Commit Graph

6 Commits

Author SHA1 Message Date
Ryan O'Hara-Reid
9acbdbf203 depth: Add methods to derive liquidity allowances on orderbooks by volume and slippage (#962)
* depth: methods to derive liquidity impact details

* depth: fix comments on link list methods

* depth: fix whoopsie

* Update exchanges/orderbook/linked_list_test.go

Co-authored-by: Scott <gloriousCode@users.noreply.github.com>

* glorious: nits

* orderbook: standardise methods to GCT math package

* averagePrice: implementation (WIP)

* ll: hmmmmmm

* continued

* orderbook: reworked functions

* WIP

* orderbook: add tests link up with RPC

* orderbook: refined calculations, add tests (WIP)

* orderbook: add tests finalise/verify remove state until next PR if needed

* rpcserver/orderbook: remove redundant type and change wording

* linter: fix

* Update exchanges/orderbook/linked_list.go

Co-authored-by: Scott <gloriousCode@users.noreply.github.com>

* gctcli: noobed it up

* orderbook: work work work (yesterday)

* depth: WIP and testing

* orderbook: improve calculations for bids traversal

* orderbook: adjust tests

* orderbook: linters/nits

* orderbook: fix error returns and add asset to whalebomb

* orderbook: drop error when full book is potentially consumed

* Update cmd/gctcli/orderbook.go

Co-authored-by: Scott <gloriousCode@users.noreply.github.com>

* orderbook: Add tests and nits

* glorious: nits

* backtester: handle new errors

* grpc: linter

* orderbook: remove pesky t.Log()s

* glorious: nits (yesterday)

* depth/gctcli: Add in purchase requirements into orderbook movement, will also standardize in next commit after tests are fixed.

* orderbook: standardize and overhaul

* orderbook: update comments, update tests

* rpcserver: add average ordercost and amounts

* depth: add spread and imbalance methods

* linter: fix

* glorious: nits

* orderbook: don't purge price, rn test.

* glorious: codes nits

* linter: fix

* Update exchanges/orderbook/linked_list.go

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

* Update exchanges/orderbook/linked_list.go

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

* Update exchanges/orderbook/linked_list.go

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

* Update exchanges/orderbook/linked_list.go

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

* Update exchanges/orderbook/linked_list.go

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

* thrasher: nits

Co-authored-by: Scott <gloriousCode@users.noreply.github.com>
Co-authored-by: Ryan O'Hara-Reid <ryan.oharareid@thrasher.io>
Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io>
2022-10-14 16:43:37 +11:00
Ryan O'Hara-Reid
c6ad429827 orderbook/buffer: data integrity and resubscription pass (#910)
* orderbook/buffer: data integrity and resubscription pass

* btcmarkets: REMOVE THAT LIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIINE!!!!!!!!!!!!!!!!!

* buffer: reinstate publish, refaactor, invalidate more and comments

* buffer/orderbook: improve update and snapshot performance. Move Update type to orderbook package to util. pointer through entire function calls. (cleanup). Change action string to uint8 for easier comparison. Add parsing helper. Update current test benchmark comments.

* dispatch: change publish func to variadic id param

* dispatch: remove sender receiver wait time as this adds overhead and complexity. update tests.

* dispatch: don't create pointers for every job container

* rpcserver: fix assertion issues with data publishing change

* linter: fixes

* glorious: nits addr

* depth: change validation handling to incorporate and store err

* linter: fix more issues

* dispatch: fix race

* travis: update before fetching

* depth: wrap and return wrapped error in invalidate call and fix tests

* btcmarkets: fix commenting

* workflow: check

* workflow: check

* orderbook: check error

* buffer/depth: return invalidation error and fix tests

* gctcli: display errors on orderbook streams

* buffer: remove unused types

* orderbook/bitmex: shift function to bitmex

* orderbook: Add specific comments to unexported functions that don't have locking require locking.

* orderbook: restrict published data functionality to orderbook.Outbound interface

* common: add assertion failure helper for error

* dispatch: remove atomics, add mutex protection, remove add/remove worker, redo main tests

* dispatch: export function

* engine: revert and change sub logger to manager

* engine: remove old test

* dispatch: add common variable ;)

* btcmarket: don't overflow int in tests on 32bit systems

* ci: force 1.17.7 usage for go

* Revert "ci: force 1.17.7 usage for go"

This reverts commit af2f95563bf218cf2b9f36a9fcf3258e2c6a2d91.

* golangci: bump version add and remove linter items

* Revert "golangci: bump version add and remove linter items"

This reverts commit 3c98bffc9d030e39faca0387ea40c151df2ab06b.

