orderbook/gateio: add field UpdatePushedAt and InsertedAt for specific websocket updates (#1590)

* Add in extra field for colocation monitoring

* rm tags

* populate through gateio orderbooks

* populate through incremental updates

* Add insert at field for orderbook depth

* I AM A BAD SPELLLLLLA

* add it in

* c change

---------

Co-authored-by: Ryan O'Hara-Reid <ryan.oharareid@thrasher.io>

exchanges/gateio/gateio_types.go

@@ -2014,6 +2014,7 @@ type WsEventResponse struct {
 type WsResponse struct {
 	ID      int64           `json:"id"`
 	Time    Time            `json:"time"`
+	TimeMs  Time            `json:"time_ms"`
 	Channel string          `json:"channel"`
 	Event   string          `json:"event"`
 	Result  json.RawMessage `json:"result"`

exchanges/gateio/gateio_websocket.go

@@ -131,11 +131,11 @@ func (g *Gateio) wsHandleData(respRaw []byte) error {
 	case spotCandlesticksChannel:
 		return g.processCandlestick(push.Result)
 	case spotOrderbookTickerChannel:
-		return g.processOrderbookTicker(push.Result)
+		return g.processOrderbookTicker(push.Result, push.TimeMs.Time())
 	case spotOrderbookUpdateChannel:
-		return g.processOrderbookUpdate(push.Result)
+		return g.processOrderbookUpdate(push.Result, push.TimeMs.Time())
 	case spotOrderbookChannel:
-		return g.processOrderbookSnapshot(push.Result)
+		return g.processOrderbookSnapshot(push.Result, push.TimeMs.Time())
 	case spotOrdersChannel:
 		return g.processSpotOrders(respRaw)
 	case spotUserTradesChannel:
@@ -278,7 +278,7 @@ func (g *Gateio) processCandlestick(incoming []byte) error {
 	return nil
 }
 
-func (g *Gateio) processOrderbookTicker(incoming []byte) error {
+func (g *Gateio) processOrderbookTicker(incoming []byte, updatePushedAt time.Time) error {
 	var data WsOrderbookTickerData
 	err := json.Unmarshal(incoming, &data)
 	if err != nil {
@@ -286,16 +286,17 @@ func (g *Gateio) processOrderbookTicker(incoming []byte) error {
 	}
 
 	return g.Websocket.Orderbook.LoadSnapshot(&orderbook.Base{
-		Exchange:    g.Name,
-		Pair:        data.CurrencyPair,
-		Asset:       asset.Spot,
-		LastUpdated: data.UpdateTimeMS.Time(),
-		Bids:        []orderbook.Tranche{{Price: data.BestBidPrice.Float64(), Amount: data.BestBidAmount.Float64()}},
-		Asks:        []orderbook.Tranche{{Price: data.BestAskPrice.Float64(), Amount: data.BestAskAmount.Float64()}},
+		Exchange:       g.Name,
+		Pair:           data.CurrencyPair,
+		Asset:          asset.Spot,
+		LastUpdated:    data.UpdateTimeMS.Time(),
+		UpdatePushedAt: updatePushedAt,
+		Bids:           []orderbook.Tranche{{Price: data.BestBidPrice.Float64(), Amount: data.BestBidAmount.Float64()}},
+		Asks:           []orderbook.Tranche{{Price: data.BestAskPrice.Float64(), Amount: data.BestAskAmount.Float64()}},
 	})
 }
 
-func (g *Gateio) processOrderbookUpdate(incoming []byte) error {
+func (g *Gateio) processOrderbookUpdate(incoming []byte, updatePushedAt time.Time) error {
 	var data WsOrderbookUpdate
 	err := json.Unmarshal(incoming, &data)
 	if err != nil {
@@ -323,8 +324,9 @@ func (g *Gateio) processOrderbookUpdate(incoming []byte) error {
 		fetchedCurrencyPairSnapshotOrderbook[data.CurrencyPair.String()] = true
 	}
 	updates := orderbook.Update{
-		UpdateTime: data.UpdateTimeMs.Time(),
-		Pair:       data.CurrencyPair,
+		UpdateTime:     data.UpdateTimeMs.Time(),
+		UpdatePushedAt: updatePushedAt,
+		Pair:           data.CurrencyPair,
 	}
 	updates.Asks = make([]orderbook.Tranche, len(data.Asks))
 	for x := range data.Asks {
@@ -377,7 +379,7 @@ func (g *Gateio) processOrderbookUpdate(incoming []byte) error {
 	return nil
 }
 
