From 9acbdbf203aa61f1ff8630698792cae353290e8c Mon Sep 17 00:00:00 2001 From: Ryan O'Hara-Reid Date: Fri, 14 Oct 2022 16:43:37 +1100 Subject: [PATCH] depth: Add methods to derive liquidity allowances on orderbooks by volume and slippage (#962) * depth: methods to derive liquidity impact details * depth: fix comments on link list methods * depth: fix whoopsie * Update exchanges/orderbook/linked_list_test.go Co-authored-by: Scott * glorious: nits * orderbook: standardise methods to GCT math package * averagePrice: implementation (WIP) * ll: hmmmmmm * continued * orderbook: reworked functions * WIP * orderbook: add tests link up with RPC * orderbook: refined calculations, add tests (WIP) * orderbook: add tests finalise/verify remove state until next PR if needed * rpcserver/orderbook: remove redundant type and change wording * linter: fix * Update exchanges/orderbook/linked_list.go Co-authored-by: Scott * gctcli: noobed it up * orderbook: work work work (yesterday) * depth: WIP and testing * orderbook: improve calculations for bids traversal * orderbook: adjust tests * orderbook: linters/nits * orderbook: fix error returns and add asset to whalebomb * orderbook: drop error when full book is potentially consumed * Update cmd/gctcli/orderbook.go Co-authored-by: Scott * orderbook: Add tests and nits * glorious: nits * backtester: handle new errors * grpc: linter * orderbook: remove pesky t.Log()s * glorious: nits (yesterday) * depth/gctcli: Add in purchase requirements into orderbook movement, will also standardize in next commit after tests are fixed. * orderbook: standardize and overhaul * orderbook: update comments, update tests * rpcserver: add average ordercost and amounts * depth: add spread and imbalance methods * linter: fix * glorious: nits * orderbook: don't purge price, rn test. * glorious: codes nits * linter: fix * Update exchanges/orderbook/linked_list.go Co-authored-by: Adrian Gallagher * Update exchanges/orderbook/linked_list.go Co-authored-by: Adrian Gallagher * Update exchanges/orderbook/linked_list.go Co-authored-by: Adrian Gallagher * Update exchanges/orderbook/linked_list.go Co-authored-by: Adrian Gallagher * Update exchanges/orderbook/linked_list.go Co-authored-by: Adrian Gallagher * thrasher: nits Co-authored-by: Scott Co-authored-by: Ryan O'Hara-Reid Co-authored-by: Adrian Gallagher --- backtester/eventhandlers/exchange/exchange.go | 5 +- .../exchange/slippage/slippage.go | 8 +- .../exchange/slippage/slippage_test.go | 5 +- cmd/gctcli/commands.go | 419 -- cmd/gctcli/main.go | 6 +- cmd/gctcli/orderbook.go | 768 +++ engine/rpcserver.go | 238 +- engine/rpcserver_test.go | 310 + exchanges/orderbook/calculator.go | 379 +- exchanges/orderbook/calculator_test.go | 489 +- exchanges/orderbook/depth.go | 467 +- exchanges/orderbook/depth_test.go | 1497 +++++ exchanges/orderbook/linked_list.go | 399 +- exchanges/orderbook/linked_list_test.go | 694 ++ exchanges/orderbook/orderbook_types.go | 37 + .../orderbook/simulator/simulator_test.go | 14 +- gctrpc/rpc.pb.go | 5629 ++++++++++------- gctrpc/rpc.pb.gw.go | 255 + gctrpc/rpc.proto | 89 + gctrpc/rpc.swagger.json | 371 ++ gctrpc/rpc_grpc.pb.go | 108 + 21 files changed, 9150 insertions(+), 3037 deletions(-) create mode 100644 cmd/gctcli/orderbook.go diff --git a/backtester/eventhandlers/exchange/exchange.go b/backtester/eventhandlers/exchange/exchange.go index 4881e42b..952a1a52 100644 --- a/backtester/eventhandlers/exchange/exchange.go +++ b/backtester/eventhandlers/exchange/exchange.go @@ -85,7 +85,10 @@ func (e *Exchange) ExecuteOrder(o order.Event, data data.Handler, orderManager * return f, err } // calculate an estimated slippage rate - price, amount = slippage.CalculateSlippageByOrderbook(ob, o.GetDirection(), allocatedFunds, f.ExchangeFee) + price, amount, err = slippage.CalculateSlippageByOrderbook(ob, o.GetDirection(), allocatedFunds, f.ExchangeFee) + if err != nil { + return f, err + } f.Slippage = price.Sub(f.ClosePrice).Div(f.ClosePrice).Mul(decimal.NewFromInt(100)) } else { slippageRate := slippage.EstimateSlippagePercentage(cs.MinimumSlippageRate, cs.MaximumSlippageRate) diff --git a/backtester/eventhandlers/exchange/slippage/slippage.go b/backtester/eventhandlers/exchange/slippage/slippage.go index 3932da81..04d394b5 100644 --- a/backtester/eventhandlers/exchange/slippage/slippage.go +++ b/backtester/eventhandlers/exchange/slippage/slippage.go @@ -31,8 +31,12 @@ func EstimateSlippagePercentage(maximumSlippageRate, minimumSlippageRate decimal // CalculateSlippageByOrderbook will analyse a provided orderbook and return the result of attempting to // place the order on there -func CalculateSlippageByOrderbook(ob *orderbook.Base, side gctorder.Side, allocatedFunds, feeRate decimal.Decimal) (price, amount decimal.Decimal) { - result := ob.SimulateOrder(allocatedFunds.InexactFloat64(), side == gctorder.Buy) +func CalculateSlippageByOrderbook(ob *orderbook.Base, side gctorder.Side, allocatedFunds, feeRate decimal.Decimal) (price, amount decimal.Decimal, err error) { + var result *orderbook.WhaleBombResult + result, err = ob.SimulateOrder(allocatedFunds.InexactFloat64(), side == gctorder.Buy) + if err != nil { + return + } rate := (result.MinimumPrice - result.MaximumPrice) / result.MaximumPrice price = decimal.NewFromFloat(result.MinimumPrice * (rate + 1)) amount = decimal.NewFromFloat(result.Amount * (1 - feeRate.InexactFloat64())) diff --git a/backtester/eventhandlers/exchange/slippage/slippage_test.go b/backtester/eventhandlers/exchange/slippage/slippage_test.go index fb7f7392..64a84325 100644 --- a/backtester/eventhandlers/exchange/slippage/slippage_test.go +++ b/backtester/eventhandlers/exchange/slippage/slippage_test.go @@ -30,7 +30,10 @@ func TestCalculateSlippageByOrderbook(t *testing.T) { } amountOfFunds := decimal.NewFromInt(1000) feeRate := decimal.NewFromFloat(0.03) - price, amount := CalculateSlippageByOrderbook(ob, gctorder.Buy, amountOfFunds, feeRate) + price, amount, err := CalculateSlippageByOrderbook(ob, gctorder.Buy, amountOfFunds, feeRate) + if err != nil { + t.Fatal(err) + } if price.Mul(amount).Add(price.Mul(amount).Mul(feeRate)).GreaterThan(amountOfFunds) { t.Error("order size must be less than funds") } diff --git a/cmd/gctcli/commands.go b/cmd/gctcli/commands.go index 2d26831c..7fa80902 100644 --- a/cmd/gctcli/commands.go +++ b/cmd/gctcli/commands.go @@ -585,118 +585,6 @@ func getTickers(c *cli.Context) error { return nil } -var getOrderbookCommand = &cli.Command{ - Name: "getorderbook", - Usage: "gets the orderbook for a specific currency pair and exchange", - ArgsUsage: " ", - Action: getOrderbook, - Flags: []cli.Flag{ - &cli.StringFlag{ - Name: "exchange", - Usage: "the exchange to get the orderbook for", - }, - &cli.StringFlag{ - Name: "pair", - Usage: "the currency pair to get the orderbook for", - }, - &cli.StringFlag{ - Name: "asset", - Usage: "the asset type of the currency pair to get the orderbook for", - }, - }, -} - -func getOrderbook(c *cli.Context) error { - if c.NArg() == 0 && c.NumFlags() == 0 { - return cli.ShowCommandHelp(c, "getorderbook") - } - - var exchangeName string - var currencyPair string - var assetType string - - if c.IsSet("exchange") { - exchangeName = c.String("exchange") - } else { - exchangeName = c.Args().First() - } - - if c.IsSet("pair") { - currencyPair = c.String("pair") - } else { - currencyPair = c.Args().Get(1) - } - - if !validPair(currencyPair) { - return errInvalidPair - } - - if c.IsSet("asset") { - assetType = c.String("asset") - } else { - assetType = c.Args().Get(2) - } - - assetType = strings.ToLower(assetType) - if !validAsset(assetType) { - return errInvalidAsset - } - - p, err := currency.NewPairDelimiter(currencyPair, pairDelimiter) - if err != nil { - return err - } - - conn, cancel, err := setupClient(c) - if err != nil { - return err - } - defer closeConn(conn, cancel) - - client := gctrpc.NewGoCryptoTraderServiceClient(conn) - result, err := client.GetOrderbook(c.Context, - &gctrpc.GetOrderbookRequest{ - Exchange: exchangeName, - Pair: &gctrpc.CurrencyPair{ - Delimiter: p.Delimiter, - Base: p.Base.String(), - Quote: p.Quote.String(), - }, - AssetType: assetType, - }, - ) - - if err != nil { - return err - } - - jsonOutput(result) - return nil -} - -var getOrderbooksCommand = &cli.Command{ - Name: "getorderbooks", - Usage: "gets all orderbooks for all enabled exchanges and currency pairs", - Action: getOrderbooks, -} - -func getOrderbooks(c *cli.Context) error { - conn, cancel, err := setupClient(c) - if err != nil { - return err - } - defer closeConn(conn, cancel) - - client := gctrpc.NewGoCryptoTraderServiceClient(conn) - result, err := client.GetOrderbooks(c.Context, &gctrpc.GetOrderbooksRequest{}) - if err != nil { - return err - } - - jsonOutput(result) - return nil -} - var getAccountInfoCommand = &cli.Command{ Name: "getaccountinfo", Usage: "gets the exchange account balance info", @@ -1766,107 +1654,6 @@ func simulateOrder(c *cli.Context) error { return nil } -var whaleBombCommand = &cli.Command{ - Name: "whalebomb", - Usage: "whale bomb finds the amount required to reach a price target", - ArgsUsage: " ", - Action: whaleBomb, - Flags: []cli.Flag{ - &cli.StringFlag{ - Name: "exchange", - Usage: "the exchange to whale bomb", - }, - &cli.StringFlag{ - Name: "pair", - Usage: "the currency pair", - }, - &cli.StringFlag{ - Name: "side", - Usage: "the order side to use (BUY OR SELL)", - }, - &cli.Float64Flag{ - Name: "price", - Usage: "the price target", - }, - }, -} - -func whaleBomb(c *cli.Context) error { - if c.NArg() == 0 && c.NumFlags() == 0 { - return cli.ShowCommandHelp(c, "whalebomb") - } - - var exchangeName string - var currencyPair string - var orderSide string - var price float64 - - if c.IsSet("exchange") { - exchangeName = c.String("exchange") - } else { - exchangeName = c.Args().First() - } - - if c.IsSet("pair") { - currencyPair = c.String("pair") - } else { - currencyPair = c.Args().Get(1) - } - - if !validPair(currencyPair) { - return errInvalidPair - } - - if c.IsSet("side") { - orderSide = c.String("side") - } else { - orderSide = c.Args().Get(2) - } - - if orderSide == "" { - return errors.New("order side must be set") - } - - if c.IsSet("price") { - price = c.Float64("price") - } else if c.Args().Get(3) != "" { - var err error - price, err = strconv.ParseFloat(c.Args().Get(3), 64) - if err != nil { - return err - } - } - - p, err := currency.NewPairDelimiter(currencyPair, pairDelimiter) - if err != nil { - return err - } - - conn, cancel, err := setupClient(c) - if err != nil { - return err - } - defer closeConn(conn, cancel) - - client := gctrpc.NewGoCryptoTraderServiceClient(conn) - result, err := client.WhaleBomb(c.Context, &gctrpc.WhaleBombRequest{ - Exchange: exchangeName, - Pair: &gctrpc.CurrencyPair{ - Delimiter: p.Delimiter, - Base: p.Base.String(), - Quote: p.Quote.String(), - }, - Side: orderSide, - PriceTarget: price, - }) - if err != nil { - return err - } - - jsonOutput(result) - return nil -} - var cancelOrderCommand = &cli.Command{ Name: "cancelorder", Usage: "cancel order cancels an exchange order", @@ -3354,212 +3141,6 @@ func setLoggerDetails(c *cli.Context) error { return nil } -var getOrderbookStreamCommand = &cli.Command{ - Name: "getorderbookstream", - Usage: "gets the orderbook stream for a specific currency pair and exchange", - ArgsUsage: " ", - Action: getOrderbookStream, - Flags: []cli.Flag{ - &cli.StringFlag{ - Name: "exchange", - Usage: "the exchange to get the orderbook from", - }, - &cli.StringFlag{ - Name: "pair", - Usage: "currency pair", - }, - &cli.StringFlag{ - Name: "asset", - Usage: "the asset type of the currency pair", - }, - }, -} - -func getOrderbookStream(c *cli.Context) error { - if c.NArg() == 0 && c.NumFlags() == 0 { - return cli.ShowCommandHelp(c, "getorderbookstream") - } - - var exchangeName string - var pair string - var assetType string - - if c.IsSet("exchange") { - exchangeName = c.String("exchange") - } else { - exchangeName = c.Args().First() - } - - if c.IsSet("pair") { - pair = c.String("pair") - } else { - pair = c.Args().Get(1) - } - - if !validPair(pair) { - return errInvalidPair - } - - if c.IsSet("asset") { - assetType = c.String("asset") - } else { - assetType = c.Args().Get(2) - } - - assetType = strings.ToLower(assetType) - - if !validAsset(assetType) { - return errInvalidAsset - } - - p, err := currency.NewPairDelimiter(pair, pairDelimiter) - if err != nil { - return err - } - - conn, cancel, err := setupClient(c) - if err != nil { - return err - } - defer closeConn(conn, cancel) - - client := gctrpc.NewGoCryptoTraderServiceClient(conn) - result, err := client.GetOrderbookStream(c.Context, - &gctrpc.GetOrderbookStreamRequest{ - Exchange: exchangeName, - Pair: &gctrpc.CurrencyPair{ - Base: p.Base.String(), - Quote: p.Quote.String(), - Delimiter: p.Delimiter, - }, - AssetType: assetType, - }, - ) - - if err != nil { - return err - } - - for { - resp, err := result.Recv() - if err != nil { - return err - } - - err = clearScreen() - if err != nil { - return err - } - - fmt.Printf("Orderbook stream for %s %s:\n\n", exchangeName, resp.Pair) - if resp.Error != "" { - fmt.Printf("%s\n", resp.Error) - continue - } - - fmt.Println("\t\tBids\t\t\t\tAsks") - fmt.Println() - - bidLen := len(resp.Bids) - 1 - askLen := len(resp.Asks) - 1 - - var maxLen int - if bidLen >= askLen { - maxLen = bidLen - } else { - maxLen = askLen - } - - for i := 0; i < maxLen; i++ { - var bidAmount, bidPrice float64 - if i <= bidLen { - bidAmount = resp.Bids[i].Amount - bidPrice = resp.Bids[i].Price - } - - var askAmount, askPrice float64 - if i <= askLen { - askAmount = resp.Asks[i].Amount - askPrice = resp.Asks[i].Price - } - - fmt.Printf("%.8f %s @ %.8f %s\t\t%.8f %s @ %.8f %s\n", - bidAmount, - resp.Pair.Base, - bidPrice, - resp.Pair.Quote, - askAmount, - resp.Pair.Base, - askPrice, - resp.Pair.Quote) - - if i >= 49 { - // limits orderbook display output - break - } - } - } -} - -var getExchangeOrderbookStreamCommand = &cli.Command{ - Name: "getexchangeorderbookstream", - Usage: "gets a stream for all orderbooks associated with an exchange", - ArgsUsage: "", - Action: getExchangeOrderbookStream, - Flags: []cli.Flag{ - &cli.StringFlag{ - Name: "exchange", - Usage: "the exchange to get the orderbook from", - }, - }, -} - -func getExchangeOrderbookStream(c *cli.Context) error { - if c.NArg() == 0 && c.NumFlags() == 0 { - return cli.ShowCommandHelp(c, "getexchangeorderbookstream") - } - - var exchangeName string - if c.IsSet("exchange") { - exchangeName = c.String("exchange") - } else { - exchangeName = c.Args().First() - } - - conn, cancel, err := setupClient(c) - if err != nil { - return err - } - defer closeConn(conn, cancel) - - client := gctrpc.NewGoCryptoTraderServiceClient(conn) - result, err := client.GetExchangeOrderbookStream(c.Context, - &gctrpc.GetExchangeOrderbookStreamRequest{ - Exchange: exchangeName, - }) - - if err != nil { - return err - } - - for { - resp, err := result.Recv() - if err != nil { - return err - } - - err = clearScreen() - if err != nil { - return err - } - - fmt.Printf("Orderbook streamed for %s %s", exchangeName, resp.Pair) - if resp.Error != "" { - fmt.Printf("%s\n", resp.Error) - } - } -} - var getTickerStreamCommand = &cli.Command{ Name: "gettickerstream", Usage: "gets the ticker stream for a specific currency pair and exchange", diff --git a/cmd/gctcli/main.go b/cmd/gctcli/main.go index 626d5187..288fd87c 100644 --- a/cmd/gctcli/main.go +++ b/cmd/gctcli/main.go @@ -162,8 +162,6 @@ func main() { getExchangeInfoCommand, getTickerCommand, getTickersCommand, - getOrderbookCommand, - getOrderbooksCommand, getAccountInfoCommand, getAccountInfoStreamCommand, updateAccountInfoCommand, @@ -179,7 +177,6 @@ func main() { getOrderCommand, submitOrderCommand, simulateOrderCommand, - whaleBombCommand, cancelOrderCommand, cancelBatchOrdersCommand, cancelAllOrdersCommand, @@ -196,8 +193,6 @@ func main() { getLoggerDetailsCommand, setLoggerDetailsCommand, exchangePairManagerCommand, - getOrderbookStreamCommand, - getExchangeOrderbookStreamCommand, getTickerStreamCommand, getExchangeTickerStreamCommand, getAuditEventCommand, @@ -213,6 +208,7 @@ func main() { shutdownCommand, technicalAnalysisCommand, getMarginRatesHistoryCommand, + orderbookCommand, } ctx, cancel := context.WithCancel(context.Background()) diff --git a/cmd/gctcli/orderbook.go b/cmd/gctcli/orderbook.go new file mode 100644 index 00000000..aa917fa4 --- /dev/null +++ b/cmd/gctcli/orderbook.go @@ -0,0 +1,768 @@ +package main + +import ( + "errors" + "fmt" + "strconv" + "strings" + + "github.com/thrasher-corp/gocryptotrader/currency" + "github.com/thrasher-corp/gocryptotrader/gctrpc" + "github.com/urfave/cli/v2" +) + +var orderbookCommonFlags = []cli.Flag{ + &cli.StringFlag{ + Name: "exchange", + Usage: "the exchange to get the orderbook for", + }, + &cli.StringFlag{ + Name: "pair", + Usage: "the currency pair to get the orderbook for", + }, + &cli.StringFlag{ + Name: "asset", + Usage: "the asset type of the currency pair to get the orderbook for", + }, +} + +var orderbookCommand = &cli.Command{ + Name: "orderbook", + Usage: "orderbook system simulations and analytics command", + ArgsUsage: " ", + Subcommands: []*cli.Command{ + { + Name: "sell", + Usage: "simulates sell to derive orderbook liquidity impact information", + ArgsUsage: " ", + Subcommands: []*cli.Command{nominal, impact, base, quoteRequired}, + Flags: []cli.Flag{&cli.BoolFlag{Name: "sell", Hidden: true, Value: true}}, + }, + { + Name: "buy", + Usage: "simulates buy to derive orderbook liquidity impact information", + ArgsUsage: " ", + Subcommands: []*cli.Command{nominal, impact, quote, baseRequired}, + }, + getOrderbookCommand, + getOrderbooksCommand, + getOrderbookStreamCommand, + getExchangeOrderbookStreamCommand, + whaleBombCommand, + }, +} + +var nominal = &cli.Command{ + Name: "nominal", + Usage: "simulates a buy or sell based off the percentage between the reference price and the average order cost", + ArgsUsage: " ", + Action: getNominal, + Flags: append(orderbookCommonFlags, &cli.Float64Flag{ + Name: "percent", + Usage: "the max percentage slip you wish to occur e.g. 1 = 1% and 100 = 100%. Note: If selling base/hitting the bids you can only have a max value of 100%", + }), +} + +func getNominal(c *cli.Context) error { + isSelling := c.Bool("sell") + if c.NArg() == 0 && c.NumFlags() == 0 { + return cli.ShowCommandHelp(c, "nominal") + } + + var exchangeName string + if c.IsSet("exchange") { + exchangeName = c.String("exchange") + } else { + exchangeName = c.Args().First() + } + + var currencyPair string + if c.IsSet("pair") { + currencyPair = c.String("pair") + } else { + currencyPair = c.Args().Get(1) + } + + if !validPair(currencyPair) { + return errInvalidPair + } + + var assetType string + if c.IsSet("asset") { + assetType = c.String("asset") + } else { + assetType = c.Args().Get(2) + } + + assetType = strings.ToLower(assetType) + if !validAsset(assetType) { + return errInvalidAsset + } + + p, err := currency.NewPairDelimiter(currencyPair, pairDelimiter) + if err != nil { + return err + } + + var percentage float64 + if c.IsSet("asset") { + percentage = c.Float64("percent") + } else { + percentage, _ = strconv.ParseFloat(c.Args().Get(3), 64) + } + + conn, cancel, err := setupClient(c) + if err != nil { + return err + } + defer closeConn(conn, cancel) + + client := gctrpc.NewGoCryptoTraderServiceClient(conn) + result, err := client.GetOrderbookAmountByNominal(c.Context, + &gctrpc.GetOrderbookAmountByNominalRequest{ + Exchange: exchangeName, + Pair: &gctrpc.CurrencyPair{ + Base: p.Base.String(), + Quote: p.Quote.String(), + }, + Asset: assetType, + Sell: isSelling, + NominalPercentage: percentage, + }) + + if err != nil { + return err + } + + jsonOutput(result) + return nil +} + +var impact = &cli.Command{ + Name: "impact", + Usage: "simulates a buy or sell based off the reference price and the orderbook impact slippage", + ArgsUsage: " ", + Action: getImpact, + Flags: append(orderbookCommonFlags, &cli.Float64Flag{ + Name: "percent", + Usage: "the max percentage slip you wish to occur e.g. 1 = 1% and 100 = 100%. Note: If selling base/hitting the bids you can only have a max value of 100%", + }), +} + +func getImpact(c *cli.Context) error { + isSelling := c.Bool("sell") + if c.NArg() == 0 && c.NumFlags() == 0 { + return cli.ShowCommandHelp(c, "impact") + } + + var exchangeName string + if c.IsSet("exchange") { + exchangeName = c.String("exchange") + } else { + exchangeName = c.Args().First() + } + + var currencyPair string + if c.IsSet("pair") { + currencyPair = c.String("pair") + } else { + currencyPair = c.Args().Get(1) + } + + if !validPair(currencyPair) { + return errInvalidPair + } + + var assetType string + if c.IsSet("asset") { + assetType = c.String("asset") + } else { + assetType = c.Args().Get(2) + } + + assetType = strings.ToLower(assetType) + if !validAsset(assetType) { + return errInvalidAsset + } + + p, err := currency.NewPairDelimiter(currencyPair, pairDelimiter) + if err != nil { + return err + } + + var percentage float64 + if c.IsSet("asset") { + percentage = c.Float64("percent") + } else { + percentage, _ = strconv.ParseFloat(c.Args().Get(3), 64) + } + + conn, cancel, err := setupClient(c) + if err != nil { + return err + } + defer closeConn(conn, cancel) + + client := gctrpc.NewGoCryptoTraderServiceClient(conn) + result, err := client.GetOrderbookAmountByImpact(c.Context, + &gctrpc.GetOrderbookAmountByImpactRequest{ + Exchange: exchangeName, + Pair: &gctrpc.CurrencyPair{ + Base: p.Base.String(), + Quote: p.Quote.String(), + }, + Asset: assetType, + Sell: isSelling, + ImpactPercentage: percentage, + }) + + if err != nil { + return err + } + + jsonOutput(result) + return nil +} + +var purchase = &cli.BoolFlag{ + Name: "purchase", + Hidden: true, + Value: true, +} + +var quote = &cli.Command{ + Name: "quote", + Usage: "simulates a buy using quotation amount", + ArgsUsage: " ", + Action: getMovement, + Flags: append(orderbookCommonFlags, &cli.Float64Flag{ + Name: "amount", + Usage: "the amount of quotation currency lifting the asks", + }), +} + +var baseRequired = &cli.Command{ + Name: "baserequired", + Usage: "simulates a buy with a required base amount to be purchased", + ArgsUsage: " ", + Action: getMovement, + Flags: append(orderbookCommonFlags, &cli.Float64Flag{ + Name: "amount", + Usage: "the amount of base currency required to be purchased when lifting the asks", + }, purchase), +} + +var base = &cli.Command{ + Name: "base", + Usage: "simulates a sell using base amount", + ArgsUsage: " ", + Action: getMovement, + Flags: append(orderbookCommonFlags, &cli.Float64Flag{ + Name: "amount", + Usage: "the amount of base currency hitting the bids", + }), +} + +var quoteRequired = &cli.Command{ + Name: "quoterequired", + Usage: "simulates a sell with a required quote amount to be purchased", + ArgsUsage: " ", + Action: getMovement, + Flags: append(orderbookCommonFlags, &cli.Float64Flag{ + Name: "amount", + Usage: "the amount of quotation currency required to be purchased when hitting the bids", + }, purchase), +} + +func getMovement(c *cli.Context) error { + if c.NArg() == 0 && c.NumFlags() == 0 { + return cli.ShowCommandHelp(c, c.Command.Name) + } + + var exchangeName string + if c.IsSet("exchange") { + exchangeName = c.String("exchange") + } else { + exchangeName = c.Args().First() + } + + var currencyPair string + if c.IsSet("pair") { + currencyPair = c.String("pair") + } else { + currencyPair = c.Args().Get(1) + } + + if !validPair(currencyPair) { + return errInvalidPair + } + + var assetType string + if c.IsSet("asset") { + assetType = c.String("asset") + } else { + assetType = c.Args().Get(2) + } + + assetType = strings.ToLower(assetType) + if !validAsset(assetType) { + return errInvalidAsset + } + + p, err := currency.NewPairDelimiter(currencyPair, pairDelimiter) + if err != nil { + return err + } + + var amount float64 + if c.IsSet("amount") { + amount = c.Float64("amount") + } else { + amount, _ = strconv.ParseFloat(c.Args().Get(3), 64) + } + + conn, cancel, err := setupClient(c) + if err != nil { + return err + } + defer closeConn(conn, cancel) + + client := gctrpc.NewGoCryptoTraderServiceClient(conn) + result, err := client.GetOrderbookMovement(c.Context, &gctrpc.GetOrderbookMovementRequest{ + Exchange: exchangeName, + Pair: &gctrpc.CurrencyPair{ + Base: p.Base.String(), + Quote: p.Quote.String(), + }, + Asset: assetType, + Sell: c.Bool("sell"), + Amount: amount, + Purchase: c.Bool("purchase"), + }) + + if err != nil { + return err + } + + jsonOutput(result) + + return nil +} + +var getOrderbookCommand = &cli.Command{ + Name: "getorderbook", + Usage: "gets the orderbook for a specific currency pair and exchange", + ArgsUsage: " ", + Action: getOrderbook, + Flags: []cli.Flag{ + &cli.StringFlag{ + Name: "exchange", + Usage: "the exchange to get the orderbook for", + }, + &cli.StringFlag{ + Name: "pair", + Usage: "the currency pair to get the orderbook for", + }, + &cli.StringFlag{ + Name: "asset", + Usage: "the asset type of the currency pair to get the orderbook for", + }, + }, +} + +func getOrderbook(c *cli.Context) error { + if c.NArg() == 0 && c.NumFlags() == 0 { + return cli.ShowCommandHelp(c, "getorderbook") + } + + var exchangeName string + var currencyPair string + var assetType string + + if c.IsSet("exchange") { + exchangeName = c.String("exchange") + } else { + exchangeName = c.Args().First() + } + + if c.IsSet("pair") { + currencyPair = c.String("pair") + } else { + currencyPair = c.Args().Get(1) + } + + if !validPair(currencyPair) { + return errInvalidPair + } + + if c.IsSet("asset") { + assetType = c.String("asset") + } else { + assetType = c.Args().Get(2) + } + + assetType = strings.ToLower(assetType) + if !validAsset(assetType) { + return errInvalidAsset + } + + p, err := currency.NewPairDelimiter(currencyPair, pairDelimiter) + if err != nil { + return err + } + + conn, cancel, err := setupClient(c) + if err != nil { + return err + } + defer closeConn(conn, cancel) + + client := gctrpc.NewGoCryptoTraderServiceClient(conn) + result, err := client.GetOrderbook(c.Context, + &gctrpc.GetOrderbookRequest{ + Exchange: exchangeName, + Pair: &gctrpc.CurrencyPair{ + Delimiter: p.Delimiter, + Base: p.Base.String(), + Quote: p.Quote.String(), + }, + AssetType: assetType, + }, + ) + + if err != nil { + return err + } + + jsonOutput(result) + return nil +} + +var getOrderbooksCommand = &cli.Command{ + Name: "getorderbooks", + Usage: "gets all orderbooks for all enabled exchanges and currency pairs", + Action: getOrderbooks, +} + +func getOrderbooks(c *cli.Context) error { + conn, cancel, err := setupClient(c) + if err != nil { + return err + } + defer closeConn(conn, cancel) + + client := gctrpc.NewGoCryptoTraderServiceClient(conn) + result, err := client.GetOrderbooks(c.Context, &gctrpc.GetOrderbooksRequest{}) + if err != nil { + return err + } + + jsonOutput(result) + return nil +} + +var getOrderbookStreamCommand = &cli.Command{ + Name: "getorderbookstream", + Usage: "gets the orderbook stream for a specific currency pair and exchange", + ArgsUsage: " ", + Action: getOrderbookStream, + Flags: orderbookCommonFlags, +} + +func getOrderbookStream(c *cli.Context) error { + if c.NArg() == 0 && c.NumFlags() == 0 { + return cli.ShowCommandHelp(c, "getorderbookstream") + } + + var exchangeName string + var pair string + var assetType string + + if c.IsSet("exchange") { + exchangeName = c.String("exchange") + } else { + exchangeName = c.Args().First() + } + + if c.IsSet("pair") { + pair = c.String("pair") + } else { + pair = c.Args().Get(1) + } + + if !validPair(pair) { + return errInvalidPair + } + + if c.IsSet("asset") { + assetType = c.String("asset") + } else { + assetType = c.Args().Get(2) + } + + assetType = strings.ToLower(assetType) + + if !validAsset(assetType) { + return errInvalidAsset + } + + p, err := currency.NewPairDelimiter(pair, pairDelimiter) + if err != nil { + return err + } + + conn, cancel, err := setupClient(c) + if err != nil { + return err + } + defer closeConn(conn, cancel) + + client := gctrpc.NewGoCryptoTraderServiceClient(conn) + result, err := client.GetOrderbookStream(c.Context, + &gctrpc.GetOrderbookStreamRequest{ + Exchange: exchangeName, + Pair: &gctrpc.CurrencyPair{ + Base: p.Base.String(), + Quote: p.Quote.String(), + Delimiter: p.Delimiter, + }, + AssetType: assetType, + }, + ) + + if err != nil { + return err + } + + for { + resp, err := result.Recv() + if err != nil { + return err + } + + err = clearScreen() + if err != nil { + return err + } + + fmt.Printf("Orderbook stream for %s %s:\n\n", exchangeName, resp.Pair) + if resp.Error != "" { + fmt.Printf("%s\n", resp.Error) + continue + } + + fmt.Println("\t\tBids\t\t\t\tAsks") + fmt.Println() + + bidLen := len(resp.Bids) - 1 + askLen := len(resp.Asks) - 1 + + var maxLen int + if bidLen >= askLen { + maxLen = bidLen + } else { + maxLen = askLen + } + + for i := 0; i < maxLen; i++ { + var bidAmount, bidPrice float64 + if i <= bidLen { + bidAmount = resp.Bids[i].Amount + bidPrice = resp.Bids[i].Price + } + + var askAmount, askPrice float64 + if i <= askLen { + askAmount = resp.Asks[i].Amount + askPrice = resp.Asks[i].Price + } + + fmt.Printf("%.8f %s @ %.8f %s\t\t%.8f %s @ %.8f %s\n", + bidAmount, + resp.Pair.Base, + bidPrice, + resp.Pair.Quote, + askAmount, + resp.Pair.Base, + askPrice, + resp.Pair.Quote) + + if i >= 49 { + // limits orderbook display output + break + } + } + } +} + +var getExchangeOrderbookStreamCommand = &cli.Command{ + Name: "getexchangeorderbookstream", + Usage: "gets a stream for all orderbooks associated with an exchange", + ArgsUsage: "", + Action: getExchangeOrderbookStream, + Flags: []cli.Flag{ + &cli.StringFlag{ + Name: "exchange", + Usage: "the exchange to get the orderbook from", + }, + }, +} + +func getExchangeOrderbookStream(c *cli.Context) error { + if c.NArg() == 0 && c.NumFlags() == 0 { + return cli.ShowCommandHelp(c, "getexchangeorderbookstream") + } + + var exchangeName string + if c.IsSet("exchange") { + exchangeName = c.String("exchange") + } else { + exchangeName = c.Args().First() + } + + conn, cancel, err := setupClient(c) + if err != nil { + return err + } + defer closeConn(conn, cancel) + + client := gctrpc.NewGoCryptoTraderServiceClient(conn) + result, err := client.GetExchangeOrderbookStream(c.Context, + &gctrpc.GetExchangeOrderbookStreamRequest{ + Exchange: exchangeName, + }) + + if err != nil { + return err + } + + for { + resp, err := result.Recv() + if err != nil { + return err + } + + err = clearScreen() + if err != nil { + return err + } + + fmt.Printf("Orderbook streamed for %s %s", exchangeName, resp.Pair) + if resp.Error != "" { + fmt.Printf("%s\n", resp.Error) + } + } +} + +var whaleBombCommand = &cli.Command{ + Name: "whalebomb", + Usage: "whale bomb finds the amount required to reach a price target", + ArgsUsage: " ", + Action: whaleBomb, + Flags: []cli.Flag{ + &cli.StringFlag{ + Name: "exchange", + Usage: "the exchange to whale bomb", + }, + &cli.StringFlag{ + Name: "pair", + Usage: "the currency pair", + }, + &cli.StringFlag{ + Name: "side", + Usage: "the order side to use (BUY OR SELL)", + }, + &cli.StringFlag{ + Name: "asset", + Usage: "the asset type of the currency pair to get the orderbook for", + }, + &cli.Float64Flag{ + Name: "price", + Usage: "the price target", + }, + }, +} + +func whaleBomb(c *cli.Context) error { + if c.NArg() == 0 && c.NumFlags() == 0 { + return cli.ShowCommandHelp(c, "whalebomb") + } + + var exchangeName string + var currencyPair string + var orderSide string + var price float64 + + if c.IsSet("exchange") { + exchangeName = c.String("exchange") + } else { + exchangeName = c.Args().First() + } + + if c.IsSet("pair") { + currencyPair = c.String("pair") + } else { + currencyPair = c.Args().Get(1) + } + + if !validPair(currencyPair) { + return errInvalidPair + } + + if c.IsSet("side") { + orderSide = c.String("side") + } else { + orderSide = c.Args().Get(2) + } + + if orderSide == "" { + return errors.New("order side must be set") + } + + var assetType string + if c.IsSet("asset") { + assetType = c.String("asset") + } else { + assetType = c.Args().Get(3) + } + + if c.IsSet("price") { + price = c.Float64("price") + } else if c.Args().Get(4) != "" { + var err error + price, err = strconv.ParseFloat(c.Args().Get(4), 64) + if err != nil { + return err + } + } + + p, err := currency.NewPairDelimiter(currencyPair, pairDelimiter) + if err != nil { + return err + } + + conn, cancel, err := setupClient(c) + if err != nil { + return err + } + defer closeConn(conn, cancel) + + client := gctrpc.NewGoCryptoTraderServiceClient(conn) + result, err := client.WhaleBomb(c.Context, &gctrpc.WhaleBombRequest{ + Exchange: exchangeName, + Pair: &gctrpc.CurrencyPair{ + Delimiter: p.Delimiter, + Base: p.Base.String(), + Quote: p.Quote.String(), + }, + Side: orderSide, + PriceTarget: price, + AssetType: assetType, + }) + if err != nil { + return err + } + + jsonOutput(result) + return nil +} diff --git a/engine/rpcserver.go b/engine/rpcserver.go index 3c9c4530..e11cabca 100644 --- a/engine/rpcserver.go +++ b/engine/rpcserver.go @@ -1297,7 +1297,11 @@ func (s *RPCServer) SimulateOrder(ctx context.Context, r *gctrpc.SimulateOrderRe buy = false } - result := o.SimulateOrder(r.Amount, buy) + result, err := o.SimulateOrder(r.Amount, buy) + if err != nil { + return nil, err + } + var resp gctrpc.SimulateOrderResponse for x := range result.Orders { resp.Orders = append(resp.Orders, &gctrpc.OrderbookItem{ @@ -1332,12 +1336,17 @@ func (s *RPCServer) WhaleBomb(ctx context.Context, r *gctrpc.WhaleBombRequest) ( return nil, err } - err = checkParams(r.Exchange, exch, asset.Spot, p) + a, err := asset.New(r.AssetType) if err != nil { return nil, err } - o, err := exch.FetchOrderbook(ctx, p, asset.Spot) + err = checkParams(r.Exchange, exch, a, p) + if err != nil { + return nil, err + } + + o, err := exch.FetchOrderbook(ctx, p, a) if err != nil { return nil, err } @@ -5333,3 +5342,226 @@ func (s *RPCServer) GetMarginRatesHistory(ctx context.Context, r *gctrpc.GetMarg return resp, nil } + +// GetOrderbookMovement using the requested amount simulates a buy or sell and +// returns the nominal/impact percentages and costings. +func (s *RPCServer) GetOrderbookMovement(ctx context.Context, r *gctrpc.GetOrderbookMovementRequest) (*gctrpc.GetOrderbookMovementResponse, error) { + exch, err := s.GetExchangeByName(r.Exchange) + if err != nil { + return nil, err + } + + as, err := asset.New(r.Asset) + if err != nil { + return nil, err + } + + pair, err := currency.NewPairFromStrings(r.Pair.Base, r.Pair.Quote) + if err != nil { + return nil, err + } + + if pair.IsEmpty() { + return nil, currency.ErrCurrencyPairEmpty + } + + err = checkParams(r.Exchange, exch, as, pair) + if err != nil { + return nil, err + } + + depth, err := orderbook.GetDepth(exch.GetName(), pair, as) + if err != nil { + return nil, err + } + + isRest, err := depth.IsRESTSnapshot() + if err != nil { + return nil, err + } + + updateProtocol := "WEBSOCKET" + if isRest { + updateProtocol = "REST" + } + + var move *orderbook.Movement + var bought, sold, side string + if r.Sell { + move, err = depth.HitTheBidsFromBest(r.Amount, r.Purchase) + bought = pair.Quote.Upper().String() + sold = pair.Base.Upper().String() + side = order.Bid.String() + } else { + move, err = depth.LiftTheAsksFromBest(r.Amount, r.Purchase) + bought = pair.Base.Upper().String() + sold = pair.Quote.Upper().String() + side = order.Ask.String() + } + if err != nil { + return nil, err + } + + return &gctrpc.GetOrderbookMovementResponse{ + NominalPercentage: move.NominalPercentage, + ImpactPercentage: move.ImpactPercentage, + SlippageCost: move.SlippageCost, + CurrencyBought: bought, + Bought: move.Purchased, + CurrencySold: sold, + Sold: move.Sold, + SideAffected: side, + UpdateProtocol: updateProtocol, + FullOrderbookSideConsumed: move.FullBookSideConsumed, + NoSlippageOccurred: move.ImpactPercentage == 0, + StartPrice: move.StartPrice, + EndPrice: move.EndPrice, + AverageOrderCost: move.AverageOrderCost, + }, nil +} + +// GetOrderbookAmountByNominal using the requested nominal percentage requirement +// returns the amount on orderbook that can fit without exceeding that value. +func (s *RPCServer) GetOrderbookAmountByNominal(ctx context.Context, r *gctrpc.GetOrderbookAmountByNominalRequest) (*gctrpc.GetOrderbookAmountByNominalResponse, error) { + exch, err := s.GetExchangeByName(r.Exchange) + if err != nil { + return nil, err + } + + as, err := asset.New(r.Asset) + if err != nil { + return nil, err + } + + pair, err := currency.NewPairFromStrings(r.Pair.Base, r.Pair.Quote) + if err != nil { + return nil, err + } + + if pair.IsEmpty() { + return nil, currency.ErrCurrencyPairEmpty + } + + err = checkParams(r.Exchange, exch, as, pair) + if err != nil { + return nil, err + } + + depth, err := orderbook.GetDepth(exch.GetName(), pair, as) + if err != nil { + return nil, err + } + + isRest, err := depth.IsRESTSnapshot() + if err != nil { + return nil, err + } + + updateProtocol := "WEBSOCKET" + if isRest { + updateProtocol = "REST" + } + + var nominal *orderbook.Movement + var selling, buying, side string + if r.Sell { + nominal, err = depth.HitTheBidsByNominalSlippageFromBest(r.NominalPercentage) + selling = pair.Upper().Base.String() + buying = pair.Upper().Quote.String() + side = order.Bid.String() + } else { + nominal, err = depth.LiftTheAsksByNominalSlippageFromBest(r.NominalPercentage) + buying = pair.Upper().Base.String() + selling = pair.Upper().Quote.String() + side = order.Ask.String() + } + if err != nil { + return nil, err + } + return &gctrpc.GetOrderbookAmountByNominalResponse{ + AmountRequired: nominal.Sold, + CurrencySelling: selling, + AmountReceived: nominal.Purchased, + CurrencyBuying: buying, + SideAffected: side, + ApproximateNominalSlippagePercentage: nominal.NominalPercentage, + UpdateProtocol: updateProtocol, + FullOrderbookSideConsumed: nominal.FullBookSideConsumed, + StartPrice: nominal.StartPrice, + EndPrice: nominal.EndPrice, + AverageOrderCost: nominal.AverageOrderCost, + }, nil +} + +// GetOrderbookAmountByImpact using the requested impact percentage requirement +// determines the amount on orderbook that can fit that will slip the orderbook. +func (s *RPCServer) GetOrderbookAmountByImpact(ctx context.Context, r *gctrpc.GetOrderbookAmountByImpactRequest) (*gctrpc.GetOrderbookAmountByImpactResponse, error) { + exch, err := s.GetExchangeByName(r.Exchange) + if err != nil { + return nil, err + } + + as, err := asset.New(r.Asset) + if err != nil { + return nil, err + } + + pair, err := currency.NewPairFromStrings(r.Pair.Base, r.Pair.Quote) + if err != nil { + return nil, err + } + + if pair.IsEmpty() { + return nil, currency.ErrCurrencyPairEmpty + } + + err = checkParams(r.Exchange, exch, as, pair) + if err != nil { + return nil, err + } + + depth, err := orderbook.GetDepth(exch.GetName(), pair, as) + if err != nil { + return nil, err + } + + isRest, err := depth.IsRESTSnapshot() + if err != nil { + return nil, err + } + + updateProtocol := "WEBSOCKET" + if isRest { + updateProtocol = "REST" + } + + var impact *orderbook.Movement + var selling, buying, side string + if r.Sell { + impact, err = depth.HitTheBidsByImpactSlippageFromBest(r.ImpactPercentage) + selling = pair.Upper().Base.String() + buying = pair.Upper().Quote.String() + side = order.Bid.String() + } else { + impact, err = depth.LiftTheAsksByImpactSlippageFromBest(r.ImpactPercentage) + buying = pair.Upper().Base.String() + selling = pair.Upper().Quote.String() + side = order.Ask.String() + } + if err != nil { + return nil, err + } + return &gctrpc.GetOrderbookAmountByImpactResponse{ + AmountRequired: impact.Sold, + CurrencySelling: selling, + AmountReceived: impact.Purchased, + CurrencyBuying: buying, + SideAffected: side, + ApproximateImpactSlippagePercentage: impact.ImpactPercentage, + UpdateProtocol: updateProtocol, + FullOrderbookSideConsumed: impact.FullBookSideConsumed, + StartPrice: impact.StartPrice, + EndPrice: impact.EndPrice, + AverageOrderCost: impact.AverageOrderCost, + }, nil +} diff --git a/engine/rpcserver_test.go b/engine/rpcserver_test.go index 1c564d19..3a4a6e21 100644 --- a/engine/rpcserver_test.go +++ b/engine/rpcserver_test.go @@ -32,6 +32,7 @@ import ( "github.com/thrasher-corp/gocryptotrader/exchanges/kline" "github.com/thrasher-corp/gocryptotrader/exchanges/margin" "github.com/thrasher-corp/gocryptotrader/exchanges/order" + "github.com/thrasher-corp/gocryptotrader/exchanges/orderbook" "github.com/thrasher-corp/gocryptotrader/exchanges/ticker" "github.com/thrasher-corp/gocryptotrader/exchanges/trade" "github.com/thrasher-corp/gocryptotrader/gctrpc" @@ -3202,3 +3203,312 @@ func TestGetAllManagedPositions(t *testing.T) { t.Errorf("received '%v', expected '%v'", err, nil) } } + +func TestGetOrderbookMovement(t *testing.T) { + t.Parallel() + em := SetupExchangeManager() + exch, err := em.NewExchangeByName("ftx") + if err != nil { + t.Fatal(err) + } + exch.SetDefaults() + b := exch.GetBase() + b.Name = fakeExchangeName + b.Enabled = true + + cp, err := currency.NewPairFromString("btc-metal") + if err != nil { + t.Fatal(err) + } + + b.CurrencyPairs.Pairs = make(map[asset.Item]*currency.PairStore) + b.CurrencyPairs.Pairs[asset.Spot] = ¤cy.PairStore{ + AssetEnabled: convert.BoolPtr(true), + ConfigFormat: ¤cy.PairFormat{Delimiter: "/"}, + RequestFormat: ¤cy.PairFormat{Delimiter: "/"}, + Available: currency.Pairs{cp}, + Enabled: currency.Pairs{cp}, + } + + fakeExchange := fExchange{ + IBotExchange: exch, + } + em.Add(fakeExchange) + + s := RPCServer{Engine: &Engine{ExchangeManager: em}} + + req := &gctrpc.GetOrderbookMovementRequest{} + _, err = s.GetOrderbookMovement(context.Background(), req) + if !errors.Is(err, ErrExchangeNameIsEmpty) { + t.Fatalf("received: '%+v' but expected: '%v'", err, ErrExchangeNameIsEmpty) + } + + req.Exchange = "fake" + _, err = s.GetOrderbookMovement(context.Background(), req) + if !errors.Is(err, asset.ErrNotSupported) { + t.Fatalf("received: '%+v' but expected: '%v'", err, asset.ErrNotSupported) + } + + req.Asset = asset.Spot.String() + req.Pair = &gctrpc.CurrencyPair{} + _, err = s.GetOrderbookMovement(context.Background(), req) + if !errors.Is(err, currency.ErrCurrencyPairEmpty) { + t.Fatalf("received: '%+v' but expected: '%v'", err, currency.ErrCurrencyPairEmpty) + } + + req.Pair = &gctrpc.CurrencyPair{ + Base: currency.BTC.String(), + Quote: currency.METAL.String(), + } + _, err = s.GetOrderbookMovement(context.Background(), req) + if !strings.Contains(err.Error(), "cannot find orderbook") { + t.Fatalf("received: '%+v' but expected: '%v'", err, "cannot find orderbook") + } + + depth, err := orderbook.DeployDepth(req.Exchange, currency.NewPair(currency.BTC, currency.METAL), asset.Spot) + if err != nil { + t.Fatal(err) + } + + bid := []orderbook.Item{ + {Price: 10, Amount: 1}, + {Price: 9, Amount: 1}, + {Price: 8, Amount: 1}, + {Price: 7, Amount: 1}, + } + ask := []orderbook.Item{ + {Price: 11, Amount: 1}, + {Price: 12, Amount: 1}, + {Price: 13, Amount: 1}, + {Price: 14, Amount: 1}, + } + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + + _, err = s.GetOrderbookMovement(context.Background(), req) + if err.Error() != "quote amount invalid" { + t.Fatalf("received: '%+v' but expected: '%v'", err, "quote amount invalid") + } + + req.Amount = 11 + move, err := s.GetOrderbookMovement(context.Background(), req) + if !errors.Is(err, nil) { + t.Fatalf("received: '%+v' but expected: '%v'", err, nil) + } + + if move.Bought != 1 { + t.Fatalf("received: '%v' but expected: '%v'", move.Bought, 1) + } + + req.Sell = true + req.Amount = 1 + move, err = s.GetOrderbookMovement(context.Background(), req) + if !errors.Is(err, nil) { + t.Fatalf("received: '%+v' but expected: '%v'", err, nil) + } + + if move.Bought != 10 { + t.Fatalf("received: '%v' but expected: '%v'", move.Bought, 10) + } +} + +func TestGetOrderbookAmountByNominal(t *testing.T) { + t.Parallel() + em := SetupExchangeManager() + exch, err := em.NewExchangeByName("ftx") + if err != nil { + t.Fatal(err) + } + exch.SetDefaults() + b := exch.GetBase() + b.Name = fakeExchangeName + b.Enabled = true + + cp, err := currency.NewPairFromString("btc-meme") + if err != nil { + t.Fatal(err) + } + + b.CurrencyPairs.Pairs = make(map[asset.Item]*currency.PairStore) + b.CurrencyPairs.Pairs[asset.Spot] = ¤cy.PairStore{ + AssetEnabled: convert.BoolPtr(true), + ConfigFormat: ¤cy.PairFormat{Delimiter: "/"}, + RequestFormat: ¤cy.PairFormat{Delimiter: "/"}, + Available: currency.Pairs{cp}, + Enabled: currency.Pairs{cp}, + } + + fakeExchange := fExchange{ + IBotExchange: exch, + } + em.Add(fakeExchange) + + s := RPCServer{Engine: &Engine{ExchangeManager: em}} + + req := &gctrpc.GetOrderbookAmountByNominalRequest{} + _, err = s.GetOrderbookAmountByNominal(context.Background(), req) + if !errors.Is(err, ErrExchangeNameIsEmpty) { + t.Fatalf("received: '%+v' but expected: '%v'", err, ErrExchangeNameIsEmpty) + } + + req.Exchange = "fake" + _, err = s.GetOrderbookAmountByNominal(context.Background(), req) + if !errors.Is(err, asset.ErrNotSupported) { + t.Fatalf("received: '%+v' but expected: '%v'", err, asset.ErrNotSupported) + } + + req.Asset = asset.Spot.String() + req.Pair = &gctrpc.CurrencyPair{} + _, err = s.GetOrderbookAmountByNominal(context.Background(), req) + if !errors.Is(err, currency.ErrCurrencyPairEmpty) { + t.Fatalf("received: '%+v' but expected: '%v'", err, currency.ErrCurrencyPairEmpty) + } + + req.Pair = &gctrpc.CurrencyPair{ + Base: currency.BTC.String(), + Quote: currency.MEME.String(), + } + _, err = s.GetOrderbookAmountByNominal(context.Background(), req) + if !strings.Contains(err.Error(), "cannot find orderbook") { + t.Fatalf("received: '%+v' but expected: '%v'", err, "cannot find orderbook") + } + + depth, err := orderbook.DeployDepth(req.Exchange, currency.NewPair(currency.BTC, currency.MEME), asset.Spot) + if err != nil { + t.Fatal(err) + } + + bid := []orderbook.Item{ + {Price: 10, Amount: 1}, + {Price: 9, Amount: 1}, + {Price: 8, Amount: 1}, + {Price: 7, Amount: 1}, + } + ask := []orderbook.Item{ + {Price: 11, Amount: 1}, + {Price: 12, Amount: 1}, + {Price: 13, Amount: 1}, + {Price: 14, Amount: 1}, + } + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + + nominal, err := s.GetOrderbookAmountByNominal(context.Background(), req) + if !errors.Is(err, nil) { + t.Fatalf("received: '%+v' but expected: '%v'", err, nil) + } + + if nominal.AmountRequired != 11 { + t.Fatalf("received: '%v' but expected: '%v'", nominal.AmountRequired, 11) + } + + req.Sell = true + nominal, err = s.GetOrderbookAmountByNominal(context.Background(), req) + if !errors.Is(err, nil) { + t.Fatalf("received: '%+v' but expected: '%v'", err, nil) + } + + if nominal.AmountRequired != 1 { + t.Fatalf("received: '%v' but expected: '%v'", nominal.AmountRequired, 1) + } +} + +func TestGetOrderbookAmountByImpact(t *testing.T) { + t.Parallel() + em := SetupExchangeManager() + exch, err := em.NewExchangeByName("ftx") + if err != nil { + t.Fatal(err) + } + exch.SetDefaults() + b := exch.GetBase() + b.Name = fakeExchangeName + b.Enabled = true + + cp, err := currency.NewPairFromString("btc-mad") + if err != nil { + t.Fatal(err) + } + + b.CurrencyPairs.Pairs = make(map[asset.Item]*currency.PairStore) + b.CurrencyPairs.Pairs[asset.Spot] = ¤cy.PairStore{ + AssetEnabled: convert.BoolPtr(true), + ConfigFormat: ¤cy.PairFormat{Delimiter: "/"}, + RequestFormat: ¤cy.PairFormat{Delimiter: "/"}, + Available: currency.Pairs{cp}, + Enabled: currency.Pairs{cp}, + } + + fakeExchange := fExchange{ + IBotExchange: exch, + } + em.Add(fakeExchange) + + s := RPCServer{Engine: &Engine{ExchangeManager: em}} + + req := &gctrpc.GetOrderbookAmountByImpactRequest{} + _, err = s.GetOrderbookAmountByImpact(context.Background(), req) + if !errors.Is(err, ErrExchangeNameIsEmpty) { + t.Fatalf("received: '%+v' but expected: '%v'", err, ErrExchangeNameIsEmpty) + } + + req.Exchange = "fake" + _, err = s.GetOrderbookAmountByImpact(context.Background(), req) + if !errors.Is(err, asset.ErrNotSupported) { + t.Fatalf("received: '%+v' but expected: '%v'", err, asset.ErrNotSupported) + } + + req.Asset = asset.Spot.String() + req.Pair = &gctrpc.CurrencyPair{} + _, err = s.GetOrderbookAmountByImpact(context.Background(), req) + if !errors.Is(err, currency.ErrCurrencyPairEmpty) { + t.Fatalf("received: '%+v' but expected: '%v'", err, currency.ErrCurrencyPairEmpty) + } + + req.Pair = &gctrpc.CurrencyPair{ + Base: currency.BTC.String(), + Quote: currency.MAD.String(), + } + _, err = s.GetOrderbookAmountByImpact(context.Background(), req) + if !strings.Contains(err.Error(), "cannot find orderbook") { + t.Fatalf("received: '%+v' but expected: '%v'", err, "cannot find orderbook") + } + + depth, err := orderbook.DeployDepth(req.Exchange, currency.NewPair(currency.BTC, currency.MAD), asset.Spot) + if err != nil { + t.Fatal(err) + } + + bid := []orderbook.Item{ + {Price: 10, Amount: 1}, + {Price: 9, Amount: 1}, + {Price: 8, Amount: 1}, + {Price: 7, Amount: 1}, + } + ask := []orderbook.Item{ + {Price: 11, Amount: 1}, + {Price: 12, Amount: 1}, + {Price: 13, Amount: 1}, + {Price: 14, Amount: 1}, + } + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + + req.ImpactPercentage = 9.090909090909092 + impact, err := s.GetOrderbookAmountByImpact(context.Background(), req) + if !errors.Is(err, nil) { + t.Fatalf("received: '%+v' but expected: '%v'", err, nil) + } + + if impact.AmountRequired != 11 { + t.Fatalf("received: '%v' but expected: '%v'", impact.AmountRequired, 11) + } + + req.Sell = true + req.ImpactPercentage = 10 + impact, err = s.GetOrderbookAmountByImpact(context.Background(), req) + if !errors.Is(err, nil) { + t.Fatalf("received: '%+v' but expected: '%v'", err, nil) + } + + if impact.AmountRequired != 1 { + t.Fatalf("received: '%v' but expected: '%v'", impact.AmountRequired, 1) + } +} diff --git a/exchanges/orderbook/calculator.go b/exchanges/orderbook/calculator.go index b04b9cda..e862a1a4 100644 --- a/exchanges/orderbook/calculator.go +++ b/exchanges/orderbook/calculator.go @@ -3,10 +3,16 @@ package orderbook import ( "errors" "fmt" - "sort" math "github.com/thrasher-corp/gocryptotrader/common/math" - "github.com/thrasher-corp/gocryptotrader/log" + "github.com/thrasher-corp/gocryptotrader/currency" +) + +const fullLiquidityUsageWarning = "[WARNING]: Full liquidity exhausted." + +var ( + errPriceTargetInvalid = errors.New("price target is invalid") + errCannotShiftPrice = errors.New("cannot shift price") ) // WhaleBombResult returns the whale bomb result @@ -15,214 +21,240 @@ type WhaleBombResult struct { MinimumPrice float64 MaximumPrice float64 PercentageGainOrLoss float64 - Orders orderSummary + Orders Items Status string } // WhaleBomb finds the amount required to target a price func (b *Base) WhaleBomb(priceTarget float64, buy bool) (*WhaleBombResult, error) { if priceTarget < 0 { - return nil, errors.New("price target is invalid") + return nil, errPriceTargetInvalid } - if buy { - a, orders := b.findAmount(priceTarget, true) - min, max := orders.MinimumPrice(false), orders.MaximumPrice(true) - var err error - if max < priceTarget { - err = errors.New("unable to hit price target due to insufficient orderbook items") - } - status := fmt.Sprintf("Buying %.2f %v worth of %v will send the price from %v to %v [%.2f%%] and take %v orders.", - a, b.Pair.Quote.String(), b.Pair.Base.String(), min, max, - math.CalculatePercentageGainOrLoss(max, min), len(orders)) - return &WhaleBombResult{ - Amount: a, - Orders: orders, - MinimumPrice: min, - MaximumPrice: max, - Status: status, - }, err + action, err := b.findAmount(priceTarget, buy) + if err != nil { + return nil, err } - a, orders := b.findAmount(priceTarget, false) - min, max := orders.MinimumPrice(false), orders.MaximumPrice(true) - var err error - if min > priceTarget { - err = errors.New("unable to hit price target due to insufficient orderbook items") + var warning string + if action.FullLiquidityUsed { + warning = fullLiquidityUsageWarning } - status := fmt.Sprintf("Selling %.2f %v worth of %v will send the price from %v to %v [%.2f%%] and take %v orders.", - a, b.Pair.Base.String(), b.Pair.Quote.String(), max, min, - math.CalculatePercentageGainOrLoss(min, max), len(orders)) + + var status string + var percent, min, max, amount float64 + if buy { + min = action.ReferencePrice + max = action.TranchePositionPrice + amount = action.QuoteAmount + percent = math.CalculatePercentageGainOrLoss(action.TranchePositionPrice, action.ReferencePrice) + status = fmt.Sprintf("Buying using %.2f %s worth of %s will send the price from %v to %v [%.2f%%] and impact %d price tranche(s). %s", + amount, b.Pair.Quote, b.Pair.Base, min, max, + percent, len(action.Tranches), warning) + } else { + min = action.TranchePositionPrice + max = action.ReferencePrice + amount = action.BaseAmount + percent = math.CalculatePercentageGainOrLoss(action.TranchePositionPrice, action.ReferencePrice) + status = fmt.Sprintf("Selling using %.2f %s worth of %s will send the price from %v to %v [%.2f%%] and impact %d price tranche(s). %s", + amount, b.Pair.Base, b.Pair.Quote, max, min, + percent, len(action.Tranches), warning) + } + return &WhaleBombResult{ - Amount: a, - Orders: orders, - MinimumPrice: min, - MaximumPrice: max, - Status: status, + Amount: amount, + Orders: action.Tranches, + MinimumPrice: min, + MaximumPrice: max, + Status: status, + PercentageGainOrLoss: percent, }, err } -// OrderSimulationResult returns the order simulation result -type OrderSimulationResult WhaleBombResult - // SimulateOrder simulates an order -func (b *Base) SimulateOrder(amount float64, buy bool) *OrderSimulationResult { +func (b *Base) SimulateOrder(amount float64, buy bool) (*WhaleBombResult, error) { + var direction string + var action *DeploymentAction + var soldAmount, boughtAmount, minimumPrice, maximumPrice float64 + var sold, bought currency.Code + var err error if buy { - orders, amt := b.buy(amount) - min, max := orders.MinimumPrice(false), orders.MaximumPrice(true) - pct := math.CalculatePercentageGainOrLoss(max, min) - status := fmt.Sprintf("Buying %.2f %v worth of %v will send the price from %v to %v [%.2f%%] and take %v orders.", - amount, b.Pair.Quote.String(), b.Pair.Base.String(), min, max, - pct, len(orders)) - return &OrderSimulationResult{ - Orders: orders, - Amount: amt, - MinimumPrice: min, - MaximumPrice: max, - PercentageGainOrLoss: pct, - Status: status, + direction = "Buying" + action, err = b.buy(amount) + if err != nil { + return nil, err } + soldAmount = action.QuoteAmount + boughtAmount = action.BaseAmount + maximumPrice = action.TranchePositionPrice + minimumPrice = action.ReferencePrice + sold = b.Pair.Quote + bought = b.Pair.Base + } else { + direction = "Selling" + action, err = b.sell(amount) + if err != nil { + return nil, err + } + soldAmount = action.BaseAmount + boughtAmount = action.QuoteAmount + minimumPrice = action.TranchePositionPrice + maximumPrice = action.ReferencePrice + sold = b.Pair.Base + bought = b.Pair.Quote } - orders, amt := b.sell(amount) - min, max := orders.MinimumPrice(false), orders.MaximumPrice(true) - pct := math.CalculatePercentageGainOrLoss(min, max) - status := fmt.Sprintf("Selling %f %v worth of %v will send the price from %v to %v [%.2f%%] and take %v orders.", - amount, b.Pair.Base.String(), b.Pair.Quote.String(), max, min, - pct, len(orders)) - return &OrderSimulationResult{ - Orders: orders, - Amount: amt, - MinimumPrice: min, - MaximumPrice: max, + + var warning string + if action.FullLiquidityUsed { + warning = fullLiquidityUsageWarning + } + + pct := math.CalculatePercentageGainOrLoss(action.TranchePositionPrice, action.ReferencePrice) + status := fmt.Sprintf("%s using %f %v worth of %v will send the price from %v to %v [%.2f%%] and impact %v price tranche(s). %s", + direction, soldAmount, sold, bought, action.ReferencePrice, + action.TranchePositionPrice, pct, len(action.Tranches), warning) + return &WhaleBombResult{ + Orders: action.Tranches, + Amount: boughtAmount, + MinimumPrice: minimumPrice, + MaximumPrice: maximumPrice, PercentageGainOrLoss: pct, Status: status, - } + }, nil } -type orderSummary []Item - -func (o orderSummary) Print() { - for x := range o { - log.Debugf(log.OrderBook, "Order: Price: %f Amount: %f", o[x].Price, o[x].Amount) - } -} - -func (o orderSummary) MinimumPrice(reverse bool) float64 { - if len(o) != 0 { - sortOrdersByPrice(&o, reverse) - return o[0].Price - } - return 0 -} - -func (o orderSummary) MaximumPrice(reverse bool) float64 { - if len(o) != 0 { - sortOrdersByPrice(&o, reverse) - return o[0].Price - } - return 0 -} - -// ByPrice used for sorting orders by order date -type ByPrice orderSummary - -func (b ByPrice) Len() int { return len(b) } -func (b ByPrice) Less(i, j int) bool { return b[i].Price < b[j].Price } -func (b ByPrice) Swap(i, j int) { b[i], b[j] = b[j], b[i] } - -// sortOrdersByPrice the caller function to sort orders -func sortOrdersByPrice(o *orderSummary, reverse bool) { - if reverse { - sort.Sort(sort.Reverse(ByPrice(*o))) - } else { - sort.Sort(ByPrice(*o)) - } -} - -func (b *Base) findAmount(price float64, buy bool) (float64, orderSummary) { - orders := make(orderSummary, 0) - var amt float64 - +func (b *Base) findAmount(priceTarget float64, buy bool) (*DeploymentAction, error) { + action := DeploymentAction{} if buy { + if len(b.Asks) == 0 { + return nil, errNoLiquidity + } + action.ReferencePrice = b.Asks[0].Price + if action.ReferencePrice > priceTarget { + return nil, fmt.Errorf("%w to %f as it's below ascending ask prices starting at %f", + errCannotShiftPrice, priceTarget, action.ReferencePrice) + } for x := range b.Asks { - if b.Asks[x].Price >= price { - amt += b.Asks[x].Price * b.Asks[x].Amount - orders = append(orders, Item{ - Price: b.Asks[x].Price, - Amount: b.Asks[x].Amount, - }) - return amt, orders + if b.Asks[x].Price >= priceTarget { + action.TranchePositionPrice = b.Asks[x].Price + return &action, nil } - orders = append(orders, Item{ - Price: b.Asks[x].Price, - Amount: b.Asks[x].Amount, - }) - amt += b.Asks[x].Price * b.Asks[x].Amount + action.Tranches = append(action.Tranches, b.Asks[x]) + action.QuoteAmount += b.Asks[x].Price * b.Asks[x].Amount + action.BaseAmount += b.Asks[x].Amount } - return amt, orders + action.TranchePositionPrice = b.Asks[len(b.Asks)-1].Price + action.FullLiquidityUsed = true + return &action, nil } - for x := range b.Bids { - if b.Bids[x].Price <= price { - amt += b.Bids[x].Amount - orders = append(orders, Item{ - Price: b.Bids[x].Price, - Amount: b.Bids[x].Amount, - }) - break - } - orders = append(orders, Item{ - Price: b.Bids[x].Price, - Amount: b.Bids[x].Amount, - }) - amt += b.Bids[x].Amount + if len(b.Bids) == 0 { + return nil, errNoLiquidity } - return amt, orders + action.ReferencePrice = b.Bids[0].Price + if action.ReferencePrice < priceTarget { + return nil, fmt.Errorf("%w to %f as it's above descending bid prices starting at %f", + errCannotShiftPrice, priceTarget, action.ReferencePrice) + } + for x := range b.Bids { + if b.Bids[x].Price <= priceTarget { + action.TranchePositionPrice = b.Bids[x].Price + return &action, nil + } + action.Tranches = append(action.Tranches, b.Bids[x]) + action.QuoteAmount += b.Bids[x].Price * b.Bids[x].Amount + action.BaseAmount += b.Bids[x].Amount + } + action.TranchePositionPrice = b.Bids[len(b.Bids)-1].Price + action.FullLiquidityUsed = true + return &action, nil } -func (b *Base) buy(amount float64) (orders orderSummary, baseAmount float64) { - var processedAmt float64 +// DeploymentAction defines deployment information on a liquidity side. +type DeploymentAction struct { + ReferencePrice float64 + TranchePositionPrice float64 + BaseAmount float64 + QuoteAmount float64 + Tranches Items + FullLiquidityUsed bool +} + +func (b *Base) buy(quote float64) (*DeploymentAction, error) { + if quote <= 0 { + return nil, errQuoteAmountInvalid + } + if len(b.Asks) == 0 { + return nil, errNoLiquidity + } + action := &DeploymentAction{ReferencePrice: b.Asks[0].Price} for x := range b.Asks { - subtotal := b.Asks[x].Price * b.Asks[x].Amount - if processedAmt+subtotal >= amount { - diff := amount - processedAmt - subAmt := diff / b.Asks[x].Price - orders = append(orders, Item{ + action.TranchePositionPrice = b.Asks[x].Price + trancheValue := b.Asks[x].Price * b.Asks[x].Amount + action.QuoteAmount += trancheValue + remaining := quote - trancheValue + if remaining <= 0 { + if remaining == 0 { + if len(b.Asks)-1 > x { + action.TranchePositionPrice = b.Asks[x+1].Price + } else { + action.FullLiquidityUsed = true + } + } + subAmount := quote / b.Asks[x].Price + action.Tranches = append(action.Tranches, Item{ Price: b.Asks[x].Price, - Amount: subAmt, + Amount: subAmount, }) - baseAmount += subAmt - break + action.BaseAmount += subAmount + return action, nil } - processedAmt += subtotal - baseAmount += b.Asks[x].Amount - orders = append(orders, Item{ - Price: b.Asks[x].Price, - Amount: b.Asks[x].Amount, - }) + if len(b.Asks)-1 <= x { + action.FullLiquidityUsed = true + } + quote = remaining + action.BaseAmount += b.Asks[x].Amount + action.Tranches = append(action.Tranches, b.Asks[x]) } - return + + return action, nil } -func (b *Base) sell(amount float64) (orders orderSummary, quoteAmount float64) { - var processedAmt float64 - for x := range b.Bids { - if processedAmt+b.Bids[x].Amount >= amount { - diff := amount - processedAmt - orders = append(orders, Item{ - Price: b.Bids[x].Price, - Amount: diff, - }) - quoteAmount += diff * b.Bids[x].Price - break - } - processedAmt += b.Bids[x].Amount - quoteAmount += b.Bids[x].Amount * b.Bids[x].Price - orders = append(orders, Item{ - Price: b.Bids[x].Price, - Amount: b.Bids[x].Amount, - }) +func (b *Base) sell(base float64) (*DeploymentAction, error) { + if base <= 0 { + return nil, errBaseAmountInvalid } - return + if len(b.Bids) == 0 { + return nil, errNoLiquidity + } + action := &DeploymentAction{ReferencePrice: b.Bids[0].Price} + for x := range b.Bids { + action.TranchePositionPrice = b.Bids[x].Price + remaining := base - b.Bids[x].Amount + if remaining <= 0 { + if remaining == 0 { + if len(b.Bids)-1 > x { + action.TranchePositionPrice = b.Bids[x+1].Price + } else { + action.FullLiquidityUsed = true + } + } + action.Tranches = append(action.Tranches, Item{ + Price: b.Bids[x].Price, + Amount: base, + }) + action.BaseAmount += base + action.QuoteAmount += base * b.Bids[x].Price + return action, nil + } + if len(b.Bids)-1 <= x { + action.FullLiquidityUsed = true + } + base = remaining + action.BaseAmount += b.Bids[x].Amount + action.QuoteAmount += b.Bids[x].Amount * b.Bids[x].Price + action.Tranches = append(action.Tranches, b.Bids[x]) + } + return action, nil } // GetAveragePrice finds the average buy or sell price of a specified amount. @@ -254,10 +286,9 @@ func (elem Items) FindNominalAmount(amount float64) (aggNominalAmount, remaining aggNominalAmount += elem[x].Price * remainingAmount remainingAmount = 0 break - } else { - aggNominalAmount += elem[x].Price * elem[x].Amount - remainingAmount -= elem[x].Amount } + aggNominalAmount += elem[x].Price * elem[x].Amount + remainingAmount -= elem[x].Amount } return aggNominalAmount, remainingAmount } diff --git a/exchanges/orderbook/calculator_test.go b/exchanges/orderbook/calculator_test.go index c64c2ca2..434699d8 100644 --- a/exchanges/orderbook/calculator_test.go +++ b/exchanges/orderbook/calculator_test.go @@ -3,6 +3,7 @@ package orderbook import ( "errors" "math" + "strings" "testing" "github.com/thrasher-corp/gocryptotrader/currency" @@ -27,69 +28,475 @@ func TestWhaleBomb(t *testing.T) { t.Parallel() b := testSetup() - // invalid price amount _, err := b.WhaleBomb(-1, true) - if err == nil { - t.Error("unexpected result") + if !errors.Is(err, errPriceTargetInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, errPriceTargetInvalid) } - // valid - _, err = b.WhaleBomb(7001, true) + result, err := b.WhaleBomb(7001, true) // <- This price should not be wiped out on the book. + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if result.Amount != 7000 { + t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 7000) + } + + if result.MaximumPrice != 7001 { + t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 7001) + } + + if result.MinimumPrice != 7000 { + t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 7000) + } + + if result.PercentageGainOrLoss != 0.014285714285714287 { + t.Fatalf("received: '%v' but expected: '%v'", result.PercentageGainOrLoss, 0.014285714285714287) + } + + result, err = b.WhaleBomb(7000.5, true) // <- Slot between prices will lift to next ask tranche if !errors.Is(err, nil) { t.Errorf("received '%v', expected '%v'", err, nil) } - // invalid - _, err = b.WhaleBomb(7002, true) - if err == nil { - t.Error("unexpected result") + + if result.Amount != 7000 { + t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 7000) } - // valid - _, err = b.WhaleBomb(6998, false) + if result.MaximumPrice != 7001 { + t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 7001) + } + + if result.MinimumPrice != 7000 { + t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 7000) + } + + if result.PercentageGainOrLoss != 0.014285714285714287 { + t.Fatalf("received: '%v' but expected: '%v'", result.PercentageGainOrLoss, 0.014285714285714287) + } + + result, err = b.WhaleBomb(7002, true) // <- exceed available quotations + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if !strings.Contains(result.Status, fullLiquidityUsageWarning) { + t.Fatal("expected status to contain liquidity warning") + } + + result, err = b.WhaleBomb(7000, true) // <- Book should not move + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if result.Amount != 0 { + t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 0) + } + + if result.MaximumPrice != 7000 { + t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 7000) + } + + if result.MinimumPrice != 7000 { + t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 7000) + } + + if result.PercentageGainOrLoss != 0 { + t.Fatalf("received: '%v' but expected: '%v'", result.PercentageGainOrLoss, 0) + } + + _, err = b.WhaleBomb(6000, true) + if !errors.Is(err, errCannotShiftPrice) { + t.Fatalf("received: '%v' but expected: '%v'", err, errCannotShiftPrice) + } + + _, err = b.WhaleBomb(-1, false) + if !errors.Is(err, errPriceTargetInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, errPriceTargetInvalid) + } + + result, err = b.WhaleBomb(6998, false) // <- This price should not be wiped out on the book. + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if result.Amount != 1 { + t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 1) + } + + if result.MaximumPrice != 6999 { + t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 6999) + } + + if result.MinimumPrice != 6998 { + t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 6998) + } + + if result.PercentageGainOrLoss != -0.014287755393627661 { + t.Fatalf("received: '%v' but expected: '%v'", result.PercentageGainOrLoss, -0.014287755393627661) + } + + result, err = b.WhaleBomb(6998.5, false) // <- Slot between prices will drop to next bid tranche if !errors.Is(err, nil) { t.Errorf("received '%v', expected '%v'", err, nil) } - // invalid - _, err = b.WhaleBomb(6997, false) - if err == nil { - t.Error("unexpected result") + + if result.Amount != 1 { + t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 1) + } + + if result.MaximumPrice != 6999 { + t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 6999) + } + + if result.MinimumPrice != 6998 { + t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 6998) + } + + if result.PercentageGainOrLoss != -0.014287755393627661 { + t.Fatalf("received: '%v' but expected: '%v'", result.PercentageGainOrLoss, -0.014287755393627661) + } + + result, err = b.WhaleBomb(6997, false) // <- exceed available quotations + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if !strings.Contains(result.Status, fullLiquidityUsageWarning) { + t.Fatal("expected status to contain liquidity warning") + } + + result, err = b.WhaleBomb(6999, false) // <- Book should not move + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if result.Amount != 0 { + t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 0) + } + + if result.MaximumPrice != 6999 { + t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 6999) + } + + if result.MinimumPrice != 6999 { + t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 6999) + } + + if result.PercentageGainOrLoss != 0 { + t.Fatalf("received: '%v' but expected: '%v'", result.PercentageGainOrLoss, 0) + } + + _, err = b.WhaleBomb(7500, false) + if !errors.Is(err, errCannotShiftPrice) { + t.Fatalf("received: '%v' but expected: '%v'", err, errCannotShiftPrice) } } func TestSimulateOrder(t *testing.T) { t.Parallel() b := testSetup() - b.SimulateOrder(8000, true) - b.SimulateOrder(1.5, false) -} -func TestOrderSummary(t *testing.T) { - var o orderSummary - if p := o.MaximumPrice(false); p != 0 { - t.Error("unexpected result") - } - if p := o.MinimumPrice(false); p != 0 { - t.Error("unexpected result") + // Invalid + _, err := b.SimulateOrder(-8000, true) + if !errors.Is(err, errQuoteAmountInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, errQuoteAmountInvalid) } - o = orderSummary{ - {Price: 1337, Amount: 1}, - {Price: 9001, Amount: 1}, - } - if p := o.MaximumPrice(false); p != 1337 { - t.Error("unexpected result") - } - if p := o.MaximumPrice(true); p != 9001 { - t.Error("unexpected result") - } - if p := o.MinimumPrice(false); p != 1337 { - t.Error("unexpected result") - } - if p := o.MinimumPrice(true); p != 9001 { - t.Error("unexpected result") + _, err = (&Base{}).SimulateOrder(1337, true) + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) } - o.Print() + // Full liquidity used + result, err := b.SimulateOrder(21002, true) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if result.Amount != 3 { + t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 3) + } + + if result.MinimumPrice != 7000 { + t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 7000) + } + + if result.MaximumPrice != 7001 { + t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 7001) + } + + if !strings.Contains(result.Status, fullLiquidityUsageWarning) { + t.Fatalf("received: '%v' but expected string to contain: '%v'", result.Status, fullLiquidityUsageWarning) + } + + if len(result.Orders) != 2 { + t.Fatalf("received: '%v' but expected: '%v'", len(result.Orders), 2) + } + + // Exceed full liquidity used + result, err = b.SimulateOrder(21003, true) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if result.Amount != 3 { + t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 3) + } + + if result.MinimumPrice != 7000 { + t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 7000) + } + + if result.MaximumPrice != 7001 { + t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 7001) + } + + if !strings.Contains(result.Status, fullLiquidityUsageWarning) { + t.Fatalf("received: '%v' but expected string to contain: '%v'", result.Status, fullLiquidityUsageWarning) + } + + if len(result.Orders) != 2 { + t.Fatalf("received: '%v' but expected: '%v'", len(result.Orders), 2) + } + + // First tranche + result, err = b.SimulateOrder(7000, true) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if result.Amount != 1 { + t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 1) + } + + if result.MinimumPrice != 7000 { + t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 7000) + } + + if result.MaximumPrice != 7001 { // A full tranche is wiped out and this one should be preserved. + t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 7001) + } + + if strings.Contains(result.Status, fullLiquidityUsageWarning) { + t.Fatalf("received: '%v' but expected string to contain: '%v'", result.Status, "NO WARNING") + } + + if len(result.Orders) != 1 { + t.Fatalf("received: '%v' but expected: '%v'", len(result.Orders), 1) + } + + // Half of first tranch + result, err = b.SimulateOrder(3500, true) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if result.Amount != .5 { + t.Fatalf("received: '%v' but expected: '%v'", result.Amount, .5) + } + + if result.MinimumPrice != 7000 { + t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 7000) + } + + if result.MaximumPrice != 7000 { + t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 7000) + } + + if strings.Contains(result.Status, fullLiquidityUsageWarning) { + t.Fatalf("received: '%v' but expected string to contain: '%v'", result.Status, "NO WARNING") + } + + if len(result.Orders) != 1 { + t.Fatalf("received: '%v' but expected: '%v'", len(result.Orders), 1) + } + + if result.Orders[0].Amount != 0.5 { + t.Fatalf("received: '%v' but expected: '%v'", result.Orders[0].Amount, 0.5) + } + + // Half of second tranche + result, err = b.SimulateOrder(14001, true) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if result.Amount != 2 { + t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 2) + } + + if result.MinimumPrice != 7000 { + t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 7000) + } + + if result.MaximumPrice != 7001 { + t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 7001) + } + + if strings.Contains(result.Status, fullLiquidityUsageWarning) { + t.Fatalf("received: '%v' but expected string to contain: '%v'", result.Status, "NO WARNING") + } + + if len(result.Orders) != 2 { + t.Fatalf("received: '%v' but expected: '%v'", len(result.Orders), 1) + } + + if result.Orders[1].Amount != 1 { + t.Fatalf("received: '%v' but expected: '%v'", result.Orders[1].Amount, 1) + } + + // Hitting bids + + // Invalid + + _, err = (&Base{}).SimulateOrder(-1, false) + if !errors.Is(err, errBaseAmountInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, errBaseAmountInvalid) + } + + _, err = (&Base{}).SimulateOrder(2, false) + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + + // Full liquidity used + result, err = b.SimulateOrder(3, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if result.Amount != 20995 { + t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 20995) + } + + if result.MaximumPrice != 6999 { + t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 6999) + } + + if result.MinimumPrice != 6998 { + t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 6998) + } + + if !strings.Contains(result.Status, fullLiquidityUsageWarning) { + t.Fatalf("received: '%v' but expected string to contain: '%v'", result.Status, fullLiquidityUsageWarning) + } + + if len(result.Orders) != 2 { + t.Fatalf("received: '%v' but expected: '%v'", len(result.Orders), 2) + } + + // Exceed full liquidity used + result, err = b.SimulateOrder(3.1, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if result.Amount != 20995 { + t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 20995) + } + + if result.MaximumPrice != 6999 { + t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 6999) + } + + if result.MinimumPrice != 6998 { + t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 6998) + } + + if !strings.Contains(result.Status, fullLiquidityUsageWarning) { + t.Fatalf("received: '%v' but expected string to contain: '%v'", result.Status, fullLiquidityUsageWarning) + } + + if len(result.Orders) != 2 { + t.Fatalf("received: '%v' but expected: '%v'", len(result.Orders), 2) + } + + // First tranche + result, err = b.SimulateOrder(1, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if result.Amount != 6999 { + t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 6999) + } + + if result.MaximumPrice != 6999 { + t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 6999) + } + + if result.MinimumPrice != 6998 { // A full tranche is wiped out and this one should be preserved. + t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 6998) + } + + if strings.Contains(result.Status, fullLiquidityUsageWarning) { + t.Fatalf("received: '%v' but expected string to contain: '%v'", result.Status, "NO WARNING") + } + + if len(result.Orders) != 1 { + t.Fatalf("received: '%v' but expected: '%v'", len(result.Orders), 1) + } + + // Half of first tranch + result, err = b.SimulateOrder(.5, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if result.Amount != 3499.5 { + t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 3499.5) + } + + if result.MinimumPrice != 6999 { + t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 6999) + } + + if result.MaximumPrice != 6999 { + t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 6999) + } + + if strings.Contains(result.Status, fullLiquidityUsageWarning) { + t.Fatalf("received: '%v' but expected string to contain: '%v'", result.Status, "NO WARNING") + } + + if len(result.Orders) != 1 { + t.Fatalf("received: '%v' but expected: '%v'", len(result.Orders), 1) + } + + if result.Orders[0].Amount != 0.5 { + t.Fatalf("received: '%v' but expected: '%v'", result.Orders[0].Amount, 0.5) + } + + // Half of second tranche + result, err = b.SimulateOrder(2, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if result.Amount != 13997 { + t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 13997) + } + + if result.MaximumPrice != 6999 { + t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 6999) + } + + if result.MinimumPrice != 6998 { + t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 6998) + } + + if strings.Contains(result.Status, fullLiquidityUsageWarning) { + t.Fatalf("received: '%v' but expected string to contain: '%v'", result.Status, "NO WARNING") + } + + if len(result.Orders) != 2 { + t.Fatalf("received: '%v' but expected: '%v'", len(result.Orders), 2) + } + + if result.Orders[1].Amount != 1 { + t.Fatalf("received: '%v' but expected: '%v'", result.Orders[1].Amount, 1) + } } func TestGetAveragePrice(t *testing.T) { diff --git a/exchanges/orderbook/depth.go b/exchanges/orderbook/depth.go index 49c11172..9caa91bb 100644 --- a/exchanges/orderbook/depth.go +++ b/exchanges/orderbook/depth.go @@ -64,26 +64,6 @@ func (d *Depth) Publish() { } } -// GetAskLength returns length of asks -func (d *Depth) GetAskLength() (int, error) { - d.m.Lock() - defer d.m.Unlock() - if d.validationError != nil { - return 0, d.validationError - } - return d.asks.length, nil -} - -// GetBidLength returns length of bids -func (d *Depth) GetBidLength() (int, error) { - d.m.Lock() - defer d.m.Unlock() - if d.validationError != nil { - return 0, d.validationError - } - return d.bids.length, nil -} - // Retrieve returns the orderbook base a copy of the underlying linked list // spread func (d *Depth) Retrieve() (*Base, error) { @@ -106,30 +86,6 @@ func (d *Depth) Retrieve() (*Base, error) { }, nil } -// TotalBidAmounts returns the total amount of bids and the total orderbook -// bids value -func (d *Depth) TotalBidAmounts() (liquidity, value float64, err error) { - d.m.Lock() - defer d.m.Unlock() - if d.validationError != nil { - return 0, 0, d.validationError - } - liquidity, value = d.bids.amount() - return liquidity, value, nil -} - -// TotalAskAmounts returns the total amount of asks and the total orderbook -// asks value -func (d *Depth) TotalAskAmounts() (liquidity, value float64, err error) { - d.m.Lock() - defer d.m.Unlock() - if d.validationError != nil { - return 0, 0, d.validationError - } - liquidity, value = d.asks.amount() - return liquidity, value, nil -} - // LoadSnapshot flushes the bids and asks with a snapshot func (d *Depth) LoadSnapshot(bids, asks []Item, lastUpdateID int64, lastUpdated time.Time, updateByREST bool) { d.m.Lock() @@ -323,6 +279,50 @@ func (d *Depth) IsFundingRate() bool { return d.isFundingRate } +// GetAskLength returns length of asks +func (d *Depth) GetAskLength() (int, error) { + d.m.Lock() + defer d.m.Unlock() + if d.validationError != nil { + return 0, d.validationError + } + return d.asks.length, nil +} + +// GetBidLength returns length of bids +func (d *Depth) GetBidLength() (int, error) { + d.m.Lock() + defer d.m.Unlock() + if d.validationError != nil { + return 0, d.validationError + } + return d.bids.length, nil +} + +// TotalBidAmounts returns the total amount of bids and the total orderbook +// bids value +func (d *Depth) TotalBidAmounts() (liquidity, value float64, err error) { + d.m.Lock() + defer d.m.Unlock() + if d.validationError != nil { + return 0, 0, d.validationError + } + liquidity, value = d.bids.amount() + return liquidity, value, nil +} + +// TotalAskAmounts returns the total amount of asks and the total orderbook +// asks value +func (d *Depth) TotalAskAmounts() (liquidity, value float64, err error) { + d.m.Lock() + defer d.m.Unlock() + if d.validationError != nil { + return 0, 0, d.validationError + } + liquidity, value = d.asks.amount() + return liquidity, value, nil +} + // updateAndAlert updates the last updated ID and when it was updated to the // recent update. Then alerts all pending routines. NOTE: This requires locking. func (d *Depth) updateAndAlert(update *Update) { @@ -330,3 +330,382 @@ func (d *Depth) updateAndAlert(update *Update) { d.lastUpdated = update.UpdateTime d.Alert() } + +// HitTheBidsByNominalSlippage hits the bids by the required nominal slippage +// percentage, calculated from the reference price and returns orderbook +// movement details for the bid side. +func (d *Depth) HitTheBidsByNominalSlippage(maxSlippage, refPrice float64) (*Movement, error) { + d.m.Lock() + defer d.m.Unlock() + if d.validationError != nil { + return nil, d.validationError + } + return d.bids.hitBidsByNominalSlippage(maxSlippage, refPrice) +} + +// HitTheBidsByNominalSlippageFromMid hits the bids by the required nominal +// slippage percentage, calculated from the mid price and returns orderbook +// movement details for the bid side. +func (d *Depth) HitTheBidsByNominalSlippageFromMid(maxSlippage float64) (*Movement, error) { + d.m.Lock() + defer d.m.Unlock() + if d.validationError != nil { + return nil, d.validationError + } + mid, err := d.getMidPriceNoLock() + if err != nil { + return nil, err + } + return d.bids.hitBidsByNominalSlippage(maxSlippage, mid) +} + +// HitTheBidsByNominalSlippageFromBest hits the bids by the required nominal +// slippage percentage, calculated from the best bid price and returns orderbook +// movement details for the bid side. +func (d *Depth) HitTheBidsByNominalSlippageFromBest(maxSlippage float64) (*Movement, error) { + d.m.Lock() + defer d.m.Unlock() + if d.validationError != nil { + return nil, d.validationError + } + head, err := d.bids.getHeadPriceNoLock() + if err != nil { + return nil, err + } + return d.bids.hitBidsByNominalSlippage(maxSlippage, head) +} + +// LiftTheAsksByNominalSlippage lifts the asks by the required nominal slippage +// percentage, calculated from the reference price and returns orderbook +// movement details for the ask side. +func (d *Depth) LiftTheAsksByNominalSlippage(maxSlippage, refPrice float64) (*Movement, error) { + d.m.Lock() + defer d.m.Unlock() + if d.validationError != nil { + return nil, d.validationError + } + return d.asks.liftAsksByNominalSlippage(maxSlippage, refPrice) +} + +// LiftTheAsksByNominalSlippageFromMid lifts the asks by the required nominal +// slippage percentage, calculated from the mid price and returns orderbook +// movement details for the ask side. +func (d *Depth) LiftTheAsksByNominalSlippageFromMid(maxSlippage float64) (*Movement, error) { + d.m.Lock() + defer d.m.Unlock() + if d.validationError != nil { + return nil, d.validationError + } + mid, err := d.getMidPriceNoLock() + if err != nil { + return nil, err + } + return d.asks.liftAsksByNominalSlippage(maxSlippage, mid) +} + +// LiftTheAsksByNominalSlippageFromBest lifts the asks by the required nominal +// slippage percentage, calculated from the best ask price and returns orderbook +// movement details for the ask side. +func (d *Depth) LiftTheAsksByNominalSlippageFromBest(maxSlippage float64) (*Movement, error) { + d.m.Lock() + defer d.m.Unlock() + if d.validationError != nil { + return nil, d.validationError + } + head, err := d.asks.getHeadPriceNoLock() + if err != nil { + return nil, err + } + return d.asks.liftAsksByNominalSlippage(maxSlippage, head) +} + +// HitTheBidsByImpactSlippage hits the bids by the required impact slippage +// percentage, calculated from the reference price and returns orderbook +// movement details for the bid side. +func (d *Depth) HitTheBidsByImpactSlippage(maxSlippage, refPrice float64) (*Movement, error) { + d.m.Lock() + defer d.m.Unlock() + if d.validationError != nil { + return nil, d.validationError + } + return d.bids.hitBidsByImpactSlippage(maxSlippage, refPrice) +} + +// HitTheBidsByImpactSlippageFromMid hits the bids by the required impact +// slippage percentage, calculated from the mid price and returns orderbook +// movement details for the bid side. +func (d *Depth) HitTheBidsByImpactSlippageFromMid(maxSlippage float64) (*Movement, error) { + d.m.Lock() + defer d.m.Unlock() + if d.validationError != nil { + return nil, d.validationError + } + mid, err := d.getMidPriceNoLock() + if err != nil { + return nil, err + } + return d.bids.hitBidsByImpactSlippage(maxSlippage, mid) +} + +// HitTheBidsByImpactSlippageFromBest hits the bids by the required impact +// slippage percentage, calculated from the best bid price and returns orderbook +// movement details for the bid side. +func (d *Depth) HitTheBidsByImpactSlippageFromBest(maxSlippage float64) (*Movement, error) { + d.m.Lock() + defer d.m.Unlock() + if d.validationError != nil { + return nil, d.validationError + } + head, err := d.bids.getHeadPriceNoLock() + if err != nil { + return nil, err + } + return d.bids.hitBidsByImpactSlippage(maxSlippage, head) +} + +// LiftTheAsksByImpactSlippage lifts the asks by the required impact slippage +// percentage, calculated from the reference price and returns orderbook +// movement details for the ask side. +func (d *Depth) LiftTheAsksByImpactSlippage(maxSlippage, refPrice float64) (*Movement, error) { + d.m.Lock() + defer d.m.Unlock() + if d.validationError != nil { + return nil, d.validationError + } + return d.asks.liftAsksByImpactSlippage(maxSlippage, refPrice) +} + +// LiftTheAsksByImpactSlippageFromMid lifts the asks by the required impact +// slippage percentage, calculated from the mid price and returns orderbook +// movement details for the ask side. +func (d *Depth) LiftTheAsksByImpactSlippageFromMid(maxSlippage float64) (*Movement, error) { + d.m.Lock() + defer d.m.Unlock() + if d.validationError != nil { + return nil, d.validationError + } + mid, err := d.getMidPriceNoLock() + if err != nil { + return nil, err + } + return d.asks.liftAsksByImpactSlippage(maxSlippage, mid) +} + +// LiftTheAsksByImpactSlippageFromBest lifts the asks by the required impact +// slippage percentage, calculated from the best ask price and returns orderbook +// movement details for the ask side. +func (d *Depth) LiftTheAsksByImpactSlippageFromBest(maxSlippage float64) (*Movement, error) { + d.m.Lock() + defer d.m.Unlock() + if d.validationError != nil { + return nil, d.validationError + } + head, err := d.asks.getHeadPriceNoLock() + if err != nil { + return nil, err + } + return d.asks.liftAsksByImpactSlippage(maxSlippage, head) +} + +// HitTheBids derives full orderbook slippage information from reference price +// using an amount. Purchase refers to how much quote currency is desired else +// the amount would refer to base currency deployed to orderbook bid side. +func (d *Depth) HitTheBids(amount, refPrice float64, purchase bool) (*Movement, error) { + d.m.Lock() + defer d.m.Unlock() + if d.validationError != nil { + return nil, d.validationError + } + if purchase { + return d.bids.getMovementByQuotation(amount, refPrice, false) + } + return d.bids.getMovementByBase(amount, refPrice, false) +} + +// HitTheBidsFromMid derives full orderbook slippage information from mid price +// using an amount. Purchase refers to how much quote currency is desired else +// the amount would refer to base currency deployed to orderbook bid side. +func (d *Depth) HitTheBidsFromMid(amount float64, purchase bool) (*Movement, error) { + d.m.Lock() + defer d.m.Unlock() + if d.validationError != nil { + return nil, d.validationError + } + mid, err := d.getMidPriceNoLock() + if err != nil { + return nil, err + } + if purchase { + return d.bids.getMovementByQuotation(amount, mid, false) + } + return d.bids.getMovementByBase(amount, mid, false) +} + +// HitTheBidsFromBest derives full orderbook slippage information from best bid +// price using an amount. Purchase refers to how much quote currency is desired +// else the amount would refer to base currency deployed to orderbook bid side. +func (d *Depth) HitTheBidsFromBest(amount float64, purchase bool) (*Movement, error) { + d.m.Lock() + defer d.m.Unlock() + if d.validationError != nil { + return nil, d.validationError + } + head, err := d.bids.getHeadPriceNoLock() + if err != nil { + return nil, err + } + if purchase { + return d.bids.getMovementByQuotation(amount, head, false) + } + return d.bids.getMovementByBase(amount, head, false) +} + +// LiftTheAsks derives full orderbook slippage information from reference price +// using an amount. Purchase refers to how much base currency is desired else +// the amount would refer to quote currency deployed to orderbook ask side. +func (d *Depth) LiftTheAsks(amount, refPrice float64, purchase bool) (*Movement, error) { + d.m.Lock() + defer d.m.Unlock() + if d.validationError != nil { + return nil, d.validationError + } + if purchase { + return d.asks.getMovementByBase(amount, refPrice, true) + } + return d.asks.getMovementByQuotation(amount, refPrice, true) +} + +// LiftTheAsksFromMid derives full orderbook slippage information from mid price +// using an amount. Purchase refers to how much base currency is desired else +// the amount would refer to quote currency deployed to orderbook ask side. +func (d *Depth) LiftTheAsksFromMid(amount float64, purchase bool) (*Movement, error) { + d.m.Lock() + defer d.m.Unlock() + if d.validationError != nil { + return nil, d.validationError + } + mid, err := d.getMidPriceNoLock() + if err != nil { + return nil, err + } + if purchase { + return d.asks.getMovementByBase(amount, mid, true) + } + return d.asks.getMovementByQuotation(amount, mid, true) +} + +// LiftTheAsksFromBest derives full orderbook slippage information from best ask +// price using an amount. Purchase refers to how much base currency is desired +// else the amount would refer to quote currency deployed to orderbook ask side. +func (d *Depth) LiftTheAsksFromBest(amount float64, purchase bool) (*Movement, error) { + d.m.Lock() + defer d.m.Unlock() + if d.validationError != nil { + return nil, d.validationError + } + head, err := d.asks.getHeadPriceNoLock() + if err != nil { + return nil, err + } + if purchase { + return d.asks.getMovementByBase(amount, head, true) + } + return d.asks.getMovementByQuotation(amount, head, true) +} + +// GetMidPrice returns the mid price between the ask and bid spread +func (d *Depth) GetMidPrice() (float64, error) { + d.m.Lock() + defer d.m.Unlock() + if d.validationError != nil { + return 0, d.validationError + } + return d.getMidPriceNoLock() +} + +// getMidPriceNoLock is an unprotected helper that gets mid price +func (d *Depth) getMidPriceNoLock() (float64, error) { + bidHead, err := d.bids.getHeadPriceNoLock() + if err != nil { + return 0, err + } + askHead, err := d.asks.getHeadPriceNoLock() + if err != nil { + return 0, err + } + return (bidHead + askHead) / 2, nil +} + +// GetBestBid returns the best bid price +func (d *Depth) GetBestBid() (float64, error) { + d.m.Lock() + defer d.m.Unlock() + if d.validationError != nil { + return 0, d.validationError + } + return d.bids.getHeadPriceNoLock() +} + +// GetBestAsk returns the best ask price +func (d *Depth) GetBestAsk() (float64, error) { + d.m.Lock() + defer d.m.Unlock() + if d.validationError != nil { + return 0, d.validationError + } + return d.asks.getHeadPriceNoLock() +} + +// GetSpreadAmount returns the spread as a quotation amount +func (d *Depth) GetSpreadAmount() (float64, error) { + d.m.Lock() + defer d.m.Unlock() + if d.validationError != nil { + return 0, d.validationError + } + askHead, err := d.asks.getHeadPriceNoLock() + if err != nil { + return 0, err + } + bidHead, err := d.bids.getHeadPriceNoLock() + if err != nil { + return 0, err + } + return askHead - bidHead, nil +} + +// GetSpreadPercentage returns the spread as a percentage +func (d *Depth) GetSpreadPercentage() (float64, error) { + d.m.Lock() + defer d.m.Unlock() + if d.validationError != nil { + return 0, d.validationError + } + askHead, err := d.asks.getHeadPriceNoLock() + if err != nil { + return 0, err + } + bidHead, err := d.bids.getHeadPriceNoLock() + if err != nil { + return 0, err + } + return (askHead - bidHead) / askHead * 100, nil +} + +// GetImbalance returns top orderbook imbalance +func (d *Depth) GetImbalance() (float64, error) { + d.m.Lock() + defer d.m.Unlock() + if d.validationError != nil { + return 0, d.validationError + } + askVolume, err := d.asks.getHeadVolumeNoLock() + if err != nil { + return 0, err + } + bidVolume, err := d.bids.getHeadVolumeNoLock() + if err != nil { + return 0, err + } + return (bidVolume - askVolume) / (bidVolume + askVolume), nil +} diff --git a/exchanges/orderbook/depth_test.go b/exchanges/orderbook/depth_test.go index cc5cfa99..0d505090 100644 --- a/exchanges/orderbook/depth_test.go +++ b/exchanges/orderbook/depth_test.go @@ -624,3 +624,1500 @@ func TestIsValid(t *testing.T) { t.Fatalf("received: '%v' but expected: '%v'", d.IsValid(), false) } } + +func TestHitTheBidsByNominalSlippage(t *testing.T) { + t.Parallel() + _, err := getInvalidDepth().HitTheBidsByNominalSlippage(10, 1355.5) + if !errors.Is(err, ErrOrderbookInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid) + } + + depth := NewDepth(id) + _, err = depth.HitTheBidsByNominalSlippage(10, 1355.5) + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + + // First tranche + amt, err := depth.HitTheBidsByNominalSlippage(0, 1336) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if amt.Sold != 1 { + t.Fatalf("received: '%+v' but expected: '%v'", amt, 2) + } + + if amt.NominalPercentage != 0 { + t.Fatalf("received: '%+v' but expected: '%v'", amt, 0) + } + + if amt.StartPrice != 1336 { + t.Fatalf("received: '%+v' but expected: '%v'", amt, 1336) + } + + if amt.EndPrice != 1336 { + t.Fatalf("received: '%+v' but expected: '%v'", amt, 1336) + } + + if amt.FullBookSideConsumed { + t.Fatalf("received: '%+v' but expected: '%v'", amt.FullBookSideConsumed, false) + } + + // First and second price + amt, err = depth.HitTheBidsByNominalSlippage(0.037425149700598806, 1336) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if amt.Sold != 2 { + t.Fatalf("received: '%+v' but expected: '%v'", amt, 2) + } + + if amt.NominalPercentage != 0.037425149700598806 { + t.Fatalf("received: '%+v' but expected: '%v'", amt, 0.037425149700598806) + } + + if amt.StartPrice != 1336 { + t.Fatalf("received: '%+v' but expected: '%v'", amt, 1336) + } + + if amt.EndPrice != 1335 { + t.Fatalf("received: '%+v' but expected: '%v'", amt, 1335) + } + + if amt.FullBookSideConsumed { + t.Fatalf("received: '%+v' but expected: '%v'", amt.FullBookSideConsumed, false) + } + + // First and half of second tranche + amt, err = depth.HitTheBidsByNominalSlippage(0.02495009980039353, 1336) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if amt.Sold != 1.4999999999998295 { + t.Fatalf("received: '%+v' but expected: '%v'", amt, 1.4999999999998295) + } + + if amt.NominalPercentage != 0.02495009980039353 { + t.Fatalf("received: '%+v' but expected: '%v'", amt, 0.02495009980039353) + } + + if amt.StartPrice != 1336 { + t.Fatalf("received: '%+v' but expected: '%v'", amt, 1336) + } + + if amt.EndPrice != 1335 { + t.Fatalf("received: '%+v' but expected: '%v'", amt, 1335) + } + + if amt.FullBookSideConsumed { + t.Fatalf("received: '%+v' but expected: '%v'", amt.FullBookSideConsumed, false) + } + + // All the way up to the last price + amt, err = depth.HitTheBidsByNominalSlippage(0.7110778443113772, 1336) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + // This exceeds the entire total base available - should be 20. + if amt.Sold != 20 { + t.Fatalf("received: '%+v' but expected: '%v'", amt, 20.00721336370539) + } + + if amt.NominalPercentage != 0.7110778443113772 { + t.Fatalf("received: '%+v' but expected: '%v'", amt, 0.7110778443113772) + } + + if amt.StartPrice != 1336 { + t.Fatalf("received: '%+v' but expected: '%v'", amt, 1336) + } + + if amt.EndPrice != 1317 { + t.Fatalf("received: '%+v' but expected: '%v'", amt, 1317) + } + + if !amt.FullBookSideConsumed { + t.Fatalf("received: '%+v' but expected: '%v'", amt.FullBookSideConsumed, true) + } +} + +func TestHitTheBidsByNominalSlippageFromMid(t *testing.T) { + t.Parallel() + _, err := getInvalidDepth().HitTheBidsByNominalSlippageFromMid(10) + if !errors.Is(err, ErrOrderbookInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid) + } + + depth := NewDepth(id) + + _, err = depth.HitTheBidsByNominalSlippageFromMid(10) + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + // First price from mid point + amt, err := depth.HitTheBidsByNominalSlippageFromMid(0.03741114852226) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if amt.Sold != 1 { + t.Fatalf("received: '%v' but expected: '%v'", amt, 1) + } + + // All the way up to the last price from mid price + amt, err = depth.HitTheBidsByNominalSlippageFromMid(0.74822297044519) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + // This exceeds the entire total base available + if amt.Sold != 20 { + t.Fatalf("received: '%v' but expected: '%v'", amt, 20) + } +} + +func TestHitTheBidsByNominalSlippageFromBest(t *testing.T) { + t.Parallel() + _, err := getInvalidDepth().HitTheBidsByNominalSlippageFromBest(10) + if !errors.Is(err, ErrOrderbookInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid) + } + + depth := NewDepth(id) + + _, err = depth.HitTheBidsByNominalSlippageFromBest(10) + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + // First and second price from best bid + amt, err := depth.HitTheBidsByNominalSlippageFromBest(0.037425149700599) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if amt.Sold != 2 { + t.Fatalf("received: '%+v' but expected: '%+v'", amt, 2) + } + + // All the way up to the last price from best bid price + amt, err = depth.HitTheBidsByNominalSlippageFromBest(0.71107784431138) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + // This exceeds the entire total base available + if amt.Sold != 20 { + t.Fatalf("received: '%v' but expected: '%v'", amt, 20) + } +} + +func TestLiftTheAsksByNominalSlippage(t *testing.T) { + t.Parallel() + _, err := getInvalidDepth().LiftTheAsksByNominalSlippage(10, 1355.5) + if !errors.Is(err, ErrOrderbookInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid) + } + + depth := NewDepth(id) + + _, err = depth.LiftTheAsksByNominalSlippage(10, 1355.5) + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + + // First and second price + amt, err := depth.LiftTheAsksByNominalSlippage(0.037397157816006, 1337) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if amt.Sold != 2675 { + t.Fatalf("received: '%v' but expected: '%v'", amt, 2675) + } + + // All the way up to the last price + amt, err = depth.LiftTheAsksByNominalSlippage(0.71054599850411, 1337) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if amt.Sold != 26930 { + t.Fatalf("received: '%v' but expected: '%v'", amt, 26930) + } +} + +func TestLiftTheAsksByNominalSlippageFromMid(t *testing.T) { + t.Parallel() + _, err := getInvalidDepth().LiftTheAsksByNominalSlippageFromMid(10) + if !errors.Is(err, ErrOrderbookInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid) + } + + depth := NewDepth(id) + + _, err = depth.LiftTheAsksByNominalSlippageFromMid(10) + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + // First price from mid point + amt, err := depth.LiftTheAsksByNominalSlippageFromMid(0.074822297044519) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if amt.Sold != 2675 { + t.Fatalf("received: '%v' but expected: '%v'", amt, 2675) + } + + // All the way up to the last price from mid price + amt, err = depth.LiftTheAsksByNominalSlippageFromMid(0.74822297044519) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + // This does not match the entire total quote available + if amt.Sold != 26930 { + t.Fatalf("received: '%v' but expected: '%v'", amt, 26930) + } +} + +func TestLiftTheAsksByNominalSlippageFromBest(t *testing.T) { + t.Parallel() + _, err := getInvalidDepth().LiftTheAsksByNominalSlippageFromBest(10) + if !errors.Is(err, ErrOrderbookInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid) + } + + depth := NewDepth(id) + + _, err = depth.LiftTheAsksByNominalSlippageFromBest(10) + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + // First and second price from best bid + amt, err := depth.LiftTheAsksByNominalSlippageFromBest(0.037397157816006) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if amt.Sold != 2675 { + t.Fatalf("received: '%v' but expected: '%v'", amt, 2675) + } + + // All the way up to the last price from best bid price + amt, err = depth.LiftTheAsksByNominalSlippageFromBest(0.71054599850411) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + // This does not match the entire total quote available + if amt.Sold != 26930 { + t.Fatalf("received: '%v' but expected: '%v'", amt, 26930) + } +} + +func TestHitTheBidsByImpactSlippage(t *testing.T) { + t.Parallel() + _, err := getInvalidDepth().HitTheBidsByImpactSlippage(0.7485029940119761, 1336) + if !errors.Is(err, ErrOrderbookInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid) + } + + depth := NewDepth(id) + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + + // First and second price from best bid - price level target 1326 (which should be kept) + amt, err := depth.HitTheBidsByImpactSlippage(0.7485029940119761, 1336) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if amt.Sold != 10 { + t.Fatalf("received: '%v' but expected: '%v'", amt, 10) + } + + // All the way up to the last price from best bid price + amt, err = depth.HitTheBidsByImpactSlippage(1.4221556886227544, 1336) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + // This does not match the entire total quote available - should be 26930. + if amt.Sold != 19 { + t.Fatalf("received: '%v' but expected: '%v'", amt, 19) + } +} + +func TestHitTheBidsByImpactSlippageFromMid(t *testing.T) { + t.Parallel() + _, err := getInvalidDepth().HitTheBidsByImpactSlippageFromMid(10) + if !errors.Is(err, ErrOrderbookInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid) + } + + depth := NewDepth(id) + _, err = depth.HitTheBidsByImpactSlippageFromMid(10) + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + + // First and second price from mid - price level target 1326 (which should be kept) + amt, err := depth.HitTheBidsByImpactSlippageFromMid(0.7485029940119761) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if amt.Sold != 10 { + t.Fatalf("received: '%v' but expected: '%v'", amt, 10) + } + + // All the way up to the last price from best bid price + amt, err = depth.HitTheBidsByImpactSlippageFromMid(1.4221556886227544) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if amt.Sold != 19 { + t.Fatalf("received: '%v' but expected: '%v'", amt, 19) + } +} + +func TestHitTheBidsByImpactSlippageFromBest(t *testing.T) { + t.Parallel() + _, err := getInvalidDepth().HitTheBidsByImpactSlippageFromBest(10) + if !errors.Is(err, ErrOrderbookInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid) + } + + depth := NewDepth(id) + _, err = depth.HitTheBidsByImpactSlippageFromBest(10) + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + + // First and second price from mid - price level target 1326 (which should be kept) + amt, err := depth.HitTheBidsByImpactSlippageFromBest(0.7485029940119761) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if amt.Sold != 10 { + t.Fatalf("received: '%v' but expected: '%v'", amt, 10) + } + + // All the way up to the last price from best bid price + amt, err = depth.HitTheBidsByImpactSlippageFromBest(1.4221556886227544) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if amt.Sold != 19 { + t.Fatalf("received: '%v' but expected: '%v'", amt, 19) + } +} + +func TestLiftTheAsksByImpactSlippage(t *testing.T) { + t.Parallel() + _, err := getInvalidDepth().LiftTheAsksByImpactSlippage(0.7479431563201197, 1337) + if !errors.Is(err, ErrOrderbookInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid) + } + + depth := NewDepth(id) + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + + // First and second price from best bid - price level target 1326 (which should be kept) + amt, err := depth.LiftTheAsksByImpactSlippage(0.7479431563201197, 1337) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if amt.Sold != 13415 { + t.Fatalf("received: '%v' but expected: '%v'", amt, 13415) + } + + // All the way up to the last price from best bid price + amt, err = depth.LiftTheAsksByImpactSlippage(1.4210919970082274, 1337) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if amt.Sold != 25574 { + t.Fatalf("received: '%v' but expected: '%v'", amt, 25574) + } +} + +func TestLiftTheAsksByImpactSlippageFromMid(t *testing.T) { + t.Parallel() + _, err := getInvalidDepth().LiftTheAsksByImpactSlippageFromMid(10) + if !errors.Is(err, ErrOrderbookInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid) + } + + depth := NewDepth(id) + _, err = depth.LiftTheAsksByImpactSlippageFromMid(10) + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + + // First and second price from mid - price level target 1326 (which should be kept) + amt, err := depth.LiftTheAsksByImpactSlippageFromMid(0.7485029940119761) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if amt.Sold != 13415 { + t.Fatalf("received: '%+v' but expected: '%v'", amt, 13415) + } + + // All the way up to the last price from best bid price + amt, err = depth.LiftTheAsksByImpactSlippageFromMid(1.4221556886227544) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if amt.Sold != 25574 { + t.Fatalf("received: '%v' but expected: '%v'", amt, 25574) + } +} + +func TestLiftTheAsksByImpactSlippageFromBest(t *testing.T) { + t.Parallel() + _, err := getInvalidDepth().LiftTheAsksByImpactSlippageFromBest(10) + if !errors.Is(err, ErrOrderbookInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid) + } + + depth := NewDepth(id) + _, err = depth.LiftTheAsksByImpactSlippageFromBest(10) + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + + // First and second price from mid - price level target 1326 (which should be kept) + amt, err := depth.LiftTheAsksByImpactSlippageFromBest(0.7479431563201197) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if amt.Sold != 13415 { + t.Fatalf("received: '%v' but expected: '%v'", amt, 13415) + } + + // All the way up to the last price from best bid price + amt, err = depth.LiftTheAsksByImpactSlippageFromBest(1.4210919970082274) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + // This goes to price 1356, it will not count that tranches' volume as it + // is needed to sustain the slippage. + if amt.Sold != 25574 { + t.Fatalf("received: '%v' but expected: '%v'", amt, 25574) + } +} + +func TestHitTheBids(t *testing.T) { + t.Parallel() + depth := NewDepth(id) + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + mov, err := depth.HitTheBids(20.1, 1336, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if !mov.FullBookSideConsumed { + t.Fatal("entire side should be consumed by this value") + } + + mov, err = depth.HitTheBids(1, 1336, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0) + } + if mov.ImpactPercentage != 0.07485029940119761 { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, 0.07485029940119761) + } + if mov.SlippageCost != 0 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 0) + } + + mov, err = depth.HitTheBids(19.5, 1336, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0.692845079072617 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0.692845079072617) + } + if mov.ImpactPercentage != 1.4221556886227544 { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, 1.4221556886227544) + } + + if mov.SlippageCost != 180.5 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 180.5) + } + + // All the way up to the last price from best bid price + mov, err = depth.HitTheBids(20, 1336, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0.7110778443113772 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0.7110778443113772) + } + if mov.ImpactPercentage != FullLiquidityExhaustedPercentage { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, FullLiquidityExhaustedPercentage) + } + if mov.SlippageCost != 190 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 190) + } +} + +func TestHitTheBids_QuotationRequired(t *testing.T) { + t.Parallel() + _, err := getInvalidDepth().HitTheBids(26531, 1336, true) + if !errors.Is(err, ErrOrderbookInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid) + } + + depth := NewDepth(id) + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + mov, err := depth.HitTheBids(26531, 1336, true) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if !mov.FullBookSideConsumed { + t.Fatal("entire side should be consumed by this value") + } + + mov, err = depth.HitTheBids(1336, 1336, true) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0) + } + if mov.ImpactPercentage != 0.07485029940119761 { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, 0.07485029940119761) + } + if mov.SlippageCost != 0 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 0) + } + + mov, err = depth.HitTheBids(25871.5, 1336, true) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0.692845079072617 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0.692845079072617) + } + if mov.ImpactPercentage != 1.4221556886227544 { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, 1.4221556886227544) + } + + if mov.SlippageCost != 180.5 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 180.5) + } + + // All the way up to the last price from best bid price + mov, err = depth.HitTheBids(26530, 1336, true) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0.7110778443113772 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0.7110778443113772) + } + if mov.ImpactPercentage != FullLiquidityExhaustedPercentage { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, FullLiquidityExhaustedPercentage) + } + if mov.SlippageCost != 190 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 190) + } +} + +func TestHitTheBidsFromMid(t *testing.T) { + t.Parallel() + _, err := getInvalidDepth().HitTheBidsFromMid(10, false) + if !errors.Is(err, ErrOrderbookInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid) + } + + depth := NewDepth(id) + _, err = depth.HitTheBidsFromMid(10, false) + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + mov, err := depth.HitTheBidsFromMid(20.1, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if !mov.FullBookSideConsumed { + t.Fatal("entire side should be consumed by this value") + } + + mov, err = depth.HitTheBidsFromMid(1, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0.03741114852225963 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0.03741114852225963) + } + + if mov.ImpactPercentage != 0.11223344556677892 { // mid price 1336.5 -> 1335 + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, 0.11223344556677892) + } + if mov.SlippageCost != 0 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 0) + } + + mov, err = depth.HitTheBidsFromMid(19.5, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0.7299970262933156 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0.7299970262933156) + } + if mov.ImpactPercentage != 1.4590347923681257 { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, 1.4590347923681257) + } + if mov.SlippageCost != 180.5 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 180.5) + } + + // All the way up to the last price from best bid price + mov, err = depth.HitTheBidsFromMid(20, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0.7482229704451926 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0.7482229704451926) + } + if mov.ImpactPercentage != FullLiquidityExhaustedPercentage { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, FullLiquidityExhaustedPercentage) + } + if mov.SlippageCost != 190 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 190) + } +} + +func TestHitTheBidsFromMid_QuotationRequired(t *testing.T) { + t.Parallel() + depth := NewDepth(id) + _, err := depth.HitTheBidsFromMid(10, false) + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + mov, err := depth.HitTheBidsFromMid(26531, true) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if !mov.FullBookSideConsumed { + t.Fatal("entire side should be consumed by this value") + } + + mov, err = depth.HitTheBidsFromMid(1336, true) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0.03741114852225963 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0.03741114852225963) + } + + if mov.ImpactPercentage != 0.11223344556677892 { // mid price 1336.5 -> 1335 + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, 0.11223344556677892) + } + if mov.SlippageCost != 0 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 0) + } + + mov, err = depth.HitTheBidsFromMid(25871.5, true) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0.7299970262933156 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0.7299970262933156) + } + if mov.ImpactPercentage != 1.4590347923681257 { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, 1.4590347923681257) + } + if mov.SlippageCost != 180.5 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 180.5) + } + + // All the way up to the last price from best bid price + mov, err = depth.HitTheBidsFromMid(26530, true) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0.7482229704451926 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0.7482229704451926) + } + if mov.ImpactPercentage != FullLiquidityExhaustedPercentage { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, FullLiquidityExhaustedPercentage) + } + if mov.SlippageCost != 190 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 190) + } +} + +func TestHitTheBidsFromBest(t *testing.T) { + t.Parallel() + depth := NewDepth(id) + _, err := depth.HitTheBidsFromBest(10, false) + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + mov, err := depth.HitTheBidsFromBest(20.1, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if !mov.FullBookSideConsumed { + t.Fatal("entire side should be consumed by this value") + } + + mov, err = depth.HitTheBidsFromBest(1, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0) + } + if mov.ImpactPercentage != 0.07485029940119761 { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, 0.07485029940119761) + } + if mov.SlippageCost != 0 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 0) + } + + mov, err = depth.HitTheBidsFromBest(19.5, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0.692845079072617 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0.692845079072617) + } + if mov.ImpactPercentage != 1.4221556886227544 { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, 1.4221556886227544) + } + if mov.SlippageCost != 180.5 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 180.5) + } + + // All the way up to the last price from best bid price + mov, err = depth.HitTheBidsFromBest(20, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0.7110778443113772 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0.7110778443113772) + } + if mov.ImpactPercentage != FullLiquidityExhaustedPercentage { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, FullLiquidityExhaustedPercentage) + } + if mov.SlippageCost != 190 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 190) + } +} + +func TestHitTheBidsFromBest_QuotationRequired(t *testing.T) { + t.Parallel() + _, err := getInvalidDepth().HitTheBidsFromBest(10, false) + if !errors.Is(err, ErrOrderbookInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid) + } + + depth := NewDepth(id) + _, err = depth.HitTheBidsFromBest(10, false) + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + mov, err := depth.HitTheBidsFromBest(26531, true) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if !mov.FullBookSideConsumed { + t.Fatal("entire side should be consumed by this value") + } + + mov, err = depth.HitTheBidsFromBest(1336, true) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0) + } + if mov.ImpactPercentage != 0.07485029940119761 { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, 0.07485029940119761) + } + if mov.SlippageCost != 0 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 0) + } + + mov, err = depth.HitTheBidsFromBest(25871.5, true) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0.692845079072617 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0.692845079072617) + } + if mov.ImpactPercentage != 1.4221556886227544 { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, 1.4221556886227544) + } + if mov.SlippageCost != 180.5 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 180.5) + } + + // All the way up to the last price from best bid price + mov, err = depth.HitTheBidsFromBest(26530, true) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0.7110778443113772 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0.7110778443113772) + } + if mov.ImpactPercentage != FullLiquidityExhaustedPercentage { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, FullLiquidityExhaustedPercentage) + } + if mov.SlippageCost != 190 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 190) + } +} + +func TestLiftTheAsks(t *testing.T) { + t.Parallel() + depth := NewDepth(id) + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + mov, err := depth.LiftTheAsks(26931, 1337, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if !mov.FullBookSideConsumed { + t.Fatal("entire side should be consumed by this value") + } + + mov, err = depth.LiftTheAsks(1337, 1337, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0) + } + if mov.ImpactPercentage != 0.07479431563201197 { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, 0.07479431563201197) + } + if mov.SlippageCost != 0 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 0) + } + + mov, err = depth.LiftTheAsks(26900, 1337, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0.7097591258590459 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0.7097591258590459) + } + if mov.ImpactPercentage != 1.4210919970082274 { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, 1.4210919970082274) + } + if mov.SlippageCost != 189.57964601770072 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 189.57964601770072) + } + + // All the way up to the last price from best bid price + mov, err = depth.LiftTheAsks(26930, 1336, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0.7859281437125748 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0.7859281437125748) + } + if mov.ImpactPercentage != FullLiquidityExhaustedPercentage { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, FullLiquidityExhaustedPercentage) + } + if mov.SlippageCost != 190 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 190) + } +} + +func TestLiftTheAsks_BaseRequired(t *testing.T) { + t.Parallel() + _, err := getInvalidDepth().LiftTheAsks(21, 1337, true) + if !errors.Is(err, ErrOrderbookInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid) + } + + depth := NewDepth(id) + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + mov, err := depth.LiftTheAsks(21, 1337, true) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if !mov.FullBookSideConsumed { + t.Fatal("entire side should be consumed by this value") + } + + mov, err = depth.LiftTheAsks(1, 1337, true) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0) + } + if mov.ImpactPercentage != 0.07479431563201197 { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, 0.07479431563201197) + } + if mov.SlippageCost != 0 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 0) + } + + mov, err = depth.LiftTheAsks(19.97787610619469, 1337, true) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0.7097591258590288 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0.7097591258590288) + } + if mov.ImpactPercentage != 1.4210919970082274 { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, 1.4210919970082274) + } + if mov.SlippageCost != 189.5796460176971 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 189.5796460176971) + } + + // All the way up to the last price from best bid price + mov, err = depth.LiftTheAsks(20, 1336, true) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0.7859281437125748 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0.7859281437125748) + } + if mov.ImpactPercentage != FullLiquidityExhaustedPercentage { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, FullLiquidityExhaustedPercentage) + } + if mov.SlippageCost != 190 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 190) + } +} + +func TestLiftTheAsksFromMid(t *testing.T) { + t.Parallel() + _, err := getInvalidDepth().LiftTheAsksFromMid(10, false) + if !errors.Is(err, ErrOrderbookInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid) + } + + depth := NewDepth(id) + _, err = depth.LiftTheAsksFromMid(10, false) + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + mov, err := depth.LiftTheAsksFromMid(26931, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if !mov.FullBookSideConsumed { + t.Fatal("entire side should be consumed by this value") + } + + mov, err = depth.LiftTheAsksFromMid(1337, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0.03741114852225963 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0.03741114852225963) + } + if mov.ImpactPercentage != 0.11223344556677892 { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, 0.11223344556677892) + } + if mov.SlippageCost != 0 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 0) + } + + mov, err = depth.LiftTheAsksFromMid(26900, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0.747435803422031 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0.747435803422031) + } + if mov.ImpactPercentage != 1.4590347923681257 { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, 1.4590347923681257) + } + if mov.SlippageCost != 189.57964601770072 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 189.57964601770072) + } + + // All the way up to the last price from best bid price + mov, err = depth.LiftTheAsksFromMid(26930, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0.7482229704451926 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0.7482229704451926) + } + if mov.ImpactPercentage != FullLiquidityExhaustedPercentage { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, FullLiquidityExhaustedPercentage) + } + if mov.SlippageCost != 190 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 190) + } +} + +func TestLiftTheAsksFromMid_BaseRequired(t *testing.T) { + t.Parallel() + _, err := getInvalidDepth().LiftTheAsksFromMid(10, false) + if !errors.Is(err, ErrOrderbookInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid) + } + + depth := NewDepth(id) + _, err = depth.LiftTheAsksFromMid(10, false) + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + mov, err := depth.LiftTheAsksFromMid(21, true) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if !mov.FullBookSideConsumed { + t.Fatal("entire side should be consumed by this value") + } + + mov, err = depth.LiftTheAsksFromMid(1, true) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0.03741114852225963 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0.03741114852225963) + } + if mov.ImpactPercentage != 0.11223344556677892 { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, 0.11223344556677892) + } + if mov.SlippageCost != 0 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 0) + } + + mov, err = depth.LiftTheAsksFromMid(19.97787610619469, true) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0.7474358034220139 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0.7474358034220139) + } + if mov.ImpactPercentage != 1.4590347923681257 { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, 1.4590347923681257) + } + if mov.SlippageCost != 189.5796460176971 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 189.5796460176971) + } + + // All the way up to the last price from best bid price + mov, err = depth.LiftTheAsksFromMid(20, true) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0.7482229704451926 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0.7482229704451926) + } + if mov.ImpactPercentage != FullLiquidityExhaustedPercentage { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, FullLiquidityExhaustedPercentage) + } + if mov.SlippageCost != 190 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 190) + } +} + +func TestLiftTheAsksFromBest(t *testing.T) { + t.Parallel() + _, err := getInvalidDepth().LiftTheAsksFromBest(10, false) + if !errors.Is(err, ErrOrderbookInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid) + } + + depth := NewDepth(id) + _, err = depth.LiftTheAsksFromBest(10, false) + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + mov, err := depth.LiftTheAsksFromBest(26931, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if !mov.FullBookSideConsumed { + t.Fatal("entire side should be consumed by this value") + } + + mov, err = depth.LiftTheAsksFromBest(1337, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0) + } + if mov.ImpactPercentage != 0.07479431563201197 { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, 0.07479431563201197) + } + if mov.SlippageCost != 0 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 0) + } + + mov, err = depth.LiftTheAsksFromBest(26900, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0.7097591258590459 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0.7097591258590459) + } + if mov.ImpactPercentage != 1.4210919970082274 { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, 1.4210919970082274) + } + if mov.SlippageCost != 189.57964601770072 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 189.57964601770072) + } + + // All the way up to the last price from best bid price + mov, err = depth.LiftTheAsksFromBest(26930, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0.7105459985041137 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0.7105459985041137) + } + if mov.ImpactPercentage != FullLiquidityExhaustedPercentage { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, FullLiquidityExhaustedPercentage) + } + if mov.SlippageCost != 190 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 190) + } +} + +func TestLiftTheAsksFromBest_BaseRequired(t *testing.T) { + t.Parallel() + _, err := getInvalidDepth().LiftTheAsksFromBest(10, false) + if !errors.Is(err, ErrOrderbookInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid) + } + + depth := NewDepth(id) + _, err = depth.LiftTheAsksFromBest(10, false) + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + mov, err := depth.LiftTheAsksFromBest(21, true) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if !mov.FullBookSideConsumed { + t.Fatal("entire side should be consumed by this value") + } + + mov, err = depth.LiftTheAsksFromBest(1, true) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0) + } + if mov.ImpactPercentage != 0.07479431563201197 { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, 0.07479431563201197) + } + if mov.SlippageCost != 0 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 0) + } + + mov, err = depth.LiftTheAsksFromBest(19.97787610619469, true) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + if mov.NominalPercentage != 0.7097591258590288 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0.7097591258590288) + } + if mov.ImpactPercentage != 1.4210919970082274 { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, 1.4210919970082274) + } + if mov.SlippageCost != 189.5796460176971 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 189.5796460176971) + } + + // All the way up to the last price from best bid price + mov, err = depth.LiftTheAsksFromBest(20, true) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.NominalPercentage != 0.7105459985041137 { + t.Fatalf("received: '%v' but expected: '%v'", mov.NominalPercentage, 0.7105459985041137) + } + if mov.ImpactPercentage != FullLiquidityExhaustedPercentage { + t.Fatalf("received: '%v' but expected: '%v'", mov.ImpactPercentage, FullLiquidityExhaustedPercentage) + } + if mov.SlippageCost != 190 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 190) + } +} + +func TestGetMidPrice_Depth(t *testing.T) { + t.Parallel() + _, err := getInvalidDepth().GetMidPrice() + if !errors.Is(err, ErrOrderbookInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid) + } + + depth := NewDepth(id) + _, err = depth.GetMidPrice() + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + mid, err := depth.GetMidPrice() + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mid != 1336.5 { + t.Fatalf("received: '%v' but expected: '%v'", mid, 1336.5) + } +} + +func TestGetMidPriceNoLock_Depth(t *testing.T) { + t.Parallel() + depth := NewDepth(id) + _, err := depth.getMidPriceNoLock() + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + depth.LoadSnapshot(bid, nil, 0, time.Time{}, true) + _, err = depth.getMidPriceNoLock() + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + mid, err := depth.getMidPriceNoLock() + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mid != 1336.5 { + t.Fatalf("received: '%v' but expected: '%v'", mid, 1336.5) + } +} + +func TestGetBestBidASk_Depth(t *testing.T) { + t.Parallel() + _, err := getInvalidDepth().GetBestBid() + if !errors.Is(err, ErrOrderbookInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid) + } + + _, err = getInvalidDepth().GetBestAsk() + if !errors.Is(err, ErrOrderbookInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid) + } + + depth := NewDepth(id) + _, err = depth.GetBestBid() + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + _, err = depth.GetBestAsk() + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + mid, err := depth.GetBestBid() + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + if mid != 1336 { + t.Fatalf("received: '%v' but expected: '%v'", mid, 1336) + } + mid, err = depth.GetBestAsk() + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + if mid != 1337 { + t.Fatalf("received: '%v' but expected: '%v'", mid, 1337) + } +} + +func TestGetSpreadAmount(t *testing.T) { + t.Parallel() + _, err := getInvalidDepth().GetSpreadAmount() + if !errors.Is(err, ErrOrderbookInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid) + } + + depth := NewDepth(id) + + _, err = depth.GetSpreadAmount() + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + + depth.LoadSnapshot(nil, ask, 0, time.Time{}, true) + + _, err = depth.GetSpreadAmount() + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + + spread, err := depth.GetSpreadAmount() + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if spread != 1 { + t.Fatalf("received: '%v' but expected: '%v'", spread, 1) + } +} + +func TestGetSpreadPercentage(t *testing.T) { + t.Parallel() + _, err := getInvalidDepth().GetSpreadPercentage() + if !errors.Is(err, ErrOrderbookInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid) + } + + depth := NewDepth(id) + + _, err = depth.GetSpreadPercentage() + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + + depth.LoadSnapshot(nil, ask, 0, time.Time{}, true) + + _, err = depth.GetSpreadPercentage() + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + + spread, err := depth.GetSpreadPercentage() + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if spread != 0.07479431563201197 { + t.Fatalf("received: '%v' but expected: '%v'", spread, 0.07479431563201197) + } +} + +func TestGetImbalance_Depth(t *testing.T) { + t.Parallel() + _, err := getInvalidDepth().GetImbalance() + if !errors.Is(err, ErrOrderbookInvalid) { + t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid) + } + + depth := NewDepth(id) + + _, err = depth.GetImbalance() + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + + depth.LoadSnapshot(nil, ask, 0, time.Time{}, true) + + _, err = depth.GetImbalance() + if !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + + imbalance, err := depth.GetImbalance() + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if imbalance != 0 { + t.Fatalf("received: '%v' but expected: '%v'", imbalance, 0) + } +} + +func getInvalidDepth() *Depth { + depth := NewDepth(id) + _ = depth.Invalidate(errors.New("invalid reasoning")) + return depth +} diff --git a/exchanges/orderbook/linked_list.go b/exchanges/orderbook/linked_list.go index 3cf4f632..3d93dfe8 100644 --- a/exchanges/orderbook/linked_list.go +++ b/exchanges/orderbook/linked_list.go @@ -3,11 +3,28 @@ package orderbook import ( "errors" "fmt" + + "github.com/thrasher-corp/gocryptotrader/common/math" ) -var errIDCannotBeMatched = errors.New("cannot match ID on linked list") -var errCollisionDetected = errors.New("cannot insert update collision detected") -var errAmountCannotBeLessOrEqualToZero = errors.New("amount cannot be less or equal to zero") +// FullLiquidityExhaustedPercentage defines when a book has been completely +// wiped out of potential liquidity. +const FullLiquidityExhaustedPercentage = -100 + +var ( + errIDCannotBeMatched = errors.New("cannot match ID on linked list") + errCollisionDetected = errors.New("cannot insert update, collision detected") + errAmountCannotBeLessOrEqualToZero = errors.New("amount cannot be less than or equal to zero") + errInvalidNominalSlippage = errors.New("invalid slippage amount, its value must be greater than or equal to zero") + errInvalidImpactSlippage = errors.New("invalid slippage amount, its value must be greater than zero") + errInvalidSlippageCannotExceed100 = errors.New("invalid slippage amount, its value cannot exceed 100%") + errBaseAmountInvalid = errors.New("invalid base amount") + errInvalidReferencePrice = errors.New("invalid reference price") + errQuoteAmountInvalid = errors.New("quote amount invalid") + errInvalidCost = errors.New("invalid cost amount") + errInvalidAmount = errors.New("invalid amount") + errInvalidHeadPrice = errors.New("invalid head price") +) // linkedList defines a linked list for a depth level, reutilisation of nodes // to and from a stack. @@ -340,6 +357,115 @@ func (ll *linkedList) insertUpdates(updts Items, stack *stack, comp comparison) return nil } +// getHeadPriceNoLock gets best/head price +func (ll *linkedList) getHeadPriceNoLock() (float64, error) { + if ll.head == nil { + return 0, errNoLiquidity + } + return ll.head.Value.Price, nil +} + +// getHeadVolumeNoLock gets best/head volume +func (ll *linkedList) getHeadVolumeNoLock() (float64, error) { + if ll.head == nil { + return 0, errNoLiquidity + } + return ll.head.Value.Amount, nil +} + +// getMovementByQuotation traverses through orderbook liquidity using quotation +// currency as a limiter and returns orderbook movement details. Swap boolean +// allows the swap of sold and purchased to reduce code so it doesn't need to be +// specific to bid or ask. +func (ll *linkedList) getMovementByQuotation(quote, refPrice float64, swap bool) (*Movement, error) { + if quote <= 0 { + return nil, errQuoteAmountInvalid + } + + if refPrice <= 0 { + return nil, errInvalidReferencePrice + } + + head, err := ll.getHeadPriceNoLock() + if err != nil { + return nil, err + } + + m := Movement{StartPrice: refPrice} + for tip := ll.head; tip != nil; tip = tip.Next { + trancheValue := tip.Value.Amount * tip.Value.Price + leftover := quote - trancheValue + if leftover < 0 { + m.Purchased += quote + m.Sold += quote / trancheValue * tip.Value.Amount + // This tranche is not consumed so the book shifts to this price. + m.EndPrice = tip.Value.Price + quote = 0 + break + } + // Full tranche consumed + m.Purchased += tip.Value.Price * tip.Value.Amount + m.Sold += tip.Value.Amount + quote = leftover + if leftover == 0 { + // Price no longer exists on the book so use next full price tranche + // to calculate book impact. If available. + if tip.Next != nil { + m.EndPrice = tip.Next.Value.Price + } else { + m.FullBookSideConsumed = true + } + } + } + return m.finalizeFields(m.Purchased, m.Sold, head, quote, swap) +} + +// getMovementByBase traverses through orderbook liquidity using base currency +// as a limiter and returns orderbook movement details. Swap boolean allows the +// swap of sold and purchased to reduce code so it doesn't need to be specific +// to bid or ask. +func (ll *linkedList) getMovementByBase(base, refPrice float64, swap bool) (*Movement, error) { + if base <= 0 { + return nil, errBaseAmountInvalid + } + + if refPrice <= 0 { + return nil, errInvalidReferencePrice + } + + head, err := ll.getHeadPriceNoLock() + if err != nil { + return nil, err + } + + m := Movement{StartPrice: refPrice} + for tip := ll.head; tip != nil; tip = tip.Next { + leftover := base - tip.Value.Amount + if leftover < 0 { + m.Purchased += tip.Value.Price * base + m.Sold += base + // This tranche is not consumed so the book shifts to this price. + m.EndPrice = tip.Value.Price + base = 0 + break + } + // Full tranche consumed + m.Purchased += tip.Value.Price * tip.Value.Amount + m.Sold += tip.Value.Amount + base = leftover + if leftover == 0 { + // Price no longer exists on the book so use next full price tranche + // to calculate book impact. + if tip.Next != nil { + m.EndPrice = tip.Next.Value.Price + } else { + m.FullBookSideConsumed = true + } + } + } + return m.finalizeFields(m.Purchased, m.Sold, head, base, swap) +} + // bids embed a linked list to attach methods for bid depth specific // functionality type bids struct { @@ -367,6 +493,115 @@ func (ll *bids) insertUpdates(updts Items, stack *stack) error { return ll.linkedList.insertUpdates(updts, stack, bidCompare) } +// hitBidsByNominalSlippage hits the bids by the required nominal slippage +// percentage, calculated from the reference price and returns orderbook +// movement details. +func (ll *bids) hitBidsByNominalSlippage(slippage, refPrice float64) (*Movement, error) { + if slippage < 0 { + return nil, errInvalidNominalSlippage + } + + if slippage > 100 { + return nil, errInvalidSlippageCannotExceed100 + } + + if refPrice <= 0 { + return nil, errInvalidReferencePrice + } + + if ll.head == nil { + return nil, errNoLiquidity + } + + nominal := &Movement{StartPrice: refPrice, EndPrice: refPrice} + var cumulativeValue, cumulativeAmounts float64 + for tip := ll.head; tip != nil; tip = tip.Next { + totalTrancheValue := tip.Value.Price * tip.Value.Amount + currentFullValue := totalTrancheValue + cumulativeValue + currentTotalAmounts := cumulativeAmounts + tip.Value.Amount + + nominal.AverageOrderCost = currentFullValue / currentTotalAmounts + percent := math.CalculatePercentageGainOrLoss(nominal.AverageOrderCost, refPrice) + if percent != 0 { + percent *= -1 + } + + if slippage < percent { + targetCost := (1 - slippage/100) * refPrice + if targetCost == refPrice { + nominal.AverageOrderCost = cumulativeValue / cumulativeAmounts + // Rounding issue on requested nominal percentage + return nominal, nil + } + comparative := targetCost * cumulativeAmounts + comparativeDiff := comparative - cumulativeValue + trancheTargetPriceDiff := tip.Value.Price - targetCost + trancheAmountExpectation := comparativeDiff / trancheTargetPriceDiff + nominal.NominalPercentage = slippage + nominal.Sold = cumulativeAmounts + trancheAmountExpectation + nominal.Purchased += trancheAmountExpectation * tip.Value.Price + nominal.AverageOrderCost = nominal.Purchased / nominal.Sold + nominal.EndPrice = tip.Value.Price + return nominal, nil + } + + nominal.EndPrice = tip.Value.Price + cumulativeValue = currentFullValue + nominal.NominalPercentage = percent + nominal.Sold += tip.Value.Amount + nominal.Purchased += totalTrancheValue + cumulativeAmounts = currentTotalAmounts + if slippage == percent { + nominal.FullBookSideConsumed = tip.Next == nil + return nominal, nil + } + } + nominal.FullBookSideConsumed = true + return nominal, nil +} + +// hitBidsByImpactSlippage hits the bids by the required impact slippage +// percentage, calculated from the reference price and returns orderbook +// movement details. +func (ll *bids) hitBidsByImpactSlippage(slippage, refPrice float64) (*Movement, error) { + if slippage <= 0 { + return nil, errInvalidImpactSlippage + } + + if slippage > 100 { + return nil, errInvalidSlippageCannotExceed100 + } + + if refPrice <= 0 { + return nil, errInvalidReferencePrice + } + + if ll.head == nil { + return nil, errNoLiquidity + } + + impact := &Movement{StartPrice: refPrice, EndPrice: refPrice} + for tip := ll.head; tip != nil; tip = tip.Next { + percent := math.CalculatePercentageGainOrLoss(tip.Value.Price, refPrice) + if percent != 0 { + percent *= -1 + } + impact.EndPrice = tip.Value.Price + impact.ImpactPercentage = percent + if slippage <= percent { + // Don't include this tranche amount as this consumes the tranche + // book price, thus obtaining a higher percentage impact. + return impact, nil + } + impact.Sold += tip.Value.Amount + impact.Purchased += tip.Value.Amount * tip.Value.Price + impact.AverageOrderCost = impact.Purchased / impact.Sold + } + impact.FullBookSideConsumed = true + impact.ImpactPercentage = FullLiquidityExhaustedPercentage + return impact, nil +} + // asks embed a linked list to attach methods for ask depth specific // functionality type asks struct { @@ -394,6 +629,100 @@ func (ll *asks) insertUpdates(updts Items, stack *stack) error { return ll.linkedList.insertUpdates(updts, stack, askCompare) } +// liftAsksByNominalSlippage lifts the asks by the required nominal slippage +// percentage, calculated from the reference