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Bittrex: Enable ws orderbook sync recovery (resolves #746) (#747)

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* [FIX] Enable ws orderbook sync recovery by:

- Testing if books have been cleared
- Assigning options when loading snapshot

* orderbooks: remove setlastupdate method and on select depth method that updates linked list, this reduced lock contention across code base and fixes buffer bug on applying buffered updates

* WS - Introduce signaling for the need to fetch the orderbook

* Address nits

* Update error messages to include exchange name

Co-authored-by: shazbert <oharareid.ryan@gmail.com>
This commit is contained in:
TaltaM
2021-08-18 03:43:46 +02:00
committed by GitHub
parent 08df015a57
commit 4ba2c710b5
7 changed files with 166 additions and 94 deletions
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36
exchanges/orderbook/depth.go
View File

@@ -94,8 +94,11 @@ func (d *Depth) TotalAskAmounts() (liquidity, value float64) {
}
// LoadSnapshot flushes the bids and asks with a snapshot
func (d *Depth) LoadSnapshot(bids, asks []Item) {
func (d *Depth) LoadSnapshot(bids, asks []Item, lastUpdateID int64, lastUpdated time.Time, updateByREST bool) {
d.m.Lock()
d.lastUpdateID = lastUpdateID
d.lastUpdated = lastUpdated
d.restSnapshot = updateByREST
d.bids.load(bids, d.stack)
d.asks.load(asks, d.stack)
d.alert()
@@ -105,6 +108,8 @@ func (d *Depth) LoadSnapshot(bids, asks []Item) {
// Flush flushes the bid and ask depths
func (d *Depth) Flush() {
d.m.Lock()
d.lastUpdateID = 0
d.lastUpdated = time.Time{}
d.bids.load(nil, d.stack)
d.asks.load(nil, d.stack)
d.alert()
@@ -113,11 +118,13 @@ func (d *Depth) Flush() {
// UpdateBidAskByPrice updates the bid and ask spread by supplied updates, this
// will trim total length of depth level to a specified supplied number
func (d *Depth) UpdateBidAskByPrice(bidUpdts, askUpdts Items, maxDepth int) {
func (d *Depth) UpdateBidAskByPrice(bidUpdts, askUpdts Items, maxDepth int, lastUpdateID int64, lastUpdated time.Time) {
if len(bidUpdts) == 0 && len(askUpdts) == 0 {
return
}
d.m.Lock()
d.lastUpdateID = lastUpdateID
d.lastUpdated = lastUpdated
tn := getNow()
if len(bidUpdts) != 0 {
d.bids.updateInsertByPrice(bidUpdts, d.stack, maxDepth, tn)
@@ -130,7 +137,7 @@ func (d *Depth) UpdateBidAskByPrice(bidUpdts, askUpdts Items, maxDepth int) {
