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exchange: binance orderbook fix (#599)

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* port orderbook binance management from draft singular asset (spot) processing add additional updates to buffer management

* integrate port

* shifted burden of proof to exchange and remove repairing techniques that obfuscate issues and could caause artifacts

* WIP

* Update exchanges, update tests, update configuration so we can default off on buffer util.

* Add buffer enabled switching to all exchanges and some that are missing, default to off.

* lbtc set not aggregate books

* Addr linter issues

* EOD wip

* optimization and bug fix pass

* clean before test and benchmarking

* add testing/benchmarks to sorting/reversing functions, dropped pointer to slice as we aren't changing slice len or cap

* Add tests and removed ptr for main book as we just ammend amount

* addr exchange test issues

* ci issues

* addr glorious issues

* Addr MCB nits, fixed funding rate book for bitfinex and fixed potential panic on nil book return

* addr linter issues

* updated mistakes

* Fix more tests

* revert bypass

* Addr mcb nits

* fix zero price bug caused by exchange. Filted out bid result rather then unsubscribing. Updated orderbook to L2 so there is no aggregation.

* Allow for zero bid and ask books to be loaded and warn if found.

* remove authentication subscription conflicts as they do not have a channel ID return

* WIP - Batching outbound requests for kraken as they do not give you the partial if you subscribe to do many things.

* finalised outbound request for kraken

* filter zero value due to invalid returned data from exchange, add in max subscription amount and increased outbound batch limit

* expand to max allowed book length & fix issue where they were sending a zero length ask side when we sent a depth of zero

* Updated function comments and added in more realistic book sizing for sort cases

* change map ordering

* amalgamate maps in buffer

* Rm ln

* fix kraken linter issues

* add in buffer initialisation

* increase timout by 30seconds

* Coinbene: Add websocket orderbook length check.

* Engine: Improve switch statement for orderbook summary dissplay.

* Binance: Added tests, remove deadlock

* Exchanges: Change orderbook field -> IsFundingRate

* Orderbook Buffer: Added method to orderbookHolder

* Kraken: removed superfluous integer for sleep

* Bitmex: fixed error return

* cmd/gctcli: force 8 decimal place usage for orderbook streaming

* Kraken: Add checksum and fix bug where we were dropping returned data which was causing artifacts

* Kraken: As per orderbook documentation added in maxdepth field to update to filter depth that goes beyond current scope

* Bitfinex: Tracking down bug on margin-funding, added sequence and checksum validation websocket config on connect (WIP)

* Bitfinex: Complete implementation of checksum

* Bitfinex: Fix funding book insertion and checksum - Dropped updates and deleting items not on book are continuously occuring from stream

* Bitfinex: Fix linter issues

* Bitfinex: Fix even more linter issues.

* Bitmex: Populate orderbook base identification fields to be passed back when error occurrs

* OkGroup: Populate orderbook base identification fields to be passed back when error occurrs

* BTSE: Change string check to 'connect success' to capture multiple user successful strings

* Bitfinex: Updated handling of funding tickers

* Bitfinex: Fix undocumented alignment bug for funding rates

* Bitfinex: Updated error return with more information

* Bitfinex: Change REST fetching to Raw book to keep it in line with websocket implementation. Fix woopsy.

* Localbitcoins: Had to impose a rate limiter to stop errors, fixed return for easier error identification.

* Exchanges: Update failing tests

* LocalBitcoins: Addr nit and bumped time by 1 second for fetching books

* Kraken: Dynamically scale precision based on str return for checksum calculations

* Kraken: Add pair and asset type to validateCRC32 error reponse

* BTSE: Filter out zero amount orderbook price levels in websocket return

* Exchanges: Update orderbook functions to return orderbook base to differentiate errors.

* BTSE: Fix spelling

* Bitmex: Fix error return string

* BTSE: Add orderbook filtering function

* Coinbene: Change wording

* BTSE: Add test for filtering

* Binance: Addr nits, added in variables for buffers and worker amounts and fixed error log messages

* GolangCI: Remove excess 0

* Binance: Reduces double ups on asset and pair in errors

* Binance: Fix error checking
This commit is contained in:
Ryan O'Hara-Reid
2021-01-04 17:19:55 +11:00
committed by GitHub
parent 59013ea076
commit eb0571cc9b
80 changed files with 11139 additions and 1408 deletions
Download Patch File Download Diff File Expand all files Collapse all files

21
cmd/exchange_template/wrapper_file.tmpl
View File

@@ -272,37 +272,32 @@ func ({{.Variable}} *{{.CapitalName}}) FetchOrderbook(currency currency.Pair, as
// UpdateOrderbook updates and returns the orderbook for a currency pair
func ({{.Variable}} *{{.CapitalName}}) UpdateOrderbook(p currency.Pair, assetType asset.Item) (*orderbook.Base, error) {
orderBook := new(orderbook.Base)
book := &orderbook.Base{ExchangeName: {{.Variable}}.Name, Pair: p, AssetType: assetType}
// NOTE: UPDATE ORDERBOOK EXAMPLE
/*
orderbookNew, err := {{.Variable}}.GetOrderBook(exchange.FormatExchangeCurrency({{.Variable}}.Name, p).String(), 1000)
if err != nil {
return orderBook, err
return book, err
}
for x := range orderbookNew.Bids {
orderBook.Bids = append(orderBook.Bids, orderbook.Item{
book.Bids = append(book.Bids, orderbook.Item{
Amount: orderbookNew.Bids[x].Quantity,
Price: orderbookNew.Bids[x].Price,
})
}
for x := range orderbookNew.Asks {
orderBook.Asks = append(orderBook.Asks, orderbook.Item{
Amount: orderBook.Asks[x].Quantity,
Price: orderBook.Asks[x].Price,
book.Asks = append(book.Asks, orderbook.Item{
Amount: orderBookNew.Asks[x].Quantity,
Price: orderBookNew.Asks[x].Price,
})
}
*/
orderBook.Pair = p
orderBook.ExchangeName = {{.Variable}}.Name
orderBook.AssetType = assetType
err := orderBook.Process()
err := book.Process()
if err != nil {
return orderBook, err
return book, err
}
return orderbook.Get({{.Variable}}.Name, p, assetType)

2
cmd/gctcli/commands.go
View File

@@ -3152,7 +3152,7 @@ func getOrderbookStream(c *cli.Context) error {
askPrice = resp.Asks[i].Price
}
fmt.Printf("%f %s @ %f %s\t\t%f %s @ %f %s\n",
fmt.Printf("%.8f %s @ %.8f %s\t\t%.8f %s @ %.8f %s\n",
bidAmount,
resp.Pair.Base,
bidPrice,