Amount = data.Asks[x].Size
 			base.Asks[x].Price = data.Asks[x].Price.Float64()
 		}
-		base.Bids = make([]orderbook.Tranche, len(data.Bids))
+		base.Bids = make([]orderbook.Level, len(data.Bids))
 		for x := range data.Bids {
 			base.Bids[x].Amount = data.Bids[x].Size
 			base.Bids[x].Price = data.Bids[x].Price.Float64()
@@ -466,19 +466,19 @@ func (g *Gateio) processFuturesOrderbookSnapshot(event string, incoming []byte,
 	if err != nil {
 		return err
 	}
-	dataMap := map[string][2][]orderbook.Tranche{}
+	dataMap := map[string][2][]orderbook.Level{}
 	for x := range data {
 		ab, ok := dataMap[data[x].CurrencyPair]
 		if !ok {
-			ab = [2][]orderbook.Tranche{}
+			ab = [2][]orderbook.Level{}
 		}
 		if data[x].Amount > 0 {
-			ab[1] = append(ab[1], orderbook.Tranche{
+			ab[1] = append(ab[1], orderbook.Level{
 				Price:  data[x].Price.Float64(),
 				Amount: data[x].Amount,
 			})
 		} else {
-			ab[0] = append(ab[0], orderbook.Tranche{
+			ab[0] = append(ab[0], orderbook.Level{
 				Price:  data[x].Price.Float64(),
 				Amount: -data[x].Amount,
 			})
@@ -495,7 +495,7 @@ func (g *Gateio) processFuturesOrderbookSnapshot(event string, incoming []byte,
 		if err != nil {
 			return err
 		}
-		err = g.Websocket.Orderbook.LoadSnapshot(&orderbook.Base{
+		err = g.Websocket.Orderbook.LoadSnapshot(&orderbook.Book{
 			Asks:            ab[0],
 			Bids:            ab[1],
 			Asset:           assetType,
--- a/exchanges/gateio/gateio_websocket_option.go
+++ b/exchanges/gateio/gateio_websocket_option.go
@@ -503,12 +503,12 @@ func (g *Gateio) processOptionsOrderbookUpdate(ctx context.Context, incoming []b
 	if err := json.Unmarshal(incoming, &data); err != nil {
 		return err
 	}
-	asks := make([]orderbook.Tranche, len(data.Asks))
+	asks := make([]orderbook.Level, len(data.Asks))
 	for x := range data.Asks {
 		asks[x].Price = data.Asks[x].Price.Float64()
 		asks[x].Amount = data.Asks[x].Size
 	}
-	bids := make([]orderbook.Tranche, len(data.Bids))
+	bids := make([]orderbook.Level, len(data.Bids))
 	for x := range data.Bids {
 		bids[x].Price = data.Bids[x].Price.Float64()
 		bids[x].Amount = data.Bids[x].Size
@@ -532,7 +532,7 @@ func (g *Gateio) processOptionsOrderbookSnapshotPushData(event string, incoming
 		if err != nil {
 			return err
 		}
-		base := orderbook.Base{
+		base := orderbook.Book{
 			Asset:           asset.Options,
 			Exchange:        g.Name,
 			Pair:            data.Contract,
@@ -540,12 +540,12 @@ func (g *Gateio) processOptionsOrderbookSnapshotPushData(event string, incoming
 			LastPushed:      lastPushed,
 			VerifyOrderbook: g.CanVerifyOrderbook,
 		}
-		base.Asks = make([]orderbook.Tranche, len(data.Asks))
+		base.Asks = make([]orderbook.Level, len(data.Asks))
 		for x := range data.Asks {
 			base.Asks[x].Amount = data.Asks[x].Size
 			base.Asks[x].Price = data.Asks[x].Price.Float64()
 		}
-		base.Bids = make([]orderbook.Tranche, len(data.Bids))
+		base.Bids = make([]orderbook.Level, len(data.Bids))
 		for x := range data.Bids {
 			base.Bids[x].Amount = data.Bids[x].Size
 			base.Bids[x].Price = data.Bids[x].Price.Float64()
@@ -557,18 +557,18 @@ func (g *Gateio) processOptionsOrderbookSnapshotPushData(event string, incoming
 	if err != nil {
 		return err
 	}
-	dataMap := map[string][2][]orderbook.Tranche{}
+	dataMap := map[string][2][]orderbook.Level{}
 	for x := range data {
 		ab, ok := dataMap[data[x].CurrencyPair]
 		if !ok {
-			ab = [2][]orderbook.Tranche{}
+			ab = [2][]orderbook.Level{}
 		}
 		if data[x].Amount > 0 {
-			ab[1] = append(ab[1], orderbook.Tranche{
+			ab[1] = append(ab[1], orderbook.Level{
 				Price: data[x].Price.Float64(), Amount: data[x].Amount,
 			})
 		} else {
-			ab[0] = append(ab[0], orderbook.Tranche{
+			ab[0] = append(ab[0], orderbook.Level{
 				Price: data[x].Price.Float64(), Amount: -data[x].Amount,
 			})
 		}
@@ -584,7 +584,7 @@ func (g *Gateio) processOptionsOrderbookSnapshotPushData(event string, incoming
 		if err != nil {
 			return err
 		}
-		err = g.Websocket.Orderbook.LoadSnapshot(&orderbook.Base{
+		err = g.Websocket.Orderbook.LoadSnapshot(&orderbook.Book{
 			Asks:            ab[0],
 			Bids:            ab[1],
 			Asset:           asset.Options,
--- a/exchanges/gateio/gateio_wrapper.go
+++ b/exchanges/gateio/gateio_wrapper.go
@@ -649,12 +649,12 @@ func (g *Gateio) UpdateTickers(ctx context.Context, a asset.Item) error {
 }