price and returns orderbook +// movement details. +func (ll *asks) liftAsksByNominalSlippage(slippage, refPrice float64) (*Movement, error) { + if slippage < 0 { + return nil, errInvalidNominalSlippage + } + + if refPrice <= 0 { + return nil, errInvalidReferencePrice + } + + if ll.head == nil { + return nil, errNoLiquidity + } + + nominal := &Movement{StartPrice: refPrice, EndPrice: refPrice} + var cumulativeAmounts float64 + for tip := ll.head; tip != nil; tip = tip.Next { + totalTrancheValue := tip.Value.Price * tip.Value.Amount + currentValue := totalTrancheValue + nominal.Sold + currentAmounts := cumulativeAmounts + tip.Value.Amount + + nominal.AverageOrderCost = currentValue / currentAmounts + percent := math.CalculatePercentageGainOrLoss(nominal.AverageOrderCost, refPrice) + + if slippage < percent { + targetCost := (1 + slippage/100) * refPrice + if targetCost == refPrice { + nominal.AverageOrderCost = nominal.Sold / nominal.Purchased + // Rounding issue on requested nominal percentage + return nominal, nil + } + + comparative := targetCost * cumulativeAmounts + comparativeDiff := comparative - nominal.Sold + trancheTargetPriceDiff := tip.Value.Price - targetCost + trancheAmountExpectation := comparativeDiff / trancheTargetPriceDiff + nominal.NominalPercentage = slippage + nominal.Sold += trancheAmountExpectation * tip.Value.Price + nominal.Purchased += trancheAmountExpectation + nominal.AverageOrderCost = nominal.Sold / nominal.Purchased + nominal.EndPrice = tip.Value.Price + return nominal, nil + } + + nominal.EndPrice = tip.Value.Price + nominal.Sold = currentValue + nominal.Purchased += tip.Value.Amount + nominal.NominalPercentage = percent + if slippage == percent { + return nominal, nil + } + cumulativeAmounts = currentAmounts + } + nominal.FullBookSideConsumed = true + return nominal, nil +} + +// liftAsksByImpactSlippage lifts the asks by the required impact slippage +// percentage, calculated from the reference price and returns orderbook +// movement details. +func (ll *asks) liftAsksByImpactSlippage(slippage, refPrice float64) (*Movement, error) { + if slippage <= 0 { + return nil, errInvalidImpactSlippage + } + + if refPrice <= 0 { + return nil, errInvalidReferencePrice + } + + if ll.head == nil { + return nil, errNoLiquidity + } + + impact := &Movement{StartPrice: refPrice, EndPrice: refPrice} + for tip := ll.head; tip != nil; tip = tip.Next { + percent := math.CalculatePercentageGainOrLoss(tip.Value.Price, refPrice) + impact.ImpactPercentage = percent + impact.EndPrice = tip.Value.Price + if slippage <= percent { + // Don't include this tranche amount as this consumes the tranche + // book price, thus obtaining a higher percentage impact. + return impact, nil + } + impact.Sold += tip.Value.Amount * tip.Value.Price + impact.Purchased += tip.Value.Amount + impact.AverageOrderCost = impact.Sold / impact.Purchased + } + impact.FullBookSideConsumed = true + impact.ImpactPercentage = FullLiquidityExhaustedPercentage + return impact, nil +} + // move moves a node from a point in a node chain to another node position, // this left justified towards head as element zero is the top of the depth // side. (can inline) @@ -526,3 +855,67 @@ func shiftBookmark(tip *Node, bookmark, head **Node, updt Item) bool { (*bookmark).Next = nil return true } + +// finalizeFields sets average order costing, percentages, slippage cost and +// preserves existing fields. +func (m *Movement) finalizeFields(cost, amount, headPrice, leftover float64, swap bool) (*Movement, error) { + if cost <= 0 { + return nil, errInvalidCost + } + + if amount <= 0 { + return nil, errInvalidAmount + } + + if headPrice <= 0 { + return nil, errInvalidHeadPrice + } + + if m.StartPrice != m.EndPrice { + // Average order cost defines the actual cost price as capital is + // deployed through the orderbook liquidity. + m.AverageOrderCost = cost / amount + } else { + // Edge case rounding issue for float64 with small numbers. + m.AverageOrderCost = m.StartPrice + } + + // Nominal percentage is the difference from the reference price to average + // order cost. + m.NominalPercentage = math.CalculatePercentageGainOrLoss(m.AverageOrderCost, m.StartPrice) + if m.NominalPercentage < 0 { + m.NominalPercentage *= -1 + } + + if !m.FullBookSideConsumed && leftover == 0 { + // Impact percentage is how much the orderbook slips from the reference + // price to the remaining tranche price. + + m.ImpactPercentage = math.CalculatePercentageGainOrLoss(m.EndPrice, m.StartPrice) + if m.ImpactPercentage < 0 { + m.ImpactPercentage *= -1 + } + } else { + // Full liquidity exhausted by request amount + m.ImpactPercentage = FullLiquidityExhaustedPercentage + m.FullBookSideConsumed = true + } + + // Slippage cost is the difference in quotation terms between the actual + // cost and the amounts at head price e.g. + // Let P(n)=Price A(n)=Amount and iterate through a descending bid order example; + // Cost: $270 (P1:100 x A1:1 + P2:90 x A2:1 + P3:80 x A3:1) + // No slippage cost: $300 (P1:100 x A1:1 + P1:100 x A2:1 + P1:100 x A3:1) + // $300 - $270 = $30 of slippage. + m.SlippageCost = cost - (headPrice * amount) + if m.SlippageCost < 0 { + m.SlippageCost *= -1 + } + + // Swap saves on code duplication for difference in ask or bid amounts. + if swap { + m.Sold, m.Purchased = m.Purchased, m.Sold + } + + return m, nil +} diff --git a/exchanges/orderbook/linked_list_test.go b/exchanges/orderbook/linked_list_test.go index ad3eb160..d996a9c2 100644 --- a/exchanges/orderbook/linked_list_test.go +++ b/exchanges/orderbook/linked_list_test.go @@ -30,6 +30,29 @@ var ask = Items{ Item{Price: 1356, Amount: 1}, } +var bid = Items{ + Item{Price: 1336, Amount: 1}, + Item{Price: 1335, Amount: 1}, + Item{Price: 1334, Amount: 1}, + Item{Price: 1333, Amount: 1}, + Item{Price: 1332, Amount: 1}, + Item{Price: 1331, Amount: 1}, + Item{Price: 1330, Amount: 1}, + Item{Price: 1329, Amount: 1}, + Item{Price: 1328, Amount: 1}, + Item{Price: 1327, Amount: 1}, + Item{Price: 1326, Amount: 1}, + Item{Price: 1325, Amount: 1}, + Item{Price: 1324, Amount: 1}, + Item{Price: 1323, Amount: 1}, + Item{Price: 1322, Amount: 1}, + Item{Price: 1321, Amount: 1}, + Item{Price: 1320, Amount: 1}, + Item{Price: 1319, Amount: 1}, + Item{Price: 1318, Amount: 1}, + Item{Price: 1317, Amount: 1}, +} + // Display displays depth content for tests func (ll *linkedList) display() { for tip := ll.head; tip != nil; tip = tip.Next { @@ -1447,3 +1470,674 @@ func TestShiftBookmark(t *testing.T) { t.Fatal("unexpected pointer variable") } } + +func TestGetMovementByBaseAmount(t *testing.T) { + t.Parallel() + cases := []struct { + Name string + BaseAmount float64 + ReferencePrice float64 + BidLiquidity Items + ExpectedNominal float64 + ExpectedImpact float64 + ExpectedCost float64 + ExpectedError error + }{ + { + Name: "no amount", + ExpectedError: errBaseAmountInvalid, + }, + { + Name: "no reference price", + BaseAmount: 1, + ExpectedError: errInvalidReferencePrice, + }, + { + Name: "not enough liquidity to service quote amount", + BaseAmount: 1, + ReferencePrice: 1000, + ExpectedError: errNoLiquidity, + }, + { + Name: "thrasher test", + BidLiquidity: Items{{Price: 10000, Amount: 2}, {Price: 9900, Amount: 7}, {Price: 9800, Amount: 3}}, + BaseAmount: 10, + ReferencePrice: 10000, + ExpectedNominal: 0.8999999999999999, + ExpectedImpact: 2, + ExpectedCost: 900, + }, + { + Name: "consume first tranche", + BidLiquidity: Items{{Price: 10000, Amount: 2}, {Price: 9900, Amount: 7}, {Price: 9800, Amount: 3}}, + BaseAmount: 2, + ReferencePrice: 10000, + ExpectedNominal: 0, + ExpectedImpact: 1, + ExpectedCost: 0, + }, + { + Name: "consume most of first tranche", + BidLiquidity: Items{{Price: 10000, Amount: 2}, {Price: 9900, Amount: 7}, {Price: 9800, Amount: 3}}, + BaseAmount: 1.5, + ReferencePrice: 10000, + ExpectedNominal: 0, + ExpectedImpact: 0, + ExpectedCost: 0, + }, + { + Name: "consume full liquidity", + BidLiquidity: Items{{Price: 10000, Amount: 2}, {Price: 9900, Amount: 7}, {Price: 9800, Amount: 3}}, + BaseAmount: 12, + ReferencePrice: 10000, + ExpectedNominal: 1.0833333333333395, + ExpectedImpact: FullLiquidityExhaustedPercentage, + ExpectedCost: 1300, + }, + } + + for x := range cases { + tt := cases[x] + t.Run(tt.Name, func(t *testing.T) { + t.Parallel() + depth := NewDepth(id) + depth.LoadSnapshot(tt.BidLiquidity, nil, 0, time.Time{}, true) + movement, err := depth.bids.getMovementByBase(tt.BaseAmount, tt.ReferencePrice, false) + if !errors.Is(err, tt.ExpectedError) { + t.Fatalf("received: '%v' but expected: '%v'", err, tt.ExpectedError) + } + + if movement == nil { + return + } + if movement.NominalPercentage != tt.ExpectedNominal { + t.Fatalf("nominal received: '%v' but expected: '%v'", + movement.NominalPercentage, tt.ExpectedNominal) + } + + if movement.ImpactPercentage != tt.ExpectedImpact { + t.Fatalf("impact received: '%v' but expected: '%v'", + movement.ImpactPercentage, tt.ExpectedImpact) + } + + if movement.SlippageCost != tt.ExpectedCost { + t.Fatalf("cost received: '%v' but expected: '%v'", + movement.SlippageCost, tt.ExpectedCost) + } + }) + } +} + +func TestGetBaseAmountFromNominalSlippage(t *testing.T) { + t.Parallel() + cases := []struct { + Name string + NominalSlippage float64 + ReferencePrice float64 + BidLiquidity Items + ExpectedShift *Movement + ExpectedError error + }{ + { + Name: "invalid slippage", + NominalSlippage: -1, + ExpectedError: errInvalidNominalSlippage, + }, + { + Name: "invalid slippage - larger than 100%", + NominalSlippage: 101, + ExpectedError: errInvalidSlippageCannotExceed100, + }, + { + Name: "no reference price", + NominalSlippage: 1, + ExpectedError: errInvalidReferencePrice, + }, + { + Name: "no liquidity to service quote amount", + NominalSlippage: 1, + ReferencePrice: 1000, + ExpectedError: errNoLiquidity, + }, + { + Name: "thrasher test", + BidLiquidity: Items{{Price: 10000, Amount: 2}, {Price: 9900, Amount: 7}, {Price: 9800, Amount: 3}}, + NominalSlippage: 1, + ReferencePrice: 10000, + ExpectedShift: &Movement{ + Sold: 11, + Purchased: 108900, + AverageOrderCost: 9900, + NominalPercentage: 1, + StartPrice: 10000, + EndPrice: 9800, + }, + }, + { + Name: "consume first tranche - take one amount out of second", + BidLiquidity: Items{{Price: 10000, Amount: 2}, {Price: 9900, Amount: 7}, {Price: 9800, Amount: 3}}, + NominalSlippage: 0.33333333333334, + ReferencePrice: 10000, + ExpectedShift: &Movement{ + Sold: 3.0000000000000275, // <- expected rounding issue + Purchased: 29900.00000000027, + AverageOrderCost: 9966.666666666664, + NominalPercentage: 0.33333333333334, + StartPrice: 10000, + EndPrice: 9900, + }, + }, + { + Name: "consume full liquidity", + BidLiquidity: Items{{Price: 10000, Amount: 2}, {Price: 9900, Amount: 7}, {Price: 9800, Amount: 3}}, + NominalSlippage: 10, + ReferencePrice: 10000, + ExpectedShift: &Movement{ + Sold: 12, + Purchased: 118700, + AverageOrderCost: 9891.666666666666, + NominalPercentage: 1.0833333333333395, + StartPrice: 10000, + EndPrice: 9800, + FullBookSideConsumed: true, + }, + }, + { + Name: "scotts lovely slippery slippage requirements", + BidLiquidity: Items{{Price: 10000, Amount: 2}, {Price: 9900, Amount: 7}, {Price: 9800, Amount: 3}}, + NominalSlippage: 0.00000000000000000000000000000000000000000000000000000000000000000000000000000000001, + ReferencePrice: 10000, + ExpectedShift: &Movement{ + Sold: 2, + Purchased: 20000, + AverageOrderCost: 10000, + StartPrice: 10000, + EndPrice: 10000, + }, + }, + } + + for x := range cases { + tt := cases[x] + t.Run(tt.Name, func(t *testing.T) { + t.Parallel() + depth := NewDepth(id) + depth.LoadSnapshot(tt.BidLiquidity, nil, 0, time.Time{}, true) + base, err := depth.bids.hitBidsByNominalSlippage(tt.NominalSlippage, tt.ReferencePrice) + if !errors.Is(err, tt.ExpectedError) { + t.Fatalf("%s received: '%v' but expected: '%v'", + tt.Name, err, tt.ExpectedError) + } + if !base.IsEqual(tt.ExpectedShift) { + t.Fatalf("%s quote received: '%+v' but expected: '%+v'", + tt.Name, base, tt.ExpectedShift) + } + }) + } +} + +// IsEqual is a tester function for comparison. +func (m *Movement) IsEqual(that *Movement) bool { + if m == nil || that == nil { + return m == nil && that == nil + } + return m.FullBookSideConsumed == that.FullBookSideConsumed && + m.Sold == that.Sold && + m.Purchased == that.Purchased && + m.NominalPercentage == that.NominalPercentage && + m.ImpactPercentage == that.ImpactPercentage && + m.EndPrice == that.EndPrice && + m.StartPrice == that.StartPrice && + m.AverageOrderCost == that.AverageOrderCost +} + +func TestGetBaseAmountFromImpact(t *testing.T) { + t.Parallel() + cases := []struct { + Name string + ImpactSlippage float64 + ReferencePrice float64 + BidLiquidity Items + ExpectedShift *Movement + ExpectedError error + }{ + { + Name: "invalid slippage", + ExpectedError: errInvalidImpactSlippage, + }, + { + Name: "invalid slippage - exceed 100%", + ImpactSlippage: 101, + ExpectedError: errInvalidSlippageCannotExceed100, + }, + { + Name: "no reference price", + ImpactSlippage: 1, + ExpectedError: errInvalidReferencePrice, + }, + { + Name: "no liquidity", + ImpactSlippage: 1, + ReferencePrice: 10000, + ExpectedError: errNoLiquidity, + }, + { + Name: "thrasher test", + BidLiquidity: Items{{Price: 10000, Amount: 2}, {Price: 9900, Amount: 7}, {Price: 9800, Amount: 3}}, + ImpactSlippage: 1, + ReferencePrice: 10000, + ExpectedShift: &Movement{ + Sold: 2, + Purchased: 20000, + ImpactPercentage: 1, + AverageOrderCost: 10000, + StartPrice: 10000, + EndPrice: 9900, + }, + }, + { + Name: "consume first tranche and second tranche", + BidLiquidity: Items{{Price: 10000, Amount: 2}, {Price: 9900, Amount: 7}, {Price: 9800, Amount: 3}}, + ImpactSlippage: 2, + ReferencePrice: 10000, + ExpectedShift: &Movement{ + Sold: 9, + Purchased: 89300, + AverageOrderCost: 9922.222222222223, + ImpactPercentage: 2, + StartPrice: 10000, + EndPrice: 9800, + }, + }, + { + Name: "consume full liquidity", + BidLiquidity: Items{{Price: 10000, Amount: 2}, {Price: 9900, Amount: 7}, {Price: 9800, Amount: 3}}, + ImpactSlippage: 10, + ReferencePrice: 10000, + ExpectedShift: &Movement{ + Sold: 12, + Purchased: 118700, + ImpactPercentage: FullLiquidityExhaustedPercentage, + AverageOrderCost: 9891.666666666666, + StartPrice: 10000, + EndPrice: 9800, + FullBookSideConsumed: true, + }, + }, + } + + for x := range cases { + tt := cases[x] + t.Run(tt.Name, func(t *testing.T) { + t.Parallel() + depth := NewDepth(id) + depth.LoadSnapshot(tt.BidLiquidity, nil, 0, time.Time{}, true) + base, err := depth.bids.hitBidsByImpactSlippage(tt.ImpactSlippage, tt.ReferencePrice) + if !errors.Is(err, tt.ExpectedError) { + t.Fatalf("%s received: '%v' but expected: '%v'", tt.Name, err, tt.ExpectedError) + } + if !base.IsEqual(tt.ExpectedShift) { + t.Fatalf("%s quote received: '%+v' but expected: '%+v'", + tt.Name, base, tt.ExpectedShift) + } + }) + } +} + +func TestGetMovementByQuoteAmount(t *testing.T) { + t.Parallel() + cases := []struct { + Name string + QuoteAmount float64 + ReferencePrice float64 + AskLiquidity Items + ExpectedNominal float64 + ExpectedImpact float64 + ExpectedCost float64 + ExpectedError error + }{ + { + Name: "no amount", + ExpectedError: errQuoteAmountInvalid, + }, + { + Name: "no reference price", + QuoteAmount: 1, + ExpectedError: errInvalidReferencePrice, + }, + { + Name: "not enough liquidity to service quote amount", + QuoteAmount: 1, + ReferencePrice: 1000, + ExpectedError: errNoLiquidity, + }, + { + Name: "thrasher test", + AskLiquidity: Items{{Price: 10000, Amount: 2}, {Price: 10100, Amount: 7}, {Price: 10200, Amount: 3}}, + QuoteAmount: 100900, + ReferencePrice: 10000, + ExpectedNominal: 0.8999999999999999, + ExpectedImpact: 2, + ExpectedCost: 900, + }, + { + Name: "consume first tranche", + AskLiquidity: Items{{Price: 10000, Amount: 2}, {Price: 10100, Amount: 7}, {Price: 10200, Amount: 3}}, + QuoteAmount: 20000, + ReferencePrice: 10000, + ExpectedNominal: 0, + ExpectedImpact: 1, + ExpectedCost: 0, + }, + { + Name: "consume most of first tranche", + AskLiquidity: Items{{Price: 10000, Amount: 2}, {Price: 10100, Amount: 7}, {Price: 10200, Amount: 3}}, + QuoteAmount: 15000, + ReferencePrice: 10000, + ExpectedNominal: 0, + ExpectedImpact: 0, + ExpectedCost: 0, + }, + { + Name: "consume full liquidity", + AskLiquidity: Items{{Price: 10000, Amount: 2}, {Price: 10100, Amount: 7}, {Price: 10200, Amount: 3}}, + QuoteAmount: 121300, + ReferencePrice: 10000, + ExpectedNominal: 1.0833333333333395, + ExpectedImpact: FullLiquidityExhaustedPercentage, + ExpectedCost: 1300, + }, + } + + for x := range cases { + tt := cases[x] + t.Run(tt.Name, func(t *testing.T) { + t.Parallel() + depth := NewDepth(id) + depth.LoadSnapshot(nil, tt.AskLiquidity, 0, time.Time{}, true) + movement, err := depth.asks.getMovementByQuotation(tt.QuoteAmount, tt.ReferencePrice, false) + if !errors.Is(err, tt.ExpectedError) { + t.Fatalf("received: '%v' but expected: '%v'", err, tt.ExpectedError) + } + + if movement == nil { + return + } + if movement.NominalPercentage != tt.ExpectedNominal { + t.Fatalf("nominal received: '%v' but expected: '%v'", + movement.NominalPercentage, tt.ExpectedNominal) + } + + if movement.ImpactPercentage != tt.ExpectedImpact { + t.Fatalf("impact received: '%v' but expected: '%v'", + movement.ImpactPercentage, tt.ExpectedImpact) + } + + if movement.SlippageCost != tt.ExpectedCost { + t.Fatalf("cost received: '%v' but expected: '%v'", + movement.SlippageCost, tt.ExpectedCost) + } + }) + } +} + +func TestGetQuoteAmountFromNominalSlippage(t *testing.T) { + t.Parallel() + cases := []struct { + Name string + NominalSlippage float64 + ReferencePrice float64 + AskLiquidity Items + ExpectedShift *Movement + ExpectedError error + }{ + { + Name: "invalid slippage", + NominalSlippage: -1, + ExpectedError: errInvalidNominalSlippage, + }, + { + Name: "no reference price", + NominalSlippage: 1, + ExpectedError: errInvalidReferencePrice, + }, + { + Name: "no liquidity", + NominalSlippage: 1, + ReferencePrice: 10000, + ExpectedError: errNoLiquidity, + }, + { + Name: "consume first tranche - one amount on second tranche", + AskLiquidity: Items{{Price: 10000, Amount: 2}, {Price: 10100, Amount: 7}, {Price: 10200, Amount: 3}}, + NominalSlippage: 0.33333333333334, + ReferencePrice: 10000, + ExpectedShift: &Movement{ + Sold: 30100.000000000276, // <- expected rounding issue + Purchased: 3.0000000000000275, + AverageOrderCost: 10033.333333333333333333333333333, + NominalPercentage: 0.33333333333334, + StartPrice: 10000, + EndPrice: 10100, + }, + }, + { + Name: "last tranche total agg meeting 1 percent nominally", + AskLiquidity: Items{{Price: 10000, Amount: 2}, {Price: 10100, Amount: 7}, {Price: 10200, Amount: 3}}, + NominalSlippage: 1, + ReferencePrice: 10000, + ExpectedShift: &Movement{ + Sold: 111100, + Purchased: 11, + AverageOrderCost: 10100, + NominalPercentage: 1, + StartPrice: 10000, + EndPrice: 10200, + }, + }, + { + Name: "take full second tranche", + AskLiquidity: Items{{Price: 10000, Amount: 2}, {Price: 10100, Amount: 7}, {Price: 10200, Amount: 3}}, + NominalSlippage: 0.7777777777777738, + ReferencePrice: 10000, + ExpectedShift: &Movement{ + Sold: 90700, + Purchased: 9, + AverageOrderCost: 10077.777777777777, + NominalPercentage: 0.7777777777777738, + StartPrice: 10000, + EndPrice: 10100, + }, + }, + { + Name: "consume full liquidity", + AskLiquidity: Items{{Price: 10000, Amount: 2}, {Price: 10100, Amount: 7}, {Price: 10200, Amount: 3}}, + NominalSlippage: 10, + ReferencePrice: 10000, + ExpectedShift: &Movement{ + Sold: 121300, + Purchased: 12, + AverageOrderCost: 10108.333333333334, + NominalPercentage: 1.0833333333333395, + StartPrice: 10000, + EndPrice: 10200, + FullBookSideConsumed: true, + }, + }, + { + Name: "scotts lovely slippery slippage requirements", + AskLiquidity: Items{{Price: 10000, Amount: 2}, {Price: 10100, Amount: 7}, {Price: 10200, Amount: 3}}, + NominalSlippage: 0.00000000000000000000000000000000000000000000000000000000000000000000000000000000001, + ReferencePrice: 10000, + ExpectedShift: &Movement{ + Sold: 20000, + Purchased: 2, + AverageOrderCost: 10000, + StartPrice: 10000, + EndPrice: 10000, + }, + }, + } + + for x := range cases { + tt := cases[x] + t.Run(tt.Name, func(t *testing.T) { + t.Parallel() + depth := NewDepth(id) + depth.LoadSnapshot(nil, tt.AskLiquidity, 0, time.Time{}, true) + quote, err := depth.asks.liftAsksByNominalSlippage(tt.NominalSlippage, tt.ReferencePrice) + if !errors.Is(err, tt.ExpectedError) { + t.Fatalf("%s received: '%v' but expected: '%v'", tt.Name, err, tt.ExpectedError) + } + if !quote.IsEqual(tt.ExpectedShift) { + t.Fatalf("%s quote received: '%+v' but expected: '%+v'", + tt.Name, quote, tt.ExpectedShift) + } + }) + } +} + +func TestGetQuoteAmountFromImpact(t *testing.T) { + t.Parallel() + cases := []struct { + Name string + ImpactSlippage float64 + ReferencePrice float64 + AskLiquidity Items + ExpectedShift *Movement + ExpectedError error + }{ + { + Name: "invalid slippage", + ImpactSlippage: -1, + ExpectedError: errInvalidImpactSlippage, + }, + { + Name: "no reference price", + ImpactSlippage: 1, + ExpectedError: errInvalidReferencePrice, + }, + { + Name: "no liquidity", + ImpactSlippage: 1, + ReferencePrice: 1000, + ExpectedError: errNoLiquidity, + }, + { + Name: "thrasher test", + AskLiquidity: Items{{Price: 10000, Amount: 2}, {Price: 10100, Amount: 7}, {Price: 10200, Amount: 3}}, + ImpactSlippage: 1, + ReferencePrice: 10000, + ExpectedShift: &Movement{ + Sold: 20000, + Purchased: 2, + AverageOrderCost: 10000, + ImpactPercentage: 1, + StartPrice: 10000, + EndPrice: 10100, + }, + }, + { + Name: "consume first tranche and second tranche", + AskLiquidity: Items{{Price: 10000, Amount: 2}, {Price: 10100, Amount: 7}, {Price: 10200, Amount: 3}}, + ImpactSlippage: 2, + ReferencePrice: 10000, + ExpectedShift: &Movement{ + Sold: 90700, + Purchased: 9, + AverageOrderCost: 10077.777777777777777777777777778, + ImpactPercentage: 2, + StartPrice: 10000, + EndPrice: 10200, + }, + }, + { + Name: "consume full liquidity", + AskLiquidity: Items{{Price: 10000, Amount: 2}, {Price: 10100, Amount: 7}, {Price: 10200, Amount: 3}}, + ImpactSlippage: 10, + ReferencePrice: 10000, + ExpectedShift: &Movement{ + Sold: 121300, + Purchased: 12, + AverageOrderCost: 10108.333333333333333333333333333, + ImpactPercentage: FullLiquidityExhaustedPercentage, + StartPrice: 10000, + EndPrice: 10200, + FullBookSideConsumed: true, + }, + }, + } + + for x := range cases { + tt := cases[x] + t.Run(tt.Name, func(t *testing.T) { + t.Parallel() + depth := NewDepth(id) + depth.LoadSnapshot(nil, tt.AskLiquidity, 0, time.Time{}, true) + quote, err := depth.asks.liftAsksByImpactSlippage(tt.ImpactSlippage, tt.ReferencePrice) + if !errors.Is(err, tt.ExpectedError) { + t.Fatalf("received: '%v' but expected: '%v'", err, tt.ExpectedError) + } + if !quote.IsEqual(tt.ExpectedShift) { + t.Fatalf("%s quote received: '%+v' but expected: '%+v'", + tt.Name, quote, tt.ExpectedShift) + } + }) + } +} + +func TestGetHeadPrice(t *testing.T) { + t.Parallel() + depth := NewDepth(id) + if _, err := depth.bids.getHeadPriceNoLock(); !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + if _, err := depth.asks.getHeadPriceNoLock(); !errors.Is(err, errNoLiquidity) { + t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity) + } + depth.LoadSnapshot(bid, ask, 0, time.Time{}, true) + + val, err := depth.bids.getHeadPriceNoLock() + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if val != 1336 { + t.Fatal("unexpected value") + } + + val, err = depth.asks.getHeadPriceNoLock() + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if val != 1337 { + t.Fatal("unexpected value", val) + } +} + +func TestFinalizeFields(t *testing.T) { + m := &Movement{} + _, err := m.finalizeFields(0, 0, 0, 0, false) + if !errors.Is(err, errInvalidCost) { + t.Fatalf("received: '%v' but expected: '%v'", err, errInvalidCost) + } + _, err = m.finalizeFields(1, 0, 0, 0, false) + if !errors.Is(err, errInvalidAmount) { + t.Fatalf("received: '%v' but expected: '%v'", err, errInvalidAmount) + } + _, err = m.finalizeFields(1, 1, 0, 0, false) + if !errors.Is(err, errInvalidHeadPrice) { + t.Fatalf("received: '%v' but expected: '%v'", err, errInvalidHeadPrice) + } + + // Test slippage as per https://en.wikipedia.org/wiki/Slippage_(finance) + mov, err := m.finalizeFields(20000*151.11585, 20000, 151.08, 0, false) + if !errors.Is(err, nil) { + t.Fatalf("received: '%v' but expected: '%v'", err, nil) + } + + if mov.SlippageCost != 716.9999999995343 { + t.Fatalf("received: '%v' but expected: '%v'", mov.SlippageCost, 716.9999999995343) + } +} diff --git a/exchanges/orderbook/orderbook_types.go b/exchanges/orderbook/orderbook_types.go index d9ae94bb..f073b0bc 100644 --- a/exchanges/orderbook/orderbook_types.go +++ b/exchanges/orderbook/orderbook_types.go @@ -148,3 +148,40 @@ type Update struct { // only exchange utilising this field. MaxDepth int } + +// Movement defines orderbook traversal details from either hitting the bids or +// lifting the asks. +type Movement struct { + // NominalPercentage (real-world) defines how far in percentage terms is + // your average order price away from the reference price. + NominalPercentage float64 + // ImpactPercentage defines how far the price has moved on the order book + // from the reference price. + ImpactPercentage float64 + // SlippageCost is the cost of the slippage. This is priced in quotation. + SlippageCost float64 + // StartPrice defines the reference price or the head of the orderbook side. + StartPrice float64 + // EndPrice defines where the price has ended on the orderbook side. + EndPrice float64 + // Sold defines the amount of currency sold. + Sold float64 + // Purchases defines the amount of currency purchased. + Purchased float64 + // AverageOrderCost defines the average order cost of position as it slips + // through the orderbook tranches. + AverageOrderCost float64 + // FullBookSideConsumed defines if the orderbook liquidty has been consumed + // by the requested amount. This might not represent the actual book on the + // exchange as they might restrict the amount of information being passed + // back from either a REST request or websocket stream. + FullBookSideConsumed bool +} + +// SideAmounts define the amounts total for the tranches, total value in +// quotation and the cumulative base amounts. +type SideAmounts struct { + Tranches int64 + QuoteValue float64 + BaseAmount float64 +} diff --git a/exchanges/orderbook/simulator/simulator_test.go b/exchanges/orderbook/simulator/simulator_test.go index eccc94a3..9de5bed7 100644 --- a/exchanges/orderbook/simulator/simulator_test.go +++ b/exchanges/orderbook/simulator/simulator_test.go @@ -12,14 +12,18 @@ import ( func TestSimulate(t *testing.T) { b := bitstamp.Bitstamp{} b.SetDefaults() + b.Verbose = false o, err := b.FetchOrderbook(context.Background(), currency.NewPair(currency.BTC, currency.USD), asset.Spot) if err != nil { t.Error(err) } - - r := o.SimulateOrder(10000000, true) - t.Log(r.Status) - r = o.SimulateOrder(2171, false) - t.Log(r.Status) + _, err = o.SimulateOrder(10000000, true) + if err != nil { + t.Fatal(err) + } + _, err = o.SimulateOrder(2171, false) + if err != nil { + t.Fatal(err) + } } diff --git a/gctrpc/rpc.pb.go b/gctrpc/rpc.pb.go index 3d3f3779..09320e8e 100644 --- a/gctrpc/rpc.pb.go +++ b/gctrpc/rpc.pb.go @@ -4073,6 +4073,7 @@ type WhaleBombRequest struct { Pair *CurrencyPair `protobuf:"bytes,2,opt,name=pair,proto3" json:"pair,omitempty"` PriceTarget float64 `protobuf:"fixed64,3,opt,name=price_target,json=priceTarget,proto3" json:"price_target,omitempty"` Side string `protobuf:"bytes,4,opt,name=side,proto3" json:"side,omitempty"` + AssetType string `protobuf:"bytes,5,opt,name=asset_type,json=assetType,proto3" json:"asset_type,omitempty"` } func (x *WhaleBombRequest) Reset() { @@ -4135,6 +4136,13 @@ func (x *WhaleBombRequest) GetSide() string { return "" } +func (x *WhaleBombRequest) GetAssetType() string { + if x != nil { + return x.AssetType + } + return "" +} + type CancelOrderRequest struct { state protoimpl.MessageState sizeCache protoimpl.SizeCache @@ -13288,6 +13296,680 @@ func (x *GetMarginRatesHistoryResponse) GetTakerFeeRate() string { return "" } +type GetOrderbookMovementRequest struct { + state protoimpl.MessageState + sizeCache protoimpl.SizeCache + unknownFields protoimpl.UnknownFields + + Exchange string `protobuf:"bytes,1,opt,name=exchange,proto3" json:"exchange,omitempty"` + Asset string `protobuf:"bytes,2,opt,name=asset,proto3" json:"asset,omitempty"` + Pair *CurrencyPair `protobuf:"bytes,3,opt,name=pair,proto3" json:"pair,omitempty"` + Amount float64 `protobuf:"fixed64,6,opt,name=amount,proto3" json:"amount,omitempty"` + Sell bool `protobuf:"varint,7,opt,name=sell,proto3" json:"sell,omitempty"` + RequiresRestOrderbook bool `protobuf:"varint,8,opt,name=requires_rest_orderbook,json=requiresRestOrderbook,proto3" json:"requires_rest_orderbook,omitempty"` + Purchase bool `protobuf:"varint,9,opt,name=purchase,proto3" json:"purchase,omitempty"` +} + +func (x *GetOrderbookMovementRequest) Reset() { + *x = GetOrderbookMovementRequest{} + if protoimpl.UnsafeEnabled { + mi := &file_rpc_proto_msgTypes[196] + ms := protoimpl.X.MessageStateOf(protoimpl.Pointer(x)) + ms.StoreMessageInfo(mi) + } +} + +func (x *GetOrderbookMovementRequest) String() string { + return protoimpl.X.MessageStringOf(x) +} + +func (*GetOrderbookMovementRequest) ProtoMessage() {} + +func (x *GetOrderbookMovementRequest) ProtoReflect() protoreflect.Message { + mi := &file_rpc_proto_msgTypes[196] + if protoimpl.UnsafeEnabled && x != nil { + ms := protoimpl.X.MessageStateOf(protoimpl.Pointer(x)) + if ms.LoadMessageInfo() == nil { + ms.StoreMessageInfo(mi) + } + return ms + } + return mi.MessageOf(x) +} + +// Deprecated: Use GetOrderbookMovementRequest.ProtoReflect.Descriptor instead. +func (*GetOrderbookMovementRequest) Descriptor() ([]byte, []int) { + return file_rpc_proto_rawDescGZIP(), []int{196} +} + +func (x *GetOrderbookMovementRequest) GetExchange() string { + if x != nil { + return x.Exchange + } + return "" +} + +func (x *GetOrderbookMovementRequest) GetAsset() string { + if x != nil { + return x.Asset + } + return "" +} + +func (x *GetOrderbookMovementRequest) GetPair() *CurrencyPair { + if x != nil { + return x.Pair + } + return nil +} + +func (x *GetOrderbookMovementRequest) GetAmount() float64 { + if x != nil { + return x.Amount + } + return 0 +} + +func (x *GetOrderbookMovementRequest) GetSell() bool { + if x != nil { + return x.Sell + } + return false +} + +func (x *GetOrderbookMovementRequest) GetRequiresRestOrderbook() bool { + if x != nil { + return x.RequiresRestOrderbook + } + return false +} + +func (x *GetOrderbookMovementRequest) GetPurchase() bool { + if x != nil { + return x.Purchase + } + return false +} + +type GetOrderbookMovementResponse struct { + state protoimpl.MessageState + sizeCache protoimpl.SizeCache + unknownFields protoimpl.UnknownFields + + NominalPercentage float64 `protobuf:"fixed64,1,opt,name=nominal_percentage,json=nominalPercentage,proto3" json:"nominal_percentage,omitempty"` + ImpactPercentage float64 `protobuf:"fixed64,2,opt,name=impact_percentage,json=impactPercentage,proto3" json:"impact_percentage,omitempty"` + SlippageCost float64 `protobuf:"fixed64,3,opt,name=slippage_cost,json=slippageCost,proto3" json:"slippage_cost,omitempty"` + CurrencyBought string `protobuf:"bytes,4,opt,name=currency_bought,json=currencyBought,proto3" json:"currency_bought,omitempty"` + Bought float64 `protobuf:"fixed64,5,opt,name=bought,proto3" json:"bought,omitempty"` + CurrencySold string `protobuf:"bytes,6,opt,name=currency_sold,json=currencySold,proto3" json:"currency_sold,omitempty"` + Sold float64 `protobuf:"fixed64,7,opt,name=sold,proto3" json:"sold,omitempty"` + SideAffected string `protobuf:"bytes,8,opt,name=side_affected,json=sideAffected,proto3" json:"side_affected,omitempty"` + UpdateProtocol string `protobuf:"bytes,9,opt,name=update_protocol,json=updateProtocol,proto3" json:"update_protocol,omitempty"` + FullOrderbookSideConsumed bool `protobuf:"varint,10,opt,name=full_orderbook_side_consumed,json=fullOrderbookSideConsumed,proto3" json:"full_orderbook_side_consumed,omitempty"` + StartPrice float64 `protobuf:"fixed64,11,opt,name=start_price,json=startPrice,proto3" json:"start_price,omitempty"` + EndPrice float64 `protobuf:"fixed64,12,opt,name=end_price,json=endPrice,proto3" json:"end_price,omitempty"` + NoSlippageOccurred bool `protobuf:"varint,13,opt,name=no_slippage_occurred,json=noSlippageOccurred,proto3" json:"no_slippage_occurred,omitempty"` + AverageOrderCost float64 `protobuf:"fixed64,14,opt,name=average_order_cost,json=averageOrderCost,proto3" json:"average_order_cost,omitempty"` +} + +func (x *GetOrderbookMovementResponse) Reset() { + *x = GetOrderbookMovementResponse{} + if protoimpl.UnsafeEnabled { + mi := &file_rpc_proto_msgTypes[197] + ms := protoimpl.X.MessageStateOf(protoimpl.Pointer(x)) + ms.StoreMessageInfo(mi) + } +} + +func (x *GetOrderbookMovementResponse) String() string { + return protoimpl.X.MessageStringOf(x) +} + +func (*GetOrderbookMovementResponse) ProtoMessage() {} + +func (x *GetOrderbookMovementResponse) ProtoReflect() protoreflect.Message { + mi := &file_rpc_proto_msgTypes[197] + if protoimpl.UnsafeEnabled && x != nil { + ms := protoimpl.X.MessageStateOf(protoimpl.Pointer(x)) + if ms.LoadMessageInfo() == nil { + ms.StoreMessageInfo(mi) + } + return ms + } + return mi.MessageOf(x) +} + +// Deprecated: Use GetOrderbookMovementResponse.ProtoReflect.Descriptor instead. +func (*GetOrderbookMovementResponse) Descriptor() ([]byte, []int) { + return file_rpc_proto_rawDescGZIP(), []int{197} +} + +func (x *GetOrderbookMovementResponse) GetNominalPercentage() float64 { + if x != nil { + return x.NominalPercentage + } + return 0 +} + +func (x *GetOrderbookMovementResponse) GetImpactPercentage() float64 { + if x != nil { + return x.ImpactPercentage + } + return 0 +} + +func (x *GetOrderbookMovementResponse) GetSlippageCost() float64 { + if x != nil { + return x.SlippageCost + } + return 0 +} + +func (x *GetOrderbookMovementResponse) GetCurrencyBought() string { + if x != nil { + return x.CurrencyBought + } + return "" +} + +func (x *GetOrderbookMovementResponse) GetBought() float64 { + if x != nil { + return x.Bought + } + return 0 +} + +func (x *GetOrderbookMovementResponse) GetCurrencySold() string { + if x != nil { + return x.CurrencySold + } + return "" +} + +func (x *GetOrderbookMovementResponse) GetSold() float64 { + if x != nil { + return x.Sold + } + return 0 +} + +func (x *GetOrderbookMovementResponse) GetSideAffected() string { + if x != nil { + return x.SideAffected + } + return "" +} + +func (x *GetOrderbookMovementResponse) GetUpdateProtocol() string { + if x != nil { + return x.UpdateProtocol + } + return "" +} + +func (x *GetOrderbookMovementResponse) GetFullOrderbookSideConsumed() bool { + if x != nil { + return x.FullOrderbookSideConsumed + } + return false +} + +func (x *GetOrderbookMovementResponse) GetStartPrice() float64 { + if x != nil { + return x.StartPrice + } + return 0 +} + +func (x *GetOrderbookMovementResponse) GetEndPrice() float64 { + if x != nil { + return x.EndPrice + } + return 0 +} + +func (x *GetOrderbookMovementResponse) GetNoSlippageOccurred() bool { + if x != nil { + return x.NoSlippageOccurred + } + return false +} + +func (x *GetOrderbookMovementResponse) GetAverageOrderCost() float64 { + if x != nil { + return x.AverageOrderCost + } + return 0 +} + +type GetOrderbookAmountByNominalRequest struct { + state protoimpl.MessageState + sizeCache protoimpl.SizeCache + unknownFields protoimpl.UnknownFields + + Exchange string `protobuf:"bytes,1,opt,name=exchange,proto3" json:"exchange,omitempty"` + Asset string `protobuf:"bytes,2,opt,name=asset,proto3" json:"asset,omitempty"` + Pair *CurrencyPair `protobuf:"bytes,3,opt,name=pair,proto3" json:"pair,omitempty"` + NominalPercentage float64 `protobuf:"fixed64,6,opt,name=nominal_percentage,json=nominalPercentage,proto3" json:"nominal_percentage,omitempty"` + Sell bool `protobuf:"varint,7,opt,name=sell,proto3" json:"sell,omitempty"` + RequiresRestOrderbook bool `protobuf:"varint,8,opt,name=requires_rest_orderbook,json=requiresRestOrderbook,proto3" json:"requires_rest_orderbook,omitempty"` +} + +func (x *GetOrderbookAmountByNominalRequest) Reset() { + *x = GetOrderbookAmountByNominalRequest{} + if protoimpl.UnsafeEnabled { + mi := &file_rpc_proto_msgTypes[198] + ms := protoimpl.X.MessageStateOf(protoimpl.Pointer(x)) + ms.StoreMessageInfo(mi) + } +} + +func (x *GetOrderbookAmountByNominalRequest) String() string { + return protoimpl.X.MessageStringOf(x) +} + +func (*GetOrderbookAmountByNominalRequest) ProtoMessage() {} + +func (x *GetOrderbookAmountByNominalRequest) ProtoReflect() protoreflect.Message { + mi := &file_rpc_proto_msgTypes[198] + if protoimpl.UnsafeEnabled && x != nil { + ms := protoimpl.X.MessageStateOf(protoimpl.Pointer(x)) + if ms.LoadMessageInfo() == nil { + ms.StoreMessageInfo(mi) + } + return ms + } + return mi.MessageOf(x) +} + +// Deprecated: Use GetOrderbookAmountByNominalRequest.ProtoReflect.Descriptor instead. +func (*GetOrderbookAmountByNominalRequest) Descriptor() ([]byte, []int) { + return file_rpc_proto_rawDescGZIP(), []int{198} +} + +func (x *GetOrderbookAmountByNominalRequest) GetExchange() string { + if x != nil { + return x.Exchange + } + return "" +} + +func (x *GetOrderbookAmountByNominalRequest) GetAsset() string { + if x != nil { + return x.Asset + } + return "" +} + +func (x *GetOrderbookAmountByNominalRequest) GetPair() *CurrencyPair { + if x != nil { + return x.Pair + } + return nil +} + +func (x *GetOrderbookAmountByNominalRequest) GetNominalPercentage() float64 { + if x != nil { + return x.NominalPercentage + } + return 0 +} + +func (x *GetOrderbookAmountByNominalRequest) GetSell() bool { + if x != nil { + return x.Sell + } + return false +} + +func (x *GetOrderbookAmountByNominalRequest) GetRequiresRestOrderbook() bool { + if x != nil { + return x.RequiresRestOrderbook + } + return false +} + +type GetOrderbookAmountByNominalResponse struct { + state protoimpl.MessageState + sizeCache protoimpl.SizeCache + unknownFields protoimpl.UnknownFields + + AmountRequired float64 `protobuf:"fixed64,1,opt,name=amount_required,json=amountRequired,proto3" json:"amount_required,omitempty"` + CurrencySelling string `protobuf:"bytes,2,opt,name=currency_selling,json=currencySelling,proto3" json:"currency_selling,omitempty"` + AmountReceived float64 `protobuf:"fixed64,3,opt,name=amount_received,json=amountReceived,proto3" json:"amount_received,omitempty"` + CurrencyBuying string `protobuf:"bytes,4,opt,name=currency_buying,json=currencyBuying,proto3" json:"currency_buying,omitempty"` + StartPrice float64 `protobuf:"fixed64,5,opt,name=start_price,json=startPrice,proto3" json:"start_price,omitempty"` + EndPrice float64 `protobuf:"fixed64,6,opt,name=end_price,json=endPrice,proto3" json:"end_price,omitempty"` + AverageOrderCost float64 `protobuf:"fixed64,7,opt,name=average_order_cost,json=averageOrderCost,proto3" json:"average_order_cost,omitempty"` + SideAffected string `protobuf:"bytes,8,opt,name=side_affected,json=sideAffected,proto3" json:"side_affected,omitempty"` + ApproximateNominalSlippagePercentage float64 `protobuf:"fixed64,9,opt,name=approximate_nominal_slippage_percentage,json=approximateNominalSlippagePercentage,proto3" json:"approximate_nominal_slippage_percentage,omitempty"` + UpdateProtocol string `protobuf:"bytes,10,opt,name=update_protocol,json=updateProtocol,proto3" json:"update_protocol,omitempty"` + FullOrderbookSideConsumed bool `protobuf:"varint,11,opt,name=full_orderbook_side_consumed,json=fullOrderbookSideConsumed,proto3" json:"full_orderbook_side_consumed,omitempty"` +} + +func (x *GetOrderbookAmountByNominalResponse) Reset() { + *x = GetOrderbookAmountByNominalResponse{} + if protoimpl.UnsafeEnabled { + mi := &file_rpc_proto_msgTypes[199] + ms := protoimpl.X.MessageStateOf(protoimpl.Pointer(x)) + ms.StoreMessageInfo(mi) + } +} + +func (x *GetOrderbookAmountByNominalResponse) String() string { + return protoimpl.X.MessageStringOf(x) +} + +func (*GetOrderbookAmountByNominalResponse) ProtoMessage() {} + +func (x *GetOrderbookAmountByNominalResponse) ProtoReflect() protoreflect.Message { + mi := &file_rpc_proto_msgTypes[199] + if protoimpl.UnsafeEnabled && x != nil { + ms := protoimpl.X.MessageStateOf(protoimpl.Pointer(x)) + if ms.LoadMessageInfo() == nil { + ms.StoreMessageInfo(mi) + } + return ms + } + return mi.MessageOf(x) +} + +// Deprecated: Use GetOrderbookAmountByNominalResponse.ProtoReflect.Descriptor instead. +func (*GetOrderbookAmountByNominalResponse) Descriptor() ([]byte, []int) { + return file_rpc_proto_rawDescGZIP(), []int{199} +} + +func (x *GetOrderbookAmountByNominalResponse) GetAmountRequired() float64 { + if x != nil { + return x.AmountRequired + } + return 0 +} + +func (x *GetOrderbookAmountByNominalResponse) GetCurrencySelling() string { + if x != nil { + return x.CurrencySelling + } + return "" +} + +func (x *GetOrderbookAmountByNominalResponse) GetAmountReceived() float64 { + if x != nil { + return x.AmountReceived + } + return 0 +} + +func (x *GetOrderbookAmountByNominalResponse) GetCurrencyBuying() string { + if x != nil { + return x.CurrencyBuying + } + return "" +} + +func (x *GetOrderbookAmountByNominalResponse) GetStartPrice() float64 { + if x != nil { + return x.StartPrice + } + return 0 +} + +func (x *GetOrderbookAmountByNominalResponse) GetEndPrice() float64 { + if x != nil { + return x.EndPrice + } + return 0 +} + +func (x *GetOrderbookAmountByNominalResponse) GetAverageOrderCost() float64 { + if x != nil { + return x.AverageOrderCost + } + return 0 +} + +func (x *GetOrderbookAmountByNominalResponse) GetSideAffected() string { + if x != nil { + return x.SideAffected + } + return "" +} + +func (x *GetOrderbookAmountByNominalResponse) GetApproximateNominalSlippagePercentage() float64 { + if x != nil { + return x.ApproximateNominalSlippagePercentage + } + return 0 +} + +func (x *GetOrderbookAmountByNominalResponse) GetUpdateProtocol() string { + if x != nil { + return x.UpdateProtocol + } + return "" +} + +func (x *GetOrderbookAmountByNominalResponse) GetFullOrderbookSideConsumed() bool { + if x != nil { + return x.FullOrderbookSideConsumed + } + return false +} + +type GetOrderbookAmountByImpactRequest struct { + state protoimpl.MessageState + sizeCache protoimpl.SizeCache + unknownFields protoimpl.UnknownFields + + Exchange string `protobuf:"bytes,1,opt,name=exchange,proto3" json:"exchange,omitempty"` + Asset string `protobuf:"bytes,2,opt,name=asset,proto3" json:"asset,omitempty"` + Pair *CurrencyPair `protobuf:"bytes,3,opt,name=pair,proto3" json:"pair,omitempty"` + ImpactPercentage float64 `protobuf:"fixed64,6,opt,name=impact_percentage,json=impactPercentage,proto3" json:"impact_percentage,omitempty"` + Sell bool `protobuf:"varint,7,opt,name=sell,proto3" json:"sell,omitempty"` + RequiresRestOrderbook bool `protobuf:"varint,8,opt,name=requires_rest_orderbook,json=requiresRestOrderbook,proto3" json:"requires_rest_orderbook,omitempty"` +} + +func (x *GetOrderbookAmountByImpactRequest) Reset() { + *x = GetOrderbookAmountByImpactRequest{} + if protoimpl.UnsafeEnabled { + mi := &file_rpc_proto_msgTypes[200] + ms := protoimpl.X.MessageStateOf(protoimpl.Pointer(x)) + ms.StoreMessageInfo(mi) + } +} + +func (x *GetOrderbookAmountByImpactRequest) String() string { + return protoimpl.X.MessageStringOf(x) +} + +func (*GetOrderbookAmountByImpactRequest) ProtoMessage() {} + +func (x *GetOrderbookAmountByImpactRequest) ProtoReflect() protoreflect.Message { + mi := &file_rpc_proto_msgTypes[200] + if protoimpl.UnsafeEnabled && x != nil { + ms := protoimpl.X.MessageStateOf(protoimpl.Pointer(x)) + if ms.LoadMessageInfo() == nil { + ms.StoreMessageInfo(mi) + } + return ms + } + return mi.MessageOf(x) +} + +// Deprecated: Use GetOrderbookAmountByImpactRequest.ProtoReflect.Descriptor instead. +func (*GetOrderbookAmountByImpactRequest) Descriptor() ([]byte, []int) { + return file_rpc_proto_rawDescGZIP(), []int{200} +} + +func (x *GetOrderbookAmountByImpactRequest) GetExchange() string { + if x != nil { + return x.Exchange + } + return "" +} + +func (x *GetOrderbookAmountByImpactRequest) GetAsset() string { + if x != nil { + return x.Asset + } + return "" +} + +func (x *GetOrderbookAmountByImpactRequest) GetPair() *CurrencyPair { + if x != nil { + return x.Pair + } + return nil +} + +func (x *GetOrderbookAmountByImpactRequest) GetImpactPercentage() float64 { + if x != nil { + return x.ImpactPercentage + } + return 0 +} + +func (x *GetOrderbookAmountByImpactRequest) GetSell() bool { + if x != nil { + return x.Sell + } + return false +} + +func (x *GetOrderbookAmountByImpactRequest) GetRequiresRestOrderbook() bool { + if x != nil { + return x.RequiresRestOrderbook + } + return false +} + +type GetOrderbookAmountByImpactResponse struct { + state protoimpl.MessageState + sizeCache protoimpl.SizeCache + unknownFields protoimpl.UnknownFields + + AmountRequired float64 `protobuf:"fixed64,1,opt,name=amount_required,json=amountRequired,proto3" json:"amount_required,omitempty"` + CurrencySelling string `protobuf:"bytes,2,opt,name=currency_selling,json=currencySelling,proto3" json:"currency_selling,omitempty"` + AmountReceived float64 `protobuf:"fixed64,3,opt,name=amount_received,json=amountReceived,proto3" json:"amount_received,omitempty"` + CurrencyBuying string `protobuf:"bytes,4,opt,name=currency_buying,json=currencyBuying,proto3" json:"currency_buying,omitempty"` + StartPrice float64 `protobuf:"fixed64,5,opt,name=start_price,json=startPrice,proto3" json:"start_price,omitempty"` + EndPrice float64 `protobuf:"fixed64,6,opt,name=end_price,json=endPrice,proto3" json:"end_price,omitempty"` + AverageOrderCost float64 `protobuf:"fixed64,7,opt,name=average_order_cost,json=averageOrderCost,proto3" json:"average_order_cost,omitempty"` + SideAffected string `protobuf:"bytes,8,opt,name=side_affected,json=sideAffected,proto3" json:"side_affected,omitempty"` + ApproximateImpactSlippagePercentage float64 `protobuf:"fixed64,9,opt,name=approximate_impact_slippage_percentage,json=approximateImpactSlippagePercentage,proto3" json:"approximate_impact_slippage_percentage,omitempty"` + UpdateProtocol string `protobuf:"bytes,10,opt,name=update_protocol,json=updateProtocol,proto3" json:"update_protocol,omitempty"` + FullOrderbookSideConsumed bool `protobuf:"varint,11,opt,name=full_orderbook_side_consumed,json=fullOrderbookSideConsumed,proto3" json:"full_orderbook_side_consumed,omitempty"` +} + +func (x *GetOrderbookAmountByImpactResponse) Reset() { + *x = GetOrderbookAmountByImpactResponse{} + if protoimpl.UnsafeEnabled { + mi := &file_rpc_proto_msgTypes[201] + ms := protoimpl.X.MessageStateOf(protoimpl.Pointer(x)) + ms.StoreMessageInfo(mi) + } +} + +func (x *GetOrderbookAmountByImpactResponse) String() string { + return protoimpl.X.MessageStringOf(x) +} + +func (*GetOrderbookAmountByImpactResponse) ProtoMessage() {} + +func (x *GetOrderbookAmountByImpactResponse) ProtoReflect() protoreflect.Message { + mi := &file_rpc_proto_msgTypes[201] + if protoimpl.UnsafeEnabled && x != nil { + ms := protoimpl.X.MessageStateOf(protoimpl.Pointer(x)) + if ms.LoadMessageInfo() == nil { + ms.StoreMessageInfo(mi) + } + return ms + } + return mi.MessageOf(x) +} + +// Deprecated: Use GetOrderbookAmountByImpactResponse.ProtoReflect.Descriptor instead. +func (*GetOrderbookAmountByImpactResponse) Descriptor() ([]byte, []int) { + return file_rpc_proto_rawDescGZIP(), []int{201} +} + +func (x *GetOrderbookAmountByImpactResponse) GetAmountRequired() float64 { + if x != nil { + return x.AmountRequired + } + return 0 +} + +func (x *GetOrderbookAmountByImpactResponse) GetCurrencySelling() string { + if x != nil { + return x.CurrencySelling + } + return "" +} + +func (x *GetOrderbookAmountByImpactResponse) GetAmountReceived() float64 { + if x != nil { + return x.AmountReceived + } + return 0 +} + +func (x *GetOrderbookAmountByImpactResponse) GetCurrencyBuying() string { + if x != nil { + return x.CurrencyBuying + } + return "" +} + +func (x *GetOrderbookAmountByImpactResponse) GetStartPrice() float64 { + if x != nil { + return x.StartPrice + } + return 0 +} + +func (x *GetOrderbookAmountByImpactResponse) GetEndPrice() float64 { + if x != nil { + return x.EndPrice + } + return 0 +} + +func (x *GetOrderbookAmountByImpactResponse) GetAverageOrderCost() float64 { + if x != nil { + return x.AverageOrderCost + } + return 0 +} + +func (x *GetOrderbookAmountByImpactResponse) GetSideAffected() string { + if x != nil { + return x.SideAffected + } + return "" +} + +func (x *GetOrderbookAmountByImpactResponse) GetApproximateImpactSlippagePercentage() float64 { + if x != nil { + return x.ApproximateImpactSlippagePercentage + } + return 0 +} + +func (x *GetOrderbookAmountByImpactResponse) GetUpdateProtocol() string { + if x != nil { + return x.UpdateProtocol + } + return "" +} + +func (x *GetOrderbookAmountByImpactResponse) GetFullOrderbookSideConsumed() bool { + if x != nil { + return x.FullOrderbookSideConsumed + } + return false +} + var File_rpc_proto protoreflect.FileDescriptor var file_rpc_proto_rawDesc = []byte{ @@ -13848,7 +14530,7 @@ var file_rpc_proto_rawDesc = []byte{ 0x01, 0x28, 0x01, 0x52, 0x12, 0x70, 0x65, 0x72, 0x63, 0x65, 0x6e, 0x74, 0x61, 0x67, 0x65, 0x47, 0x61, 0x69, 0x6e, 0x4c, 0x6f, 0x73, 0x73, 0x12, 0x16, 0x0a, 0x06, 0x73, 0x74, 0x61, 0x74, 0x75, 0x73, 0x18, 0x06, 0x20, 0x01, 0x28, 0x09, 0x52, 0x06, 0x73, 0x74, 0x61, 0x74, 0x75, 0x73, 0x22, - 0x8f, 0x01, 0x0a, 0x10, 0x57, 0x68, 0x61, 0x6c, 0x65, 0x42, 0x6f, 0x6d, 0x62, 0x52, 0x65, 0x71, 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0x70, 0x63, 0x62, 0x06, 0x70, 0x72, @@ -16011,7 +16875,7 @@ func file_rpc_proto_rawDescGZIP() []byte { return file_rpc_proto_rawDescData } -var file_rpc_proto_msgTypes = make([]protoimpl.MessageInfo, 210) +var file_rpc_proto_msgTypes = make([]protoimpl.MessageInfo, 216) var file_rpc_proto_goTypes = []interface{}{ (*GetInfoRequest)(nil), // 0: gctrpc.GetInfoRequest (*GetInfoResponse)(nil), // 1: gctrpc.GetInfoResponse @@ -16209,30 +17073,36 @@ var file_rpc_proto_goTypes = []interface{}{ (*BorrowCost)(nil), // 193: gctrpc.BorrowCost (*MarginRate)(nil), // 194: gctrpc.MarginRate (*GetMarginRatesHistoryResponse)(nil), // 195: gctrpc.GetMarginRatesHistoryResponse - nil, // 196: gctrpc.GetInfoResponse.SubsystemStatusEntry - nil, // 197: gctrpc.GetInfoResponse.RpcEndpointsEntry - nil, // 198: gctrpc.GetCommunicationRelayersResponse.CommunicationRelayersEntry - nil, // 199: gctrpc.GetSusbsytemsResponse.SubsystemsStatusEntry - nil, // 200: gctrpc.GetRPCEndpointsResponse.EndpointsEntry - nil, // 201: gctrpc.GetExchangeOTPsResponse.OtpCodesEntry - nil, // 202: gctrpc.GetExchangeInfoResponse.SupportedAssetsEntry - nil, // 203: gctrpc.OnlineCoins.CoinsEntry - nil, // 204: gctrpc.GetPortfolioSummaryResponse.CoinsOfflineSummaryEntry - nil, // 205: gctrpc.GetPortfolioSummaryResponse.CoinsOnlineSummaryEntry - nil, // 206: gctrpc.Orders.OrderStatusEntry - nil, // 207: gctrpc.GetCryptocurrencyDepositAddressesResponse.AddressesEntry - nil, // 208: gctrpc.GetExchangePairsResponse.SupportedAssetsEntry - nil, // 209: gctrpc.GetTechnicalAnalysisResponse.SignalsEntry - (*timestamppb.Timestamp)(nil), // 210: google.protobuf.Timestamp + (*GetOrderbookMovementRequest)(nil), // 196: gctrpc.GetOrderbookMovementRequest + (*GetOrderbookMovementResponse)(nil), // 197: gctrpc.GetOrderbookMovementResponse + (*GetOrderbookAmountByNominalRequest)(nil), // 198: gctrpc.GetOrderbookAmountByNominalRequest + (*GetOrderbookAmountByNominalResponse)(nil), // 199: gctrpc.GetOrderbookAmountByNominalResponse + (*GetOrderbookAmountByImpactRequest)(nil), // 200: gctrpc.GetOrderbookAmountByImpactRequest + (*GetOrderbookAmountByImpactResponse)(nil), // 201: gctrpc.GetOrderbookAmountByImpactResponse + nil, // 202: gctrpc.GetInfoResponse.SubsystemStatusEntry + nil, // 203: gctrpc.GetInfoResponse.RpcEndpointsEntry + nil, // 204: gctrpc.GetCommunicationRelayersResponse.CommunicationRelayersEntry + nil, // 205: gctrpc.GetSusbsytemsResponse.SubsystemsStatusEntry + nil, // 206: gctrpc.GetRPCEndpointsResponse.EndpointsEntry + nil, // 207: gctrpc.GetExchangeOTPsResponse.OtpCodesEntry + nil, // 208: gctrpc.GetExchangeInfoResponse.SupportedAssetsEntry + nil, // 209: gctrpc.OnlineCoins.CoinsEntry + nil, // 210: gctrpc.GetPortfolioSummaryResponse.CoinsOfflineSummaryEntry + nil, // 211: gctrpc.GetPortfolioSummaryResponse.CoinsOnlineSummaryEntry + nil, // 212: gctrpc.Orders.OrderStatusEntry + nil, // 213: gctrpc.GetCryptocurrencyDepositAddressesResponse.AddressesEntry + nil, // 214: gctrpc.GetExchangePairsResponse.SupportedAssetsEntry + nil, // 215: gctrpc.GetTechnicalAnalysisResponse.SignalsEntry + (*timestamppb.Timestamp)(nil), // 216: google.protobuf.Timestamp } var file_rpc_proto_depIdxs = []int32{ - 196, // 0: gctrpc.GetInfoResponse.subsystem_status:type_name -> gctrpc.GetInfoResponse.SubsystemStatusEntry - 197, // 1: gctrpc.GetInfoResponse.rpc_endpoints:type_name -> gctrpc.GetInfoResponse.RpcEndpointsEntry - 198, // 2: gctrpc.GetCommunicationRelayersResponse.communication_relayers:type_name -> gctrpc.GetCommunicationRelayersResponse.CommunicationRelayersEntry - 199, // 3: gctrpc.GetSusbsytemsResponse.subsystems_status:type_name -> gctrpc.GetSusbsytemsResponse.SubsystemsStatusEntry - 200, // 4: gctrpc.GetRPCEndpointsResponse.endpoints:type_name -> gctrpc.GetRPCEndpointsResponse.EndpointsEntry - 201, // 5: gctrpc.GetExchangeOTPsResponse.otp_codes:type_name -> gctrpc.GetExchangeOTPsResponse.OtpCodesEntry - 202, // 6: gctrpc.GetExchangeInfoResponse.supported_assets:type_name -> gctrpc.GetExchangeInfoResponse.SupportedAssetsEntry + 202, // 0: gctrpc.GetInfoResponse.subsystem_status:type_name -> gctrpc.GetInfoResponse.SubsystemStatusEntry + 203, // 1: gctrpc.GetInfoResponse.rpc_endpoints:type_name -> gctrpc.GetInfoResponse.RpcEndpointsEntry + 204, // 2: gctrpc.GetCommunicationRelayersResponse.communication_relayers:type_name -> gctrpc.GetCommunicationRelayersResponse.CommunicationRelayersEntry + 205, // 3: gctrpc.GetSusbsytemsResponse.subsystems_status:type_name -> gctrpc.GetSusbsytemsResponse.SubsystemsStatusEntry + 206, // 4: gctrpc.GetRPCEndpointsResponse.endpoints:type_name -> gctrpc.GetRPCEndpointsResponse.EndpointsEntry + 207, // 5: gctrpc.GetExchangeOTPsResponse.otp_codes:type_name -> gctrpc.GetExchangeOTPsResponse.OtpCodesEntry + 208, // 6: gctrpc.GetExchangeInfoResponse.supported_assets:type_name -> gctrpc.GetExchangeInfoResponse.SupportedAssetsEntry 21, // 7: gctrpc.GetTickerRequest.pair:type_name -> gctrpc.CurrencyPair 21, // 8: gctrpc.TickerResponse.pair:type_name -> gctrpc.CurrencyPair 22, // 9: gctrpc.Tickers.tickers:type_name -> gctrpc.TickerResponse @@ -16247,12 +17117,12 @@ var file_rpc_proto_depIdxs = []int32{ 33, // 18: gctrpc.GetAccountInfoResponse.accounts:type_name -> gctrpc.Account 38, // 19: gctrpc.GetPortfolioResponse.portfolio:type_name -> gctrpc.PortfolioAddress 43, // 20: gctrpc.OfflineCoins.addresses:type_name -> gctrpc.OfflineCoinSummary - 203, // 21: gctrpc.OnlineCoins.coins:type_name -> gctrpc.OnlineCoins.CoinsEntry + 209, // 21: gctrpc.OnlineCoins.coins:type_name -> gctrpc.OnlineCoins.CoinsEntry 42, // 22: gctrpc.GetPortfolioSummaryResponse.coin_totals:type_name -> gctrpc.Coin 42, // 23: gctrpc.GetPortfolioSummaryResponse.coins_offline:type_name -> gctrpc.Coin - 204, // 24: gctrpc.GetPortfolioSummaryResponse.coins_offline_summary:type_name -> gctrpc.GetPortfolioSummaryResponse.CoinsOfflineSummaryEntry + 210, // 24: gctrpc.GetPortfolioSummaryResponse.coins_offline_summary:type_name -> gctrpc.GetPortfolioSummaryResponse.CoinsOfflineSummaryEntry 42, // 25: gctrpc.GetPortfolioSummaryResponse.coins_online:type_name -> gctrpc.Coin - 205, // 26: gctrpc.GetPortfolioSummaryResponse.coins_online_summary:type_name -> gctrpc.GetPortfolioSummaryResponse.CoinsOnlineSummaryEntry + 211, // 26: gctrpc.GetPortfolioSummaryResponse.coins_online_summary:type_name -> gctrpc.GetPortfolioSummaryResponse.CoinsOnlineSummaryEntry 51, // 27: gctrpc.GetForexProvidersResponse.forex_providers:type_name -> gctrpc.ForexProvider 54, // 28: gctrpc.GetForexRatesResponse.forex_rates:type_name -> gctrpc.ForexRatesConversion 57, // 29: gctrpc.OrderDetails.trades:type_name -> gctrpc.TradeHistory @@ -16266,7 +17136,7 @@ var file_rpc_proto_depIdxs = []int32{ 21, // 37: gctrpc.WhaleBombRequest.pair:type_name -> gctrpc.CurrencyPair 21, // 38: gctrpc.CancelOrderRequest.pair:type_name -> gctrpc.CurrencyPair 21, // 39: gctrpc.CancelBatchOrdersRequest.pair:type_name -> gctrpc.CurrencyPair - 206, // 40: gctrpc.Orders.order_status:type_name -> gctrpc.Orders.OrderStatusEntry + 212, // 40: gctrpc.Orders.order_status:type_name -> gctrpc.Orders.OrderStatusEntry 69, // 41: gctrpc.CancelBatchOrdersResponse.orders:type_name -> gctrpc.Orders 69, // 42: gctrpc.CancelAllOrdersResponse.orders:type_name -> gctrpc.Orders 74, // 43: gctrpc.GetEventsResponse.condition_params:type_name -> gctrpc.ConditionParams @@ -16274,16 +17144,16 @@ var file_rpc_proto_depIdxs = []int32{ 74, // 45: gctrpc.AddEventRequest.condition_params:type_name -> gctrpc.ConditionParams 21, // 46: gctrpc.AddEventRequest.pair:type_name -> gctrpc.CurrencyPair 80, // 47: gctrpc.DepositAddresses.addresses:type_name -> gctrpc.DepositAddress - 207, // 48: gctrpc.GetCryptocurrencyDepositAddressesResponse.addresses:type_name -> gctrpc.GetCryptocurrencyDepositAddressesResponse.AddressesEntry + 213, // 48: gctrpc.GetCryptocurrencyDepositAddressesResponse.addresses:type_name -> gctrpc.GetCryptocurrencyDepositAddressesResponse.AddressesEntry 95, // 49: gctrpc.WithdrawalEventByIDResponse.event:type_name -> gctrpc.WithdrawalEventResponse 95, // 50: gctrpc.WithdrawalEventsByExchangeResponse.event:type_name -> gctrpc.WithdrawalEventResponse 96, // 51: gctrpc.WithdrawalEventResponse.exchange:type_name -> gctrpc.WithdrawlExchangeEvent 97, // 52: gctrpc.WithdrawalEventResponse.request:type_name -> gctrpc.WithdrawalRequestEvent - 210, // 53: gctrpc.WithdrawalEventResponse.created_at:type_name -> google.protobuf.Timestamp - 210, // 54: gctrpc.WithdrawalEventResponse.updated_at:type_name -> google.protobuf.Timestamp + 216, // 53: gctrpc.WithdrawalEventResponse.created_at:type_name -> google.protobuf.Timestamp + 216, // 54: gctrpc.WithdrawalEventResponse.updated_at:type_name -> google.protobuf.Timestamp 98, // 55: gctrpc.WithdrawalRequestEvent.fiat:type_name -> gctrpc.FiatWithdrawalEvent 99, // 56: gctrpc.WithdrawalRequestEvent.crypto:type_name -> gctrpc.CryptoWithdrawalEvent - 208, // 57: gctrpc.GetExchangePairsResponse.supported_assets:type_name -> gctrpc.GetExchangePairsResponse.SupportedAssetsEntry + 214, // 57: gctrpc.GetExchangePairsResponse.supported_assets:type_name -> gctrpc.GetExchangePairsResponse.SupportedAssetsEntry 21, // 58: gctrpc.SetExchangePairRequest.pairs:type_name -> gctrpc.CurrencyPair 21, // 59: gctrpc.GetOrderbookStreamRequest.pair:type_name -> gctrpc.CurrencyPair 21, // 60: gctrpc.GetTickerStreamRequest.pair:type_name -> gctrpc.CurrencyPair @@ -16331,235 +17201,244 @@ var file_rpc_proto_depIdxs = []int32{ 183, // 102: gctrpc.CollateralForCurrency.used_breakdown:type_name -> gctrpc.CollateralUsedBreakdown 171, // 103: gctrpc.GetFundingRatesResponse.funding_payments:type_name -> gctrpc.FundingData 21, // 104: gctrpc.GetTechnicalAnalysisRequest.pair:type_name -> gctrpc.CurrencyPair - 210, // 105: gctrpc.GetTechnicalAnalysisRequest.start:type_name -> google.protobuf.Timestamp - 210, // 106: gctrpc.GetTechnicalAnalysisRequest.end:type_name -> google.protobuf.Timestamp + 216, // 105: gctrpc.GetTechnicalAnalysisRequest.start:type_name -> google.protobuf.Timestamp + 216, // 106: gctrpc.GetTechnicalAnalysisRequest.end:type_name -> google.protobuf.Timestamp 21, // 107: gctrpc.GetTechnicalAnalysisRequest.other_pair:type_name -> gctrpc.CurrencyPair - 209, // 108: gctrpc.GetTechnicalAnalysisResponse.signals:type_name -> gctrpc.GetTechnicalAnalysisResponse.SignalsEntry + 215, // 108: gctrpc.GetTechnicalAnalysisResponse.signals:type_name -> gctrpc.GetTechnicalAnalysisResponse.SignalsEntry 194, // 109: gctrpc.GetMarginRatesHistoryRequest.rates:type_name -> gctrpc.MarginRate 192, // 110: gctrpc.MarginRate.lending_payment:type_name -> gctrpc.LendingPayment 193, // 111: gctrpc.MarginRate.borrow_cost:type_name -> gctrpc.BorrowCost 194, // 112: gctrpc.GetMarginRatesHistoryResponse.rates:type_name -> gctrpc.MarginRate 194, // 113: gctrpc.GetMarginRatesHistoryResponse.latest_rate:type_name -> gctrpc.MarginRate 194, // 114: gctrpc.GetMarginRatesHistoryResponse.predicted_rate:type_name -> gctrpc.MarginRate - 9, // 115: gctrpc.GetInfoResponse.RpcEndpointsEntry.value:type_name -> gctrpc.RPCEndpoint - 3, // 116: gctrpc.GetCommunicationRelayersResponse.CommunicationRelayersEntry.value:type_name -> gctrpc.CommunicationRelayer - 9, // 117: gctrpc.GetRPCEndpointsResponse.EndpointsEntry.value:type_name -> gctrpc.RPCEndpoint - 18, // 118: gctrpc.GetExchangeInfoResponse.SupportedAssetsEntry.value:type_name -> gctrpc.PairsSupported - 44, // 119: gctrpc.OnlineCoins.CoinsEntry.value:type_name -> gctrpc.OnlineCoinSummary - 45, // 120: gctrpc.GetPortfolioSummaryResponse.CoinsOfflineSummaryEntry.value:type_name -> gctrpc.OfflineCoins - 46, // 121: gctrpc.GetPortfolioSummaryResponse.CoinsOnlineSummaryEntry.value:type_name -> gctrpc.OnlineCoins - 81, // 122: gctrpc.GetCryptocurrencyDepositAddressesResponse.AddressesEntry.value:type_name -> gctrpc.DepositAddresses - 18, // 123: gctrpc.GetExchangePairsResponse.SupportedAssetsEntry.value:type_name -> gctrpc.PairsSupported - 189, // 124: gctrpc.GetTechnicalAnalysisResponse.SignalsEntry.value:type_name -> gctrpc.ListOfSignals - 0, // 125: gctrpc.GoCryptoTraderService.GetInfo:input_type -> gctrpc.GetInfoRequest - 6, // 126: gctrpc.GoCryptoTraderService.GetSubsystems:input_type -> gctrpc.GetSubsystemsRequest - 5, // 127: gctrpc.GoCryptoTraderService.EnableSubsystem:input_type -> gctrpc.GenericSubsystemRequest - 5, // 128: gctrpc.GoCryptoTraderService.DisableSubsystem:input_type -> gctrpc.GenericSubsystemRequest - 8, // 129: gctrpc.GoCryptoTraderService.GetRPCEndpoints:input_type -> gctrpc.GetRPCEndpointsRequest - 2, // 130: gctrpc.GoCryptoTraderService.GetCommunicationRelayers:input_type -> gctrpc.GetCommunicationRelayersRequest - 12, // 131: gctrpc.GoCryptoTraderService.GetExchanges:input_type -> gctrpc.GetExchangesRequest - 11, // 132: gctrpc.GoCryptoTraderService.DisableExchange:input_type -> gctrpc.GenericExchangeNameRequest - 11, // 133: gctrpc.GoCryptoTraderService.GetExchangeInfo:input_type -> gctrpc.GenericExchangeNameRequest - 11, // 134: gctrpc.GoCryptoTraderService.GetExchangeOTPCode:input_type -> gctrpc.GenericExchangeNameRequest - 15, // 135: gctrpc.GoCryptoTraderService.GetExchangeOTPCodes:input_type -> gctrpc.GetExchangeOTPsRequest - 11, // 136: gctrpc.GoCryptoTraderService.EnableExchange:input_type -> gctrpc.GenericExchangeNameRequest - 20, // 137: gctrpc.GoCryptoTraderService.GetTicker:input_type -> gctrpc.GetTickerRequest - 23, // 138: gctrpc.GoCryptoTraderService.GetTickers:input_type -> gctrpc.GetTickersRequest - 26, // 139: gctrpc.GoCryptoTraderService.GetOrderbook:input_type -> gctrpc.GetOrderbookRequest - 29, // 140: gctrpc.GoCryptoTraderService.GetOrderbooks:input_type -> gctrpc.GetOrderbooksRequest - 32, // 141: gctrpc.GoCryptoTraderService.GetAccountInfo:input_type -> gctrpc.GetAccountInfoRequest - 32, // 142: gctrpc.GoCryptoTraderService.UpdateAccountInfo:input_type -> gctrpc.GetAccountInfoRequest - 32, // 143: gctrpc.GoCryptoTraderService.GetAccountInfoStream:input_type -> gctrpc.GetAccountInfoRequest - 36, // 144: gctrpc.GoCryptoTraderService.GetConfig:input_type -> gctrpc.GetConfigRequest - 39, // 145: gctrpc.GoCryptoTraderService.GetPortfolio:input_type -> gctrpc.GetPortfolioRequest - 41, // 146: gctrpc.GoCryptoTraderService.GetPortfolioSummary:input_type -> gctrpc.GetPortfolioSummaryRequest - 48, // 147: gctrpc.GoCryptoTraderService.AddPortfolioAddress:input_type -> gctrpc.AddPortfolioAddressRequest - 49, // 148: gctrpc.GoCryptoTraderService.RemovePortfolioAddress:input_type -> gctrpc.RemovePortfolioAddressRequest - 50, // 149: gctrpc.GoCryptoTraderService.GetForexProviders:input_type -> gctrpc.GetForexProvidersRequest - 53, // 150: gctrpc.GoCryptoTraderService.GetForexRates:input_type -> gctrpc.GetForexRatesRequest - 58, // 151: gctrpc.GoCryptoTraderService.GetOrders:input_type -> gctrpc.GetOrdersRequest - 60, // 152: gctrpc.GoCryptoTraderService.GetOrder:input_type -> gctrpc.GetOrderRequest - 61, // 153: gctrpc.GoCryptoTraderService.SubmitOrder:input_type -> gctrpc.SubmitOrderRequest - 64, // 154: gctrpc.GoCryptoTraderService.SimulateOrder:input_type -> gctrpc.SimulateOrderRequest - 66, // 155: gctrpc.GoCryptoTraderService.WhaleBomb:input_type -> gctrpc.WhaleBombRequest - 67, // 156: gctrpc.GoCryptoTraderService.CancelOrder:input_type -> gctrpc.CancelOrderRequest - 68, // 157: gctrpc.GoCryptoTraderService.CancelBatchOrders:input_type -> gctrpc.CancelBatchOrdersRequest - 71, // 158: gctrpc.GoCryptoTraderService.CancelAllOrders:input_type -> gctrpc.CancelAllOrdersRequest - 73, // 159: gctrpc.GoCryptoTraderService.GetEvents:input_type -> gctrpc.GetEventsRequest - 76, // 160: gctrpc.GoCryptoTraderService.AddEvent:input_type -> gctrpc.AddEventRequest - 78, // 161: gctrpc.GoCryptoTraderService.RemoveEvent:input_type -> gctrpc.RemoveEventRequest - 79, // 162: gctrpc.GoCryptoTraderService.GetCryptocurrencyDepositAddresses:input_type -> gctrpc.GetCryptocurrencyDepositAddressesRequest - 83, // 163: gctrpc.GoCryptoTraderService.GetCryptocurrencyDepositAddress:input_type -> gctrpc.GetCryptocurrencyDepositAddressRequest - 85, // 164: gctrpc.GoCryptoTraderService.GetAvailableTransferChains:input_type -> gctrpc.GetAvailableTransferChainsRequest - 87, // 165: gctrpc.GoCryptoTraderService.WithdrawFiatFunds:input_type -> gctrpc.WithdrawFiatRequest - 88, // 166: gctrpc.GoCryptoTraderService.WithdrawCryptocurrencyFunds:input_type -> gctrpc.WithdrawCryptoRequest - 90, // 167: gctrpc.GoCryptoTraderService.WithdrawalEventByID:input_type -> gctrpc.WithdrawalEventByIDRequest - 92, // 168: gctrpc.GoCryptoTraderService.WithdrawalEventsByExchange:input_type -> gctrpc.WithdrawalEventsByExchangeRequest - 93, // 169: gctrpc.GoCryptoTraderService.WithdrawalEventsByDate:input_type -> gctrpc.WithdrawalEventsByDateRequest - 100, // 170: gctrpc.GoCryptoTraderService.GetLoggerDetails:input_type -> gctrpc.GetLoggerDetailsRequest - 102, // 171: gctrpc.GoCryptoTraderService.SetLoggerDetails:input_type -> gctrpc.SetLoggerDetailsRequest - 103, // 172: gctrpc.GoCryptoTraderService.GetExchangePairs:input_type -> gctrpc.GetExchangePairsRequest - 105, // 173: gctrpc.GoCryptoTraderService.SetExchangePair:input_type -> gctrpc.SetExchangePairRequest - 106, // 174: gctrpc.GoCryptoTraderService.GetOrderbookStream:input_type -> gctrpc.GetOrderbookStreamRequest - 107, // 175: gctrpc.GoCryptoTraderService.GetExchangeOrderbookStream:input_type -> gctrpc.GetExchangeOrderbookStreamRequest - 108, // 176: gctrpc.GoCryptoTraderService.GetTickerStream:input_type -> gctrpc.GetTickerStreamRequest - 109, // 177: gctrpc.GoCryptoTraderService.GetExchangeTickerStream:input_type -> gctrpc.GetExchangeTickerStreamRequest - 110, // 178: gctrpc.GoCryptoTraderService.GetAuditEvent:input_type -> gctrpc.GetAuditEventRequest - 121, // 179: gctrpc.GoCryptoTraderService.GCTScriptExecute:input_type -> gctrpc.GCTScriptExecuteRequest - 126, // 180: gctrpc.GoCryptoTraderService.GCTScriptUpload:input_type -> gctrpc.GCTScriptUploadRequest - 127, // 181: gctrpc.GoCryptoTraderService.GCTScriptReadScript:input_type -> gctrpc.GCTScriptReadScriptRequest - 124, // 182: gctrpc.GoCryptoTraderService.GCTScriptStatus:input_type -> gctrpc.GCTScriptStatusRequest - 128, // 183: gctrpc.GoCryptoTraderService.GCTScriptQuery:input_type -> gctrpc.GCTScriptQueryRequest - 122, // 184: gctrpc.GoCryptoTraderService.GCTScriptStop:input_type -> gctrpc.GCTScriptStopRequest - 123, // 185: gctrpc.GoCryptoTraderService.GCTScriptStopAll:input_type -> gctrpc.GCTScriptStopAllRequest - 125, // 186: gctrpc.GoCryptoTraderService.GCTScriptListAll:input_type -> gctrpc.GCTScriptListAllRequest - 129, // 187: gctrpc.GoCryptoTraderService.GCTScriptAutoLoadToggle:input_type -> gctrpc.GCTScriptAutoLoadRequest - 116, // 188: gctrpc.GoCryptoTraderService.GetHistoricCandles:input_type -> gctrpc.GetHistoricCandlesRequest - 133, // 189: gctrpc.GoCryptoTraderService.SetExchangeAsset:input_type -> gctrpc.SetExchangeAssetRequest - 134, // 190: gctrpc.GoCryptoTraderService.SetAllExchangePairs:input_type -> gctrpc.SetExchangeAllPairsRequest - 135, // 191: gctrpc.GoCryptoTraderService.UpdateExchangeSupportedPairs:input_type -> gctrpc.UpdateExchangeSupportedPairsRequest - 136, // 192: gctrpc.GoCryptoTraderService.GetExchangeAssets:input_type -> gctrpc.GetExchangeAssetsRequest - 138, // 193: gctrpc.GoCryptoTraderService.WebsocketGetInfo:input_type -> gctrpc.WebsocketGetInfoRequest - 140, // 194: gctrpc.GoCryptoTraderService.WebsocketSetEnabled:input_type -> gctrpc.WebsocketSetEnabledRequest - 141, // 195: gctrpc.GoCryptoTraderService.WebsocketGetSubscriptions:input_type -> gctrpc.WebsocketGetSubscriptionsRequest - 144, // 196: gctrpc.GoCryptoTraderService.WebsocketSetProxy:input_type -> gctrpc.WebsocketSetProxyRequest - 145, // 197: gctrpc.GoCryptoTraderService.WebsocketSetURL:input_type -> gctrpc.WebsocketSetURLRequest - 112, // 198: gctrpc.GoCryptoTraderService.GetRecentTrades:input_type -> gctrpc.GetSavedTradesRequest - 112, // 199: gctrpc.GoCryptoTraderService.GetHistoricTrades:input_type -> gctrpc.GetSavedTradesRequest - 112, // 200: gctrpc.GoCryptoTraderService.GetSavedTrades:input_type -> gctrpc.GetSavedTradesRequest - 115, // 201: gctrpc.GoCryptoTraderService.ConvertTradesToCandles:input_type -> gctrpc.ConvertTradesToCandlesRequest - 146, // 202: gctrpc.GoCryptoTraderService.FindMissingSavedCandleIntervals:input_type -> gctrpc.FindMissingCandlePeriodsRequest - 147, // 203: gctrpc.GoCryptoTraderService.FindMissingSavedTradeIntervals:input_type -> gctrpc.FindMissingTradePeriodsRequest - 149, // 204: gctrpc.GoCryptoTraderService.SetExchangeTradeProcessing:input_type -> gctrpc.SetExchangeTradeProcessingRequest - 150, // 205: gctrpc.GoCryptoTraderService.UpsertDataHistoryJob:input_type -> gctrpc.UpsertDataHistoryJobRequest - 154, // 206: gctrpc.GoCryptoTraderService.GetDataHistoryJobDetails:input_type -> gctrpc.GetDataHistoryJobDetailsRequest - 0, // 207: gctrpc.GoCryptoTraderService.GetActiveDataHistoryJobs:input_type -> gctrpc.GetInfoRequest - 158, // 208: gctrpc.GoCryptoTraderService.GetDataHistoryJobsBetween:input_type -> gctrpc.GetDataHistoryJobsBetweenRequest - 154, // 209: gctrpc.GoCryptoTraderService.GetDataHistoryJobSummary:input_type -> gctrpc.GetDataHistoryJobDetailsRequest - 159, // 