orderbook: Add optional orderbook.Item string fields for potential checksum calculations (#1354)

* orderbook: Add optional orderbook.Item string fields for potential checksum calculations. * glorious: nits * glorious: nits * thrasher: nits * glorious: nits --------- Co-authored-by: Ryan O'Hara-Reid <ryan.oharareid@thrasher.io>
2026-06-05 15:10:59 +00:00 · 2023-10-13 16:38:49 +11:00
parent 773441d5a7
commit 51e2e42a19
9 changed files with 205 additions and 168 deletions
--- a/exchanges/orderbook/depth.go
+++ b/exchanges/orderbook/depth.go
@@ -78,17 +78,18 @@ func (d *Depth) Retrieve() (*Base, error) {
 		return nil, d.validationError
 	}
 	return &Base{
-		Bids:             d.bids.retrieve(0),
-		Asks:             d.asks.retrieve(0),
-		Exchange:         d.exchange,
-		Asset:            d.asset,
-		Pair:             d.pair,
-		LastUpdated:      d.lastUpdated,
-		LastUpdateID:     d.lastUpdateID,
-		PriceDuplication: d.priceDuplication,
-		IsFundingRate:    d.isFundingRate,
-		VerifyOrderbook:  d.VerifyOrderbook,
-		MaxDepth:         d.maxDepth,
+		Bids:                   d.bids.retrieve(0),
+		Asks:                   d.asks.retrieve(0),
+		Exchange:               d.exchange,
+		Asset:                  d.asset,
+		Pair:                   d.pair,
+		LastUpdated:            d.lastUpdated,
+		LastUpdateID:           d.lastUpdateID,
+		PriceDuplication:       d.priceDuplication,
+		IsFundingRate:          d.isFundingRate,
+		VerifyOrderbook:        d.VerifyOrderbook,
+		MaxDepth:               d.maxDepth,
+		ChecksumStringRequired: d.checksumStringRequired,
 	}, nil
 }

@@ -282,17 +283,18 @@ func (d *Depth) UpdateInsertByID(update *Update) error {
 func (d *Depth) AssignOptions(b *Base) {
 	d.m.Lock()
 	d.options = options{
-		exchange:         b.Exchange,
-		pair:             b.Pair,
-		asset:            b.Asset,
-		lastUpdated:      b.LastUpdated,
-		lastUpdateID:     b.LastUpdateID,
-		priceDuplication: b.PriceDuplication,
-		isFundingRate:    b.IsFundingRate,
-		VerifyOrderbook:  b.VerifyOrderbook,
-		restSnapshot:     b.RestSnapshot,
-		idAligned:        b.IDAlignment,
-		maxDepth:         b.MaxDepth,
+		exchange:               b.Exchange,
+		pair:                   b.Pair,
+		asset:                  b.Asset,
+		lastUpdated:            b.LastUpdated,
+		lastUpdateID:           b.LastUpdateID,
+		priceDuplication:       b.PriceDuplication,
+		isFundingRate:          b.IsFundingRate,
+		VerifyOrderbook:        b.VerifyOrderbook,
+		restSnapshot:           b.RestSnapshot,
+		idAligned:              b.IDAlignment,
+		maxDepth:               b.MaxDepth,
+		checksumStringRequired: b.ChecksumStringRequired,
 	}
 	d.m.Unlock()
 }
--- a/exchanges/orderbook/depth_test.go
+++ b/exchanges/orderbook/depth_test.go
@@ -92,17 +92,18 @@ func TestRetrieve(t *testing.T) {
 	d.asks.load([]Item{{Price: 1337}}, d.stack, time.Now())
 	d.bids.load([]Item{{Price: 1337}}, d.stack, time.Now())
 	d.options = options{
-		exchange:         "THE BIG ONE!!!!!!",
-		pair:             currency.NewPair(currency.THETA, currency.USD),
-		asset:            asset.DownsideProfitContract,
-		lastUpdated:      time.Now(),
-		lastUpdateID:     1337,
-		priceDuplication: true,
-		isFundingRate:    true,
-		VerifyOrderbook:  true,
-		restSnapshot:     true,
-		idAligned:        true,
-		maxDepth:         10,
+		exchange:               "THE BIG ONE!!!!!!",
+		pair:                   currency.NewPair(currency.THETA, currency.USD),
+		asset:                  asset.DownsideProfitContract,
+		lastUpdated:            time.Now(),
+		lastUpdateID:           1337,
+		priceDuplication:       true,
+		isFundingRate:          true,
+		VerifyOrderbook:        true,
+		restSnapshot:           true,
+		idAligned:              true,
+		maxDepth:               10,
+		checksumStringRequired: true,
 	}

