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>
2026-06-03 23:16:53 +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/kucoin/kucoin.go
+++ b/exchanges/kucoin/kucoin.go
@@ -24,7 +24,6 @@ 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/request"
 	"github.com/thrasher-corp/gocryptotrader/types"
 )
@@ -99,33 +98,6 @@ func (e *Exchange) GetMarketList(ctx context.Context) ([]string, error) {
 	return resp, e.SendHTTPRequest(ctx, exchange.RestSpot, marketListEPL, "/v1/markets", &resp)
 }

-// processOB constructs an orderbook.Level instances from slice of numbers.
-func processOB(ob [][2]types.Number) []orderbook.Level {
-	o := make([]orderbook.Level, len(ob))
-	for x := range ob {
-		o[x].Amount = ob[x][1].Float64()
-		o[x].Price = ob[x][0].Float64()
-	}
-	return o
-}
-
-// constructOrderbook parse checks and constructs an *Orderbook instance from *orderbookResponse.
-func constructOrderbook(o *orderbookResponse) (*Orderbook, error) {
-	s := Orderbook{
-		Bids: processOB(o.Bids),
-		Asks: processOB(o.Asks),
-		Time: o.Time.Time(),
-	}
-	if o.Sequence != "" {
-		var err error
-		s.Sequence, err = strconv.ParseInt(o.Sequence, 10, 64)
-		if err != nil {
-			return nil, err
-		}
-	}
-	return &s, nil
-}
-
 // GetPartOrderbook20 gets orderbook for a specified pair with depth 20
 func (e *Exchange) GetPartOrderbook20(ctx context.Context, symbol string) (*Orderbook, error) {
 	if symbol == "" {
@@ -134,11 +106,10 @@ func (e *Exchange) GetPartOrderbook20(ctx context.Context, symbol string) (*Orde
 	params := url.Values{}
 	params.Set("symbol", symbol)
 	var o *orderbookResponse
-	err := e.SendHTTPRequest(ctx, exchange.RestSpot, partOrderbook20EPL, common.EncodeURLValues("/v1/market/orderbook/level2_20", params), &o)
-	if err != nil {
+	if err := e.SendHTTPRequest(ctx, exchange.RestSpot, partOrderbook20EPL, common.EncodeURLValues("/v1/market/orderbook/level2_20", params), &o); err != nil {
 		return nil, err
 	}
-	return constructOrderbook(o)
+	return &Orderbook{Asks: o.Asks, Bids: o.Bids, Time: o.Time.Time(), Sequence: o.Sequence.Int64()}, nil
 }

 // GetPartOrderbook100 gets orderbook for a specified pair with depth 100
@@ -149,11 +120,10 @@ func (e *Exchange) GetPartOrderbook100(ctx context.Context, symbol string) (*Ord
 	params := url.Values{}
 	params.Set("symbol", symbol)
 	var o *orderbookResponse
-	err := e.SendHTTPRequest(ctx, exchange.RestSpot, partOrderbook100EPL, common.EncodeURLValues("/v1/market/orderbook/level2_100", params), &o)
-	if err != nil {
+	if err := e.SendHTTPRequest(ctx, exchange.RestSpot, partOrderbook100EPL, common.EncodeURLValues("/v1/market/orderbook/level2_100", params), &o); err != nil {
 		return nil, err
 	}
-	return constructOrderbook(o)
+	return &Orderbook{Asks: o.Asks, Bids: o.Bids, Time: o.Time.Time(), Sequence: o.Sequence.Int64()}, nil
 }

 // GetOrderbook gets full orderbook for a specified pair
@@ -164,11 +134,10 @@ func (e *Exchange) GetOrderbook(ctx context.Context, symbol string) (*Orderbook,
 	params := url.Values{}
 	params.Set("symbol", symbol)
 	var o *orderbookResponse
-	err := e.SendAuthHTTPRequest(ctx, exchange.RestSpot, fullOrderbookEPL, http.MethodGet, common.EncodeURLValues("/v3/market/orderbook/level2", params), nil, &o)
-	if err != nil {
+	if err := e.SendAuthHTTPRequest(ctx, exchange.RestSpot, fullOrderbookEPL, http.MethodGet, common.EncodeURLValues("/v3/market/orderbook/level2", params), nil, &o); err != nil {
 		return nil, err
 	}
-	return constructOrderbook(o)
+	return &Orderbook{Asks: o.Asks, Bids: o.Bids, Time: o.Time.Time(), Sequence: o.Sequence.Int64()}, nil
 }