210: gctrpc.GoCryptoTraderService.SetDataHistoryJobStatus:input_type -> gctrpc.SetDataHistoryJobStatusRequest - 160, // 211: gctrpc.GoCryptoTraderService.UpdateDataHistoryJobPrerequisite:input_type -> gctrpc.UpdateDataHistoryJobPrerequisiteRequest - 58, // 212: gctrpc.GoCryptoTraderService.GetManagedOrders:input_type -> gctrpc.GetOrdersRequest - 161, // 213: gctrpc.GoCryptoTraderService.ModifyOrder:input_type -> gctrpc.ModifyOrderRequest - 163, // 214: gctrpc.GoCryptoTraderService.CurrencyStateGetAll:input_type -> gctrpc.CurrencyStateGetAllRequest - 164, // 215: gctrpc.GoCryptoTraderService.CurrencyStateTrading:input_type -> gctrpc.CurrencyStateTradingRequest - 167, // 216: gctrpc.GoCryptoTraderService.CurrencyStateDeposit:input_type -> gctrpc.CurrencyStateDepositRequest - 166, // 217: gctrpc.GoCryptoTraderService.CurrencyStateWithdraw:input_type -> gctrpc.CurrencyStateWithdrawRequest - 165, // 218: gctrpc.GoCryptoTraderService.CurrencyStateTradingPair:input_type -> gctrpc.CurrencyStateTradingPairRequest - 177, // 219: gctrpc.GoCryptoTraderService.GetFuturesPositions:input_type -> gctrpc.GetFuturesPositionsRequest - 179, // 220: gctrpc.GoCryptoTraderService.GetCollateral:input_type -> gctrpc.GetCollateralRequest - 186, // 221: gctrpc.GoCryptoTraderService.Shutdown:input_type -> gctrpc.ShutdownRequest - 188, // 222: gctrpc.GoCryptoTraderService.GetTechnicalAnalysis:input_type -> gctrpc.GetTechnicalAnalysisRequest - 191, // 223: gctrpc.GoCryptoTraderService.GetMarginRatesHistory:input_type -> gctrpc.GetMarginRatesHistoryRequest - 174, // 224: gctrpc.GoCryptoTraderService.GetManagedPosition:input_type -> gctrpc.GetManagedPositionRequest - 175, // 225: gctrpc.GoCryptoTraderService.GetAllManagedPositions:input_type -> gctrpc.GetAllManagedPositionsRequest - 184, // 226: gctrpc.GoCryptoTraderService.GetFundingRates:input_type -> gctrpc.GetFundingRatesRequest - 1, // 227: gctrpc.GoCryptoTraderService.GetInfo:output_type -> gctrpc.GetInfoResponse - 7, // 228: gctrpc.GoCryptoTraderService.GetSubsystems:output_type -> gctrpc.GetSusbsytemsResponse - 132, // 229: gctrpc.GoCryptoTraderService.EnableSubsystem:output_type -> gctrpc.GenericResponse - 132, // 230: gctrpc.GoCryptoTraderService.DisableSubsystem:output_type -> gctrpc.GenericResponse - 10, // 231: gctrpc.GoCryptoTraderService.GetRPCEndpoints:output_type -> gctrpc.GetRPCEndpointsResponse - 4, // 232: gctrpc.GoCryptoTraderService.GetCommunicationRelayers:output_type -> gctrpc.GetCommunicationRelayersResponse - 13, // 233: gctrpc.GoCryptoTraderService.GetExchanges:output_type -> gctrpc.GetExchangesResponse - 132, // 234: gctrpc.GoCryptoTraderService.DisableExchange:output_type -> gctrpc.GenericResponse - 19, // 235: gctrpc.GoCryptoTraderService.GetExchangeInfo:output_type -> gctrpc.GetExchangeInfoResponse - 14, // 236: gctrpc.GoCryptoTraderService.GetExchangeOTPCode:output_type -> gctrpc.GetExchangeOTPResponse - 16, // 237: gctrpc.GoCryptoTraderService.GetExchangeOTPCodes:output_type -> gctrpc.GetExchangeOTPsResponse - 132, // 238: gctrpc.GoCryptoTraderService.EnableExchange:output_type -> gctrpc.GenericResponse - 22, // 239: gctrpc.GoCryptoTraderService.GetTicker:output_type -> gctrpc.TickerResponse - 25, // 240: gctrpc.GoCryptoTraderService.GetTickers:output_type -> gctrpc.GetTickersResponse - 28, // 241: gctrpc.GoCryptoTraderService.GetOrderbook:output_type -> gctrpc.OrderbookResponse - 31, // 242: gctrpc.GoCryptoTraderService.GetOrderbooks:output_type -> gctrpc.GetOrderbooksResponse - 35, // 243: gctrpc.GoCryptoTraderService.GetAccountInfo:output_type -> gctrpc.GetAccountInfoResponse - 35, // 244: gctrpc.GoCryptoTraderService.UpdateAccountInfo:output_type -> gctrpc.GetAccountInfoResponse - 35, // 245: gctrpc.GoCryptoTraderService.GetAccountInfoStream:output_type -> gctrpc.GetAccountInfoResponse - 37, // 246: gctrpc.GoCryptoTraderService.GetConfig:output_type -> gctrpc.GetConfigResponse - 40, // 247: gctrpc.GoCryptoTraderService.GetPortfolio:output_type -> gctrpc.GetPortfolioResponse - 47, // 248: gctrpc.GoCryptoTraderService.GetPortfolioSummary:output_type -> gctrpc.GetPortfolioSummaryResponse - 132, // 249: gctrpc.GoCryptoTraderService.AddPortfolioAddress:output_type -> gctrpc.GenericResponse - 132, // 250: gctrpc.GoCryptoTraderService.RemovePortfolioAddress:output_type -> gctrpc.GenericResponse - 52, // 251: gctrpc.GoCryptoTraderService.GetForexProviders:output_type -> gctrpc.GetForexProvidersResponse - 55, // 252: gctrpc.GoCryptoTraderService.GetForexRates:output_type -> gctrpc.GetForexRatesResponse - 59, // 253: gctrpc.GoCryptoTraderService.GetOrders:output_type -> gctrpc.GetOrdersResponse - 56, // 254: gctrpc.GoCryptoTraderService.GetOrder:output_type -> gctrpc.OrderDetails - 63, // 255: gctrpc.GoCryptoTraderService.SubmitOrder:output_type -> gctrpc.SubmitOrderResponse - 65, // 256: gctrpc.GoCryptoTraderService.SimulateOrder:output_type -> gctrpc.SimulateOrderResponse - 65, // 257: gctrpc.GoCryptoTraderService.WhaleBomb:output_type -> gctrpc.SimulateOrderResponse - 132, // 258: gctrpc.GoCryptoTraderService.CancelOrder:output_type -> gctrpc.GenericResponse - 70, // 259: gctrpc.GoCryptoTraderService.CancelBatchOrders:output_type -> gctrpc.CancelBatchOrdersResponse - 72, // 260: gctrpc.GoCryptoTraderService.CancelAllOrders:output_type -> gctrpc.CancelAllOrdersResponse - 75, // 261: gctrpc.GoCryptoTraderService.GetEvents:output_type -> gctrpc.GetEventsResponse - 77, // 262: gctrpc.GoCryptoTraderService.AddEvent:output_type -> gctrpc.AddEventResponse - 132, // 263: gctrpc.GoCryptoTraderService.RemoveEvent:output_type -> gctrpc.GenericResponse - 82, // 264: gctrpc.GoCryptoTraderService.GetCryptocurrencyDepositAddresses:output_type -> gctrpc.GetCryptocurrencyDepositAddressesResponse - 84, // 265: gctrpc.GoCryptoTraderService.GetCryptocurrencyDepositAddress:output_type -> gctrpc.GetCryptocurrencyDepositAddressResponse - 86, // 266: gctrpc.GoCryptoTraderService.GetAvailableTransferChains:output_type -> gctrpc.GetAvailableTransferChainsResponse - 89, // 267: gctrpc.GoCryptoTraderService.WithdrawFiatFunds:output_type -> gctrpc.WithdrawResponse - 89, // 268: gctrpc.GoCryptoTraderService.WithdrawCryptocurrencyFunds:output_type -> gctrpc.WithdrawResponse - 91, // 269: gctrpc.GoCryptoTraderService.WithdrawalEventByID:output_type -> gctrpc.WithdrawalEventByIDResponse - 94, // 270: gctrpc.GoCryptoTraderService.WithdrawalEventsByExchange:output_type -> gctrpc.WithdrawalEventsByExchangeResponse - 94, // 271: gctrpc.GoCryptoTraderService.WithdrawalEventsByDate:output_type -> gctrpc.WithdrawalEventsByExchangeResponse - 101, // 272: gctrpc.GoCryptoTraderService.GetLoggerDetails:output_type -> gctrpc.GetLoggerDetailsResponse - 101, // 273: gctrpc.GoCryptoTraderService.SetLoggerDetails:output_type -> gctrpc.GetLoggerDetailsResponse - 104, // 274: gctrpc.GoCryptoTraderService.GetExchangePairs:output_type -> gctrpc.GetExchangePairsResponse - 132, // 275: gctrpc.GoCryptoTraderService.SetExchangePair:output_type -> gctrpc.GenericResponse - 28, // 276: gctrpc.GoCryptoTraderService.GetOrderbookStream:output_type -> gctrpc.OrderbookResponse - 28, // 277: gctrpc.GoCryptoTraderService.GetExchangeOrderbookStream:output_type -> gctrpc.OrderbookResponse - 22, // 278: gctrpc.GoCryptoTraderService.GetTickerStream:output_type -> gctrpc.TickerResponse - 22, // 279: gctrpc.GoCryptoTraderService.GetExchangeTickerStream:output_type -> gctrpc.TickerResponse - 111, // 280: gctrpc.GoCryptoTraderService.GetAuditEvent:output_type -> gctrpc.GetAuditEventResponse - 132, // 281: gctrpc.GoCryptoTraderService.GCTScriptExecute:output_type -> gctrpc.GenericResponse - 132, // 282: gctrpc.GoCryptoTraderService.GCTScriptUpload:output_type -> gctrpc.GenericResponse - 131, // 283: gctrpc.GoCryptoTraderService.GCTScriptReadScript:output_type -> gctrpc.GCTScriptQueryResponse - 130, // 284: gctrpc.GoCryptoTraderService.GCTScriptStatus:output_type -> gctrpc.GCTScriptStatusResponse - 131, // 285: gctrpc.GoCryptoTraderService.GCTScriptQuery:output_type -> gctrpc.GCTScriptQueryResponse - 132, // 286: gctrpc.GoCryptoTraderService.GCTScriptStop:output_type -> gctrpc.GenericResponse - 132, // 287: gctrpc.GoCryptoTraderService.GCTScriptStopAll:output_type -> gctrpc.GenericResponse - 130, // 288: gctrpc.GoCryptoTraderService.GCTScriptListAll:output_type -> gctrpc.GCTScriptStatusResponse - 132, // 289: gctrpc.GoCryptoTraderService.GCTScriptAutoLoadToggle:output_type -> gctrpc.GenericResponse - 117, // 290: gctrpc.GoCryptoTraderService.GetHistoricCandles:output_type -> gctrpc.GetHistoricCandlesResponse - 132, // 291: gctrpc.GoCryptoTraderService.SetExchangeAsset:output_type -> gctrpc.GenericResponse - 132, // 292: gctrpc.GoCryptoTraderService.SetAllExchangePairs:output_type -> gctrpc.GenericResponse - 132, // 293: gctrpc.GoCryptoTraderService.UpdateExchangeSupportedPairs:output_type -> gctrpc.GenericResponse - 137, // 294: gctrpc.GoCryptoTraderService.GetExchangeAssets:output_type -> gctrpc.GetExchangeAssetsResponse - 139, // 295: gctrpc.GoCryptoTraderService.WebsocketGetInfo:output_type -> gctrpc.WebsocketGetInfoResponse - 132, // 296: gctrpc.GoCryptoTraderService.WebsocketSetEnabled:output_type -> gctrpc.GenericResponse - 143, // 297: gctrpc.GoCryptoTraderService.WebsocketGetSubscriptions:output_type -> gctrpc.WebsocketGetSubscriptionsResponse - 132, // 298: gctrpc.GoCryptoTraderService.WebsocketSetProxy:output_type -> gctrpc.GenericResponse - 132, // 299: gctrpc.GoCryptoTraderService.WebsocketSetURL:output_type -> gctrpc.GenericResponse - 114, // 300: gctrpc.GoCryptoTraderService.GetRecentTrades:output_type -> gctrpc.SavedTradesResponse - 114, // 301: gctrpc.GoCryptoTraderService.GetHistoricTrades:output_type -> gctrpc.SavedTradesResponse - 114, // 302: gctrpc.GoCryptoTraderService.GetSavedTrades:output_type -> gctrpc.SavedTradesResponse - 117, // 303: gctrpc.GoCryptoTraderService.ConvertTradesToCandles:output_type -> gctrpc.GetHistoricCandlesResponse - 148, // 304: gctrpc.GoCryptoTraderService.FindMissingSavedCandleIntervals:output_type -> gctrpc.FindMissingIntervalsResponse - 148, // 305: gctrpc.GoCryptoTraderService.FindMissingSavedTradeIntervals:output_type -> gctrpc.FindMissingIntervalsResponse - 132, // 306: gctrpc.GoCryptoTraderService.SetExchangeTradeProcessing:output_type -> gctrpc.GenericResponse - 153, // 307: gctrpc.GoCryptoTraderService.UpsertDataHistoryJob:output_type -> gctrpc.UpsertDataHistoryJobResponse - 155, // 308: gctrpc.GoCryptoTraderService.GetDataHistoryJobDetails:output_type -> gctrpc.DataHistoryJob - 157, // 309: gctrpc.GoCryptoTraderService.GetActiveDataHistoryJobs:output_type -> gctrpc.DataHistoryJobs - 157, // 310: gctrpc.GoCryptoTraderService.GetDataHistoryJobsBetween:output_type -> gctrpc.DataHistoryJobs - 155, // 311: gctrpc.GoCryptoTraderService.GetDataHistoryJobSummary:output_type -> gctrpc.DataHistoryJob - 132, // 312: gctrpc.GoCryptoTraderService.SetDataHistoryJobStatus:output_type -> gctrpc.GenericResponse - 132, // 313: gctrpc.GoCryptoTraderService.UpdateDataHistoryJobPrerequisite:output_type -> gctrpc.GenericResponse - 59, // 314: gctrpc.GoCryptoTraderService.GetManagedOrders:output_type -> gctrpc.GetOrdersResponse - 162, // 315: gctrpc.GoCryptoTraderService.ModifyOrder:output_type -> gctrpc.ModifyOrderResponse - 168, // 316: gctrpc.GoCryptoTraderService.CurrencyStateGetAll:output_type -> gctrpc.CurrencyStateResponse - 132, // 317: gctrpc.GoCryptoTraderService.CurrencyStateTrading:output_type -> gctrpc.GenericResponse - 132, // 318: gctrpc.GoCryptoTraderService.CurrencyStateDeposit:output_type -> gctrpc.GenericResponse - 132, // 319: gctrpc.GoCryptoTraderService.CurrencyStateWithdraw:output_type -> gctrpc.GenericResponse - 132, // 320: gctrpc.GoCryptoTraderService.CurrencyStateTradingPair:output_type -> gctrpc.GenericResponse - 178, // 321: gctrpc.GoCryptoTraderService.GetFuturesPositions:output_type -> gctrpc.GetFuturesPositionsResponse - 180, // 322: gctrpc.GoCryptoTraderService.GetCollateral:output_type -> gctrpc.GetCollateralResponse - 187, // 323: gctrpc.GoCryptoTraderService.Shutdown:output_type -> gctrpc.ShutdownResponse - 190, // 324: gctrpc.GoCryptoTraderService.GetTechnicalAnalysis:output_type -> gctrpc.GetTechnicalAnalysisResponse - 195, // 325: gctrpc.GoCryptoTraderService.GetMarginRatesHistory:output_type -> gctrpc.GetMarginRatesHistoryResponse - 176, // 326: gctrpc.GoCryptoTraderService.GetManagedPosition:output_type -> gctrpc.GetManagedPositionsResponse - 176, // 327: gctrpc.GoCryptoTraderService.GetAllManagedPositions:output_type -> gctrpc.GetManagedPositionsResponse - 185, // 328: gctrpc.GoCryptoTraderService.GetFundingRates:output_type -> gctrpc.GetFundingRatesResponse - 227, // [227:329] is the sub-list for method output_type - 125, // [125:227] is the sub-list for method input_type - 125, // [125:125] is the sub-list for extension type_name - 125, // [125:125] is the sub-list for extension extendee - 0, // [0:125] is the sub-list for field type_name + 21, // 115: gctrpc.GetOrderbookMovementRequest.pair:type_name -> gctrpc.CurrencyPair + 21, // 116: gctrpc.GetOrderbookAmountByNominalRequest.pair:type_name -> gctrpc.CurrencyPair + 21, // 117: gctrpc.GetOrderbookAmountByImpactRequest.pair:type_name -> gctrpc.CurrencyPair + 9, // 118: gctrpc.GetInfoResponse.RpcEndpointsEntry.value:type_name -> gctrpc.RPCEndpoint + 3, // 119: gctrpc.GetCommunicationRelayersResponse.CommunicationRelayersEntry.value:type_name -> gctrpc.CommunicationRelayer + 9, // 120: gctrpc.GetRPCEndpointsResponse.EndpointsEntry.value:type_name -> gctrpc.RPCEndpoint + 18, // 121: gctrpc.GetExchangeInfoResponse.SupportedAssetsEntry.value:type_name -> gctrpc.PairsSupported + 44, // 122: gctrpc.OnlineCoins.CoinsEntry.value:type_name -> gctrpc.OnlineCoinSummary + 45, // 123: gctrpc.GetPortfolioSummaryResponse.CoinsOfflineSummaryEntry.value:type_name -> gctrpc.OfflineCoins + 46, // 124: gctrpc.GetPortfolioSummaryResponse.CoinsOnlineSummaryEntry.value:type_name -> gctrpc.OnlineCoins + 81, // 125: gctrpc.GetCryptocurrencyDepositAddressesResponse.AddressesEntry.value:type_name -> gctrpc.DepositAddresses + 18, // 126: gctrpc.GetExchangePairsResponse.SupportedAssetsEntry.value:type_name -> gctrpc.PairsSupported + 189, // 127: gctrpc.GetTechnicalAnalysisResponse.SignalsEntry.value:type_name -> gctrpc.ListOfSignals + 0, // 128: gctrpc.GoCryptoTraderService.GetInfo:input_type -> gctrpc.GetInfoRequest + 6, // 129: gctrpc.GoCryptoTraderService.GetSubsystems:input_type -> gctrpc.GetSubsystemsRequest + 5, // 130: gctrpc.GoCryptoTraderService.EnableSubsystem:input_type -> gctrpc.GenericSubsystemRequest + 5, // 131: gctrpc.GoCryptoTraderService.DisableSubsystem:input_type -> gctrpc.GenericSubsystemRequest + 8, // 132: gctrpc.GoCryptoTraderService.GetRPCEndpoints:input_type -> gctrpc.GetRPCEndpointsRequest + 2, // 133: gctrpc.GoCryptoTraderService.GetCommunicationRelayers:input_type -> gctrpc.GetCommunicationRelayersRequest + 12, // 134: gctrpc.GoCryptoTraderService.GetExchanges:input_type -> gctrpc.GetExchangesRequest + 11, // 135: gctrpc.GoCryptoTraderService.DisableExchange:input_type -> gctrpc.GenericExchangeNameRequest + 11, // 136: gctrpc.GoCryptoTraderService.GetExchangeInfo:input_type -> gctrpc.GenericExchangeNameRequest + 11, // 137: gctrpc.GoCryptoTraderService.GetExchangeOTPCode:input_type -> gctrpc.GenericExchangeNameRequest + 15, // 138: gctrpc.GoCryptoTraderService.GetExchangeOTPCodes:input_type -> gctrpc.GetExchangeOTPsRequest + 11, // 139: gctrpc.GoCryptoTraderService.EnableExchange:input_type -> gctrpc.GenericExchangeNameRequest + 20, // 140: gctrpc.GoCryptoTraderService.GetTicker:input_type -> gctrpc.GetTickerRequest + 23, // 141: gctrpc.GoCryptoTraderService.GetTickers:input_type -> gctrpc.GetTickersRequest + 26, // 142: gctrpc.GoCryptoTraderService.GetOrderbook:input_type -> gctrpc.GetOrderbookRequest + 29, // 143: gctrpc.GoCryptoTraderService.GetOrderbooks:input_type -> gctrpc.GetOrderbooksRequest + 32, // 144: gctrpc.GoCryptoTraderService.GetAccountInfo:input_type -> gctrpc.GetAccountInfoRequest + 32, // 145: gctrpc.GoCryptoTraderService.UpdateAccountInfo:input_type -> gctrpc.GetAccountInfoRequest + 32, // 146: gctrpc.GoCryptoTraderService.GetAccountInfoStream:input_type -> gctrpc.GetAccountInfoRequest + 36, // 147: gctrpc.GoCryptoTraderService.GetConfig:input_type -> gctrpc.GetConfigRequest + 39, // 148: gctrpc.GoCryptoTraderService.GetPortfolio:input_type -> gctrpc.GetPortfolioRequest + 41, // 149: gctrpc.GoCryptoTraderService.GetPortfolioSummary:input_type -> gctrpc.GetPortfolioSummaryRequest + 48, // 150: gctrpc.GoCryptoTraderService.AddPortfolioAddress:input_type -> gctrpc.AddPortfolioAddressRequest + 49, // 151: gctrpc.GoCryptoTraderService.RemovePortfolioAddress:input_type -> gctrpc.RemovePortfolioAddressRequest + 50, // 152: gctrpc.GoCryptoTraderService.GetForexProviders:input_type -> gctrpc.GetForexProvidersRequest + 53, // 153: gctrpc.GoCryptoTraderService.GetForexRates:input_type -> gctrpc.GetForexRatesRequest + 58, // 154: gctrpc.GoCryptoTraderService.GetOrders:input_type -> gctrpc.GetOrdersRequest + 60, // 155: gctrpc.GoCryptoTraderService.GetOrder:input_type -> gctrpc.GetOrderRequest + 61, // 156: gctrpc.GoCryptoTraderService.SubmitOrder:input_type -> gctrpc.SubmitOrderRequest + 64, // 157: gctrpc.GoCryptoTraderService.SimulateOrder:input_type -> gctrpc.SimulateOrderRequest + 66, // 158: gctrpc.GoCryptoTraderService.WhaleBomb:input_type -> gctrpc.WhaleBombRequest + 67, // 159: gctrpc.GoCryptoTraderService.CancelOrder:input_type -> gctrpc.CancelOrderRequest + 68, // 160: gctrpc.GoCryptoTraderService.CancelBatchOrders:input_type -> gctrpc.CancelBatchOrdersRequest + 71, // 161: gctrpc.GoCryptoTraderService.CancelAllOrders:input_type -> gctrpc.CancelAllOrdersRequest + 73, // 162: gctrpc.GoCryptoTraderService.GetEvents:input_type -> gctrpc.GetEventsRequest + 76, // 163: gctrpc.GoCryptoTraderService.AddEvent:input_type -> gctrpc.AddEventRequest + 78, // 164: gctrpc.GoCryptoTraderService.RemoveEvent:input_type -> gctrpc.RemoveEventRequest + 79, // 165: gctrpc.GoCryptoTraderService.GetCryptocurrencyDepositAddresses:input_type -> gctrpc.GetCryptocurrencyDepositAddressesRequest + 83, // 166: gctrpc.GoCryptoTraderService.GetCryptocurrencyDepositAddress:input_type -> gctrpc.GetCryptocurrencyDepositAddressRequest + 85, // 167: gctrpc.GoCryptoTraderService.GetAvailableTransferChains:input_type -> gctrpc.GetAvailableTransferChainsRequest + 87, // 168: gctrpc.GoCryptoTraderService.WithdrawFiatFunds:input_type -> gctrpc.WithdrawFiatRequest + 88, // 169: gctrpc.GoCryptoTraderService.WithdrawCryptocurrencyFunds:input_type -> gctrpc.WithdrawCryptoRequest + 90, // 170: gctrpc.GoCryptoTraderService.WithdrawalEventByID:input_type -> gctrpc.WithdrawalEventByIDRequest + 92, // 171: gctrpc.GoCryptoTraderService.WithdrawalEventsByExchange:input_type -> gctrpc.WithdrawalEventsByExchangeRequest + 93, // 172: gctrpc.GoCryptoTraderService.WithdrawalEventsByDate:input_type -> gctrpc.WithdrawalEventsByDateRequest + 100, // 173: gctrpc.GoCryptoTraderService.GetLoggerDetails:input_type -> gctrpc.GetLoggerDetailsRequest + 102, // 174: gctrpc.GoCryptoTraderService.SetLoggerDetails:input_type -> gctrpc.SetLoggerDetailsRequest + 103, // 175: gctrpc.GoCryptoTraderService.GetExchangePairs:input_type -> gctrpc.GetExchangePairsRequest + 105, // 176: gctrpc.GoCryptoTraderService.SetExchangePair:input_type -> gctrpc.SetExchangePairRequest + 106, // 177: gctrpc.GoCryptoTraderService.GetOrderbookStream:input_type -> gctrpc.GetOrderbookStreamRequest + 107, // 178: gctrpc.GoCryptoTraderService.GetExchangeOrderbookStream:input_type -> gctrpc.GetExchangeOrderbookStreamRequest + 108, // 179: gctrpc.GoCryptoTraderService.GetTickerStream:input_type -> gctrpc.GetTickerStreamRequest + 109, // 180: gctrpc.GoCryptoTraderService.GetExchangeTickerStream:input_type -> gctrpc.GetExchangeTickerStreamRequest + 110, // 181: gctrpc.GoCryptoTraderService.GetAuditEvent:input_type -> gctrpc.GetAuditEventRequest + 121, // 182: gctrpc.GoCryptoTraderService.GCTScriptExecute:input_type -> gctrpc.GCTScriptExecuteRequest + 126, // 183: gctrpc.GoCryptoTraderService.GCTScriptUpload:input_type -> gctrpc.GCTScriptUploadRequest + 127, // 184: gctrpc.GoCryptoTraderService.GCTScriptReadScript:input_type -> gctrpc.GCTScriptReadScriptRequest + 124, // 185: gctrpc.GoCryptoTraderService.GCTScriptStatus:input_type -> gctrpc.GCTScriptStatusRequest + 128, // 186: gctrpc.GoCryptoTraderService.GCTScriptQuery:input_type -> gctrpc.GCTScriptQueryRequest + 122, // 187: gctrpc.GoCryptoTraderService.GCTScriptStop:input_type -> gctrpc.GCTScriptStopRequest + 123, // 188: gctrpc.GoCryptoTraderService.GCTScriptStopAll:input_type -> gctrpc.GCTScriptStopAllRequest + 125, // 189: gctrpc.GoCryptoTraderService.GCTScriptListAll:input_type -> gctrpc.GCTScriptListAllRequest + 129, // 190: gctrpc.GoCryptoTraderService.GCTScriptAutoLoadToggle:input_type -> gctrpc.GCTScriptAutoLoadRequest + 116, // 191: gctrpc.GoCryptoTraderService.GetHistoricCandles:input_type -> gctrpc.GetHistoricCandlesRequest + 133, // 192: gctrpc.GoCryptoTraderService.SetExchangeAsset:input_type -> gctrpc.SetExchangeAssetRequest + 134, // 193: gctrpc.GoCryptoTraderService.SetAllExchangePairs:input_type -> gctrpc.SetExchangeAllPairsRequest + 135, // 194: gctrpc.GoCryptoTraderService.UpdateExchangeSupportedPairs:input_type -> gctrpc.UpdateExchangeSupportedPairsRequest + 136, // 195: gctrpc.GoCryptoTraderService.GetExchangeAssets:input_type -> gctrpc.GetExchangeAssetsRequest + 138, // 196: gctrpc.GoCryptoTraderService.WebsocketGetInfo:input_type -> gctrpc.WebsocketGetInfoRequest + 140, // 197: gctrpc.GoCryptoTraderService.WebsocketSetEnabled:input_type -> gctrpc.WebsocketSetEnabledRequest + 141, // 198: gctrpc.GoCryptoTraderService.WebsocketGetSubscriptions:input_type -> gctrpc.WebsocketGetSubscriptionsRequest + 144, // 199: gctrpc.GoCryptoTraderService.WebsocketSetProxy:input_type -> gctrpc.WebsocketSetProxyRequest + 145, // 200: gctrpc.GoCryptoTraderService.WebsocketSetURL:input_type -> gctrpc.WebsocketSetURLRequest + 112, // 201: gctrpc.GoCryptoTraderService.GetRecentTrades:input_type -> gctrpc.GetSavedTradesRequest + 112, // 202: gctrpc.GoCryptoTraderService.GetHistoricTrades:input_type -> gctrpc.GetSavedTradesRequest + 112, // 203: gctrpc.GoCryptoTraderService.GetSavedTrades:input_type -> gctrpc.GetSavedTradesRequest + 115, // 204: gctrpc.GoCryptoTraderService.ConvertTradesToCandles:input_type -> gctrpc.ConvertTradesToCandlesRequest + 146, // 205: gctrpc.GoCryptoTraderService.FindMissingSavedCandleIntervals:input_type -> gctrpc.FindMissingCandlePeriodsRequest + 147, // 206: gctrpc.GoCryptoTraderService.FindMissingSavedTradeIntervals:input_type -> gctrpc.FindMissingTradePeriodsRequest + 149, // 207: gctrpc.GoCryptoTraderService.SetExchangeTradeProcessing:input_type -> gctrpc.SetExchangeTradeProcessingRequest + 150, // 208: gctrpc.GoCryptoTraderService.UpsertDataHistoryJob:input_type -> gctrpc.UpsertDataHistoryJobRequest + 154, // 209: gctrpc.GoCryptoTraderService.GetDataHistoryJobDetails:input_type -> gctrpc.GetDataHistoryJobDetailsRequest + 0, // 210: gctrpc.GoCryptoTraderService.GetActiveDataHistoryJobs:input_type -> gctrpc.GetInfoRequest + 158, // 211: gctrpc.GoCryptoTraderService.GetDataHistoryJobsBetween:input_type -> gctrpc.GetDataHistoryJobsBetweenRequest + 154, // 212: gctrpc.GoCryptoTraderService.GetDataHistoryJobSummary:input_type -> gctrpc.GetDataHistoryJobDetailsRequest + 159, // 213: gctrpc.GoCryptoTraderService.SetDataHistoryJobStatus:input_type -> gctrpc.SetDataHistoryJobStatusRequest + 160, // 214: gctrpc.GoCryptoTraderService.UpdateDataHistoryJobPrerequisite:input_type -> gctrpc.UpdateDataHistoryJobPrerequisiteRequest + 58, // 215: gctrpc.GoCryptoTraderService.GetManagedOrders:input_type -> gctrpc.GetOrdersRequest + 161, // 216: gctrpc.GoCryptoTraderService.ModifyOrder:input_type -> gctrpc.ModifyOrderRequest + 163, // 217: gctrpc.GoCryptoTraderService.CurrencyStateGetAll:input_type -> gctrpc.CurrencyStateGetAllRequest + 164, // 218: gctrpc.GoCryptoTraderService.CurrencyStateTrading:input_type -> gctrpc.CurrencyStateTradingRequest + 167, // 219: gctrpc.GoCryptoTraderService.CurrencyStateDeposit:input_type -> gctrpc.CurrencyStateDepositRequest + 166, // 220: gctrpc.GoCryptoTraderService.CurrencyStateWithdraw:input_type -> gctrpc.CurrencyStateWithdrawRequest + 165, // 221: gctrpc.GoCryptoTraderService.CurrencyStateTradingPair:input_type -> gctrpc.CurrencyStateTradingPairRequest + 177, // 222: gctrpc.GoCryptoTraderService.GetFuturesPositions:input_type -> gctrpc.GetFuturesPositionsRequest + 179, // 223: gctrpc.GoCryptoTraderService.GetCollateral:input_type -> gctrpc.GetCollateralRequest + 186, // 224: gctrpc.GoCryptoTraderService.Shutdown:input_type -> gctrpc.ShutdownRequest + 188, // 225: gctrpc.GoCryptoTraderService.GetTechnicalAnalysis:input_type -> gctrpc.GetTechnicalAnalysisRequest + 191, // 226: gctrpc.GoCryptoTraderService.GetMarginRatesHistory:input_type -> gctrpc.GetMarginRatesHistoryRequest + 174, // 227: gctrpc.GoCryptoTraderService.GetManagedPosition:input_type -> gctrpc.GetManagedPositionRequest + 175, // 228: gctrpc.GoCryptoTraderService.GetAllManagedPositions:input_type -> gctrpc.GetAllManagedPositionsRequest + 184, // 229: gctrpc.GoCryptoTraderService.GetFundingRates:input_type -> gctrpc.GetFundingRatesRequest + 196, // 230: gctrpc.GoCryptoTraderService.GetOrderbookMovement:input_type -> gctrpc.GetOrderbookMovementRequest + 198, // 231: gctrpc.GoCryptoTraderService.GetOrderbookAmountByNominal:input_type -> gctrpc.GetOrderbookAmountByNominalRequest + 200, // 232: gctrpc.GoCryptoTraderService.GetOrderbookAmountByImpact:input_type -> gctrpc.GetOrderbookAmountByImpactRequest + 1, // 233: gctrpc.GoCryptoTraderService.GetInfo:output_type -> gctrpc.GetInfoResponse + 7, // 234: gctrpc.GoCryptoTraderService.GetSubsystems:output_type -> gctrpc.GetSusbsytemsResponse + 132, // 235: gctrpc.GoCryptoTraderService.EnableSubsystem:output_type -> gctrpc.GenericResponse + 132, // 236: gctrpc.GoCryptoTraderService.DisableSubsystem:output_type -> gctrpc.GenericResponse + 10, // 237: gctrpc.GoCryptoTraderService.GetRPCEndpoints:output_type -> gctrpc.GetRPCEndpointsResponse + 4, // 238: gctrpc.GoCryptoTraderService.GetCommunicationRelayers:output_type -> gctrpc.GetCommunicationRelayersResponse + 13, // 239: gctrpc.GoCryptoTraderService.GetExchanges:output_type -> gctrpc.GetExchangesResponse + 132, // 240: gctrpc.GoCryptoTraderService.DisableExchange:output_type -> gctrpc.GenericResponse + 19, // 241: gctrpc.GoCryptoTraderService.GetExchangeInfo:output_type -> gctrpc.GetExchangeInfoResponse + 14, // 242: gctrpc.GoCryptoTraderService.GetExchangeOTPCode:output_type -> gctrpc.GetExchangeOTPResponse + 16, // 243: gctrpc.GoCryptoTraderService.GetExchangeOTPCodes:output_type -> gctrpc.GetExchangeOTPsResponse + 132, // 244: gctrpc.GoCryptoTraderService.EnableExchange:output_type -> gctrpc.GenericResponse + 22, // 245: gctrpc.GoCryptoTraderService.GetTicker:output_type -> gctrpc.TickerResponse + 25, // 246: gctrpc.GoCryptoTraderService.GetTickers:output_type -> gctrpc.GetTickersResponse + 28, // 247: gctrpc.GoCryptoTraderService.GetOrderbook:output_type -> gctrpc.OrderbookResponse + 31, // 248: gctrpc.GoCryptoTraderService.GetOrderbooks:output_type -> gctrpc.GetOrderbooksResponse + 35, // 249: gctrpc.GoCryptoTraderService.GetAccountInfo:output_type -> gctrpc.GetAccountInfoResponse + 35, // 250: gctrpc.GoCryptoTraderService.UpdateAccountInfo:output_type -> gctrpc.GetAccountInfoResponse + 35, // 251: gctrpc.GoCryptoTraderService.GetAccountInfoStream:output_type -> gctrpc.GetAccountInfoResponse + 37, // 252: gctrpc.GoCryptoTraderService.GetConfig:output_type -> gctrpc.GetConfigResponse + 40, // 253: gctrpc.GoCryptoTraderService.GetPortfolio:output_type -> gctrpc.GetPortfolioResponse + 47, // 254: gctrpc.GoCryptoTraderService.GetPortfolioSummary:output_type -> gctrpc.GetPortfolioSummaryResponse + 132, // 255: gctrpc.GoCryptoTraderService.AddPortfolioAddress:output_type -> gctrpc.GenericResponse + 132, // 256: gctrpc.GoCryptoTraderService.RemovePortfolioAddress:output_type -> gctrpc.GenericResponse + 52, // 257: gctrpc.GoCryptoTraderService.GetForexProviders:output_type -> gctrpc.GetForexProvidersResponse + 55, // 258: gctrpc.GoCryptoTraderService.GetForexRates:output_type -> gctrpc.GetForexRatesResponse + 59, // 259: gctrpc.GoCryptoTraderService.GetOrders:output_type -> gctrpc.GetOrdersResponse + 56, // 260: gctrpc.GoCryptoTraderService.GetOrder:output_type -> gctrpc.OrderDetails + 63, // 261: gctrpc.GoCryptoTraderService.SubmitOrder:output_type -> gctrpc.SubmitOrderResponse + 65, // 262: gctrpc.GoCryptoTraderService.SimulateOrder:output_type -> gctrpc.SimulateOrderResponse + 65, // 263: gctrpc.GoCryptoTraderService.WhaleBomb:output_type -> gctrpc.SimulateOrderResponse + 132, // 264: gctrpc.GoCryptoTraderService.CancelOrder:output_type -> gctrpc.GenericResponse + 70, // 265: gctrpc.GoCryptoTraderService.CancelBatchOrders:output_type -> gctrpc.CancelBatchOrdersResponse + 72, // 266: gctrpc.GoCryptoTraderService.CancelAllOrders:output_type -> gctrpc.CancelAllOrdersResponse + 75, // 267: gctrpc.GoCryptoTraderService.GetEvents:output_type -> gctrpc.GetEventsResponse + 77, // 268: gctrpc.GoCryptoTraderService.AddEvent:output_type -> gctrpc.AddEventResponse + 132, // 269: gctrpc.GoCryptoTraderService.RemoveEvent:output_type -> gctrpc.GenericResponse + 82, // 270: gctrpc.GoCryptoTraderService.GetCryptocurrencyDepositAddresses:output_type -> gctrpc.GetCryptocurrencyDepositAddressesResponse + 84, // 271: gctrpc.GoCryptoTraderService.GetCryptocurrencyDepositAddress:output_type -> gctrpc.GetCryptocurrencyDepositAddressResponse + 86, // 272: gctrpc.GoCryptoTraderService.GetAvailableTransferChains:output_type -> gctrpc.GetAvailableTransferChainsResponse + 89, // 273: gctrpc.GoCryptoTraderService.WithdrawFiatFunds:output_type -> gctrpc.WithdrawResponse + 89, // 274: gctrpc.GoCryptoTraderService.WithdrawCryptocurrencyFunds:output_type -> gctrpc.WithdrawResponse + 91, // 275: gctrpc.GoCryptoTraderService.WithdrawalEventByID:output_type -> gctrpc.WithdrawalEventByIDResponse + 94, // 276: gctrpc.GoCryptoTraderService.WithdrawalEventsByExchange:output_type -> gctrpc.WithdrawalEventsByExchangeResponse + 94, // 277: gctrpc.GoCryptoTraderService.WithdrawalEventsByDate:output_type -> gctrpc.WithdrawalEventsByExchangeResponse + 101, // 278: gctrpc.GoCryptoTraderService.GetLoggerDetails:output_type -> gctrpc.GetLoggerDetailsResponse + 101, // 279: gctrpc.GoCryptoTraderService.SetLoggerDetails:output_type -> gctrpc.GetLoggerDetailsResponse + 104, // 280: gctrpc.GoCryptoTraderService.GetExchangePairs:output_type -> gctrpc.GetExchangePairsResponse + 132, // 281: gctrpc.GoCryptoTraderService.SetExchangePair:output_type -> gctrpc.GenericResponse + 28, // 282: gctrpc.GoCryptoTraderService.GetOrderbookStream:output_type -> gctrpc.OrderbookResponse + 28, // 283: gctrpc.GoCryptoTraderService.GetExchangeOrderbookStream:output_type -> gctrpc.OrderbookResponse + 22, // 284: gctrpc.GoCryptoTraderService.GetTickerStream:output_type -> gctrpc.TickerResponse + 22, // 285: gctrpc.GoCryptoTraderService.GetExchangeTickerStream:output_type -> gctrpc.TickerResponse + 111, // 286: gctrpc.GoCryptoTraderService.GetAuditEvent:output_type -> gctrpc.GetAuditEventResponse + 132, // 287: gctrpc.GoCryptoTraderService.GCTScriptExecute:output_type -> gctrpc.GenericResponse + 132, // 288: gctrpc.GoCryptoTraderService.GCTScriptUpload:output_type -> gctrpc.GenericResponse + 131, // 289: gctrpc.GoCryptoTraderService.GCTScriptReadScript:output_type -> gctrpc.GCTScriptQueryResponse + 130, // 290: gctrpc.GoCryptoTraderService.GCTScriptStatus:output_type -> gctrpc.GCTScriptStatusResponse + 131, // 291: gctrpc.GoCryptoTraderService.GCTScriptQuery:output_type -> gctrpc.GCTScriptQueryResponse + 132, // 292: gctrpc.GoCryptoTraderService.GCTScriptStop:output_type -> gctrpc.GenericResponse + 132, // 293: gctrpc.GoCryptoTraderService.GCTScriptStopAll:output_type -> gctrpc.GenericResponse + 130, // 294: gctrpc.GoCryptoTraderService.GCTScriptListAll:output_type -> gctrpc.GCTScriptStatusResponse + 132, // 295: gctrpc.GoCryptoTraderService.GCTScriptAutoLoadToggle:output_type -> gctrpc.GenericResponse + 117, // 296: gctrpc.GoCryptoTraderService.GetHistoricCandles:output_type -> gctrpc.GetHistoricCandlesResponse + 132, // 297: gctrpc.GoCryptoTraderService.SetExchangeAsset:output_type -> gctrpc.GenericResponse + 132, // 298: gctrpc.GoCryptoTraderService.SetAllExchangePairs:output_type -> gctrpc.GenericResponse + 132, // 299: gctrpc.GoCryptoTraderService.UpdateExchangeSupportedPairs:output_type -> gctrpc.GenericResponse + 137, // 300: gctrpc.GoCryptoTraderService.GetExchangeAssets:output_type -> gctrpc.GetExchangeAssetsResponse + 139, // 301: gctrpc.GoCryptoTraderService.WebsocketGetInfo:output_type -> gctrpc.WebsocketGetInfoResponse + 132, // 302: gctrpc.GoCryptoTraderService.WebsocketSetEnabled:output_type -> gctrpc.GenericResponse + 143, // 303: gctrpc.GoCryptoTraderService.WebsocketGetSubscriptions:output_type -> gctrpc.WebsocketGetSubscriptionsResponse + 132, // 304: gctrpc.GoCryptoTraderService.WebsocketSetProxy:output_type -> gctrpc.GenericResponse + 132, // 305: gctrpc.GoCryptoTraderService.WebsocketSetURL:output_type -> gctrpc.GenericResponse + 114, // 306: gctrpc.GoCryptoTraderService.GetRecentTrades:output_type -> gctrpc.SavedTradesResponse + 114, // 307: gctrpc.GoCryptoTraderService.GetHistoricTrades:output_type -> gctrpc.SavedTradesResponse + 114, // 308: gctrpc.GoCryptoTraderService.GetSavedTrades:output_type -> gctrpc.SavedTradesResponse + 117, // 309: gctrpc.GoCryptoTraderService.ConvertTradesToCandles:output_type -> gctrpc.GetHistoricCandlesResponse + 148, // 310: gctrpc.GoCryptoTraderService.FindMissingSavedCandleIntervals:output_type -> gctrpc.FindMissingIntervalsResponse + 148, // 311: gctrpc.GoCryptoTraderService.FindMissingSavedTradeIntervals:output_type -> gctrpc.FindMissingIntervalsResponse + 132, // 312: gctrpc.GoCryptoTraderService.SetExchangeTradeProcessing:output_type -> gctrpc.GenericResponse + 153, // 313: gctrpc.GoCryptoTraderService.UpsertDataHistoryJob:output_type -> gctrpc.UpsertDataHistoryJobResponse + 155, // 314: gctrpc.GoCryptoTraderService.GetDataHistoryJobDetails:output_type -> gctrpc.DataHistoryJob + 157, // 315: gctrpc.GoCryptoTraderService.GetActiveDataHistoryJobs:output_type -> gctrpc.DataHistoryJobs + 157, // 316: gctrpc.GoCryptoTraderService.GetDataHistoryJobsBetween:output_type -> gctrpc.DataHistoryJobs + 155, // 317: gctrpc.GoCryptoTraderService.GetDataHistoryJobSummary:output_type -> gctrpc.DataHistoryJob + 132, // 318: gctrpc.GoCryptoTraderService.SetDataHistoryJobStatus:output_type -> gctrpc.GenericResponse + 132, // 319: gctrpc.GoCryptoTraderService.UpdateDataHistoryJobPrerequisite:output_type -> gctrpc.GenericResponse + 59, // 320: gctrpc.GoCryptoTraderService.GetManagedOrders:output_type -> gctrpc.GetOrdersResponse + 162, // 321: gctrpc.GoCryptoTraderService.ModifyOrder:output_type -> gctrpc.ModifyOrderResponse + 168, // 322: gctrpc.GoCryptoTraderService.CurrencyStateGetAll:output_type -> gctrpc.CurrencyStateResponse + 132, // 323: gctrpc.GoCryptoTraderService.CurrencyStateTrading:output_type -> gctrpc.GenericResponse + 132, // 324: gctrpc.GoCryptoTraderService.CurrencyStateDeposit:output_type -> gctrpc.GenericResponse + 132, // 325: gctrpc.GoCryptoTraderService.CurrencyStateWithdraw:output_type -> gctrpc.GenericResponse + 132, // 326: gctrpc.GoCryptoTraderService.CurrencyStateTradingPair:output_type -> gctrpc.GenericResponse + 178, // 327: gctrpc.GoCryptoTraderService.GetFuturesPositions:output_type -> gctrpc.GetFuturesPositionsResponse + 180, // 328: gctrpc.GoCryptoTraderService.GetCollateral:output_type -> gctrpc.GetCollateralResponse + 187, // 329: gctrpc.GoCryptoTraderService.Shutdown:output_type -> gctrpc.ShutdownResponse + 190, // 330: gctrpc.GoCryptoTraderService.GetTechnicalAnalysis:output_type -> gctrpc.GetTechnicalAnalysisResponse + 195, // 331: gctrpc.GoCryptoTraderService.GetMarginRatesHistory:output_type -> gctrpc.GetMarginRatesHistoryResponse + 176, // 332: gctrpc.GoCryptoTraderService.GetManagedPosition:output_type -> gctrpc.GetManagedPositionsResponse + 176, // 333: gctrpc.GoCryptoTraderService.GetAllManagedPositions:output_type -> gctrpc.GetManagedPositionsResponse + 185, // 334: gctrpc.GoCryptoTraderService.GetFundingRates:output_type -> gctrpc.GetFundingRatesResponse + 197, // 335: gctrpc.GoCryptoTraderService.GetOrderbookMovement:output_type -> gctrpc.GetOrderbookMovementResponse + 199, // 336: gctrpc.GoCryptoTraderService.GetOrderbookAmountByNominal:output_type -> gctrpc.GetOrderbookAmountByNominalResponse + 201, // 337: gctrpc.GoCryptoTraderService.GetOrderbookAmountByImpact:output_type -> gctrpc.GetOrderbookAmountByImpactResponse + 233, // [233:338] is the sub-list for method output_type + 128, // [128:233] is the sub-list for method input_type + 128, // [128:128] is the sub-list for extension type_name + 128, // [128:128] is the sub-list for extension extendee + 0, // [0:128] is the sub-list for field type_name } func init() { file_rpc_proto_init() } @@ -18920,6 +19799,78 @@ func file_rpc_proto_init() { return nil } } + file_rpc_proto_msgTypes[196].Exporter = func(v interface{}, i int) interface{} { + switch v := v.