 	// If we add anymore options to the options struct later this will complain
--- a/exchanges/orderbook/linked_list.go
+++ b/exchanges/orderbook/linked_list.go
@@ -100,8 +100,10 @@ updates:
 				// Only apply changes when zero values are not present, Bitmex
 				// for example sends 0 price values.
 				tip.Value.Price = updts[x].Price
+				tip.Value.StrPrice = updts[x].StrPrice
 			}
 			tip.Value.Amount = updts[x].Amount
+			tip.Value.StrAmount = updts[x].StrAmount
 			continue updates
 		}
 		return fmt.Errorf("update error: %w ID: %d not found",
@@ -190,7 +192,7 @@ func (ll *linkedList) updateInsertByPrice(updts Items, stack *stack, maxChainLen
 	for x := range updts {
 		for tip := &ll.head; ; tip = &(*tip).Next {
 			if *tip == nil {
-				insertHeadSpecific(ll, updts[x], stack)
+				insertHeadSpecific(ll, &updts[x], stack)
 				break
 			}
 			if (*tip).Value.Price == updts[x].Price { // Match check
@@ -198,6 +200,7 @@ func (ll *linkedList) updateInsertByPrice(updts Items, stack *stack, maxChainLen
 					stack.Push(deleteAtTip(ll, tip), tn)
 				} else { // Amend current amount value
 					(*tip).Value.Amount = updts[x].Amount
+					(*tip).Value.StrAmount = updts[x].StrAmount
 				}
 				break // Continue updates
 			}
@@ -208,7 +211,7 @@ func (ll *linkedList) updateInsertByPrice(updts Items, stack *stack, maxChainLen
 				// to a non-existent price level (OTC/Hidden order) so we can
 				// break instantly and reduce the traversal of the entire chain.
 				if updts[x].Amount > 0 {
-					insertAtTip(ll, tip, updts[x], stack)
+					insertAtTip(ll, tip, &updts[x], stack)
 				}
 				break // Continue updates
 			}
@@ -217,7 +220,7 @@ func (ll *linkedList) updateInsertByPrice(updts Items, stack *stack, maxChainLen
 				// This check below is just a catch all in the event the above
 				// zero value check fails
 				if updts[x].Amount > 0 {
-					insertAtTail(ll, tip, updts[x], stack)
+					insertAtTail(ll, tip, &updts[x], stack)
 				}
 				break
 			}
@@ -255,7 +258,9 @@ updates:
 					if tip.Next == nil {
 						// no movement needed just a re-adjustment
 						tip.Value.Price = updts[x].Price
+						tip.Value.StrPrice = updts[x].StrPrice
 						tip.Value.Amount = updts[x].Amount
+						tip.Value.StrAmount = updts[x].StrAmount
 						continue updates
 					}
 					// bookmark tip to move this node to correct price level
@@ -264,6 +269,7 @@ updates:
 				}
 				// no price change, amend amount and continue update
 				tip.Value.Amount = updts[x].Amount
+				tip.Value.StrAmount = updts[x].StrAmount
 				continue updates // continue to next update
 			}

@@ -305,7 +311,7 @@ updates:
 			}

 			if tip.Next == nil {
-				if shiftBookmark(tip, &bookmark, &ll.head, updts[x]) {
+				if shiftBookmark(tip, &bookmark, &ll.head, &updts[x]) {
 					continue updates
 				}
 			}
@@ -352,7 +358,7 @@ func (ll *linkedList) insertUpdates(updts Items, stack *stack, comp comparison)
 			}

 			if (*tip).Next == nil { // Tail
-				insertAtTail(ll, tip, updts[x], stack)
+				insertAtTail(ll, tip, &updts[x], stack)
 				break // Continue updates
 			}
 			prev = *tip
@@ -778,9 +784,9 @@ func deleteAtTip(ll *linkedList, tip **Node) *Node {
 }

