orderbook: consolidate slice array types to orderbook package (#1992)

* orderbook: consolidate slice array types to orderbook package * Update exchanges/bybit/bybit_types.go Co-authored-by: Copilot <175728472+Copilot@users.noreply.github.com> * linter: fix and add test * cranktakular: nits * cranktakular: nits * Update exchanges/orderbook/orderbook_types.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * Update exchanges/gateio/gateio_test.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * gk: nits consolidation * gk: rm unifySpotOrderbook func * gk: nit but different * linter: fix * gk: nits * glorious: nits * Update exchanges/binance/binance.go Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> * Update exchanges/binance/binance_cfutures.go Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> * Update exchanges/binanceus/binanceus.go Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> * thrasher-:nits * thrasher-: more nit --------- Co-authored-by: Ryan O'Hara-Reid <ryan.oharareid@thrasher.io> Co-authored-by: Copilot <175728472+Copilot@users.noreply.github.com> Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io>
2026-05-24 07:26:47 +00:00 · 2025-10-02 14:22:20 +10:00
parent eb60a3c40e
commit ac91fabcd5
43 changed files with 413 additions and 854 deletions
--- a/exchanges/binanceus/binanceus.go
+++ b/exchanges/binanceus/binanceus.go
@@ -318,34 +318,25 @@ outer:
 }

 // GetOrderBookDepth to get the order book depth. Please note the limits in the table below.
-func (e *Exchange) GetOrderBookDepth(ctx context.Context, arg *OrderBookDataRequestParams) (*OrderBook, error) {
+func (e *Exchange) GetOrderBookDepth(ctx context.Context, pair currency.Pair, limit uint64) (*OrderBook, error) {
 	params := url.Values{}
-	symbol, err := e.FormatSymbol(arg.Symbol, asset.Spot)
+	symbol, err := e.FormatSymbol(pair, asset.Spot)
 	if err != nil {
 		return nil, err
 	}
 	params.Set("symbol", symbol)
-	params.Set("limit", strconv.FormatInt(arg.Limit, 10))
+	params.Set("limit", strconv.FormatUint(limit, 10))

 	var resp *OrderBookData
-	if err := e.SendHTTPRequest(ctx, exchange.RestSpotSupplementary, common.EncodeURLValues(orderBookDepth, params), orderbookLimit(arg.Limit), &resp); err != nil {
+	if err := e.SendHTTPRequest(ctx, exchange.RestSpotSupplementary, common.EncodeURLValues(orderBookDepth, params), orderbookLimit(limit), &resp); err != nil {
 		return nil, err
 	}

-	ob := &OrderBook{
-		Bids:         make([]OrderbookItem, len(resp.Bids)),
-		Asks:         make([]OrderbookItem, len(resp.Asks)),
+	return &OrderBook{
+		Bids:         resp.Bids.Levels(),
+		Asks:         resp.Asks.Levels(),
 		LastUpdateID: resp.LastUpdateID,
-	}
-	for x := range resp.Bids {
-		ob.Bids[x].Price = resp.Bids[x][0].Float64()
-		ob.Bids[x].Quantity = resp.Bids[x][1].Float64()
-	}
-	for x := range resp.Asks {
-		ob.Asks[x].Price = resp.Asks[x][0].Float64()
-		ob.Asks[x].Quantity = resp.Asks[x][1].Float64()
-	}
-	return ob, nil
+	}, nil
 }

 // GetIntervalEnum allowed interval params by Binanceus
--- a/exchanges/binanceus/binanceus_test.go
+++ b/exchanges/binanceus/binanceus_test.go
@@ -18,6 +18,7 @@ import (
 	"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
 	"github.com/thrasher-corp/gocryptotrader/exchanges/kline"
 	"github.com/thrasher-corp/gocryptotrader/exchanges/order"
+	"github.com/thrasher-corp/gocryptotrader/exchanges/orderbook"
 	"github.com/thrasher-corp/gocryptotrader/exchanges/sharedtestvalues"
 	testexch "github.com/thrasher-corp/gocryptotrader/internal/testing/exchange"
 	"github.com/thrasher-corp/gocryptotrader/portfolio/withdraw"
@@ -448,13 +449,8 @@ func TestGetAggregateTrades(t *testing.T) {

