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depth: Add methods to derive liquidity allowances on orderbooks by volume and slippage (#962)

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* 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 <gloriousCode@users.noreply.github.com>

* 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 <gloriousCode@users.noreply.github.com>

* 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 <gloriousCode@users.noreply.github.com>

* 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 <adrian.gallagher@thrasher.io>

* Update exchanges/orderbook/linked_list.go

Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io>

* Update exchanges/orderbook/linked_list.go

Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io>

* Update exchanges/orderbook/linked_list.go

Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io>

* Update exchanges/orderbook/linked_list.go

Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io>

* thrasher: nits

Co-authored-by: Scott <gloriousCode@users.noreply.github.com>
Co-authored-by: Ryan O'Hara-Reid <ryan.oharareid@thrasher.io>
Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io>
This commit is contained in:
Ryan O'Hara-Reid
2022-10-14 16:43:37 +11:00
committed by GitHub
parent 74d0cc323d
commit 9acbdbf203
21 changed files with 9150 additions and 3037 deletions
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5629
gctrpc/rpc.pb.go
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File diff suppressed because it is too large Load Diff

255
gctrpc/rpc.pb.gw.go
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@@ -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
)

89
gctrpc/rpc.proto
View File

@@ -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"
};
}
}

371
gctrpc/rpc.swagger.json
View File

@@ -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"
}
}
},

108
gctrpc/rpc_grpc.pb.go
View File

@@ -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{
{