 // insertAtTip inserts at a tip target (can inline)
-func insertAtTip(ll *linkedList, tip **Node, updt Item, stack *stack) {
+func insertAtTip(ll *linkedList, tip **Node, updt *Item, stack *stack) {
 	n := stack.Pop()
-	n.Value = updt
+	n.Value = *updt
 	n.Next = *tip
 	n.Prev = (*tip).Prev
 	if (*tip).Prev == nil { // Tip is at head
@@ -797,9 +803,9 @@ func insertAtTip(ll *linkedList, tip **Node, updt Item, stack *stack) {
 }

 // insertAtTail inserts at tail end of node chain (can inline)
-func insertAtTail(ll *linkedList, tip **Node, updt Item, stack *stack) {
+func insertAtTail(ll *linkedList, tip **Node, updt *Item, stack *stack) {
 	n := stack.Pop()
-	n.Value = updt
+	n.Value = *updt
 	// Reference tip to new node
 	(*tip).Next = n
 	// Reference new node with current tip
@@ -810,9 +816,9 @@ func insertAtTail(ll *linkedList, tip **Node, updt Item, stack *stack) {
 // insertHeadSpecific inserts at head specifically there might be an instance
 // where the liquidity on an exchange does fall to zero through a streaming
 // endpoint then it comes back online. (can inline)
-func insertHeadSpecific(ll *linkedList, updt Item, stack *stack) {
+func insertHeadSpecific(ll *linkedList, updt *Item, stack *stack) {
 	n := stack.Pop()
-	n.Value = updt
+	n.Value = *updt
 	ll.head = n
 	ll.length++
 }
@@ -842,12 +848,12 @@ func insertNodeAtBookmark(ll *linkedList, bookmark, n *Node) {

 // shiftBookmark moves a bookmarked node to the tip's next position or if nil,
 // sets tip as bookmark (can inline)
-func shiftBookmark(tip *Node, bookmark, head **Node, updt Item) bool {
+func shiftBookmark(tip *Node, bookmark, head **Node, updt *Item) bool {
 	if *bookmark == nil { // End of the chain and no bookmark set
 		*bookmark = tip // Set tip to bookmark so we can set a new node there
 		return false
 	}
-	(*bookmark).Value = updt
+	(*bookmark).Value = *updt
 	(*bookmark).Next.Prev = (*bookmark).Prev
 	if (*bookmark).Prev == nil { // Bookmark is at head
 		*head = (*bookmark).Next
--- a/exchanges/orderbook/linked_list_test.go
+++ b/exchanges/orderbook/linked_list_test.go
@@ -1421,7 +1421,7 @@ func TestShiftBookmark(t *testing.T) {
 	// associate tips prev field with the correct prev node
 	tip.Prev = tipprev

-	if !shiftBookmark(tip, &bookmarkedNode, nil, Item{Amount: 1336, ID: 1337, Price: 9999}) {
+	if !shiftBookmark(tip, &bookmarkedNode, nil, &Item{Amount: 1336, ID: 1337, Price: 9999}) {
 		t.Fatal("There should be liquidity so we don't need to set tip to bookmark")
 	}

@@ -1453,7 +1453,7 @@ func TestShiftBookmark(t *testing.T) {

 	var nilBookmark *Node

-	if shiftBookmark(tip, &nilBookmark, nil, Item{Amount: 1336, ID: 1337, Price: 9999}) {
+	if shiftBookmark(tip, &nilBookmark, nil, &Item{Amount: 1336, ID: 1337, Price: 9999}) {
 		t.Fatal("there should not be a bookmarked node")
 	}

@@ -1466,7 +1466,7 @@ func TestShiftBookmark(t *testing.T) {
 	bookmarkedNode.Next = originalBookmarkNext
 	tip.Next = nil