}
// UpdateBidAskByID amends details by ID
func (d *Depth) UpdateBidAskByID(bidUpdts, askUpdts Items) error {
func (d *Depth) UpdateBidAskByID(bidUpdts, askUpdts Items, lastUpdateID int64, lastUpdated time.Time) error {
if len(bidUpdts) == 0 && len(askUpdts) == 0 {
return nil
}
@@ -148,12 +155,14 @@ func (d *Depth) UpdateBidAskByID(bidUpdts, askUpdts Items) error {
return err
}
}
d.lastUpdateID = lastUpdateID
d.lastUpdated = lastUpdated
d.alert()
return nil
}
// DeleteBidAskByID deletes a price level by ID
func (d *Depth) DeleteBidAskByID(bidUpdts, askUpdts Items, bypassErr bool) error {
func (d *Depth) DeleteBidAskByID(bidUpdts, askUpdts Items, bypassErr bool, lastUpdateID int64, lastUpdated time.Time) error {
if len(bidUpdts) == 0 && len(askUpdts) == 0 {
return nil
}
@@ -171,12 +180,14 @@ func (d *Depth) DeleteBidAskByID(bidUpdts, askUpdts Items, bypassErr bool) error
return err
}
}
d.lastUpdateID = lastUpdateID
d.lastUpdated = lastUpdated
d.alert()
return nil
}
// InsertBidAskByID inserts new updates
func (d *Depth) InsertBidAskByID(bidUpdts, askUpdts Items) error {
func (d *Depth) InsertBidAskByID(bidUpdts, askUpdts Items, lastUpdateID int64, lastUpdated time.Time) error {
if len(bidUpdts) == 0 && len(askUpdts) == 0 {
return nil
}
@@ -194,12 +205,14 @@ func (d *Depth) InsertBidAskByID(bidUpdts, askUpdts Items) error {
return err
}
}
d.lastUpdateID = lastUpdateID
d.lastUpdated = lastUpdated
d.alert()
return nil
}
// UpdateInsertByID updates or inserts by ID at current price level.
func (d *Depth) UpdateInsertByID(bidUpdts, askUpdts Items) error {
func (d *Depth) UpdateInsertByID(bidUpdts, askUpdts Items, lastUpdateID int64, lastUpdated time.Time) error {
if len(bidUpdts) == 0 && len(askUpdts) == 0 {
return nil
}
@@ -218,6 +231,8 @@ func (d *Depth) UpdateInsertByID(bidUpdts, askUpdts Items) error {
}
}
d.alert()
d.lastUpdateID = lastUpdateID
d.lastUpdated = lastUpdated
return nil
}
@@ -239,15 +254,6 @@ func (d *Depth) AssignOptions(b *Base) {
d.m.Unlock()
}
// SetLastUpdate sets details of last update information
func (d *Depth) SetLastUpdate(lastUpdate time.Time, lastUpdateID int64, updateByREST bool) {
d.m.Lock()
d.lastUpdated = lastUpdate
d.lastUpdateID = lastUpdateID
d.restSnapshot = updateByREST
d.m.Unlock()
}
// GetName returns name of exchange
func (d *Depth) GetName() string {
d.m.Lock()