 func TestGetOrderBookDepth(t *testing.T) {
 	t.Parallel()
-	_, er := e.GetOrderBookDepth(t.Context(), &OrderBookDataRequestParams{
-		Symbol: currency.NewBTCUSDT(),
-		Limit:  1000,
-	})
-	if er != nil {
-		t.Error("Binanceus GetOrderBook() error", er)
-	}
+	_, err := e.GetOrderBookDepth(t.Context(), currency.NewBTCUSDT(), 1000)
+	assert.NoError(t, err)
 }

 func TestGetCandlestickData(t *testing.T) {
@@ -1338,29 +1334,29 @@ func TestWebsocketOrderBookDepthDiffStream(t *testing.T) {
 	e.setupOrderbookManager(t.Context())
 	seedLastUpdateID := int64(161)
 	book := OrderBook{
-		Asks: []OrderbookItem{
-			{Price: 6621.80000000, Quantity: 0.00198100},
-			{Price: 6622.14000000, Quantity: 4.00000000},
-			{Price: 6622.46000000, Quantity: 2.30000000},
-			{Price: 6622.47000000, Quantity: 1.18633300},
-			{Price: 6622.64000000, Quantity: 4.00000000},
-			{Price: 6622.73000000, Quantity: 0.02900000},
-			{Price: 6622.76000000, Quantity: 0.12557700},
-			{Price: 6622.81000000, Quantity: 2.08994200},
-			{Price: 6622.82000000, Quantity: 0.01500000},
-			{Price: 6623.17000000, Quantity: 0.16831300},
+		Asks: []orderbook.Level{
+			{Price: 6621.80000000, Amount: 0.00198100},
+			{Price: 6622.14000000, Amount: 4.00000000},
+			{Price: 6622.46000000, Amount: 2.30000000},
+			{Price: 6622.47000000, Amount: 1.18633300},
+			{Price: 6622.64000000, Amount: 4.00000000},
+			{Price: 6622.73000000, Amount: 0.02900000},
+			{Price: 6622.76000000, Amount: 0.12557700},
+			{Price: 6622.81000000, Amount: 2.08994200},
+			{Price: 6622.82000000, Amount: 0.01500000},
+			{Price: 6623.17000000, Amount: 0.16831300},
 		},
-		Bids: []OrderbookItem{
-			{Price: 6621.55000000, Quantity: 0.16356700},
-			{Price: 6621.45000000, Quantity: 0.16352600},
-			{Price: 6621.41000000, Quantity: 0.86091200},
-			{Price: 6621.25000000, Quantity: 0.16914100},
-			{Price: 6621.23000000, Quantity: 0.09193600},
-			{Price: 6621.22000000, Quantity: 0.00755100},
-			{Price: 6621.13000000, Quantity: 0.08432000},
-			{Price: 6621.03000000, Quantity: 0.00172000},
-			{Price: 6620.94000000, Quantity: 0.30506700},
-			{Price: 6620.93000000, Quantity: 0.00200000},
+		Bids: []orderbook.Level{
+			{Price: 6621.55000000, Amount: 0.16356700},
+			{Price: 6621.45000000, Amount: 0.16352600},
+			{Price: 6621.41000000, Amount: 0.86091200},
+			{Price: 6621.25000000, Amount: 0.16914100},
+			{Price: 6621.23000000, Amount: 0.09193600},
+			{Price: 6621.22000000, Amount: 0.00755100},
+			{Price: 6621.13000000, Amount: 0.08432000},
+			{Price: 6621.03000000, Amount: 0.00172000},
+			{Price: 6620.94000000, Amount: 0.30506700},
+			{Price: 6620.93000000, Amount: 0.00200000},
 		},
 		LastUpdateID: seedLastUpdateID,
 	}
--- a/exchanges/binanceus/binanceus_types.go
+++ b/exchanges/binanceus/binanceus_types.go
@@ -10,6 +10,7 @@ import (
 	"github.com/thrasher-corp/gocryptotrader/encoding/json"
 	"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
 	"github.com/thrasher-corp/gocryptotrader/exchanges/order"
+	"github.com/thrasher-corp/gocryptotrader/exchanges/orderbook"
 	"github.com/thrasher-corp/gocryptotrader/exchanges/trade"
 	"github.com/thrasher-corp/gocryptotrader/types"
 )
@@ -161,23 +162,11 @@ func (a *AggregatedTrade) toTradeData(p currency.Pair, exchange string, aType as
 	}
 }