 // UpdateOrderbook updates and returns the orderbook for a currency pair
-func (g *Gateio) UpdateOrderbook(ctx context.Context, p currency.Pair, a asset.Item) (*orderbook.Base, error) {
+func (g *Gateio) UpdateOrderbook(ctx context.Context, p currency.Pair, a asset.Item) (*orderbook.Book, error) {
 	return g.UpdateOrderbookWithLimit(ctx, p, a, 0)
 }

 // UpdateOrderbookWithLimit updates and returns the orderbook for a currency pair with a set orderbook size limit
-func (g *Gateio) UpdateOrderbookWithLimit(ctx context.Context, p currency.Pair, a asset.Item, limit uint64) (*orderbook.Base, error) {
+func (g *Gateio) UpdateOrderbookWithLimit(ctx context.Context, p currency.Pair, a asset.Item, limit uint64) (*orderbook.Book, error) {
 	p, err := g.FormatExchangeCurrency(p, a)
 	if err != nil {
 		return nil, err
@@ -688,7 +688,7 @@ func (g *Gateio) UpdateOrderbookWithLimit(ctx context.Context, p currency.Pair,
 	if err != nil {
 		return nil, err
 	}
-	book := &orderbook.Base{
+	book := &orderbook.Book{
 		Exchange:        g.Name,
 		Asset:           a,
 		VerifyOrderbook: g.CanVerifyOrderbook,
@@ -697,16 +697,16 @@ func (g *Gateio) UpdateOrderbookWithLimit(ctx context.Context, p currency.Pair,
 		LastUpdated:     o.Update.Time(),
 		LastPushed:      o.Current.Time(),
 	}
-	book.Bids = make(orderbook.Tranches, len(o.Bids))
+	book.Bids = make(orderbook.Levels, len(o.Bids))
 	for x := range o.Bids {
-		book.Bids[x] = orderbook.Tranche{
+		book.Bids[x] = orderbook.Level{
 			Amount: o.Bids[x].Amount.Float64(),
 			Price:  o.Bids[x].Price.Float64(),
 		}
 	}
-	book.Asks = make(orderbook.Tranches, len(o.Asks))
+	book.Asks = make(orderbook.Levels, len(o.Asks))
 	for x := range o.Asks {
-		book.Asks[x] = orderbook.Tranche{
+		book.Asks[x] = orderbook.Level{
 			Amount: o.Asks[x].Amount.Float64(),
 			Price:  o.Asks[x].Price.Float64(),
 		}
--- a/exchanges/gateio/ws_ob_update_manager_test.go
+++ b/exchanges/gateio/ws_ob_update_manager_test.go
@@ -23,12 +23,12 @@ func TestProcessOrderbookUpdate(t *testing.T) {
 	assert.ErrorIs(t, err, currency.ErrCurrencyPairEmpty)

 	pair := currency.NewPair(currency.BABY, currency.BABYDOGE)
-	err = g.Websocket.Orderbook.LoadSnapshot(&orderbook.Base{
+	err = g.Websocket.Orderbook.LoadSnapshot(&orderbook.Book{
 		Exchange:     g.Name,
 		Pair:         pair,
 		Asset:        asset.USDTMarginedFutures,
-		Bids:         []orderbook.Tranche{{Price: 1, Amount: 1}},
-		Asks:         []orderbook.Tranche{{Price: 1, Amount: 1}},
+		Bids:         []orderbook.Level{{Price: 1, Amount: 1}},
+		Asks:         []orderbook.Level{{Price: 1, Amount: 1}},
 		LastUpdated:  time.Now(),
 		LastPushed:   time.Now(),
 		LastUpdateID: 1336,
@@ -145,12 +145,12 @@ func TestApplyPendingUpdates(t *testing.T) {

 	m := newWsOBUpdateManager(defaultWSSnapshotSyncDelay)
 	pair := currency.NewPair(currency.LTC, currency.USDT)
-	err := g.Websocket.Orderbook.LoadSnapshot(&orderbook.Base{
+	err := g.Websocket.Orderbook.LoadSnapshot(&orderbook.Book{
 		Exchange:     g.Name,
 		Pair:         pair,
 		Asset:        asset.USDTMarginedFutures,
-		Bids:         []orderbook.Tranche{{Price: 1, Amount: 1}},
-		Asks:         []orderbook.Tranche{{Price: 1, Amount: 1}},
+		Bids:         []orderbook.Level{{Price: 1, Amount: 1}},
+		Asks:         []orderbook.Level{{Price: 1, Amount: 1}},
 		LastUpdated:  time.Now(),
 		LastPushed:   time.Now(),
 		LastUpdateID: 1335,