-func (g *Gateio) processOrderbookSnapshot(incoming []byte) error {
+func (g *Gateio) processOrderbookSnapshot(incoming []byte, updatePushedAt time.Time) error {
 	var data WsOrderbookSnapshot
 	err := json.Unmarshal(incoming, &data)
 	if err != nil {
@@ -389,6 +391,7 @@ func (g *Gateio) processOrderbookSnapshot(incoming []byte) error {
 		Pair:            data.CurrencyPair,
 		Asset:           asset.Spot,
 		LastUpdated:     data.UpdateTimeMs.Time(),
+		UpdatePushedAt:  updatePushedAt,
 		LastUpdateID:    data.LastUpdateID,
 		VerifyOrderbook: g.CanVerifyOrderbook,
 	}

exchanges/gateio/gateio_ws_futures.go

@@ -577,7 +577,7 @@ func (g *Gateio) processFuturesAndOptionsOrderbookUpdate(incoming []byte, assetT
 	return g.Websocket.Orderbook.Update(&updates)
 }
 
-func (g *Gateio) processFuturesOrderbookSnapshot(event string, incoming []byte, assetType asset.Item, pushTime time.Time) error {
+func (g *Gateio) processFuturesOrderbookSnapshot(event string, incoming []byte, assetType asset.Item, updatePushedAt time.Time) error {
 	if event == "all" {
 		var data WsFuturesOrderbookSnapshot
 		err := json.Unmarshal(incoming, &data)
@@ -589,6 +589,7 @@ func (g *Gateio) processFuturesOrderbookSnapshot(event string, incoming []byte,
 			Exchange:        g.Name,
 			Pair:            data.Contract,
 			LastUpdated:     data.TimestampInMs.Time(),
+			UpdatePushedAt:  updatePushedAt,
 			VerifyOrderbook: g.CanVerifyOrderbook,
 		}
 		base.Asks = make([]orderbook.Tranche, len(data.Asks))
@@ -643,7 +644,8 @@ func (g *Gateio) processFuturesOrderbookSnapshot(event string, incoming []byte,
 			Asset:           assetType,
 			Exchange:        g.Name,
 			Pair:            currencyPair,
-			LastUpdated:     pushTime,
+			LastUpdated:     updatePushedAt,
+			UpdatePushedAt:  updatePushedAt,
 			VerifyOrderbook: g.CanVerifyOrderbook,
 		})
 		if err != nil {

exchanges/gateio/gateio_ws_option.go

@@ -554,7 +554,7 @@ func (g *Gateio) processOrderbookTickerPushData(incoming []byte) error {
 	return nil
 }
 
-func (g *Gateio) processOptionsOrderbookSnapshotPushData(event string, incoming []byte, pushTime time.Time) error {
+func (g *Gateio) processOptionsOrderbookSnapshotPushData(event string, incoming []byte, updatePushedAt time.Time) error {
 	if event == "all" {
 		var data WsOptionsOrderbookSnapshot
 		err := json.Unmarshal(incoming, &data)
@@ -566,6 +566,7 @@ func (g *Gateio) processOptionsOrderbookSnapshotPushData(event string, incoming
 			Exchange:        g.Name,
 			Pair:            data.Contract,
 			LastUpdated:     data.Timestamp.Time(),
+			UpdatePushedAt:  updatePushedAt,
 			VerifyOrderbook: g.CanVerifyOrderbook,
 		}
 		base.Asks = make([]orderbook.Tranche, len(data.Asks))
@@ -618,7 +619,8 @@ func (g *Gateio) processOptionsOrderbookSnapshotPushData(event string, incoming
 			Asset:           asset.Options,
 			Exchange:        g.Name,
 			Pair:            currencyPair,
-			LastUpdated:     pushTime,
+			LastUpdated:     updatePushedAt,
+			UpdatePushedAt:  updatePushedAt,
 			VerifyOrderbook: g.CanVerifyOrderbook,
 		})
 		if err != nil {

exchanges/orderbook/depth.go

@@ -76,6 +76,8 @@ func (d *Depth) Retrieve() (*Base, error) {
 		Asset:                  d.asset,
 		Pair:                   d.pair,
 		LastUpdated:            d.lastUpdated,
+		UpdatePushedAt:         d.updatePushedAt,
+		InsertedAt:             d.insertedAt,
 		LastUpdateID:           d.lastUpdateID,
 		PriceDuplication:       d.priceDuplication,
 		IsFundingRate:          d.isFundingRate,
@@ -86,7 +88,7 @@ func (d *Depth) Retrieve() (*Base, error) {
 }
 
