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buffer/orderbook: shift orderbook update logic from buffer package to orderbook package (#1908)

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* buffer/orderbook: shift orderbook update logic from buffer package to orderbook package

* Update exchanges/orderbook/depth.go

Co-authored-by: Copilot <175728472+Copilot@users.noreply.github.com>

* linter: fixes

* spelling: fix

* samboss: add in some todos

* sammy nit: add unlock on error

* sammy nits: rm ptr to slice field buffer in orderbookHolder

* sammy nits: Add more coverage bro

* sammy nits: even more coverage

* gk: nits on commentary

* gk: nits change sort.Slice to slices.SortFunc

* gk: fix commentary on buffer clearing

* gk: nits fin

* linter: fix

* Update exchange/websocket/buffer/buffer.go

Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com>

* Update exchange/websocket/buffer/buffer.go

Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com>

* Update exchanges/orderbook/tranches.go

Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com>

* Update exchanges/orderbook/orderbook.go

Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com>

* Update exchange/websocket/buffer/buffer_test.go

Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com>

* Update exchange/websocket/buffer/buffer_test.go

Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com>

* Update exchanges/orderbook/incremental_updates.go

Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com>

* gk: refresh action types and names

* gk nits: consolidate error vars and naming

* gk nits: more name changes

* gk nits; buffer tests update

* gk nits: error var names change

* linter: FIX

* it gets inlined but there is an alloc

* rn field in TODO

* Update exchanges/binance/binance_websocket.go

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

* Update exchanges/binance/binance_websocket.go

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

* orderbook: shift verify/validate funcs to validate.go and rn Verify() -> Validate()

* orderbook: validate even in presence of checksum and allow cowboy mode

* buffer; fix test

* kraken: fix futures orderbook by reversing incoming bids

* okx: change default spread pair

* Update exchanges/orderbook/validate.go

Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com>

* Update exchanges/orderbook/validate.go

Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com>

* Update exchanges/orderbook/validate.go

Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com>

* Update exchanges/orderbook/validate.go

Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com>

* Update exchanges/orderbook/validate.go

Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com>

* gk: initial nits

* rn fields V(v)erifyorderbook to V(v)alidateOrderbook

* buffer/orderbook: nilguard in validate and change method receiver w -> o

---------

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>
This commit is contained in:
Ryan O'Hara-Reid
2025-06-18 16:19:58 +10:00
committed by GitHub
parent 3e80f1b9e5
commit c892f492a9
66 changed files with 1376 additions and 1662 deletions
Download Patch File Download Diff File Expand all files Collapse all files