-	if !shiftBookmark(tip, &bookmarkedNode, &head, Item{Amount: 1336, ID: 1337, Price: 9999}) {
+	if !shiftBookmark(tip, &bookmarkedNode, &head, &Item{Amount: 1336, ID: 1337, Price: 9999}) {
 		t.Fatal("There should be liquidity so we don't need to set tip to bookmark")
 	}

--- a/exchanges/orderbook/orderbook.go
+++ b/exchanges/orderbook/orderbook.go
@@ -225,11 +225,11 @@ func (b *Base) Verify() error {
 			len(b.Bids),
 			len(b.Asks))
 	}
-	err := checkAlignment(b.Bids, b.IsFundingRate, b.PriceDuplication, b.IDAlignment, dsc, b.Exchange)
+	err := checkAlignment(b.Bids, b.IsFundingRate, b.PriceDuplication, b.IDAlignment, b.ChecksumStringRequired, dsc, b.Exchange)
 	if err != nil {
 		return fmt.Errorf(bidLoadBookFailure, b.Exchange, b.Pair, b.Asset, err)
 	}
-	err = checkAlignment(b.Asks, b.IsFundingRate, b.PriceDuplication, b.IDAlignment, asc, b.Exchange)
+	err = checkAlignment(b.Asks, b.IsFundingRate, b.PriceDuplication, b.IDAlignment, b.ChecksumStringRequired, asc, b.Exchange)
 	if err != nil {
 		return fmt.Errorf(askLoadBookFailure, b.Exchange, b.Pair, b.Asset, err)
 	}
@@ -257,7 +257,7 @@ var dsc = func(current Item, previous Item) error {
 }

 // checkAlignment validates full orderbook
-func checkAlignment(depth Items, fundingRate, priceDuplication, isIDAligned bool, c checker, exch string) error {
+func checkAlignment(depth Items, fundingRate, priceDuplication, isIDAligned, requiresChecksumString bool, c checker, exch string) error {
 	for i := range depth {
 		if depth[i].Price == 0 {
 			switch {
@@ -273,6 +273,10 @@ func checkAlignment(depth Items, fundingRate, priceDuplication, isIDAligned bool
 		if fundingRate && depth[i].Period == 0 {
 			return errPeriodUnset
 		}
+		if requiresChecksumString && (depth[i].StrAmount == "" || depth[i].StrPrice == "") {
+			return errChecksumStringNotSet
+		}
+
 		if i != 0 {
 			prev := i - 1
 			if err := c(depth[i], depth[prev]); err != nil {
--- a/exchanges/orderbook/orderbook_test.go
+++ b/exchanges/orderbook/orderbook_test.go
@@ -759,16 +759,29 @@ func TestCheckAlignment(t *testing.T) {
 			Period: 1337,
 		},
 	}
-	err := checkAlignment(itemWithFunding, true, true, false, dsc, "Bitfinex")
+	err := checkAlignment(itemWithFunding, true, true, false, false, dsc, "Bitfinex")
 	if err != nil {
 		t.Error(err)
 	}
-	err = checkAlignment(itemWithFunding, false, true, false, dsc, "Bitfinex")
+	err = checkAlignment(itemWithFunding, false, true, false, false, dsc, "Bitfinex")
 	if !errors.Is(err, errPriceNotSet) {
 		t.Fatalf("received: %v but expected: %v", err, errPriceNotSet)
 	}
-	err = checkAlignment(itemWithFunding, true, true, false, dsc, "Binance")
+	err = checkAlignment(itemWithFunding, true, true, false, false, dsc, "Binance")
 	if !errors.Is(err, errPriceNotSet) {
 		t.Fatalf("received: %v but expected: %v", err, errPriceNotSet)
 	}
+
+	itemWithFunding[0].Price = 1337
+	err = checkAlignment(itemWithFunding, true, true, false, true, dsc, "Binance")
+	if !errors.Is(err, errChecksumStringNotSet) {
+		t.Fatalf("received: %v but expected: %v", err, errChecksumStringNotSet)
+	}
+
+	itemWithFunding[0].StrAmount = "1337.0000000"
+	itemWithFunding[0].StrPrice = "1337.0000000"
+	err = checkAlignment(itemWithFunding, true, true, false, true, dsc, "Binance")
+	if !errors.Is(err, nil) {
+		t.Fatalf("received: %v but expected: %v", err, nil)
+	}
 }
--- a/exchanges/orderbook/orderbook_types.go
+++ b/exchanges/orderbook/orderbook_types.go
@@ -21,18 +21,19 @@ const (

