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exchanges/websocket: Allow configuration of orderbook publish period (#805)

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* Allow configuration of orderbook publish period

For some applications that import GCT it's more interesting to be
immediately notified of an exchange orderbook update instead of
only getting notified every 10 seconds. This option allows that
to happen while keeping the previous default.

* exchanges: allow configuration of orderbook update period
This commit is contained in:
Luis Rascão
2021-10-20 01:44:24 +01:00
committed by GitHub
parent a4d792f0c5
commit a70224d123
26 changed files with 70 additions and 14 deletions
Download Patch File Download Diff File Expand all files Collapse all files

8
config/config.go
View File

@@ -1022,6 +1022,14 @@ func (c *Config) CheckExchangeConfigValues() error {
defaultWebsocketOrderbookBufferLimit)
c.Exchanges[i].OrderbookConfig.WebsocketBufferLimit = defaultWebsocketOrderbookBufferLimit
}
if c.Exchanges[i].OrderbookConfig.PublishPeriod == nil || c.Exchanges[i].OrderbookConfig.PublishPeriod.Nanoseconds() < 0 {
log.Warnf(log.ConfigMgr,
"Exchange %s Websocket orderbook publish period value not set, defaulting to %v.",
c.Exchanges[i].Name,
DefaultOrderbookPublishPeriod)
publishPeriod := DefaultOrderbookPublishPeriod
c.Exchanges[i].OrderbookConfig.PublishPeriod = &publishPeriod
}
err := c.CheckPairConsistency(c.Exchanges[i].Name)
if err != nil {
log.Errorf(log.ConfigMgr,

4
config/config_types.go
View File

@@ -39,6 +39,7 @@ const (
defaultDataHistoryMonitorCheckTimer = time.Minute
defaultCurrencyStateManagerDelay = time.Minute
defaultMaxJobsPerCycle = 5
DefaultOrderbookPublishPeriod = time.Second * 10
)
// Constants here hold some messages
@@ -336,4 +337,7 @@ type OrderbookConfig struct {
VerificationBypass bool `json:"verificationBypass"`
WebsocketBufferLimit int `json:"websocketBufferLimit"`
WebsocketBufferEnabled bool `json:"websocketBufferEnabled"`
// PublishPeriod here is a pointer because we want to distinguish
// between zeroed out and missing.
PublishPeriod *time.Duration `json:"publishPeriod"`
}

1
exchanges/binance/binance_wrapper.go
View File

@@ -234,6 +234,7 @@ func (b *Binance) Setup(exch *config.ExchangeConfig) error {
GenerateSubscriptions: b.GenerateSubscriptions,
Features: &b.Features.Supports.WebsocketCapabilities,
OrderbookBufferLimit: exch.OrderbookConfig.WebsocketBufferLimit,
OrderbookPublishPeriod: exch.OrderbookConfig.PublishPeriod,
BufferEnabled: exch.OrderbookConfig.WebsocketBufferEnabled,
SortBuffer: true,
SortBufferByUpdateIDs: true,

1
exchanges/bitfinex/bitfinex_wrapper.go
View File

@@ -212,6 +212,7 @@ func (b *Bitfinex) Setup(exch *config.ExchangeConfig) error {
GenerateSubscriptions: b.GenerateDefaultSubscriptions,
Features: &b.Features.Supports.WebsocketCapabilities,
OrderbookBufferLimit: exch.OrderbookConfig.WebsocketBufferLimit,
OrderbookPublishPeriod: exch.OrderbookConfig.PublishPeriod,
BufferEnabled: exch.OrderbookConfig.WebsocketBufferEnabled,
UpdateEntriesByID: true,
})

1
exchanges/bithumb/bithumb_wrapper.go
View File

@@ -179,6 +179,7 @@ func (b *Bithumb) Setup(exch *config.ExchangeConfig) error {
GenerateSubscriptions: b.GenerateSubscriptions,
Features: &b.Features.Supports.WebsocketCapabilities,
OrderbookBufferLimit: exch.OrderbookConfig.WebsocketBufferLimit,
OrderbookPublishPeriod: exch.OrderbookConfig.PublishPeriod,
BufferEnabled: exch.OrderbookConfig.WebsocketBufferEnabled,
})
if err != nil {