-// OrderBookDataRequestParams represents Klines request data.
-type OrderBookDataRequestParams struct {
-	Symbol currency.Pair `json:"symbol"` // Required field; example LTCBTC,BTCUSDT
-	Limit  int64         `json:"limit"`  // Default 100; max 5000. If limit > 5000, then the response will truncate to 5000
-}
-
-// OrderbookItem stores an individual orderbook item
-type OrderbookItem struct {
-	Price    float64
-	Quantity float64
-}
-
 // OrderBookData is resp data from orderbook endpoint
 type OrderBookData struct {
-	LastUpdateID int64             `json:"lastUpdateId"`
-	Bids         [][2]types.Number `json:"bids"`
-	Asks         [][2]types.Number `json:"asks"`
+	LastUpdateID int64                            `json:"lastUpdateId"`
+	Bids         orderbook.LevelsArrayPriceAmount `json:"bids"`
+	Asks         orderbook.LevelsArrayPriceAmount `json:"asks"`
 }

 // OrderBook actual structured data that can be used for orderbook
@@ -186,8 +175,8 @@ type OrderBook struct {
 	LastUpdateID int64
 	Code         int
 	Msg          string
-	Bids         []OrderbookItem
-	Asks         []OrderbookItem
+	Bids         []orderbook.Level
+	Asks         []orderbook.Level
 }

 // KlinesRequestParams represents Klines request data.
@@ -833,20 +822,20 @@ type update struct {

 // WebsocketDepthStream is the difference for the update depth stream
 type WebsocketDepthStream struct {
-	Event         string            `json:"e"`
-	Timestamp     types.Time        `json:"E"`
-	Pair          string            `json:"s"`
-	FirstUpdateID int64             `json:"U"`
-	LastUpdateID  int64             `json:"u"`
-	UpdateBids    [][2]types.Number `json:"b"`
-	UpdateAsks    [][2]types.Number `json:"a"`
+	Event         string                           `json:"e"`
+	Timestamp     types.Time                       `json:"E"`
+	Pair          string                           `json:"s"`
+	FirstUpdateID int64                            `json:"U"`
+	LastUpdateID  int64                            `json:"u"`
+	UpdateBids    orderbook.LevelsArrayPriceAmount `json:"b"`
+	UpdateAsks    orderbook.LevelsArrayPriceAmount `json:"a"`
 }

 // WebsocketDepthDiffStream websocket response of depth diff stream
 type WebsocketDepthDiffStream struct {
-	LastUpdateID int64             `json:"lastUpdateId"`
-	Bids         [][2]types.Number `json:"bids"`
-	Asks         [][2]types.Number `json:"asks"`
+	LastUpdateID int64                            `json:"lastUpdateId"`
+	Bids         orderbook.LevelsArrayPriceAmount `json:"bids"`
+	Asks         orderbook.LevelsArrayPriceAmount `json:"asks"`
 }

 // WsAccountInfoData defines websocket account info data
--- a/exchanges/binanceus/binanceus_websocket.go
+++ b/exchanges/binanceus/binanceus_websocket.go
@@ -654,21 +654,9 @@ func (e *Exchange) SynchroniseWebsocketOrderbook(ctx context.Context) {

 // ProcessOrderbookUpdate processes the websocket orderbook update
 func (e *Exchange) ProcessOrderbookUpdate(cp currency.Pair, a asset.Item, wsDSUpdate *WebsocketDepthStream) error {
-	updateBid := make([]orderbook.Level, len(wsDSUpdate.UpdateBids))
-	for i := range wsDSUpdate.UpdateBids {
-		updateBid[i].Price = wsDSUpdate.UpdateBids[i][0].Float64()
-		updateBid[i].Amount = wsDSUpdate.UpdateBids[i][1].Float64()
-	}
-
-	updateAsk := make([]orderbook.Level, len(wsDSUpdate.UpdateAsks))
-	for i := range wsDSUpdate.UpdateAsks {
-		updateAsk[i].Price = wsDSUpdate.UpdateAsks[i][0].Float64()
-		updateAsk[i].Amount = wsDSUpdate.UpdateAsks[i][1].Float64()
-	}
-
 	return e.Websocket.Orderbook.Update(&orderbook.Update{
-		Bids:       updateBid,
-		Asks:       updateAsk,
+		Bids:       wsDSUpdate.UpdateBids.Levels(),
+		Asks:       wsDSUpdate.UpdateAsks.Levels(),
 		Pair:       cp,
 		UpdateID:   wsDSUpdate.LastUpdateID,
 		UpdateTime: wsDSUpdate.Timestamp.Time(),
@@ -789,11 +777,7 @@ func (e *Exchange) processJob(ctx context.Context, p currency.Pair) error {