 // GetTradeHistory gets trade history of the specified pair
--- a/exchanges/kucoin/kucoin_futures.go
+++ b/exchanges/kucoin/kucoin_futures.go
@@ -18,7 +18,6 @@ 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/ticker"
 	"github.com/thrasher-corp/gocryptotrader/types"
 )
@@ -117,12 +116,11 @@ func (e *Exchange) GetFuturesOrderbook(ctx context.Context, symbol string) (*Ord
 	}
 	params := url.Values{}
 	params.Set("symbol", symbol)
-	var o futuresOrderbookResponse
-	err := e.SendHTTPRequest(ctx, exchange.RestFutures, futuresOrderbookEPL, common.EncodeURLValues("/v1/level2/snapshot", params), &o)
-	if err != nil {
+	var o *futuresOrderbookResponse
+	if err := e.SendHTTPRequest(ctx, exchange.RestFutures, futuresOrderbookEPL, common.EncodeURLValues("/v1/level2/snapshot", params), &o); err != nil {
 		return nil, err
 	}
-	return constructFuturesOrderbook(&o), nil
+	return unifyFuturesOrderbook(o), nil
 }

 // GetFuturesPartOrderbook20 gets orderbook for a specified symbol with depth 20
@@ -132,12 +130,11 @@ func (e *Exchange) GetFuturesPartOrderbook20(ctx context.Context, symbol string)
 	}
 	params := url.Values{}
 	params.Set("symbol", symbol)
-	var o futuresOrderbookResponse
-	err := e.SendHTTPRequest(ctx, exchange.RestFutures, futuresPartOrderbookDepth20EPL, common.EncodeURLValues("/v1/level2/depth20", params), &o)
-	if err != nil {
+	var o *futuresOrderbookResponse
+	if err := e.SendHTTPRequest(ctx, exchange.RestFutures, futuresPartOrderbookDepth20EPL, common.EncodeURLValues("/v1/level2/depth20", params), &o); err != nil {
 		return nil, err
 	}
-	return constructFuturesOrderbook(&o), nil
+	return unifyFuturesOrderbook(o), nil
 }

 // GetFuturesPartOrderbook100 gets orderbook for a specified symbol with depth 100
@@ -147,12 +144,15 @@ func (e *Exchange) GetFuturesPartOrderbook100(ctx context.Context, symbol string
 	}
 	params := url.Values{}
 	params.Set("symbol", symbol)
-	var o futuresOrderbookResponse
-	err := e.SendHTTPRequest(ctx, exchange.RestFutures, futuresPartOrderbookDepth100EPL, common.EncodeURLValues("/v1/level2/depth100", params), &o)
-	if err != nil {
+	var o *futuresOrderbookResponse
+	if err := e.SendHTTPRequest(ctx, exchange.RestFutures, futuresPartOrderbookDepth100EPL, common.EncodeURLValues("/v1/level2/depth100", params), &o); err != nil {
 		return nil, err
 	}
-	return constructFuturesOrderbook(&o), nil
+	return unifyFuturesOrderbook(o), nil
+}
+
+func unifyFuturesOrderbook(o *futuresOrderbookResponse) *Orderbook {
+	return &Orderbook{Bids: o.Bids.Levels(), Asks: o.Asks.Levels(), Sequence: o.Sequence, Time: o.Time.Time()}
 }

 // GetFuturesTradeHistory get last 100 trades for symbol
@@ -822,26 +822,6 @@ func (e *Exchange) GetFuturesTransferOutList(ctx context.Context, ccy currency.C
 	return resp, e.SendAuthHTTPRequest(ctx, exchange.RestFutures, futuresTransferOutListEPL, http.MethodGet, common.EncodeURLValues("/v1/transfer-list", params), nil, &resp)
 }