1
exchanges/bitstamp/bitstamp_wrapper.go
View File

@@ -176,6 +176,7 @@ func (b *Bitstamp) Setup(exch *config.ExchangeConfig) error {
GenerateSubscriptions: b.generateDefaultSubscriptions,
Features: &b.Features.Supports.WebsocketCapabilities,
OrderbookBufferLimit: exch.OrderbookConfig.WebsocketBufferLimit,
OrderbookPublishPeriod: exch.OrderbookConfig.PublishPeriod,
BufferEnabled: exch.OrderbookConfig.WebsocketBufferEnabled,
})
if err != nil {

9
exchanges/bittrex/bittrex_wrapper.go
View File

@@ -175,10 +175,11 @@ func (b *Bittrex) Setup(exch *config.ExchangeConfig) error {
// Orderbook buffer specific variables for processing orderbook updates via websocket feed.
// Other orderbook buffer vars:
// UpdateEntriesByID bool
OrderbookBufferLimit: exch.OrderbookConfig.WebsocketBufferLimit,
BufferEnabled: exch.OrderbookConfig.WebsocketBufferEnabled,
SortBuffer: true,
SortBufferByUpdateIDs: true,
OrderbookBufferLimit: exch.OrderbookConfig.WebsocketBufferLimit,
OrderbookPublishPeriod: exch.OrderbookConfig.PublishPeriod,
BufferEnabled: exch.OrderbookConfig.WebsocketBufferEnabled,
SortBuffer: true,
SortBufferByUpdateIDs: true,
})
if err != nil {
return err

1
exchanges/btcmarkets/btcmarkets_wrapper.go
View File

@@ -166,6 +166,7 @@ func (b *BTCMarkets) Setup(exch *config.ExchangeConfig) error {
GenerateSubscriptions: b.generateDefaultSubscriptions,
Features: &b.Features.Supports.WebsocketCapabilities,
OrderbookBufferLimit: exch.OrderbookConfig.WebsocketBufferLimit,
OrderbookPublishPeriod: exch.OrderbookConfig.PublishPeriod,
BufferEnabled: exch.OrderbookConfig.WebsocketBufferEnabled,
SortBuffer: true,
})

1
exchanges/btse/btse_wrapper.go
View File

@@ -198,6 +198,7 @@ func (b *BTSE) Setup(exch *config.ExchangeConfig) error {
GenerateSubscriptions: b.GenerateDefaultSubscriptions,
Features: &b.Features.Supports.WebsocketCapabilities,
OrderbookBufferLimit: exch.OrderbookConfig.WebsocketBufferLimit,
OrderbookPublishPeriod: exch.OrderbookConfig.PublishPeriod,
BufferEnabled: exch.OrderbookConfig.WebsocketBufferEnabled,
})
if err != nil {

1
exchanges/coinbasepro/coinbasepro_wrapper.go
View File

@@ -179,6 +179,7 @@ func (c *CoinbasePro) Setup(exch *config.ExchangeConfig) error {
GenerateSubscriptions: c.GenerateDefaultSubscriptions,
Features: &c.Features.Supports.WebsocketCapabilities,
OrderbookBufferLimit: exch.OrderbookConfig.WebsocketBufferLimit,
OrderbookPublishPeriod: exch.OrderbookConfig.PublishPeriod,
BufferEnabled: exch.OrderbookConfig.WebsocketBufferEnabled,
SortBuffer: true,
})