53
exchanges/orderbook/depth_test.go
View File

@@ -121,7 +121,7 @@ func TestTotalAmounts(t *testing.T) {
func TestLoadSnapshot(t *testing.T) {
d := newDepth(id)
d.LoadSnapshot(Items{{Price: 1337, Amount: 1}}, Items{{Price: 1337, Amount: 10}})
d.LoadSnapshot(Items{{Price: 1337, Amount: 1}}, Items{{Price: 1337, Amount: 10}}, 0, time.Time{}, false)
if d.Retrieve().Asks[0].Price != 1337 || d.Retrieve().Bids[0].Price != 1337 {
t.Fatal("not set")
}
@@ -129,12 +129,12 @@ func TestLoadSnapshot(t *testing.T) {
func TestFlush(t *testing.T) {
d := newDepth(id)
d.LoadSnapshot(Items{{Price: 1337, Amount: 1}}, Items{{Price: 1337, Amount: 10}})
d.LoadSnapshot(Items{{Price: 1337, Amount: 1}}, Items{{Price: 1337, Amount: 10}}, 0, time.Time{}, false)
d.Flush()
if len(d.Retrieve().Asks) != 0 || len(d.Retrieve().Bids) != 0 {
t.Fatal("not flushed")
}
d.LoadSnapshot(Items{{Price: 1337, Amount: 1}}, Items{{Price: 1337, Amount: 10}})
d.LoadSnapshot(Items{{Price: 1337, Amount: 1}}, Items{{Price: 1337, Amount: 10}}, 0, time.Time{}, false)
d.Flush()
if len(d.Retrieve().Asks) != 0 || len(d.Retrieve().Bids) != 0 {
t.Fatal("not flushed")
@@ -143,12 +143,12 @@ func TestFlush(t *testing.T) {
func TestUpdateBidAskByPrice(t *testing.T) {
d := newDepth(id)
d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}})
d.UpdateBidAskByPrice(Items{{Price: 1337, Amount: 2, ID: 1}}, Items{{Price: 1337, Amount: 2, ID: 2}}, 0)
d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Time{}, false)
d.UpdateBidAskByPrice(Items{{Price: 1337, Amount: 2, ID: 1}}, Items{{Price: 1337, Amount: 2, ID: 2}}, 0, 0, time.Time{})
if d.Retrieve().Asks[0].Amount != 2 || d.Retrieve().Bids[0].Amount != 2 {
t.Fatal("orderbook amounts not updated correctly")
}
d.UpdateBidAskByPrice(Items{{Price: 1337, Amount: 0, ID: 1}}, Items{{Price: 1337, Amount: 0, ID: 2}}, 0)
d.UpdateBidAskByPrice(Items{{Price: 1337, Amount: 0, ID: 1}}, Items{{Price: 1337, Amount: 0, ID: 2}}, 0, 0, time.Time{})
if d.GetAskLength() != 0 || d.GetBidLength() != 0 {
t.Fatal("orderbook amounts not updated correctly")
}
@@ -156,8 +156,8 @@ func TestUpdateBidAskByPrice(t *testing.T) {
func TestDeleteBidAskByID(t *testing.T) {
d := newDepth(id)
d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}})
err := d.DeleteBidAskByID(Items{{Price: 1337, Amount: 2, ID: 1}}, Items{{Price: 1337, Amount: 2, ID: 2}}, false)
d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Time{}, false)
err := d.DeleteBidAskByID(Items{{Price: 1337, Amount: 2, ID: 1}}, Items{{Price: 1337, Amount: 2, ID: 2}}, false, 0, time.Time{})
if err != nil {
t.Fatal(err)
}
@@ -165,17 +165,17 @@ func TestDeleteBidAskByID(t *testing.T) {
t.Fatal("items not deleted")
}
err = d.DeleteBidAskByID(Items{{Price: 1337, Amount: 2, ID: 1}}, nil, false)
err = d.DeleteBidAskByID(Items{{Price: 1337, Amount: 2, ID: 1}}, nil, false, 0, time.Time{})
if !errors.Is(err, errIDCannotBeMatched) {
t.Fatalf("error expected %v received %v", errIDCannotBeMatched, err)
}
err = d.DeleteBidAskByID(nil, Items{{Price: 1337, Amount: 2, ID: 2}}, false)
err = d.DeleteBidAskByID(nil, Items{{Price: 1337, Amount: 2, ID: 2}}, false, 0, time.Time{})
if !errors.Is(err, errIDCannotBeMatched) {
t.Fatalf("error expected %v received %v", errIDCannotBeMatched, err)
}
err = d.DeleteBidAskByID(nil, Items{{Price: 1337, Amount: 2, ID: 2}}, true)
err = d.DeleteBidAskByID(nil, Items{{Price: 1337, Amount: 2, ID: 2}}, true, 0, time.Time{})
if !errors.Is(err, nil) {
t.Fatalf("error expected %v received %v", nil, err)
}
@@ -183,8 +183,8 @@ func TestDeleteBidAskByID(t *testing.T) {