-func processFuturesOB(ob [][2]float64) []orderbook.Level {
-	o := make([]orderbook.Level, len(ob))
-	for x := range ob {
-		o[x] = orderbook.Level{
-			Price:  ob[x][0],
-			Amount: ob[x][1],
-		}
-	}
-	return o
-}
-
-func constructFuturesOrderbook(o *futuresOrderbookResponse) *Orderbook {
-	return &Orderbook{
-		Bids:     processFuturesOB(o.Bids),
-		Asks:     processFuturesOB(o.Asks),
-		Sequence: o.Sequence,
-		Time:     o.Time.Time(),
-	}
-}
-
 // GetFuturesTradingPairsActualFees retrieves the actual fee rate of the trading pair. The fee rate of your sub-account is the same as that of the master account
 func (e *Exchange) GetFuturesTradingPairsActualFees(ctx context.Context, symbol string) (*TradingPairFee, error) {
 	if symbol == "" {
--- a/exchanges/kucoin/kucoin_futures_types.go
+++ b/exchanges/kucoin/kucoin_futures_types.go
@@ -3,6 +3,7 @@ package kucoin
 import (
 	"github.com/thrasher-corp/gocryptotrader/encoding/json"
 	"github.com/thrasher-corp/gocryptotrader/exchanges/order"
+	"github.com/thrasher-corp/gocryptotrader/exchanges/orderbook"
 	"github.com/thrasher-corp/gocryptotrader/types"
 )

@@ -85,11 +86,11 @@ type FuturesTicker struct {
 }

 type futuresOrderbookResponse struct {
-	Asks     [][2]float64 `json:"asks"`
-	Bids     [][2]float64 `json:"bids"`
-	Time     types.Time   `json:"ts"`
-	Sequence int64        `json:"sequence"`
-	Symbol   string       `json:"symbol"`
+	Asks     orderbook.LevelsArrayPriceAmount `json:"asks"`
+	Bids     orderbook.LevelsArrayPriceAmount `json:"bids"`
+	Time     types.Time                       `json:"ts"`
+	Sequence int64                            `json:"sequence"`
+	Symbol   string                           `json:"symbol"`
 }

 // FuturesTrade stores trade data
--- a/exchanges/kucoin/kucoin_types.go
+++ b/exchanges/kucoin/kucoin_types.go
@@ -162,10 +162,10 @@ type Orderbook struct {
 }

 type orderbookResponse struct {
-	Asks     [][2]types.Number `json:"asks"`
-	Bids     [][2]types.Number `json:"bids"`
-	Time     types.Time        `json:"time"`
-	Sequence string            `json:"sequence"`
+	Asks     orderbook.LevelsArrayPriceAmount `json:"asks"`
+	Bids     orderbook.LevelsArrayPriceAmount `json:"bids"`
+	Time     types.Time                       `json:"time"`
+	Sequence types.Number                     `json:"sequence"`
 }

 // Trade stores trade data
@@ -1537,35 +1537,11 @@ type WsOrderbookLevel5 struct {

 // WsOrderbookLevel5Response represents a response data for an orderbook push data with depth level 5
 type WsOrderbookLevel5Response struct {
-	Sequence      int64             `json:"sequence"`
-	Bids          [][2]types.Number `json:"bids"`
-	Asks          [][2]types.Number `json:"asks"`
-	PushTimestamp types.Time        `json:"ts"`
-	Timestamp     types.Time        `json:"timestamp"`
-}
-
-// ExtractOrderbookItems returns WsOrderbookLevel5 instance from WsOrderbookLevel5Response
-func (a *WsOrderbookLevel5Response) ExtractOrderbookItems() *WsOrderbookLevel5 {
-	resp := WsOrderbookLevel5{
-		Timestamp:     a.Timestamp,
-		Sequence:      a.Sequence,
-		PushTimestamp: a.PushTimestamp,
-	}
-	resp.Asks = make([]orderbook.Level, len(a.Asks))
-	for x := range a.Asks {
-		resp.Asks[x] = orderbook.Level{
-			Price:  a.Asks[x][0].Float64(),
-			Amount: a.Asks[x][1].Float64(),
-		}
-	}
-	resp.Bids = make([]orderbook.Level, len(a.Bids))
-	for x := range a.Bids {
-		resp.Bids[x] = orderbook.Level{
-			Price:  a.Bids[x][0].Float64(),
-			Amount: a.Bids[x][1].Float64(),
-		}
-	}
-	return &resp
+	Sequence      int64                            `json:"sequence"`
+	Bids          orderbook.LevelsArrayPriceAmount `json:"bids"`
+	Asks          orderbook.LevelsArrayPriceAmount `json:"asks"`
+	PushTimestamp types.Time                       `json:"ts"`
+	Timestamp     types.Time                       `json:"timestamp"`
 }