 // LoadSnapshot flushes the bids and asks with a snapshot
-func (d *Depth) LoadSnapshot(bids, asks []Tranche, lastUpdateID int64, lastUpdated time.Time, updateByREST bool) error {
+func (d *Depth) LoadSnapshot(bids, asks []Tranche, lastUpdateID int64, lastUpdated, updatePushedAt time.Time, updateByREST bool) error {
 	d.m.Lock()
 	defer d.m.Unlock()
 	if lastUpdated.IsZero() {
@@ -98,6 +100,8 @@ func (d *Depth) LoadSnapshot(bids, asks []Tranche, lastUpdateID int64, lastUpdat
 	}
 	d.lastUpdateID = lastUpdateID
 	d.lastUpdated = lastUpdated
+	d.updatePushedAt = updatePushedAt
+	d.insertedAt = time.Now()
 	d.restSnapshot = updateByREST
 	d.bidTranches.load(bids)
 	d.askTranches.load(asks)
@@ -373,6 +377,8 @@ func (d *Depth) TotalAskAmounts() (liquidity, value float64, err error) {
 func (d *Depth) updateAndAlert(update *Update) {
 	d.lastUpdateID = update.UpdateID
 	d.lastUpdated = update.UpdateTime
+	d.updatePushedAt = update.UpdatePushedAt
+	d.insertedAt = time.Now()
 	d.Alert()
 }
 

exchanges/orderbook/depth_test.go

@@ -28,7 +28,7 @@ func TestGetLength(t *testing.T) {
 	_, err = d.GetAskLength()
 	assert.ErrorIs(t, err, ErrOrderbookInvalid, "GetAskLength should error with invalid depth")
 
-	err = d.LoadSnapshot([]Tranche{{Price: 1337}}, nil, 0, time.Now(), true)
+	err = d.LoadSnapshot([]Tranche{{Price: 1337}}, nil, 0, time.Now(), time.Now(), true)
 	assert.NoError(t, err, "LoadSnapshot should not error")
 
 	askLen, err := d.GetAskLength()
@@ -48,7 +48,7 @@ func TestGetLength(t *testing.T) {
 	_, err = d.GetBidLength()
 	assert.ErrorIs(t, err, ErrOrderbookInvalid, "GetBidLength should error with invalid depth")
 
-	err = d.LoadSnapshot(nil, []Tranche{{Price: 1337}}, 0, time.Now(), true)
+	err = d.LoadSnapshot(nil, []Tranche{{Price: 1337}}, 0, time.Now(), time.Now(), true)
 	assert.NoError(t, err, "LoadSnapshot should not error")
 
 	bidLen, err := d.GetBidLength()
@@ -72,6 +72,8 @@ func TestRetrieve(t *testing.T) {
 		pair:                   currency.NewPair(currency.THETA, currency.USD),
 		asset:                  asset.DownsideProfitContract,
 		lastUpdated:            time.Now(),
+		updatePushedAt:         time.Now(),
+		insertedAt:             time.Now(),
 		lastUpdateID:           1337,
 		priceDuplication:       true,
 		isFundingRate:          true,
@@ -142,10 +144,10 @@ func TestTotalAmounts(t *testing.T) {
 func TestLoadSnapshot(t *testing.T) {
 	t.Parallel()
 	d := NewDepth(id)
-	err := d.LoadSnapshot(Tranches{{Price: 1337, Amount: 1}}, Tranches{{Price: 1337, Amount: 10}}, 0, time.Time{}, false)
+	err := d.LoadSnapshot(Tranches{{Price: 1337, Amount: 1}}, Tranches{{Price: 1337, Amount: 10}}, 0, time.Time{}, time.Now(), false)
 	assert.ErrorIs(t, err, errLastUpdatedNotSet, "LoadSnapshot should error correctly")
 
-	err = d.LoadSnapshot(Tranches{{Price: 1337, Amount: 2}}, Tranches{{Price: 1338, Amount: 10}}, 0, time.Now(), false)
+	err = d.LoadSnapshot(Tranches{{Price: 1337, Amount: 2}}, Tranches{{Price: 1338, Amount: 10}}, 0, time.Now(), time.Now(), false)
 	assert.NoError(t, err, "LoadSnapshot should not error")
 
 	ob, err := d.Retrieve()
@@ -164,7 +166,7 @@ func TestInvalidate(t *testing.T) {
 	d.pair = currency.NewPair(currency.BTC, currency.WABI)
 	d.asset = asset.Spot
 