func TestUpdateBidAskByID(t *testing.T) {
d := newDepth(id)
d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}})
err := d.UpdateBidAskByID(Items{{Price: 1337, Amount: 2, ID: 1}}, Items{{Price: 1337, Amount: 2, ID: 2}})
d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Time{}, false)
err := d.UpdateBidAskByID(Items{{Price: 1337, Amount: 2, ID: 1}}, Items{{Price: 1337, Amount: 2, ID: 2}}, 0, time.Time{})
if err != nil {
t.Fatal(err)
}
@@ -193,12 +193,12 @@ func TestUpdateBidAskByID(t *testing.T) {
}
// random unmatching IDs
err = d.UpdateBidAskByID(Items{{Price: 1337, Amount: 2, ID: 666}}, nil)
err = d.UpdateBidAskByID(Items{{Price: 1337, Amount: 2, ID: 666}}, nil, 0, time.Time{})
if !errors.Is(err, errIDCannotBeMatched) {
t.Fatalf("error expected %v received %v", errIDCannotBeMatched, err)
}
err = d.UpdateBidAskByID(nil, Items{{Price: 1337, Amount: 2, ID: 69}})
err = d.UpdateBidAskByID(nil, Items{{Price: 1337, Amount: 2, ID: 69}}, 0, time.Time{})
if !errors.Is(err, errIDCannotBeMatched) {
t.Fatalf("error expected %v received %v", errIDCannotBeMatched, err)
}
@@ -206,8 +206,8 @@ func TestUpdateBidAskByID(t *testing.T) {
func TestInsertBidAskByID(t *testing.T) {
d := newDepth(id)
d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}})
err := d.InsertBidAskByID(Items{{Price: 1338, Amount: 2, ID: 3}}, Items{{Price: 1336, Amount: 2, ID: 4}})
d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Time{}, false)
err := d.InsertBidAskByID(Items{{Price: 1338, Amount: 2, ID: 3}}, Items{{Price: 1336, Amount: 2, ID: 4}}, 0, time.Time{})
if err != nil {
t.Fatal(err)
}
@@ -218,19 +218,19 @@ func TestInsertBidAskByID(t *testing.T) {
func TestUpdateInsertByID(t *testing.T) {
d := newDepth(id)
d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}})
d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Time{}, false)
err := d.UpdateInsertByID(Items{{Price: 1338, Amount: 0, ID: 3}}, Items{{Price: 1336, Amount: 2, ID: 4}})
err := d.UpdateInsertByID(Items{{Price: 1338, Amount: 0, ID: 3}}, Items{{Price: 1336, Amount: 2, ID: 4}}, 0, time.Time{})
if !errors.Is(err, errAmountCannotBeLessOrEqualToZero) {
t.Fatalf("expected: %v but received: %v", errAmountCannotBeLessOrEqualToZero, err)
}
err = d.UpdateInsertByID(Items{{Price: 1338, Amount: 2, ID: 3}}, Items{{Price: 1336, Amount: 0, ID: 4}})
err = d.UpdateInsertByID(Items{{Price: 1338, Amount: 2, ID: 3}}, Items{{Price: 1336, Amount: 0, ID: 4}}, 0, time.Time{})
if !errors.Is(err, errAmountCannotBeLessOrEqualToZero) {
t.Fatalf("expected: %v but received: %v", errAmountCannotBeLessOrEqualToZero, err)
}
err = d.UpdateInsertByID(Items{{Price: 1338, Amount: 2, ID: 3}}, Items{{Price: 1336, Amount: 2, ID: 4}})
err = d.UpdateInsertByID(Items{{Price: 1338, Amount: 2, ID: 3}}, Items{{Price: 1336, Amount: 2, ID: 4}}, 0, time.Time{})
if err != nil {
t.Fatal(err)
}
@@ -271,17 +271,6 @@ func TestAssignOptions(t *testing.T) {
}
}
func TestSetLastUpdate(t *testing.T) {
d := Depth{}
tn := time.Now()
d.SetLastUpdate(tn, 1337, true)
if d.lastUpdated != tn ||
d.lastUpdateID != 1337 ||
!d.restSnapshot {
t.Fatal("failed to set correctly")
}
}
func TestGetName(t *testing.T) {
d := Depth{}
d.exchange = "test"

3
exchanges/orderbook/orderbook.go
View File

@@ -79,8 +79,7 @@ func (s *Service) Update(b *Base) error {
book.AssignOptions(b)
m3[b.Pair.Quote.Item] = book
}
book.SetLastUpdate(b.LastUpdated, b.LastUpdateID, true)
book.LoadSnapshot(b.Bids, b.Asks)
book.LoadSnapshot(b.Bids, b.Asks, b.LastUpdateID, b.LastUpdated, true)
s.Unlock()
return s.Mux.Publish([]uuid.UUID{m1.ID}, book.Retrieve())
}