 // WsFundingRate represents the funding rate push data information through the websocket channel
@@ -2095,9 +2071,9 @@ type HFMarginOrderTransaction struct {
 // Level2Depth5Or20 stores the orderbook data for the level 5 or level 20
 // orderbook
 type Level2Depth5Or20 struct {
-	Asks      [][2]types.Number `json:"asks"`
-	Bids      [][2]types.Number `json:"bids"`
-	Timestamp types.Time        `json:"timestamp"`
+	Asks      orderbook.LevelsArrayPriceAmount `json:"asks"`
+	Bids      orderbook.LevelsArrayPriceAmount `json:"bids"`
+	Timestamp types.Time                       `json:"timestamp"`
 }

 // TradingPairFee represents actual fee information of a trading fee
--- a/exchanges/kucoin/kucoin_websocket.go
+++ b/exchanges/kucoin/kucoin_websocket.go
@@ -533,16 +533,11 @@ func (e *Exchange) ensureFuturesOrderbookSnapshotLoaded(ctx context.Context, sym

 // processFuturesOrderbookSnapshot processes a futures account orderbook websocket update.
 func (e *Exchange) processFuturesOrderbookSnapshot(respData []byte, instrument string) error {
-	response := WsOrderbookLevel5Response{}
-	if err := json.Unmarshal(respData, &response); err != nil {
+	var resp WsOrderbookLevel5Response
+	if err := json.Unmarshal(respData, &resp); err != nil {
 		return err
 	}
-	resp := response.ExtractOrderbookItems()
-	enabledPairs, err := e.GetEnabledPairs(asset.Futures)
-	if err != nil {
-		return err
-	}
-	cp, err := enabledPairs.DeriveFrom(instrument)
+	pair, err := e.MatchSymbolWithAvailablePairs(instrument, asset.Futures, false)
 	if err != nil {
 		return err
 	}
@@ -550,9 +545,9 @@ func (e *Exchange) processFuturesOrderbookSnapshot(respData []byte, instrument s
 		UpdateID:                   resp.Sequence,
 		UpdateTime:                 resp.Timestamp.Time(),
 		Asset:                      asset.Futures,
-		Bids:                       resp.Bids,
-		Asks:                       resp.Asks,
-		Pair:                       cp,
+		Bids:                       resp.Bids.Levels(),
+		Asks:                       resp.Asks.Levels(),
+		Pair:                       pair,
 		SkipOutOfOrderLastUpdateID: true,
 	})
 }
@@ -942,9 +937,8 @@ func (e *Exchange) updateLocalBuffer(wsdp *WsOrderbook, assetType asset.Item) (b

 // processOrderbook processes orderbook data for a specific symbol.
 func (e *Exchange) processOrderbook(respData []byte, symbol, topic string) error {
-	var response Level2Depth5Or20
-	err := json.Unmarshal(respData, &response)
-	if err != nil {
+	var resp Level2Depth5Or20
+	if err := json.Unmarshal(respData, &resp); err != nil {
 		return err
 	}

@@ -953,32 +947,20 @@ func (e *Exchange) processOrderbook(respData []byte, symbol, topic string) error
 		return err
 	}

-	asks := make([]orderbook.Level, len(response.Asks))
-	for x := range response.Asks {
-		asks[x].Price = response.Asks[x][0].Float64()
-		asks[x].Amount = response.Asks[x][1].Float64()
-	}
-
-	bids := make([]orderbook.Level, len(response.Bids))
-	for x := range response.Bids {
-		bids[x].Price = response.Bids[x][0].Float64()
-		bids[x].Amount = response.Bids[x][1].Float64()
-	}
-
 	assets, err := e.CalculateAssets(topic, pair)
 	if err != nil {
 		return err
 	}

-	lastUpdatedTime := response.Timestamp.Time()
-	if response.Timestamp.Time().IsZero() {
+	lastUpdatedTime := resp.Timestamp.Time()
+	if lastUpdatedTime.IsZero() {
 		lastUpdatedTime = time.Now()
 	}
 	for x := range assets {
 		err = e.Websocket.Orderbook.LoadSnapshot(&orderbook.Book{
 			Exchange:    e.Name,
-			Asks:        asks,
-			Bids:        bids,
+			Asks:        resp.Asks.Levels(),
+			Bids:        resp.Bids.Levels(),
 			Pair:        pair,
 			Asset:       assets[x],
 			LastUpdated: lastUpdatedTime,
@@ -1270,9 +1252,7 @@ func (e *Exchange) SynchroniseWebsocketOrderbook(ctx context.Context) {