-	err := d.LoadSnapshot(Tranches{{Price: 1337, Amount: 1}}, Tranches{{Price: 1337, Amount: 10}}, 0, time.Now(), false)
+	err := d.LoadSnapshot(Tranches{{Price: 1337, Amount: 1}}, Tranches{{Price: 1337, Amount: 10}}, 0, time.Now(), time.Now(), false)
 	assert.NoError(t, err, "LoadSnapshot should not error")
 
 	ob, err := d.Retrieve()
@@ -192,7 +194,7 @@ func TestInvalidate(t *testing.T) {
 func TestUpdateBidAskByPrice(t *testing.T) {
 	t.Parallel()
 	d := NewDepth(id)
-	err := d.LoadSnapshot(Tranches{{Price: 1337, Amount: 1, ID: 1}}, Tranches{{Price: 1338, Amount: 10, ID: 2}}, 0, time.Now(), false)
+	err := d.LoadSnapshot(Tranches{{Price: 1337, Amount: 1, ID: 1}}, Tranches{{Price: 1338, Amount: 10, ID: 2}}, 0, time.Now(), time.Now(), false)
 	assert.NoError(t, err, "LoadSnapshot should not error")
 
 	err = d.UpdateBidAskByPrice(&Update{})
@@ -236,7 +238,7 @@ func TestUpdateBidAskByPrice(t *testing.T) {
 func TestDeleteBidAskByID(t *testing.T) {
 	t.Parallel()
 	d := NewDepth(id)
-	err := d.LoadSnapshot(Tranches{{Price: 1337, Amount: 1, ID: 1}}, Tranches{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Now(), false)
+	err := d.LoadSnapshot(Tranches{{Price: 1337, Amount: 1, ID: 1}}, Tranches{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Now(), time.Now(), false)
 	assert.NoError(t, err, "LoadSnapshot should not error")
 
 	updates := &Update{
@@ -281,7 +283,7 @@ func TestDeleteBidAskByID(t *testing.T) {
 func TestUpdateBidAskByID(t *testing.T) {
 	t.Parallel()
 	d := NewDepth(id)
-	err := d.LoadSnapshot(Tranches{{Price: 1337, Amount: 1, ID: 1}}, Tranches{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Now(), false)
+	err := d.LoadSnapshot(Tranches{{Price: 1337, Amount: 1, ID: 1}}, Tranches{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Now(), time.Now(), false)
 	assert.NoError(t, err, "LoadSnapshot should not error")
 
 	updates := &Update{
@@ -320,7 +322,7 @@ func TestUpdateBidAskByID(t *testing.T) {
 func TestInsertBidAskByID(t *testing.T) {
 	t.Parallel()
 	d := NewDepth(id)
-	err := d.LoadSnapshot(Tranches{{Price: 1337, Amount: 1, ID: 1}}, Tranches{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Now(), false)
+	err := d.LoadSnapshot(Tranches{{Price: 1337, Amount: 1, ID: 1}}, Tranches{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Now(), time.Now(), false)
 	assert.NoError(t, err, "LoadSnapshot should not error")
 
 	updates := &Update{
@@ -334,7 +336,7 @@ func TestInsertBidAskByID(t *testing.T) {
 	err = d.InsertBidAskByID(updates)
 	assert.ErrorIs(t, err, errCollisionDetected, "InsertBidAskByID should error correctly on collision")
 
-	err = d.LoadSnapshot(Tranches{{Price: 1337, Amount: 1, ID: 1}}, Tranches{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Now(), false)
+	err = d.LoadSnapshot(Tranches{{Price: 1337, Amount: 1, ID: 1}}, Tranches{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Now(), time.Now(), false)
 	assert.NoError(t, err, "LoadSnapshot should not error")
 
 	updates = &Update{
@@ -345,7 +347,7 @@ func TestInsertBidAskByID(t *testing.T) {
 	err = d.InsertBidAskByID(updates)
 	assert.ErrorIs(t, err, errCollisionDetected, "InsertBidAskByID should error correctly on collision")
 