(*GetOrderbookMovementRequest); i { + case 0: + return &v.state + case 1: + return &v.sizeCache + case 2: + return &v.unknownFields + default: + return nil + } + } + file_rpc_proto_msgTypes[197].Exporter = func(v interface{}, i int) interface{} { + switch v := v.(*GetOrderbookMovementResponse); i { + case 0: + return &v.state + case 1: + return &v.sizeCache + case 2: + return &v.unknownFields + default: + return nil + } + } + file_rpc_proto_msgTypes[198].Exporter = func(v interface{}, i int) interface{} { + switch v := v.(*GetOrderbookAmountByNominalRequest); i { + case 0: + return &v.state + case 1: + return &v.sizeCache + case 2: + return &v.unknownFields + default: + return nil + } + } + file_rpc_proto_msgTypes[199].Exporter = func(v interface{}, i int) interface{} { + switch v := v.(*GetOrderbookAmountByNominalResponse); i { + case 0: + return &v.state + case 1: + return &v.sizeCache + case 2: + return &v.unknownFields + default: + return nil + } + } + file_rpc_proto_msgTypes[200].Exporter = func(v interface{}, i int) interface{} { + switch v := v.(*GetOrderbookAmountByImpactRequest); i { + case 0: + return &v.state + case 1: + return &v.sizeCache + case 2: + return &v.unknownFields + default: + return nil + } + } + file_rpc_proto_msgTypes[201].Exporter = func(v interface{}, i int) interface{} { + switch v := v.(*GetOrderbookAmountByImpactResponse); i { + case 0: + return &v.state + case 1: + return &v.sizeCache + case 2: + return &v.unknownFields + default: + return nil + } + } } type x struct{} out := protoimpl.TypeBuilder{ @@ -18927,7 +19878,7 @@ func file_rpc_proto_init() { GoPackagePath: reflect.TypeOf(x{}).PkgPath(), RawDescriptor: file_rpc_proto_rawDesc, NumEnums: 0, - NumMessages: 210, + NumMessages: 216, NumExtensions: 0, NumServices: 1, }, diff --git a/gctrpc/rpc.pb.gw.go b/gctrpc/rpc.pb.gw.go index e25eec1d..a3fe8b74 100644 --- a/gctrpc/rpc.pb.gw.go +++ b/gctrpc/rpc.pb.gw.go @@ -3293,6 +3293,114 @@ func local_request_GoCryptoTraderService_GetFundingRates_0(ctx context.Context, } +var ( + filter_GoCryptoTraderService_GetOrderbookMovement_0 = &utilities.DoubleArray{Encoding: map[string]int{}, Base: []int(nil), Check: []int(nil)} +) + +func request_GoCryptoTraderService_GetOrderbookMovement_0(ctx context.Context, marshaler runtime.Marshaler, client GoCryptoTraderServiceClient, req *http.Request, pathParams map[string]string) (proto.Message, runtime.ServerMetadata, error) { + var protoReq GetOrderbookMovementRequest + var metadata runtime.ServerMetadata + + if err := req.ParseForm(); err != nil { + return nil, metadata, status.Errorf(codes.InvalidArgument, "%v", err) + } + if err := runtime.PopulateQueryParameters(&protoReq, req.Form, filter_GoCryptoTraderService_GetOrderbookMovement_0); err != nil { + return nil, metadata, status.Errorf(codes.InvalidArgument, "%v", err) + } + + msg, err := client.GetOrderbookMovement(ctx, &protoReq, grpc.Header(&metadata.HeaderMD), grpc.Trailer(&metadata.TrailerMD)) + return msg, metadata, err + +} + +func local_request_GoCryptoTraderService_GetOrderbookMovement_0(ctx context.Context, marshaler runtime.Marshaler, server GoCryptoTraderServiceServer, req *http.Request, pathParams map[string]string) (proto.Message, runtime.ServerMetadata, error) { + var protoReq GetOrderbookMovementRequest + var metadata runtime.ServerMetadata + + if err := req.ParseForm(); err != nil { + return nil, metadata, status.Errorf(codes.InvalidArgument, "%v", err) + } + if err := runtime.PopulateQueryParameters(&protoReq, req.Form, filter_GoCryptoTraderService_GetOrderbookMovement_0); err != nil { + return nil, metadata, status.Errorf(codes.InvalidArgument, "%v", err) + } + + msg, err := server.GetOrderbookMovement(ctx, &protoReq) + return msg, metadata, err + +} + +var ( + filter_GoCryptoTraderService_GetOrderbookAmountByNominal_0 = &utilities.DoubleArray{Encoding: map[string]int{}, Base: []int(nil), Check: []int(nil)} +) + +func request_GoCryptoTraderService_GetOrderbookAmountByNominal_0(ctx context.Context, marshaler runtime.Marshaler, client GoCryptoTraderServiceClient, req *http.Request, pathParams map[string]string) (proto.Message, runtime.ServerMetadata, error) { + var protoReq GetOrderbookAmountByNominalRequest + var metadata runtime.ServerMetadata + + if err := req.ParseForm(); err != nil { + return nil, metadata, status.Errorf(codes.InvalidArgument, "%v", err) + } + if err := runtime.PopulateQueryParameters(&protoReq, req.Form, filter_GoCryptoTraderService_GetOrderbookAmountByNominal_0); err != nil { + return nil, metadata, status.Errorf(codes.InvalidArgument, "%v", err) + } + + msg, err := client.GetOrderbookAmountByNominal(ctx, &protoReq, grpc.Header(&metadata.HeaderMD), grpc.Trailer(&metadata.TrailerMD)) + return msg, metadata, err + +} + +func local_request_GoCryptoTraderService_GetOrderbookAmountByNominal_0(ctx context.Context, marshaler runtime.Marshaler, server GoCryptoTraderServiceServer, req *http.Request, pathParams map[string]string) (proto.Message, runtime.ServerMetadata, error) { + var protoReq GetOrderbookAmountByNominalRequest + var metadata runtime.ServerMetadata + + if err := req.ParseForm(); err != nil { + return nil, metadata, status.Errorf(codes.InvalidArgument, "%v", err) + } + if err := runtime.PopulateQueryParameters(&protoReq, req.Form, filter_GoCryptoTraderService_GetOrderbookAmountByNominal_0); err != nil { + return nil, metadata, status.Errorf(codes.InvalidArgument, "%v", err) + } + + msg, err := server.GetOrderbookAmountByNominal(ctx, &protoReq) + return msg, metadata, err + +} + +var ( + filter_GoCryptoTraderService_GetOrderbookAmountByImpact_0 = &utilities.DoubleArray{Encoding: map[string]int{}, Base: []int(nil), Check: []int(nil)} +) + +func request_GoCryptoTraderService_GetOrderbookAmountByImpact_0(ctx context.Context, marshaler runtime.Marshaler, client GoCryptoTraderServiceClient, req *http.Request, pathParams map[string]string) (proto.Message, runtime.ServerMetadata, error) { + var protoReq GetOrderbookAmountByImpactRequest + var metadata runtime.ServerMetadata + + if err := req.ParseForm(); err != nil { + return nil, metadata, status.Errorf(codes.InvalidArgument, "%v", err) + } + if err := runtime.PopulateQueryParameters(&protoReq, req.Form, filter_GoCryptoTraderService_GetOrderbookAmountByImpact_0); err != nil { + return nil, metadata, status.Errorf(codes.InvalidArgument, "%v", err) + } + + msg, err := client.GetOrderbookAmountByImpact(ctx, &protoReq, grpc.Header(&metadata.HeaderMD), grpc.Trailer(&metadata.TrailerMD)) + return msg, metadata, err + +} + +func local_request_GoCryptoTraderService_GetOrderbookAmountByImpact_0(ctx context.Context, marshaler runtime.Marshaler, server GoCryptoTraderServiceServer, req *http.Request, pathParams map[string]string) (proto.Message, runtime.ServerMetadata, error) { + var protoReq GetOrderbookAmountByImpactRequest + var metadata runtime.ServerMetadata + + if err := req.ParseForm(); err != nil { + return nil, metadata, status.Errorf(codes.InvalidArgument, "%v", err) + } + if err := runtime.PopulateQueryParameters(&protoReq, req.Form, filter_GoCryptoTraderService_GetOrderbookAmountByImpact_0); err != nil { + return nil, metadata, status.Errorf(codes.InvalidArgument, "%v", err) + } + + msg, err := server.GetOrderbookAmountByImpact(ctx, &protoReq) + return msg, metadata, err + +} + // RegisterGoCryptoTraderServiceHandlerServer registers the http handlers for service GoCryptoTraderService to "mux". // UnaryRPC :call GoCryptoTraderServiceServer directly. // StreamingRPC :currently unsupported pending https://github.com/grpc/grpc-go/issues/906. @@ -5645,6 +5753,78 @@ func RegisterGoCryptoTraderServiceHandlerServer(ctx context.Context, mux *runtim }) + mux.Handle("GET", pattern_GoCryptoTraderService_GetOrderbookMovement_0, func(w http.ResponseWriter, req *http.Request, pathParams map[string]string) { + ctx, cancel := context.WithCancel(req.Context()) + defer cancel() + var stream runtime.ServerTransportStream + ctx = grpc.NewContextWithServerTransportStream(ctx, &stream) + inboundMarshaler, outboundMarshaler := runtime.MarshalerForRequest(mux, req) + var err error + ctx, err = runtime.AnnotateIncomingContext(ctx, mux, req, "/gctrpc.GoCryptoTraderService/GetOrderbookMovement", runtime.WithHTTPPathPattern("/v1/getorderbookmovement")) + if err != nil { + runtime.HTTPError(ctx, mux, outboundMarshaler, w, req, err) + return + } + resp, md, err := local_request_GoCryptoTraderService_GetOrderbookMovement_0(ctx, inboundMarshaler, server, req, pathParams) + md.HeaderMD, md.TrailerMD = metadata.Join(md.HeaderMD, stream.Header()), metadata.Join(md.TrailerMD, stream.Trailer()) + ctx = runtime.NewServerMetadataContext(ctx, md) + if err != nil { + runtime.HTTPError(ctx, mux, outboundMarshaler, w, req, err) + return + } + + forward_GoCryptoTraderService_GetOrderbookMovement_0(ctx, mux, outboundMarshaler, w, req, resp, mux.GetForwardResponseOptions()...) + + }) + + mux.Handle("GET", pattern_GoCryptoTraderService_GetOrderbookAmountByNominal_0, func(w http.ResponseWriter, req *http.Request, pathParams map[string]string) { + ctx, cancel := context.WithCancel(req.Context()) + defer cancel() + var stream runtime.ServerTransportStream + ctx = grpc.NewContextWithServerTransportStream(ctx, &stream) + inboundMarshaler, outboundMarshaler := runtime.MarshalerForRequest(mux, req) + var err error + ctx, err = runtime.AnnotateIncomingContext(ctx, mux, req, "/gctrpc.GoCryptoTraderService/GetOrderbookAmountByNominal", runtime.WithHTTPPathPattern("/v1/getorderbookamountbynominal")) + if err != nil { + runtime.HTTPError(ctx, mux, outboundMarshaler, w, req, err) + return + } + resp, md, err := local_request_GoCryptoTraderService_GetOrderbookAmountByNominal_0(ctx, inboundMarshaler, server, req, pathParams) + md.HeaderMD, md.TrailerMD = metadata.Join(md.HeaderMD, stream.Header()), metadata.Join(md.TrailerMD, stream.Trailer()) + ctx = runtime.NewServerMetadataContext(ctx, md) + if err != nil { + runtime.HTTPError(ctx, mux, outboundMarshaler, w, req, err) + return + } + + forward_GoCryptoTraderService_GetOrderbookAmountByNominal_0(ctx, mux, outboundMarshaler, w, req, resp, mux.GetForwardResponseOptions()...) + + }) + + mux.Handle("GET", pattern_GoCryptoTraderService_GetOrderbookAmountByImpact_0, func(w http.ResponseWriter, req *http.Request, pathParams map[string]string) { + ctx, cancel := context.WithCancel(req.Context()) + defer cancel() + var stream runtime.ServerTransportStream + ctx = grpc.NewContextWithServerTransportStream(ctx, &stream) + inboundMarshaler, outboundMarshaler := runtime.MarshalerForRequest(mux, req) + var err error + ctx, err = runtime.AnnotateIncomingContext(ctx, mux, req, "/gctrpc.GoCryptoTraderService/GetOrderbookAmountByImpact", runtime.WithHTTPPathPattern("/v1/getorderbookamountbyimpact")) + if err != nil { + runtime.HTTPError(ctx, mux, outboundMarshaler, w, req, err) + return + } + resp, md, err := local_request_GoCryptoTraderService_GetOrderbookAmountByImpact_0(ctx, inboundMarshaler, server, req, pathParams) + md.HeaderMD, md.TrailerMD = metadata.Join(md.HeaderMD, stream.Header()), metadata.Join(md.TrailerMD, stream.Trailer()) + ctx = runtime.NewServerMetadataContext(ctx, md) + if err != nil { + runtime.HTTPError(ctx, mux, outboundMarshaler, w, req, err) + return + } + + forward_GoCryptoTraderService_GetOrderbookAmountByImpact_0(ctx, mux, outboundMarshaler, w, req, resp, mux.GetForwardResponseOptions()...) + + }) + return nil } @@ -7828,6 +8008,69 @@ func RegisterGoCryptoTraderServiceHandlerClient(ctx context.Context, mux *runtim }) + mux.Handle("GET", pattern_GoCryptoTraderService_GetOrderbookMovement_0, func(w http.ResponseWriter, req *http.Request, pathParams map[string]string) { + ctx, cancel := context.WithCancel(req.Context()) + defer cancel() + inboundMarshaler, outboundMarshaler := runtime.MarshalerForRequest(mux, req) + var err error + ctx, err = runtime.AnnotateContext(ctx, mux, req, "/gctrpc.GoCryptoTraderService/GetOrderbookMovement", runtime.WithHTTPPathPattern("/v1/getorderbookmovement")) + if err != nil { + runtime.HTTPError(ctx, mux, outboundMarshaler, w, req, err) + return + } + resp, md, err := request_GoCryptoTraderService_GetOrderbookMovement_0(ctx, inboundMarshaler, client, req, pathParams) + ctx = runtime.NewServerMetadataContext(ctx, md) + if err != nil { + runtime.HTTPError(ctx, mux, outboundMarshaler, w, req, err) + return + } + + forward_GoCryptoTraderService_GetOrderbookMovement_0(ctx, mux, outboundMarshaler, w, req, resp, mux.GetForwardResponseOptions()...) + + }) + + mux.Handle("GET", pattern_GoCryptoTraderService_GetOrderbookAmountByNominal_0, func(w http.ResponseWriter, req *http.Request, pathParams map[string]string) { + ctx, cancel := context.WithCancel(req.Context()) + defer cancel() + inboundMarshaler, outboundMarshaler := runtime.MarshalerForRequest(mux, req) + var err error + ctx, err = runtime.AnnotateContext(ctx, mux, req, "/gctrpc.GoCryptoTraderService/GetOrderbookAmountByNominal", runtime.WithHTTPPathPattern("/v1/getorderbookamountbynominal")) + if err != nil { + runtime.HTTPError(ctx, mux, outboundMarshaler, w, req, err) + return + } + resp, md, err := request_GoCryptoTraderService_GetOrderbookAmountByNominal_0(ctx, inboundMarshaler, client, req, pathParams) + ctx = runtime.NewServerMetadataContext(ctx, md) + if err != nil { + runtime.HTTPError(ctx, mux, outboundMarshaler, w, req, err) + return + } + + forward_GoCryptoTraderService_GetOrderbookAmountByNominal_0(ctx, mux, outboundMarshaler, w, req, resp, mux.GetForwardResponseOptions()...) + + }) + + mux.Handle("GET", pattern_GoCryptoTraderService_GetOrderbookAmountByImpact_0, func(w http.ResponseWriter, req *http.Request, pathParams map[string]string) { + ctx, cancel := context.WithCancel(req.Context()) + defer cancel() + inboundMarshaler, outboundMarshaler := runtime.MarshalerForRequest(mux, req) + var err error + ctx, err = runtime.AnnotateContext(ctx, mux, req, "/gctrpc.GoCryptoTraderService/GetOrderbookAmountByImpact", runtime.WithHTTPPathPattern("/v1/getorderbookamountbyimpact")) + if err != nil { + runtime.HTTPError(ctx, mux, outboundMarshaler, w, req, err) + return + } + resp, md, err := request_GoCryptoTraderService_GetOrderbookAmountByImpact_0(ctx, inboundMarshaler, client, req, pathParams) + ctx = runtime.NewServerMetadataContext(ctx, md) + if err != nil { + runtime.HTTPError(ctx, mux, outboundMarshaler, w, req, err) + return + } + + forward_GoCryptoTraderService_GetOrderbookAmountByImpact_0(ctx, mux, outboundMarshaler, w, req, resp, mux.GetForwardResponseOptions()...) + + }) + return nil } @@ -8035,6 +8278,12 @@ var ( pattern_GoCryptoTraderService_GetAllManagedPositions_0 = runtime.MustPattern(runtime.NewPattern(1, []int{2, 0, 2, 1}, []string{"v1", "getallmanagedpositions"}, "")) pattern_GoCryptoTraderService_GetFundingRates_0 = runtime.MustPattern(runtime.NewPattern(1, []int{2, 0, 2, 1}, []string{"v1", "getfundingrates"}, "")) + + pattern_GoCryptoTraderService_GetOrderbookMovement_0 = runtime.MustPattern(runtime.NewPattern(1, []int{2, 0, 2, 1}, []string{"v1", "getorderbookmovement"}, "")) + + pattern_GoCryptoTraderService_GetOrderbookAmountByNominal_0 = runtime.MustPattern(runtime.NewPattern(1, []int{2, 0, 2, 1}, []string{"v1", "getorderbookamountbynominal"}, "")) + + pattern_GoCryptoTraderService_GetOrderbookAmountByImpact_0 = runtime.MustPattern(runtime.NewPattern(1, []int{2, 0, 2, 1}, []string{"v1", "getorderbookamountbyimpact"}, "")) ) var ( @@ -8241,4 +8490,10 @@ var ( forward_GoCryptoTraderService_GetAllManagedPositions_0 = runtime.ForwardResponseMessage forward_GoCryptoTraderService_GetFundingRates_0 = runtime.ForwardResponseMessage + + forward_GoCryptoTraderService_GetOrderbookMovement_0 = runtime.ForwardResponseMessage + + forward_GoCryptoTraderService_GetOrderbookAmountByNominal_0 = runtime.ForwardResponseMessage + + forward_GoCryptoTraderService_GetOrderbookAmountByImpact_0 = runtime.ForwardResponseMessage ) diff --git a/gctrpc/rpc.proto b/gctrpc/rpc.proto index b9c356ea..ff39aa43 100644 --- a/gctrpc/rpc.proto +++ b/gctrpc/rpc.proto @@ -382,6 +382,7 @@ message WhaleBombRequest { CurrencyPair pair = 2; double price_target = 3; string side = 4; + string asset_type = 5; } message CancelOrderRequest { @@ -1279,6 +1280,79 @@ message GetMarginRatesHistoryResponse { string taker_fee_rate = 9; } +message GetOrderbookMovementRequest { + string exchange = 1; + string asset = 2; + CurrencyPair pair = 3; + double amount = 6; + bool sell = 7; + bool requires_rest_orderbook = 8; + bool purchase = 9; +} + +message GetOrderbookMovementResponse { + double nominal_percentage = 1; + double impact_percentage = 2; + double slippage_cost = 3; + string currency_bought = 4; + double bought = 5; + string currency_sold = 6; + double sold = 7; + string side_affected = 8; + string update_protocol = 9; + bool full_orderbook_side_consumed = 10; + double start_price = 11; + double end_price = 12; + bool no_slippage_occurred = 13; + double average_order_cost = 14; +} + +message GetOrderbookAmountByNominalRequest { + string exchange = 1; + string asset = 2; + CurrencyPair pair = 3; + double nominal_percentage = 6; + bool sell = 7; + bool requires_rest_orderbook = 8; +} + +message GetOrderbookAmountByNominalResponse { + double amount_required = 1; + string currency_selling = 2; + double amount_received = 3; + string currency_buying = 4; + double start_price = 5; + double end_price = 6; + double average_order_cost = 7; + string side_affected = 8; + double approximate_nominal_slippage_percentage = 9; + string update_protocol = 10; + bool full_orderbook_side_consumed = 11; +} + +message GetOrderbookAmountByImpactRequest { + string exchange = 1; + string asset = 2; + CurrencyPair pair = 3; + double impact_percentage = 6; + bool sell = 7; + bool requires_rest_orderbook = 8; +} + +message GetOrderbookAmountByImpactResponse { + double amount_required = 1; + string currency_selling = 2; + double amount_received = 3; + string currency_buying = 4; + double start_price = 5; + double end_price = 6; + double average_order_cost = 7; + string side_affected = 8; + double approximate_impact_slippage_percentage = 9; + string update_protocol = 10; + bool full_orderbook_side_consumed = 11; +} + service GoCryptoTraderService { rpc GetInfo(GetInfoRequest) returns (GetInfoResponse) { option (google.api.http) = { @@ -1907,4 +1981,19 @@ service GoCryptoTraderService { get: "/v1/getfundingrates" }; } + rpc GetOrderbookMovement(GetOrderbookMovementRequest) returns (GetOrderbookMovementResponse) { + option (google.api.http) = { + get: "/v1/getorderbookmovement" + }; + } + rpc GetOrderbookAmountByNominal(GetOrderbookAmountByNominalRequest) returns (GetOrderbookAmountByNominalResponse) { + option (google.api.http) = { + get: "/v1/getorderbookamountbynominal" + }; + } + rpc GetOrderbookAmountByImpact(GetOrderbookAmountByImpactRequest) returns (GetOrderbookAmountByImpactResponse) { + option (google.api.http) = { + get: "/v1/getorderbookamountbyimpact" + }; + } } diff --git a/gctrpc/rpc.swagger.json b/gctrpc/rpc.swagger.json index aef23fba..a1e3d605 100644 --- a/gctrpc/rpc.swagger.json +++ b/gctrpc/rpc.swagger.json @@ -2556,6 +2556,231 @@ ] } }, + "/v1/getorderbookamountbyimpact": { + "get": { + "operationId": "GoCryptoTraderService_GetOrderbookAmountByImpact", + "responses": { + "200": { + "description": "A successful response.", + "schema": { + "$ref": "#/definitions/gctrpcGetOrderbookAmountByImpactResponse" + } + }, + "default": { + "description": "An unexpected error response.", + "schema": { + "$ref": "#/definitions/rpcStatus" + } + } + }, + "parameters": [ + { + "name": "exchange", + "in": "query", + "required": false, + "type": "string" + }, + { + "name": "asset", + "in": "query", + "required": false, + "type": "string" + }, + { + "name": "pair.delimiter", + "in": "query", + "required": false, + "type": "string" + }, + { + "name": "pair.base", + "in": "query", + "required": false, + "type": "string" + }, + { + "name": "pair.quote", + "in": "query", + "required": false, + "type": "string" + }, + { + "name": "impactPercentage", + "in": "query", + "required": false, + "type": "number", + "format": "double" + }, + { + "name": "sell", + "in": "query", + "required": false, + "type": "boolean" + }, + { + "name": "requiresRestOrderbook", + "in": "query", + "required": false, + "type": "boolean" + } + ], + "tags": [ + "GoCryptoTraderService" + ] + } + }, + "/v1/getorderbookamountbynominal": { + "get": { + "operationId": "GoCryptoTraderService_GetOrderbookAmountByNominal", + "responses": { + "200": { + "description": "A successful response.", + "schema": { + "$ref": "#/definitions/gctrpcGetOrderbookAmountByNominalResponse" + } + }, + "default": { + "description": "An unexpected error response.", + "schema": { + "$ref": "#/definitions/rpcStatus" + } + } + }, + "parameters": [ + { + "name": "exchange", + "in": "query", + "required": false, + "type": "string" + }, + { + "name": "asset", + "in": "query", + "required": false, + "type": "string" + }, + { + "name": "pair.delimiter", + "in": "query", + "required": false, + "type": "string" + }, + { + "name": "pair.base", + "in": "query", + "required": false, + "type": "string" + }, + { + "name": "pair.quote", + "in": "query", + "required": false, + "type": "string" + }, + { + "name": "nominalPercentage", + "in": "query", + "required": false, + "type": "number", + "format": "double" + }, + { + "name": "sell", + "in": "query", + "required": false, + "type": "boolean" + }, + { + "name": "requiresRestOrderbook", + "in": "query", + "required": false, + "type": "boolean" + } + ], + "tags": [ + "GoCryptoTraderService" + ] + } + }, + "/v1/getorderbookmovement": { + "get": { + "operationId": "GoCryptoTraderService_GetOrderbookMovement", + "responses": { + "200": { + "description": "A successful response.", + "schema": { + "$ref": "#/definitions/gctrpcGetOrderbookMovementResponse" + } + }, + "default": { + "description": "An unexpected error response.", + "schema": { + "$ref": "#/definitions/rpcStatus" + } + } + }, + "parameters": [ + { + "name": "exchange", + "in": "query", + "required": false, + "type": "string" + }, + { + "name": "asset", + "in": "query", + "required": false, + "type": "string" + }, + { + "name": "pair.delimiter", + "in": "query", + "required": false, + "type": "string" + }, + { + "name": "pair.base", + "in": "query", + "required": false, + "type": "string" + }, + { + "name": "pair.quote", + "in": "query", + "required": false, + "type": "string" + }, + { + "name": "amount", + "in": "query", + "required": false, + "type": "number", + "format": "double" + }, + { + "name": "sell", + "in": "query", + "required": false, + "type": "boolean" + }, + { + "name": "requiresRestOrderbook", + "in": "query", + "required": false, + "type": "boolean" + }, + { + "name": "purchase", + "in": "query", + "required": false, + "type": "boolean" + } + ], + "tags": [ + "GoCryptoTraderService" + ] + } + }, "/v1/getorderbooks": { "get": { "operationId": "GoCryptoTraderService_GetOrderbooks", @@ -5527,6 +5752,149 @@ } } }, + "gctrpcGetOrderbookAmountByImpactResponse": { + "type": "object", + "properties": { + "amountRequired": { + "type": "number", + "format": "double" + }, + "currencySelling": { + "type": "string" + }, + "amountReceived": { + "type": "number", + "format": "double" + }, + "currencyBuying": { + "type": "string" + }, + "startPrice": { + "type": "number", + "format": "double" + }, + "endPrice": { + "type": "number", + "format": "double" + }, + "averageOrderCost": { + "type": "number", + "format": "double" + }, + "sideAffected": { + "type": "string" + }, + "approximateImpactSlippagePercentage": { + "type": "number", + "format": "double" + }, + "updateProtocol": { + "type": "string" + }, + "fullOrderbookSideConsumed": { + "type": "boolean" + } + } + }, + "gctrpcGetOrderbookAmountByNominalResponse": { + "type": "object", + "properties": { + "amountRequired": { + "type": "number", + "format": "double" + }, + "currencySelling": { + "type": "string" + }, + "amountReceived": { + "type": "number", + "format": "double" + }, + "currencyBuying": { + "type": "string" + }, + "startPrice": { + "type": "number", + "format": "double" + }, + "endPrice": { + "type": "number", + "format": "double" + }, + "averageOrderCost": { + "type": "number", + "format": "double" + }, + "sideAffected": { + "type": "string" + }, + "approximateNominalSlippagePercentage": { + "type": "number", + "format": "double" + }, + "updateProtocol": { + "type": "string" + }, + "fullOrderbookSideConsumed": { + "type": "boolean" + } + } + }, + "gctrpcGetOrderbookMovementResponse": { + "type": "object", + "properties": { + "nominalPercentage": { + "type": "number", + "format": "double" + }, + "impactPercentage": { + "type": "number", + "format": "double" + }, + "slippageCost": { + "type": "number", + "format": "double" + }, + "currencyBought": { + "type": "string" + }, + "bought": { + "type": "number", + "format": "double" + }, + "currencySold": { + "type": "string" + }, + "sold": { + "type": "number", + "format": "double" + }, + "sideAffected": { + "type": "string" + }, + "updateProtocol": { + "type": "string" + }, + "fullOrderbookSideConsumed": { + "type": "boolean" + }, + "startPrice": { + "type": "number", + "format": "double" + }, + "endPrice": { + "type": "number", + "format": "double" + }, + "noSlippageOccurred": { + "type": "boolean" + }, + "averageOrderCost": { + "type": "number", + "format": "double" + } + } + }, "gctrpcGetOrderbookRequest": { "type": "object", "properties": { @@ -6468,6 +6836,9 @@ }, "side": { "type": "string" + }, + "assetType": { + "type": "string" } } }, diff --git a/gctrpc/rpc_grpc.pb.go b/gctrpc/rpc_grpc.pb.go index 153709b2..9986c240 100644 --- a/gctrpc/rpc_grpc.pb.go +++ b/gctrpc/rpc_grpc.pb.go @@ -124,6 +124,9 @@ type GoCryptoTraderServiceClient interface { GetManagedPosition(ctx context.Context, in *GetManagedPositionRequest, opts ...grpc.CallOption) (*GetManagedPositionsResponse, error) GetAllManagedPositions(ctx context.Context, in *GetAllManagedPositionsRequest, opts ...grpc.CallOption) (*GetManagedPositionsResponse, error) GetFundingRates(ctx context.Context, in *GetFundingRatesRequest, opts ...grpc.CallOption) (*GetFundingRatesResponse, error) + GetOrderbookMovement(ctx context.Context, in *GetOrderbookMovementRequest, opts ...grpc.CallOption) (*GetOrderbookMovementResponse, error) + GetOrderbookAmountByNominal(ctx context.Context, in *GetOrderbookAmountByNominalRequest, opts ...grpc.CallOption) (*GetOrderbookAmountByNominalResponse, error) + GetOrderbookAmountByImpact(ctx context.Context, in *GetOrderbookAmountByImpactRequest, opts ...grpc.CallOption) (*GetOrderbookAmountByImpactResponse, error) } type goCryptoTraderServiceClient struct { @@ -1190,6 +1193,33 @@ func (c *goCryptoTraderServiceClient) GetFundingRates(ctx context.Context, in *G return out, nil } +func (c *goCryptoTraderServiceClient) GetOrderbookMovement(ctx context.Context, in *GetOrderbookMovementRequest, opts ...grpc.CallOption) (*GetOrderbookMovementResponse, error) { + out := new(GetOrderbookMovementResponse) + err := c.cc.Invoke(ctx, "/gctrpc.GoCryptoTraderService/GetOrderbookMovement", in, out, opts...) + if err != nil { + return nil, err + } + return out, nil +} + +func (c *goCryptoTraderServiceClient) GetOrderbookAmountByNominal(ctx context.Context, in *GetOrderbookAmountByNominalRequest, opts ...grpc.CallOption) (*GetOrderbookAmountByNominalResponse, error) { + out := new(GetOrderbookAmountByNominalResponse) + err := c.cc.Invoke(ctx, "/gctrpc.GoCryptoTraderService/GetOrderbookAmountByNominal", in, out, opts...) + if err != nil { + return nil, err + } + return out, nil +} + +func (c *goCryptoTraderServiceClient) GetOrderbookAmountByImpact(ctx context.Context, in *GetOrderbookAmountByImpactRequest, opts ...grpc.CallOption) (*GetOrderbookAmountByImpactResponse, error) { + out := new(GetOrderbookAmountByImpactResponse) + err := c.cc.Invoke(ctx, "/gctrpc.GoCryptoTraderService/GetOrderbookAmountByImpact", in, out, opts...) + if err != nil { + return nil, err + } + return out, nil +} + // GoCryptoTraderServiceServer is the server API for GoCryptoTraderService service. // All implementations must embed UnimplementedGoCryptoTraderServiceServer // for forward compatibility @@ -1296,6 +1326,9 @@ type GoCryptoTraderServiceServer interface { GetManagedPosition(context.Context, *GetManagedPositionRequest) (*GetManagedPositionsResponse, error) GetAllManagedPositions(context.Context, *GetAllManagedPositionsRequest) (*GetManagedPositionsResponse, error) GetFundingRates(context.Context, *GetFundingRatesRequest) (*GetFundingRatesResponse, error) + GetOrderbookMovement(context.Context, *GetOrderbookMovementRequest) (*GetOrderbookMovementResponse, error) + GetOrderbookAmountByNominal(context.Context, *GetOrderbookAmountByNominalRequest) (*GetOrderbookAmountByNominalResponse, error) + GetOrderbookAmountByImpact(context.Context, *GetOrderbookAmountByImpactRequest) (*GetOrderbookAmountByImpactResponse, error) mustEmbedUnimplementedGoCryptoTraderServiceServer() } @@ -1609,6 +1642,15 @@ func (UnimplementedGoCryptoTraderServiceServer) GetAllManagedPositions(context.C func (UnimplementedGoCryptoTraderServiceServer) GetFundingRates(context.Context, *GetFundingRatesRequest) (*GetFundingRatesResponse, error) { return nil, status.Errorf(codes.Unimplemented, "method GetFundingRates not implemented") } +func (UnimplementedGoCryptoTraderServiceServer) GetOrderbookMovement(context.Context, *GetOrderbookMovementRequest) (*GetOrderbookMovementResponse, error) { + return nil, status.Errorf(codes.Unimplemented, "method GetOrderbookMovement not implemented") +} +func (UnimplementedGoCryptoTraderServiceServer) GetOrderbookAmountByNominal(context.Context, *GetOrderbookAmountByNominalRequest) (*GetOrderbookAmountByNominalResponse, error) { + return nil, status.Errorf(codes.Unimplemented, "method GetOrderbookAmountByNominal not implemented") +} +func (UnimplementedGoCryptoTraderServiceServer) GetOrderbookAmountByImpact(context.Context, *GetOrderbookAmountByImpactRequest) (*GetOrderbookAmountByImpactResponse, error) { + return nil, status.Errorf(codes.Unimplemented, "method GetOrderbookAmountByImpact not implemented") +} func (UnimplementedGoCryptoTraderServiceServer) mustEmbedUnimplementedGoCryptoTraderServiceServer() {} // UnsafeGoCryptoTraderServiceServer may be embedded to opt out of forward compatibility for this service. @@ -3476,6 +3518,60 @@ func _GoCryptoTraderService_GetFundingRates_Handler(srv interface{}, ctx context return interceptor(ctx, in, info, handler) } +func _GoCryptoTraderService_GetOrderbookMovement_Handler(srv interface{}, ctx context.Context, dec func(interface{}) error, interceptor grpc.UnaryServerInterceptor) (interface{}, error) { + in := new(GetOrderbookMovementRequest) + if err := dec(in); err != nil { + return nil, err + } + if interceptor == nil { + return srv.(GoCryptoTraderServiceServer).GetOrderbookMovement(ctx, in) + } + info := &grpc.UnaryServerInfo{ + Server: srv, + FullMethod: "/gctrpc.GoCryptoTraderService/GetOrderbookMovement", + } + handler := func(ctx context.Context, req interface{}) (interface{}, error) { + return srv.(GoCryptoTraderServiceServer).GetOrderbookMovement(ctx, req.(*GetOrderbookMovementRequest)) + } + return interceptor(ctx, in, info, handler) +} + +func _GoCryptoTraderService_GetOrderbookAmountByNominal_Handler(srv interface{}, ctx context.Context, dec func(interface{}) error, interceptor grpc.UnaryServerInterceptor) (interface{}, error) { + in := new(GetOrderbookAmountByNominalRequest) + if err := dec(in); err != nil { + return nil, err + } + if interceptor == nil { + return srv.(GoCryptoTraderServiceServer).GetOrderbookAmountByNominal(ctx, in) + } + info := &grpc.UnaryServerInfo{ + Server: srv, + FullMethod: "/gctrpc.GoCryptoTraderService/GetOrderbookAmountByNominal", + } + handler := func(ctx context.Context, req interface{}) (interface{}, error) { + return srv.(GoCryptoTraderServiceServer).GetOrderbookAmountByNominal(ctx, req.(*GetOrderbookAmountByNominalRequest)) + } + return interceptor(ctx, in, info, handler) +} + +func _GoCryptoTraderService_GetOrderbookAmountByImpact_Handler(srv interface{}, ctx context.Context, dec func(interface{}) error, interceptor grpc.UnaryServerInterceptor) (interface{}, error) { + in := new(GetOrderbookAmountByImpactRequest) + if err := dec(in); err != nil { + return nil, err + } + if interceptor == nil { + return srv.(GoCryptoTraderServiceServer).GetOrderbookAmountByImpact(ctx, in) + } + info := &grpc.UnaryServerInfo{ + Server: srv, + FullMethod: "/gctrpc.GoCryptoTraderService/GetOrderbookAmountByImpact", + } + handler := func(ctx context.Context, req interface{}) (interface{}, error) { + return srv.(GoCryptoTraderServiceServer).GetOrderbookAmountByImpact(ctx, req.(*GetOrderbookAmountByImpactRequest)) + } + return interceptor(ctx, in, info, handler) +} + // GoCryptoTraderService_ServiceDesc is the grpc.ServiceDesc for GoCryptoTraderService service. // It's only intended for direct use with grpc.RegisterService, // and not to be introspected or modified (even as a copy) @@ -3867,6 +3963,18 @@ var GoCryptoTraderService_ServiceDesc = grpc.ServiceDesc{ MethodName: "GetFundingRates", Handler: _GoCryptoTraderService_GetFundingRates_Handler, }, + { + MethodName: "GetOrderbookMovement", + Handler: _GoCryptoTraderService_GetOrderbookMovement_Handler, + }, + { + MethodName: "GetOrderbookAmountByNominal", + Handler: _GoCryptoTraderService_GetOrderbookAmountByNominal_Handler, + }, + { + MethodName: "GetOrderbookAmountByImpact", + Handler: _GoCryptoTraderService_GetOrderbookAmountByImpact_Handler, + }, }, Streams: []grpc.StreamDesc{ {