 // SeedLocalCache seeds depth data
 func (e *Exchange) SeedLocalCache(ctx context.Context, p currency.Pair) error {
-	ob, err := e.GetOrderBookDepth(ctx,
-		&OrderBookDataRequestParams{
-			Symbol: p,
-			Limit:  1000,
-		})
+	ob, err := e.GetOrderBookDepth(ctx, p, 1000)
 	if err != nil {
 		return err
 	}
@@ -802,29 +786,16 @@ func (e *Exchange) SeedLocalCache(ctx context.Context, p currency.Pair) error {

 // SeedLocalCacheWithBook seeds the local orderbook cache
 func (e *Exchange) SeedLocalCacheWithBook(p currency.Pair, orderbookNew *OrderBook) error {
-	newOrderBook := orderbook.Book{
+	return e.Websocket.Orderbook.LoadSnapshot(&orderbook.Book{
 		Pair:              p,
 		Asset:             asset.Spot,
 		Exchange:          e.Name,
 		LastUpdateID:      orderbookNew.LastUpdateID,
 		ValidateOrderbook: e.ValidateOrderbook,
-		Bids:              make(orderbook.Levels, len(orderbookNew.Bids)),
-		Asks:              make(orderbook.Levels, len(orderbookNew.Asks)),
+		Bids:              orderbookNew.Bids,
+		Asks:              orderbookNew.Asks,
 		LastUpdated:       time.Now(), // Time not provided in REST book.
-	}
-	for i := range orderbookNew.Bids {
-		newOrderBook.Bids[i] = orderbook.Level{
-			Amount: orderbookNew.Bids[i].Quantity,
-			Price:  orderbookNew.Bids[i].Price,
-		}
-	}
-	for i := range orderbookNew.Asks {
-		newOrderBook.Asks[i] = orderbook.Level{
-			Amount: orderbookNew.Asks[i].Quantity,
-			Price:  orderbookNew.Asks[i].Price,
-		}
-	}
-	return e.Websocket.Orderbook.LoadSnapshot(&newOrderBook)
+	})
 }

 // handleFetchingBook checks if a full book is being fetched or needs to be
--- a/exchanges/binanceus/binanceus_wrapper.go
+++ b/exchanges/binanceus/binanceus_wrapper.go
@@ -317,37 +317,20 @@ func (e *Exchange) UpdateOrderbook(ctx context.Context, pair currency.Pair, asse
 	if err := e.CurrencyPairs.IsAssetEnabled(assetType); err != nil {
 		return nil, err
 	}
-	book := &orderbook.Book{
+	orderbookNew, err := e.GetOrderBookDepth(ctx, pair, 1000)
+	if err != nil {
+		return nil, err
+	}
+	ob := &orderbook.Book{
 		Exchange:          e.Name,
 		Pair:              pair,
 		Asset:             assetType,
 		ValidateOrderbook: e.ValidateOrderbook,
+		Bids:              orderbookNew.Bids,
+		Asks:              orderbookNew.Asks,
 	}
-
-	orderbookNew, err := e.GetOrderBookDepth(ctx, &OrderBookDataRequestParams{
-		Symbol: pair,
-		Limit:  1000,
-	})
-	if err != nil {
-		return book, err
-	}
-	book.Bids = make([]orderbook.Level, len(orderbookNew.Bids))
-	for x := range orderbookNew.Bids {
-		book.Bids[x] = orderbook.Level{
-			Amount: orderbookNew.Bids[x].Quantity,
-			Price:  orderbookNew.Bids[x].Price,
-		}
-	}
-	book.Asks = make([]orderbook.Level, len(orderbookNew.Asks))
-	for x := range orderbookNew.Asks {
-		book.Asks[x] = orderbook.Level{
-			Amount: orderbookNew.Asks[x].Quantity,
-			Price:  orderbookNew.Asks[x].Price,
-		}
-	}
-	err = book.Process()
-	if err != nil {
-		return book, err
+	if err := ob.Process(); err != nil {
+		return nil, err
 	}
 	return orderbook.Get(e.Name, pair, assetType)
 }
--- a/exchanges/binanceus/ratelimit.go
+++ b/exchanges/binanceus/ratelimit.go
@@ -66,7 +66,7 @@ func GetRateLimit() request.RateLimitDefinitions {
 }

 // orderbookLimit returns the endpoint rate limit representing enum given order depth
-func orderbookLimit(depth int64) request.EndpointLimit {
+func orderbookLimit(depth uint64) request.EndpointLimit {
 	switch {
 	case depth <= 100:
 		return spotDefaultRate