-	err = d.LoadSnapshot(Tranches{{Price: 1337, Amount: 1, ID: 1}}, Tranches{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Now(), false)
+	err = d.LoadSnapshot(Tranches{{Price: 1337, Amount: 1, ID: 1}}, Tranches{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Now(), time.Now(), false)
 	assert.NoError(t, err, "LoadSnapshot should not error")
 
 	updates = &Update{
@@ -365,7 +367,7 @@ func TestInsertBidAskByID(t *testing.T) {
 func TestUpdateInsertByID(t *testing.T) {
 	t.Parallel()
 	d := NewDepth(id)
-	err := d.LoadSnapshot(Tranches{{Price: 1337, Amount: 1, ID: 1}}, Tranches{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Now(), false)
+	err := d.LoadSnapshot(Tranches{{Price: 1337, Amount: 1, ID: 1}}, Tranches{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Now(), time.Now(), false)
 	assert.NoError(t, err, "LoadSnapshot should not error")
 
 	updates := &Update{
@@ -383,7 +385,7 @@ func TestUpdateInsertByID(t *testing.T) {
 	_, err = d.Retrieve()
 	assert.ErrorIs(t, err, ErrOrderbookInvalid, "Retrieve should error correctly")
 
-	err = d.LoadSnapshot(Tranches{{Price: 1337, Amount: 1, ID: 1}}, Tranches{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Now(), false)
+	err = d.LoadSnapshot(Tranches{{Price: 1337, Amount: 1, ID: 1}}, Tranches{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Now(), time.Now(), false)
 	assert.NoError(t, err, "LoadSnapshot should not error")
 
 	updates = &Update{
@@ -398,7 +400,7 @@ func TestUpdateInsertByID(t *testing.T) {
 	_, err = d.Retrieve()
 	assert.ErrorIs(t, err, ErrOrderbookInvalid, "Retrieve should error correctly")
 
-	err = d.LoadSnapshot(Tranches{{Price: 1337, Amount: 1, ID: 1}}, Tranches{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Now(), false)
+	err = d.LoadSnapshot(Tranches{{Price: 1337, Amount: 1, ID: 1}}, Tranches{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Now(), time.Now(), false)
 	assert.NoError(t, err, "LoadSnapshot should not error")
 
 	updates = &Update{
@@ -519,7 +521,7 @@ func TestGetMidPrice_Depth(t *testing.T) {
 	_, err = depth.GetMidPrice()
 	assert.ErrorIs(t, err, errNoLiquidity, "GetMidPrice should error correctly")
 
-	err = depth.LoadSnapshot(bid, ask, 0, time.Now(), true)
+	err = depth.LoadSnapshot(bid, ask, 0, time.Now(), time.Now(), true)
 	assert.NoError(t, err, "LoadSnapshot should not error")
 
 	mid, err := depth.GetMidPrice()
@@ -533,13 +535,13 @@ func TestGetMidPriceNoLock_Depth(t *testing.T) {
 	_, err := depth.getMidPriceNoLock()
 	assert.ErrorIs(t, err, errNoLiquidity, "getMidPriceNoLock should error correctly")
 
-	err = depth.LoadSnapshot(bid, nil, 0, time.Now(), true)
+	err = depth.LoadSnapshot(bid, nil, 0, time.Now(), time.Now(), true)
 	assert.NoError(t, err, "LoadSnapshot should not error")
 
 	_, err = depth.getMidPriceNoLock()
 	assert.ErrorIs(t, err, errNoLiquidity, "getMidPriceNoLock should error correctly")
 
-	err = depth.LoadSnapshot(bid, ask, 0, time.Now(), true)
+	err = depth.LoadSnapshot(bid, ask, 0, time.Now(), time.Now(), true)
 	assert.NoError(t, err, "LoadSnapshot should not error")
 
 	mid, err := depth.getMidPriceNoLock()
@@ -562,7 +564,7 @@ func TestGetBestBidASk_Depth(t *testing.T) {
 	_, err = depth.GetBestAsk()
 	assert.ErrorIs(t, err, errNoLiquidity, "GetBestAsk should error correctly")
 
-	err = depth.LoadSnapshot(bid, ask, 0, time.Now(), true)
+	err = depth.LoadSnapshot(bid, ask, 0, time.Now(), time.Now(), true)
 	assert.NoError(t, err, "LoadSnapshot should not error")
 
 	mid, err := depth.GetBestBid()
@@ -584,13 +586,13 @@ func TestGetSpreadAmount(t *testing.T) {
 	_, err = depth.GetSpreadAmount()
 	assert.ErrorIs(t, err, errNoLiquidity, "GetSpreadAmount should error correctly")
 
-	err = depth.LoadSnapshot(nil, ask, 0, time.Now(), true)
+	err = depth.LoadSnapshot(nil, ask, 0, time.Now(), time.Now(), true)
 	assert.NoError(t, err, "LoadSnapshot should not error")
 
 	_, err = depth.GetSpreadAmount()
 	assert.ErrorIs(t, err, errNoLiquidity, "GetSpreadAmount should error correctly")
 