 // Vars for the orderbook package
 var (
-	errExchangeNameUnset   = errors.New("orderbook exchange name not set")
-	errPairNotSet          = errors.New("orderbook currency pair not set")
-	errAssetTypeNotSet     = errors.New("orderbook asset type not set")
-	errCannotFindOrderbook = errors.New("cannot find orderbook(s)")
-	errPriceNotSet         = errors.New("price cannot be zero")
-	errAmountInvalid       = errors.New("amount cannot be less or equal to zero")
-	errPriceOutOfOrder     = errors.New("pricing out of order")
-	errIDOutOfOrder        = errors.New("ID out of order")
-	errDuplication         = errors.New("price duplication")
-	errIDDuplication       = errors.New("id duplication")
-	errPeriodUnset         = errors.New("funding rate period is unset")
-	errNotEnoughLiquidity  = errors.New("not enough liquidity")
+	errExchangeNameUnset    = errors.New("orderbook exchange name not set")
+	errPairNotSet           = errors.New("orderbook currency pair not set")
+	errAssetTypeNotSet      = errors.New("orderbook asset type not set")
+	errCannotFindOrderbook  = errors.New("cannot find orderbook(s)")
+	errPriceNotSet          = errors.New("price cannot be zero")
+	errAmountInvalid        = errors.New("amount cannot be less or equal to zero")
+	errPriceOutOfOrder      = errors.New("pricing out of order")
+	errIDOutOfOrder         = errors.New("ID out of order")
+	errDuplication          = errors.New("price duplication")
+	errIDDuplication        = errors.New("id duplication")
+	errPeriodUnset          = errors.New("funding rate period is unset")
+	errNotEnoughLiquidity   = errors.New("not enough liquidity")
+	errChecksumStringNotSet = errors.New("checksum string not set")
 )

 var service = Service{
@@ -57,8 +58,16 @@ type Exchange struct {
 // Item stores the amount and price values
 type Item struct {
 	Amount float64
-	Price  float64
-	ID     int64
+	// StrAmount is a string representation of the amount. e.g. 0.00000100 this
+	// parsed as a float will constrict comparison to 1e-6 not 1e-8 or
+	// potentially will round value which is not ideal.
+	StrAmount string
+	Price     float64
+	// StrPrice is a string representation of the price. e.g. 0.00000100 this
+	// parsed as a float will constrict comparison to 1e-6 not 1e-8 or
+	// potentially will round value which is not ideal.
+	StrPrice string
+	ID       int64

 	// Funding rate field
 	Period int64
@@ -100,6 +109,10 @@ type Base struct {
 	// should remove any items that are outside of this scope. Bittrex and
 	// Kraken utilise this field.
 	MaxDepth int
+	// ChecksumStringRequired defines if the checksum is built from the raw
+	// string representations of the price and amount. This helps alleviate any
+	// potential rounding issues.
+	ChecksumStringRequired bool
 }

 type byOBPrice []Item
@@ -109,17 +122,18 @@ func (a byOBPrice) Swap(i, j int)      { a[i], a[j] = a[j], a[i] }
 func (a byOBPrice) Less(i, j int) bool { return a[i].Price < a[j].Price }

 type options struct {
-	exchange         string
-	pair             currency.Pair
-	asset            asset.Item
-	lastUpdated      time.Time
-	lastUpdateID     int64
-	priceDuplication bool
-	isFundingRate    bool
-	VerifyOrderbook  bool
-	restSnapshot     bool
-	idAligned        bool
-	maxDepth         int
+	exchange               string
+	pair                   currency.Pair
+	asset                  asset.Item
+	lastUpdated            time.Time
+	lastUpdateID           int64
+	priceDuplication       bool
+	isFundingRate          bool
+	VerifyOrderbook        bool
+	restSnapshot           bool
+	idAligned              bool
+	checksumStringRequired bool
+	maxDepth               int
 }

 // Action defines a set of differing states required to implement an incoming