1
exchanges/coinbene/coinbene_wrapper.go
View File

@@ -199,6 +199,7 @@ func (c *Coinbene) Setup(exch *config.ExchangeConfig) error {
GenerateSubscriptions: c.GenerateDefaultSubscriptions,
Features: &c.Features.Supports.WebsocketCapabilities,
OrderbookBufferLimit: exch.OrderbookConfig.WebsocketBufferLimit,
OrderbookPublishPeriod: exch.OrderbookConfig.PublishPeriod,
BufferEnabled: exch.OrderbookConfig.WebsocketBufferEnabled,
SortBuffer: true,
})

1
exchanges/coinut/coinut_wrapper.go
View File

@@ -161,6 +161,7 @@ func (c *COINUT) Setup(exch *config.ExchangeConfig) error {
GenerateSubscriptions: c.GenerateDefaultSubscriptions,
Features: &c.Features.Supports.WebsocketCapabilities,
OrderbookBufferLimit: exch.OrderbookConfig.WebsocketBufferLimit,
OrderbookPublishPeriod: exch.OrderbookConfig.PublishPeriod,
BufferEnabled: exch.OrderbookConfig.WebsocketBufferEnabled,
SortBuffer: true,
SortBufferByUpdateIDs: true,

1
exchanges/ftx/ftx_wrapper.go
View File

@@ -196,6 +196,7 @@ func (f *FTX) Setup(exch *config.ExchangeConfig) error {
Features: &f.Features.Supports.WebsocketCapabilities,
OrderbookBufferLimit: exch.OrderbookConfig.WebsocketBufferLimit,
BufferEnabled: exch.OrderbookConfig.WebsocketBufferEnabled,
OrderbookPublishPeriod: exch.OrderbookConfig.PublishPeriod,
})
if err != nil {
return err

1
exchanges/gateio/gateio_wrapper.go
View File

@@ -177,6 +177,7 @@ func (g *Gateio) Setup(exch *config.ExchangeConfig) error {
GenerateSubscriptions: g.GenerateDefaultSubscriptions,
Features: &g.Features.Supports.WebsocketCapabilities,
OrderbookBufferLimit: exch.OrderbookConfig.WebsocketBufferLimit,
OrderbookPublishPeriod: exch.OrderbookConfig.PublishPeriod,
BufferEnabled: exch.OrderbookConfig.WebsocketBufferEnabled,
})
if err != nil {

1
exchanges/gemini/gemini_wrapper.go
View File

@@ -168,6 +168,7 @@ func (g *Gemini) Setup(exch *config.ExchangeConfig) error {
GenerateSubscriptions: g.GenerateDefaultSubscriptions,
Features: &g.Features.Supports.WebsocketCapabilities,
OrderbookBufferLimit: exch.OrderbookConfig.WebsocketBufferLimit,
OrderbookPublishPeriod: exch.OrderbookConfig.PublishPeriod,
BufferEnabled: exch.OrderbookConfig.WebsocketBufferEnabled,
})
if err != nil {

1
exchanges/hitbtc/hitbtc_wrapper.go
View File

@@ -177,6 +177,7 @@ func (h *HitBTC) Setup(exch *config.ExchangeConfig) error {
GenerateSubscriptions: h.GenerateDefaultSubscriptions,
Features: &h.Features.Supports.WebsocketCapabilities,
OrderbookBufferLimit: exch.OrderbookConfig.WebsocketBufferLimit,
OrderbookPublishPeriod: exch.OrderbookConfig.PublishPeriod,
BufferEnabled: exch.OrderbookConfig.WebsocketBufferEnabled,
SortBuffer: true,
SortBufferByUpdateIDs: true,

1
exchanges/huobi/huobi_wrapper.go
View File

@@ -208,6 +208,7 @@ func (h *HUOBI) Setup(exch *config.ExchangeConfig) error {
GenerateSubscriptions: h.GenerateDefaultSubscriptions,
Features: &h.Features.Supports.WebsocketCapabilities,
OrderbookBufferLimit: exch.OrderbookConfig.WebsocketBufferLimit,
OrderbookPublishPeriod: exch.OrderbookConfig.PublishPeriod,
BufferEnabled: exch.OrderbookConfig.WebsocketBufferEnabled,
})
if err != nil {