-	err = depth.LoadSnapshot(bid, ask, 0, time.Now(), true)
+	err = depth.LoadSnapshot(bid, ask, 0, time.Now(), time.Now(), true)
 	assert.NoError(t, err, "LoadSnapshot should not error")
 
 	spread, err := depth.GetSpreadAmount()
@@ -608,13 +610,13 @@ func TestGetSpreadPercentage(t *testing.T) {
 	_, err = depth.GetSpreadPercentage()
 	assert.ErrorIs(t, err, errNoLiquidity, "GetSpreadPercentage should error correctly")
 
-	err = depth.LoadSnapshot(nil, ask, 0, time.Now(), true)
+	err = depth.LoadSnapshot(nil, ask, 0, time.Now(), time.Now(), true)
 	assert.NoError(t, err, "LoadSnapshot should not error")
 
 	_, err = depth.GetSpreadPercentage()
 	assert.ErrorIs(t, err, errNoLiquidity, "GetSpreadPercentage should error correctly")
 
-	err = depth.LoadSnapshot(bid, ask, 0, time.Now(), true)
+	err = depth.LoadSnapshot(bid, ask, 0, time.Now(), time.Now(), true)
 	assert.NoError(t, err, "LoadSnapshot should not error")
 
 	spread, err := depth.GetSpreadPercentage()
@@ -632,13 +634,13 @@ func TestGetImbalance_Depth(t *testing.T) {
 	_, err = depth.GetImbalance()
 	assert.ErrorIs(t, err, errNoLiquidity, "GetImbalance should error correctly")
 
-	err = depth.LoadSnapshot(nil, ask, 0, time.Now(), true)
+	err = depth.LoadSnapshot(nil, ask, 0, time.Now(), time.Now(), true)
 	assert.NoError(t, err, "LoadSnapshot should not error")
 
 	_, err = depth.GetImbalance()
 	assert.ErrorIs(t, err, errNoLiquidity, "GetImbalance should error correctly")
 
-	err = depth.LoadSnapshot(bid, ask, 0, time.Now(), true)
+	err = depth.LoadSnapshot(bid, ask, 0, time.Now(), time.Now(), true)
 	assert.NoError(t, err, "LoadSnapshot should not error")
 
 	imbalance, err := depth.GetImbalance()
@@ -661,7 +663,7 @@ func TestGetTranches(t *testing.T) {
 	assert.Empty(t, askT, "Ask tranche should be empty")
 	assert.Empty(t, bidT, "Bid tranche should be empty")
 
-	err = depth.LoadSnapshot(bid, ask, 0, time.Now(), true)
+	err = depth.LoadSnapshot(bid, ask, 0, time.Now(), time.Now(), true)
 	assert.NoError(t, err, "LoadSnapshot should not error")
 
 	askT, bidT, err = depth.GetTranches(0)
@@ -728,7 +730,7 @@ func TestMovementMethods(t *testing.T) {
 			_, err = callMethod(depth, methodName, tt.tests[0].inputs)
 			assert.ErrorIs(t, err, errNoLiquidity, "should error correctly with no liquidity")
 
-			err = depth.LoadSnapshot(bid, ask, 0, time.Now(), true)
+			err = depth.LoadSnapshot(bid, ask, 0, time.Now(), time.Now(), true)
 			assert.NoError(t, err, "LoadSnapshot should not error")
 
 			for i, subT := range tt.tests {

exchanges/orderbook/orderbook.go

@@ -71,7 +71,7 @@ func (s *Service) Update(b *Base) error {
 		book.AssignOptions(b)
 		m1.m[mapKey] = book
 	}
-	err := book.LoadSnapshot(b.Bids, b.Asks, b.LastUpdateID, b.LastUpdated, true)
+	err := book.LoadSnapshot(b.Bids, b.Asks, b.LastUpdateID, b.LastUpdated, b.UpdatePushedAt, true)
 	s.mu.Unlock()
 	if err != nil {
 		return err

exchanges/orderbook/orderbook_types.go

@@ -86,7 +86,24 @@ type Base struct {
 	Pair     currency.Pair
 	Asset    asset.Item
 