 // SeedLocalCache seeds depth data
 func (e *Exchange) SeedLocalCache(ctx context.Context, p currency.Pair, assetType asset.Item) error {
-	var ob *Orderbook
-	var err error
-	ob, err = e.GetPartOrderbook100(ctx, p.String())
+	ob, err := e.GetPartOrderbook100(ctx, p.String())
 	if err != nil {
 		return err
 	}
@@ -1284,29 +1264,16 @@ func (e *Exchange) SeedLocalCache(ctx context.Context, p currency.Pair, assetTyp

 // SeedLocalCacheWithBook seeds the local orderbook cache
 func (e *Exchange) SeedLocalCacheWithBook(p currency.Pair, orderbookNew *Orderbook, assetType asset.Item) error {
-	newOrderBook := orderbook.Book{
+	return e.Websocket.Orderbook.LoadSnapshot(&orderbook.Book{
 		Pair:              p,
 		Asset:             assetType,
 		Exchange:          e.Name,
-		LastUpdated:       time.Now(),
+		LastUpdated:       orderbookNew.Time,
 		LastUpdateID:      orderbookNew.Sequence,
 		ValidateOrderbook: e.ValidateOrderbook,
-		Bids:              make(orderbook.Levels, len(orderbookNew.Bids)),
-		Asks:              make(orderbook.Levels, len(orderbookNew.Asks)),
-	}
-	for i := range orderbookNew.Bids {
-		newOrderBook.Bids[i] = orderbook.Level{
-			Amount: orderbookNew.Bids[i].Amount,
-			Price:  orderbookNew.Bids[i].Price,
-		}
-	}
-	for i := range orderbookNew.Asks {
-		newOrderBook.Asks[i] = orderbook.Level{
-			Amount: orderbookNew.Asks[i].Amount,
-			Price:  orderbookNew.Asks[i].Price,
-		}
-	}
-	return e.Websocket.Orderbook.LoadSnapshot(&newOrderBook)
+		Bids:              orderbookNew.Bids,
+		Asks:              orderbookNew.Asks,
+	})
 }

 // processJob fetches and processes orderbook updates
--- a/exchanges/kucoin/kucoin_wrapper.go
+++ b/exchanges/kucoin/kucoin_wrapper.go
@@ -368,41 +368,42 @@ func (e *Exchange) UpdateTickers(ctx context.Context, assetType asset.Item) erro
 }

 // UpdateOrderbook updates and returns the orderbook for a currency pair
-func (e *Exchange) UpdateOrderbook(ctx context.Context, pair currency.Pair, assetType asset.Item) (*orderbook.Book, error) {
-	err := e.CurrencyPairs.IsAssetEnabled(assetType)
+func (e *Exchange) UpdateOrderbook(ctx context.Context, p currency.Pair, a asset.Item) (*orderbook.Book, error) {
+	err := e.CurrencyPairs.IsAssetEnabled(a)
 	if err != nil {
 		return nil, err
 	}
-	pair, err = e.FormatExchangeCurrency(pair, assetType)
+	p, err = e.FormatExchangeCurrency(p, a)
 	if err != nil {
 		return nil, err
 	}
 	var ordBook *Orderbook
-	switch assetType {
+	switch a {
 	case asset.Futures:
-		ordBook, err = e.GetFuturesOrderbook(ctx, pair.String())
+		ordBook, err = e.GetFuturesOrderbook(ctx, p.String())
 	case asset.Spot, asset.Margin:
-		ordBook, err = e.GetPartOrderbook100(ctx, pair.String())
+		ordBook, err = e.GetPartOrderbook100(ctx, p.String())
 	default:
-		return nil, fmt.Errorf("%w %v", asset.ErrNotSupported, assetType)
+		return nil, fmt.Errorf("%w %v", asset.ErrNotSupported, a)
 	}
 	if err != nil {
 		return nil, err
 	}

-	book := &orderbook.Book{
+	ob := &orderbook.Book{
 		Exchange:          e.Name,
-		Pair:              pair,
-		Asset:             assetType,
+		Pair:              p,
+		Asset:             a,
 		ValidateOrderbook: e.ValidateOrderbook,
 		Asks:              ordBook.Asks,
 		Bids:              ordBook.Bids,
 	}
-	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)
+
+	return orderbook.Get(e.Name, p, a)
 }

 // UpdateAccountInfo retrieves balances for all enabled currencies