60
engine/rpcserver_test.go
View File

@@ -3081,18 +3081,14 @@ func TestGetOrderbookMovement(t *testing.T) {
t.Parallel()
em := NewExchangeManager()
exch, err := em.NewExchangeByName("binance")
if err != nil {
t.Fatal(err)
}
require.NoError(t, err, "NewExchangeByName must not error")
exch.SetDefaults()
b := exch.GetBase()
b.Name = fakeExchangeName
b.Enabled = true
cp, err := currency.NewPairFromString("btc-metal")
if err != nil {
t.Fatal(err)
}
cp := currency.NewPairWithDelimiter("btc", "metal", "-")
b.CurrencyPairs.Pairs = make(map[asset.Item]*currency.PairStore)
b.CurrencyPairs.Pairs[asset.Spot] = &currency.PairStore{
@@ -3134,9 +3130,7 @@ func TestGetOrderbookMovement(t *testing.T) {
}
depth, err := orderbook.DeployDepth(req.Exchange, currency.NewPair(currency.BTC, currency.METAL), asset.Spot)
if err != nil {
t.Fatal(err)
}
require.NoError(t, err, "orderbook.DeployDepth must not error")
bid := []orderbook.Level{
{Price: 10, Amount: 1},
@@ -3150,10 +3144,8 @@ func TestGetOrderbookMovement(t *testing.T) {
{Price: 13, Amount: 1},
{Price: 14, Amount: 1},
}
err = depth.LoadSnapshot(bid, ask, 0, time.Now(), time.Now(), true)
if err != nil {
t.Fatal(err)
}
err = depth.LoadSnapshot(&orderbook.Book{Bids: bid, Asks: ask, LastUpdated: time.Now(), LastPushed: time.Now(), RestSnapshot: true})
require.NoError(t, err, "depth.LoadSnapshot must not error")
_, err = s.GetOrderbookMovement(t.Context(), req)
if err.Error() != "quote amount invalid" {
@@ -3182,18 +3174,14 @@ func TestGetOrderbookAmountByNominal(t *testing.T) {
t.Parallel()
em := NewExchangeManager()
exch, err := em.NewExchangeByName("binance")
if err != nil {
t.Fatal(err)
}
require.NoError(t, err, "NewExchangeByName must not error")
exch.SetDefaults()
b := exch.GetBase()
b.Name = fakeExchangeName
b.Enabled = true
cp, err := currency.NewPairFromString("btc-meme")
if err != nil {
t.Fatal(err)
}
cp := currency.NewPairWithDelimiter("btc", "meme", "-")
b.CurrencyPairs.Pairs = make(map[asset.Item]*currency.PairStore)
b.CurrencyPairs.Pairs[asset.Spot] = &currency.PairStore{
@@ -3235,9 +3223,7 @@ func TestGetOrderbookAmountByNominal(t *testing.T) {
}
depth, err := orderbook.DeployDepth(req.Exchange, currency.NewPair(currency.BTC, currency.MEME), asset.Spot)
if err != nil {
t.Fatal(err)
}
require.NoError(t, err, "orderbook.DeployDepth must not error")
bid := []orderbook.Level{
{Price: 10, Amount: 1},
@@ -3251,10 +3237,8 @@ func TestGetOrderbookAmountByNominal(t *testing.T) {
{Price: 13, Amount: 1},
{Price: 14, Amount: 1},
}
err = depth.LoadSnapshot(bid, ask, 0, time.Now(), time.Now(), true)
if err != nil {
t.Fatal(err)
}
err = depth.LoadSnapshot(&orderbook.Book{Bids: bid, Asks: ask, LastUpdated: time.Now(), LastPushed: time.Now(), RestSnapshot: true})
require.NoError(t, err, "depth.LoadSnapshot must not error")
nominal, err := s.GetOrderbookAmountByNominal(t.Context(), req)
require.NoError(t, err)
@@ -3276,18 +3260,14 @@ func TestGetOrderbookAmountByImpact(t *testing.T) {
t.Parallel()
em := NewExchangeManager()
exch, err := em.NewExchangeByName("binance")
if err != nil {
t.Fatal(err)
}
require.NoError(t, err, "NewExchangeByName must not error")
exch.SetDefaults()
b := exch.GetBase()
b.Name = fakeExchangeName
b.Enabled = true
cp, err := currency.NewPairFromString("btc-mad")
if err != nil {
t.Fatal(err)
}
cp := currency.NewPairWithDelimiter("btc", "mad", "-")
b.CurrencyPairs.Pairs = make(map[asset.Item]*currency.PairStore)
b.CurrencyPairs.Pairs[asset.Spot] = &currency.PairStore{
@@ -3329,9 +3309,7 @@ func TestGetOrderbookAmountByImpact(t *testing.T) {
}
depth, err := orderbook.DeployDepth(req.Exchange, currency.NewPair(currency.BTC, currency.MAD), asset.Spot)
if err != nil {
t.Fatal(err)
}
require.NoError(t, err, "orderbook.DeployDepth must not error")
bid := []orderbook.Level{
{Price: 10, Amount: 1},
@@ -3345,10 +3323,8 @@ func TestGetOrderbookAmountByImpact(t *testing.T) {
{Price: 13, Amount: 1},
{Price: 14, Amount: 1},
}
err = depth.LoadSnapshot(bid, ask, 0, time.Now(), time.Now(), true)
if err != nil {
t.Fatal(err)
}
err = depth.LoadSnapshot(&orderbook.Book{Bids: bid, Asks: ask, LastUpdated: time.Now(), LastPushed: time.Now(), RestSnapshot: true})
require.NoError(t, err, "depth.LoadSnapshot must not error")
req.ImpactPercentage = 9.090909090909092
impact, err := s.GetOrderbookAmountByImpact(t.Context(), req)