1
exchanges/kraken/kraken_wrapper.go
View File

@@ -224,6 +224,7 @@ func (k *Kraken) Setup(exch *config.ExchangeConfig) error {
GenerateSubscriptions: k.GenerateDefaultSubscriptions,
Features: &k.Features.Supports.WebsocketCapabilities,
OrderbookBufferLimit: exch.OrderbookConfig.WebsocketBufferLimit,
OrderbookPublishPeriod: exch.OrderbookConfig.PublishPeriod,
BufferEnabled: exch.OrderbookConfig.WebsocketBufferEnabled,
SortBuffer: true,
})

1
exchanges/okgroup/okgroup_wrapper.go
View File

@@ -59,6 +59,7 @@ func (o *OKGroup) Setup(exch *config.ExchangeConfig) error {
GenerateSubscriptions: o.GenerateDefaultSubscriptions,
Features: &o.Features.Supports.WebsocketCapabilities,
OrderbookBufferLimit: exch.OrderbookConfig.WebsocketBufferLimit,
OrderbookPublishPeriod: exch.OrderbookConfig.PublishPeriod,
BufferEnabled: exch.OrderbookConfig.WebsocketBufferEnabled,
})
if err != nil {

1
exchanges/poloniex/poloniex_wrapper.go
View File

@@ -181,6 +181,7 @@ func (p *Poloniex) Setup(exch *config.ExchangeConfig) error {
GenerateSubscriptions: p.GenerateDefaultSubscriptions,
Features: &p.Features.Supports.WebsocketCapabilities,
OrderbookBufferLimit: exch.OrderbookConfig.WebsocketBufferLimit,
OrderbookPublishPeriod: exch.OrderbookConfig.PublishPeriod,
BufferEnabled: exch.OrderbookConfig.WebsocketBufferEnabled,
SortBuffer: true,
SortBufferByUpdateIDs: true,

20
exchanges/stream/buffer/buffer.go
View File

@@ -31,6 +31,7 @@ func (w *Orderbook) Setup(obBufferLimit int,
sortBufferByUpdateIDs,
updateEntriesByID,
verbose bool,
publishPeriod time.Duration,
exchangeName string,
dataHandler chan interface{}) error {
if exchangeName == "" {
@@ -51,6 +52,7 @@ func (w *Orderbook) Setup(obBufferLimit int,
w.dataHandler = dataHandler
w.ob = make(map[currency.Code]map[currency.Code]map[asset.Item]*orderbookHolder)
w.verbose = verbose
w.publishPeriod = publishPeriod
return nil
}
@@ -127,6 +129,17 @@ func (w *Orderbook) Update(u *Update) error {
}
}
// a nil ticker means that a zero publish period has been requested,
// this means publish now whatever was received with no throttling
if book.ticker == nil {
go func() {
w.dataHandler <- book.ob.Retrieve()
book.ob.Publish()
}()
return nil
}
select {
case <-book.ticker.C:
// Opted to wait for receiver because we are limiting here and the sync
@@ -143,6 +156,7 @@ func (w *Orderbook) Update(u *Update) error {
book.ob.Publish()
}
}
return nil
}
@@ -252,7 +266,11 @@ func (w *Orderbook) LoadSnapshot(book *orderbook.Base) error {
}
depth.AssignOptions(book)
buffer := make([]Update, w.obBufferLimit)
ticker := time.NewTicker(timerDefault)
var ticker *time.Ticker
if w.publishPeriod != 0 {
ticker = time.NewTicker(w.publishPeriod)
}
holder = &orderbookHolder{
ob: depth,
buffer: &buffer,

