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stream/buffer: Reduces map lookups by using key struct (#1309)

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* stream/buffer: Adds key map optimisation (cherry-pick)

* stream/buffer: Add buffer to DataHandler intermediary. Add field InitialUpdate bool to toggle when first update is seen for initial sync.

* whoops

* buffer: Add difference benchmarks for reference

* glorious: nits (reverting out of context changes)

* RM unused error that will be used later

* purge: benchmark

---------

Co-authored-by: Ryan O'Hara-Reid <ryan.oharareid@thrasher.io>
This commit is contained in:
Ryan O'Hara-Reid
2023-08-21 16:28:38 +10:00
committed by GitHub
parent f8024e1ee7
commit a440fab4f3
4 changed files with 51 additions and 58 deletions
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32
exchanges/stream/buffer/buffer_test.go
View File

@@ -43,7 +43,7 @@ func createSnapshot() (holder *Orderbook, asks, bids orderbook.Items, err error)
PriceDuplication: true,
}
newBook := make(map[currency.Code]map[currency.Code]map[asset.Item]*orderbookHolder)
newBook := make(map[Key]*orderbookHolder)
ch := make(chan interface{})
go func(<-chan interface{}) { // reader
@@ -57,7 +57,7 @@ func createSnapshot() (holder *Orderbook, asks, bids orderbook.Items, err error)
ob: newBook,
}
err = holder.LoadSnapshot(book)
return
return holder, asks, bids, err
}
func bidAskGenerator() []orderbook.Item {
@@ -92,7 +92,7 @@ func BenchmarkUpdateBidsByPrice(b *testing.B) {
UpdateTime: time.Now(),
Asset: asset.Spot,
}
holder := ob.ob[cp.Base][cp.Quote][asset.Spot]
holder := ob.ob[Key{Base: cp.Base.Item, Quote: cp.Quote.Item, Asset: asset.Spot}]
holder.updateByPrice(update)
}
}
@@ -112,7 +112,7 @@ func BenchmarkUpdateAsksByPrice(b *testing.B) {
UpdateTime: time.Now(),
Asset: asset.Spot,
}
holder := ob.ob[cp.Base][cp.Quote][asset.Spot]
holder := ob.ob[Key{Base: cp.Base.Item, Quote: cp.Quote.Item, Asset: asset.Spot}]
holder.updateByPrice(update)
}
}
@@ -239,7 +239,7 @@ func TestUpdates(t *testing.T) {
t.Error(err)
}
book := holder.ob[cp.Base][cp.Quote][asset.Spot]
book := holder.ob[Key{Base: cp.Base.Item, Quote: cp.Quote.Item, Asset: asset.Spot}]
book.updateByPrice(&orderbook.Update{
Bids: itemArray[5],
Asks: itemArray[5],
@@ -295,7 +295,7 @@ func TestHittingTheBuffer(t *testing.T) {
}
}
book := holder.ob[cp.Base][cp.Quote][asset.Spot]
book := holder.ob[Key{Base: cp.Base.Item, Quote: cp.Quote.Item, Asset: asset.Spot}]
askLen, err := book.ob.GetAskLength()
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
@@ -343,7 +343,7 @@ func TestInsertWithIDs(t *testing.T) {
}
}
book := holder.ob[cp.Base][cp.Quote][asset.Spot]
book := holder.ob[Key{Base: cp.Base.Item, Quote: cp.Quote.Item, Asset: asset.Spot}]
askLen, err := book.ob.GetAskLength()
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
@@ -385,7 +385,7 @@ func TestSortIDs(t *testing.T) {
t.Fatal(err)
}
}
book := holder.ob[cp.Base][cp.Quote][asset.Spot]
book := holder.ob[Key{Base: cp.Base.Item, Quote: cp.Quote.Item, Asset: asset.Spot}]
askLen, err := book.ob.GetAskLength()
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
@@ -429,7 +429,7 @@ func TestOutOfOrderIDs(t *testing.T) {
t.Fatal(err)
}
}
book := holder.ob[cp.Base][cp.Quote][asset.Spot]
book := holder.ob[Key{Base: cp.Base.Item, Quote: cp.Quote.Item, Asset: asset.Spot}]
cpy, err := book.ob.Retrieve()
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
@@ -559,7 +559,7 @@ func TestRunUpdateWithoutAnyUpdates(t *testing.T) {
func TestRunSnapshotWithNoData(t *testing.T) {
t.Parallel()
var obl Orderbook
obl.ob = make(map[currency.Code]map[currency.Code]map[asset.Item]*orderbookHolder)
obl.ob = make(map[Key]*orderbookHolder)
obl.dataHandler = make(chan interface{}, 1)
var snapShot1 orderbook.Base
snapShot1.Asset = asset.Spot
@@ -577,7 +577,7 @@ func TestLoadSnapshot(t *testing.T) {
t.Parallel()
var obl Orderbook
obl.dataHandler = make(chan interface{}, 100)
obl.ob = make(map[currency.Code]map[currency.Code]map[asset.Item]*orderbookHolder)
obl.ob = make(map[Key]*orderbookHolder)
var snapShot1 orderbook.Base
snapShot1.Exchange = "SnapshotWithOverride"
asks := []orderbook.Item{
@@ -602,11 +602,11 @@ func TestFlushBuffer(t *testing.T) {
if err != nil {
t.Fatal(err)
}
if obl.ob[cp.Base][cp.Quote][asset.Spot] == nil {
if obl.ob[Key{Base: cp.Base.Item, Quote: cp.Quote.Item, Asset: asset.Spot}] == nil {
t.Error("expected ob to have ask entries")
}
obl.FlushBuffer()
if obl.ob[cp.Base][cp.Quote][asset.Spot] != nil {
if obl.ob[Key{Base: cp.Base.Item, Quote: cp.Quote.Item, Asset: asset.Spot}] != nil {
t.Error("expected ob be flushed")
}
}
@@ -616,7 +616,7 @@ func TestInsertingSnapShots(t *testing.T) {
t.Parallel()
var holder Orderbook
holder.dataHandler = make(chan interface{}, 100)
holder.ob = make(map[currency.Code]map[currency.Code]map[asset.Item]*orderbookHolder)
holder.ob = make(map[Key]*orderbookHolder)
var snapShot1 orderbook.Base
snapShot1.Exchange = "WSORDERBOOKTEST1"
asks := []orderbook.Item{
@@ -779,7 +779,7 @@ func TestGetOrderbook(t *testing.T) {
if err != nil {
t.Fatal(err)
}
bufferOb := holder.ob[cp.Base][cp.Quote][asset.Spot]
bufferOb := holder.ob[Key{Base: cp.Base.Item, Quote: cp.Quote.Item, Asset: asset.Spot}]
b, err := bufferOb.ob.Retrieve()
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
@@ -872,7 +872,7 @@ func TestEnsureMultipleUpdatesViaPrice(t *testing.T) {
}
asks := bidAskGenerator()
book := holder.ob[cp.Base][cp.Quote][asset.Spot]
book := holder.ob[Key{Base: cp.Base.Item, Quote: cp.Quote.Item, Asset: asset.Spot}]
book.updateByPrice(&orderbook.Update{
Bids: asks,
Asks: asks,