-	LastUpdated  time.Time
+	// LastUpdated is the time when a change occurred on the exchange books.
+	// Note: This does not necessarily indicate the change is out of sync with
+	// the exchange. It represents the last known update time from the exchange,
+	// which could be stale if there have been no recent changes.
+	LastUpdated time.Time
+
+	// UpdatePushedAt is the time the exchange pushed this update. This helps
+	// determine factors like distance from exchange (latency) and routing
+	// time, which can affect the time it takes for an update to reach the user
+	// from the exchange.
+	UpdatePushedAt time.Time
+
+	// InsertedAt is the time the update was inserted into the orderbook
+	// management system. This field is used to calculate round-trip times and
+	// processing delays, e.g., InsertedAt.Sub(UpdatePushedAt) represents the
+	// total processing time including network latency.
+	InsertedAt time.Time
+
 	LastUpdateID int64
 	// PriceDuplication defines whether an orderbook can contain duplicate
 	// prices in a payload
@@ -95,7 +112,7 @@ type Base struct {
 	// VerifyOrderbook allows for a toggle between orderbook verification set by
 	// user configuration, this allows for a potential processing boost but
 	// a potential for orderbook integrity being deminished.
-	VerifyOrderbook bool `json:"-"`
+	VerifyOrderbook bool
 	// RestSnapshot defines if the depth was applied via the REST protocol thus
 	// an update cannot be applied via websocket mechanics and a resubscription
 	// would need to take place to maintain book integrity
@@ -117,6 +134,8 @@ type options struct {
 	pair                   currency.Pair
 	asset                  asset.Item
 	lastUpdated            time.Time
+	updatePushedAt         time.Time
+	insertedAt             time.Time
 	lastUpdateID           int64
 	priceDuplication       bool
 	isFundingRate          bool
@@ -145,9 +164,10 @@ const (
 
 // Update and things and stuff
 type Update struct {
-	UpdateID   int64 // Used when no time is provided
-	UpdateTime time.Time
-	Asset      asset.Item
+	UpdateID       int64 // Used when no time is provided
+	UpdateTime     time.Time
+	UpdatePushedAt time.Time
+	Asset          asset.Item
 	Action
 	Bids []Tranche
 	Asks []Tranche

exchanges/orderbook/tranches_test.go

@@ -1257,7 +1257,7 @@ func TestGetMovementByBaseAmount(t *testing.T) {
 		t.Run(tt.Name, func(t *testing.T) {
 			t.Parallel()
 			depth := NewDepth(id)
-			err := depth.LoadSnapshot(tt.BidLiquidity, nil, 0, time.Now(), true)
+			err := depth.LoadSnapshot(tt.BidLiquidity, nil, 0, time.Now(), time.Now(), true)
 			if err != nil {
 				t.Fatal(err)
 			}
@@ -1392,7 +1392,7 @@ func TestGetBaseAmountFromNominalSlippage(t *testing.T) {
 		t.Run(tt.Name, func(t *testing.T) {
 			t.Parallel()
 			depth := NewDepth(id)
-			err := depth.LoadSnapshot(tt.BidLiquidity, nil, 0, time.Now(), true)
+			err := depth.LoadSnapshot(tt.BidLiquidity, nil, 0, time.Now(), time.Now(), true)
 			assert.NoError(t, err, "LoadSnapshot should not error")
 
 			base, err := depth.bidTranches.hitBidsByNominalSlippage(tt.NominalSlippage, tt.ReferencePrice)
@@ -1500,7 +1500,7 @@ func TestGetBaseAmountFromImpact(t *testing.T) {
 		t.Run(tt.Name, func(t *testing.T) {
 			t.Parallel()
 			depth := NewDepth(id)
-			err := depth.LoadSnapshot(tt.BidLiquidity, nil, 0, time.Now(), true)
+			err := depth.LoadSnapshot(tt.BidLiquidity, nil, 0, time.Now(), time.Now(), true)
 			if err != nil {
 				t.Fatal(err)
 			}
@@ -1586,7 +1586,7 @@ func TestGetMovementByQuoteAmount(t *testing.T) {
 		t.Run(tt.Name, func(t *testing.T) {
 			t.Parallel()
 			depth := NewDepth(id)
-			err := depth.LoadSnapshot(nil, tt.AskLiquidity, 0, time.Now(), true)
+			err := depth.LoadSnapshot(nil, tt.AskLiquidity, 0, time.Now(), time.Now(), true)
 			if err != nil {
 				t.Fatal(err)
 			}
@@ -1719,7 +1719,7 @@ func TestGetQuoteAmountFromNominalSlippage(t *testing.T) {
 		t.Run(tt.Name, func(t *testing.T) {
 			t.Parallel()
 			depth := NewDepth(id)
-			err := depth.LoadSnapshot(nil, tt.AskLiquidity, 0, time.Now(), true)
+			err := depth.LoadSnapshot(nil, tt.AskLiquidity, 0, time.Now(), time.Now(), true)
 			assert.NoError(t, err, "LoadSnapshot should not error")
 