10
exchanges/stream/buffer/buffer_test.go
View File

@@ -712,22 +712,22 @@ func TestGetOrderbook(t *testing.T) {
func TestSetup(t *testing.T) {
t.Parallel()
w := Orderbook{}
err := w.Setup(0, false, false, false, false, true, "", nil)
err := w.Setup(0, false, false, false, false, true, 0, "", nil)
if !errors.Is(err, errUnsetExchangeName) {
t.Fatalf("expected error %v but received %v", errUnsetExchangeName, err)
}
err = w.Setup(0, false, false, false, false, false, "test", nil)
err = w.Setup(0, false, false, false, false, false, 0, "test", nil)
if !errors.Is(err, errUnsetDataHandler) {
t.Fatalf("expected error %v but received %v", errUnsetDataHandler, err)
}
err = w.Setup(0, true, false, false, false, true, "test", make(chan interface{}))
err = w.Setup(0, true, false, false, false, true, 0, "test", make(chan interface{}))
if !errors.Is(err, errIssueBufferEnabledButNoLimit) {
t.Fatalf("expected error %v but received %v", errIssueBufferEnabledButNoLimit, err)
}
err = w.Setup(1337, true, true, true, true, false, "test", make(chan interface{}))
err = w.Setup(1337, true, true, true, true, false, 0, "test", make(chan interface{}))
if err != nil {
t.Fatal(err)
}
@@ -1002,7 +1002,7 @@ func TestUpdateByIDAndAction(t *testing.T) {
func TestFlushOrderbook(t *testing.T) {
t.Parallel()
w := &Orderbook{}
err := w.Setup(5, false, false, false, false, false, "test", make(chan interface{}, 2))
err := w.Setup(5, false, false, false, false, false, 0, "test", make(chan interface{}, 2))
if err != nil {
t.Fatal(err)
}

5
exchanges/stream/buffer/buffer_types.go
View File

@@ -9,10 +9,6 @@ import (
"github.com/thrasher-corp/gocryptotrader/exchanges/orderbook"
)
// timerDefault defines the amount of time between alerting the sync manager of
// an update.
var timerDefault = time.Second * 10
// Orderbook defines a local cache of orderbooks for amending, appending
// and deleting changes and updates the main store for a stream
type Orderbook struct {
@@ -25,6 +21,7 @@ type Orderbook struct {
exchangeName string
dataHandler chan interface{}
verbose bool
publishPeriod time.Duration
m sync.Mutex
}

7
exchanges/stream/websocket.go
View File

@@ -121,12 +121,19 @@ func (w *Websocket) Setup(s *WebsocketSetup) error {
w.Wg = new(sync.WaitGroup)
w.SetCanUseAuthenticatedEndpoints(s.AuthenticatedWebsocketAPISupport)
// default publish period if missing
orderbookPublishPeriod := config.DefaultOrderbookPublishPeriod
if s.OrderbookPublishPeriod != nil {
orderbookPublishPeriod = *s.OrderbookPublishPeriod
}
return w.Orderbook.Setup(s.OrderbookBufferLimit,
s.BufferEnabled,
s.SortBuffer,
s.SortBufferByUpdateIDs,
s.UpdateEntriesByID,
s.Verbose,
orderbookPublishPeriod,
w.exchangeName,
w.DataHandler)
}

3
exchanges/stream/websocket_types.go
View File

@@ -105,6 +105,9 @@ type WebsocketSetup struct {
SortBuffer bool
SortBufferByUpdateIDs bool
UpdateEntriesByID bool
// OrderbookPublishPeriod is a pointer for the same reason as it is in `OrderbookConfig`:
// to allow distinguishing between a zeroed out value and a missing one
OrderbookPublishPeriod *time.Duration
}
// WebsocketConnection contains all the data needed to send a message to a WS

1
exchanges/zb/zb_wrapper.go
View File

@@ -177,6 +177,7 @@ func (z *ZB) Setup(exch *config.ExchangeConfig) error {
Subscriber: z.Subscribe,
Features: &z.Features.Supports.WebsocketCapabilities,
OrderbookBufferLimit: exch.OrderbookConfig.WebsocketBufferLimit,
OrderbookPublishPeriod: exch.OrderbookConfig.PublishPeriod,
BufferEnabled: exch.OrderbookConfig.WebsocketBufferEnabled,
})
if err != nil {