 			quote, err := depth.askTranches.liftAsksByNominalSlippage(tt.NominalSlippage, tt.ReferencePrice)
@@ -1808,7 +1808,7 @@ func TestGetQuoteAmountFromImpact(t *testing.T) {
 		t.Run(tt.Name, func(t *testing.T) {
 			t.Parallel()
 			depth := NewDepth(id)
-			err := depth.LoadSnapshot(nil, tt.AskLiquidity, 0, time.Now(), true)
+			err := depth.LoadSnapshot(nil, tt.AskLiquidity, 0, time.Now(), time.Now(), true)
 			assert.NoError(t, err, "LoadSnapshot should not error")
 
 			quote, err := depth.askTranches.liftAsksByImpactSlippage(tt.ImpactSlippage, tt.ReferencePrice)
@@ -1830,7 +1830,7 @@ func TestGetHeadPrice(t *testing.T) {
 	if _, err := depth.askTranches.getHeadPriceNoLock(); !errors.Is(err, errNoLiquidity) {
 		t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity)
 	}
-	err := depth.LoadSnapshot(bid, ask, 0, time.Now(), true)
+	err := depth.LoadSnapshot(bid, ask, 0, time.Now(), time.Now(), true)
 	if err != nil {
 		t.Fatalf("failed to load snapshot: %s", err)
 	}

exchanges/stream/buffer/buffer.go

@@ -337,6 +337,7 @@ func (w *Orderbook) LoadSnapshot(book *orderbook.Base) error {
 		book.Asks,
 		book.LastUpdateID,
 		book.LastUpdated,
+		book.UpdatePushedAt,
 		false)
 	if err != nil {
 		return err

exchanges/stream/buffer/buffer_test.go

@@ -933,7 +933,7 @@ func TestUpdateByIDAndAction(t *testing.T) {
 		t.Fatal(err)
 	}
 
-	err = book.LoadSnapshot(append(bids[:0:0], bids...), append(asks[:0:0], asks...), 0, time.Now(), true)
+	err = book.LoadSnapshot(append(bids[:0:0], bids...), append(asks[:0:0], asks...), 0, time.Now(), time.Now(), true)
 	if err != nil {
 		t.Fatal(err)
 	}
@@ -968,7 +968,7 @@ func TestUpdateByIDAndAction(t *testing.T) {
 		t.Fatalf("received: '%v' but expected: '%v'", err, errAmendFailure)
 	}
 
-	err = book.LoadSnapshot(append(bids[:0:0], bids...), append(asks[:0:0], asks...), 0, time.Now(), true)
+	err = book.LoadSnapshot(append(bids[:0:0], bids...), append(asks[:0:0], asks...), 0, time.Now(), time.Now(), true)
 	if err != nil {
 		t.Fatal(err)
 	}
@@ -1079,7 +1079,7 @@ func TestUpdateByIDAndAction(t *testing.T) {
 		t.Fatal("did not adjust ask item placement and details")
 	}
 
-	err = book.LoadSnapshot(append(bids[:0:0], bids...), append(asks[:0:0], asks...), 0, time.Now(), true) //nolint:gocritic
+	err = book.LoadSnapshot(append(bids[:0:0], bids...), append(asks[:0:0], asks...), 0, time.Now(), time.Now(), true) //nolint:gocritic
 	if err != nil {
 		t.Fatal(err)
 	}
@@ -1098,7 +1098,7 @@ func TestUpdateByIDAndAction(t *testing.T) {
 		t.Fatalf("received: '%v' but expected: '%v'", err, errDeleteFailure)
 	}
 
-	err = book.LoadSnapshot(append(bids[:0:0], bids...), append(asks[:0:0], asks...), 0, time.Now(), true) //nolint:gocritic
+	err = book.LoadSnapshot(append(bids[:0:0], bids...), append(asks[:0:0], asks...), 0, time.Now(), time.Now(), true) //nolint:gocritic
 	if err != nil {
 		t.Fatal(err)
 	}
@@ -1134,7 +1134,7 @@ func TestUpdateByIDAndAction(t *testing.T) {
 		t.Fatalf("received: '%v' but expected: '%v'", err, errAmendFailure)
 	}
 
-	err = book.LoadSnapshot(bids, bids, 0, time.Now(), true)
+	err = book.LoadSnapshot(bids, bids, 0, time.Now(), time.Now(), true)
 	if err != nil {
 		t.Fatal(err)
 	}