* dispatch: remove unsused mutex from mux

* order: slight optimizations

* nits: glorious

* dispatch: fix regression on uuid generation and input inline with master

* linter: fix

* linter: fix

* glorious: nit - rm slice segration

* account: fix test after merge

* coinbasepro: revert change

* account: close channel instead of needing a receiver, push alert in routine to prepare for waiter.

Co-authored-by: Ryan O'Hara-Reid <ryan.oharareid@thrasher.io>
2022-05-03 12:37:08 +10:00
Ryan O'Hara-Reid
489e2ebade orderbook: export NewDepth(), add methods to orderbook.Unsafe type (#907)
* orderbook: export NewDepth function, return unsafe pointer

* orderbook: Add unsafe methods and liquidity checks

* Update exchanges/orderbook/unsafe.go

Co-authored-by: Scott <gloriousCode@users.noreply.github.com>

* orderbook: addr nits

* orderbook: update comments

* Update exchanges/orderbook/unsafe.go

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

* Update exchanges/orderbook/unsafe.go

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

Co-authored-by: Scott <gloriousCode@users.noreply.github.com>
Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io>
2022-03-25 11:38:56 +11:00
Ryan O'Hara-Reid
5dfbbf84de engine/exchanges: Add exchange currency state subsystem (#774)
* state: Add management system (init)

* linter: fix

* engine: gofmt

* gct: after merge fixup

* documentation: add

* rpc: implement services for testing

* gctcli: gofmt state_management.go

* documentation: reinstate lost information

* state: Add pair check to determine trading operation

* exchanges: add interface for specific state scoped subsystem functionality

* engine/order_man: reduce code footprint using new method

* RPC: implement pair trading request and change exported name to something specific to state

* engine: add tests

* engine: Add to withdraw manager

* documentation: reinstate soxipy in contrib. list

* engine: const fake name

* Glorious: NITERINOS

* merge: fix issues

* engine: csm incorporate service name into log output

* engine: fix linter issues

* gct: fix tests

* currencystate: remove management type

* rpc: fix tests

* backtester: fix tests

* Update engine/currency_state_manager.go

Co-authored-by: Scott <gloriousCode@users.noreply.github.com>

* Update engine/currency_state_manager.go

Co-authored-by: Scott <gloriousCode@users.noreply.github.com>

* Update exchanges/currencystate/currency_state.go

Co-authored-by: Scott <gloriousCode@users.noreply.github.com>

* Update exchanges/alert/alert.go

Co-authored-by: Scott <gloriousCode@users.noreply.github.com>

* Update exchanges/alert/alert.go

Co-authored-by: Scott <gloriousCode@users.noreply.github.com>

* glorious: nits

* config: integrate with config and remove flag delay adjustment

* gctcli: fix issues after name changes

* engine: gofmt manager file

* Update engine/rpcserver.go

Co-authored-by: Scott <gloriousCode@users.noreply.github.com>

* engine: Add enable/disable manager functions, add default popoulation for potential assets

* linter: fix

* engine/test: bump subsystem count

* Update engine/currency_state_manager.go

Co-authored-by: Scott <gloriousCode@users.noreply.github.com>

* Update exchanges/bithumb/bithumb.go

Co-authored-by: Scott <gloriousCode@users.noreply.github.com>

* glorious: nits addressed

* alert: fix commenting for its generalized purpose

* glorious: nits

* engine: use standard string in log output

* bitfinex: apply patch, thanks @thrasher-

* bitfinex: fix spelling

* engine/currencystate: Add logs/fix logs

Co-authored-by: Scott <gloriousCode@users.noreply.github.com>
2021-09-27 13:33:49 +10:00
TaltaM
4ba2c710b5 Bittrex: Enable ws orderbook sync recovery (resolves #746) (#747)
* [FIX] Enable ws orderbook sync recovery by:

- Testing if books have been cleared
- Assigning options when loading snapshot

* orderbooks: remove setlastupdate method and on select depth method that updates linked list, this reduced lock contention across code base and fixes buffer bug on applying buffered updates

* WS - Introduce signaling for the need to fetch the orderbook

* Address nits

* Update error messages to include exchange name

Co-authored-by: shazbert <oharareid.ryan@gmail.com>
2021-08-18 11:43:46 +10:00
Ryan O'Hara-Reid
7b718700f7 orderbook: Implement initial linked list (#643)
* Exchanges: Initial implementation after rebase of depth (WIP)

* orderbook/buffer: convert and couple orderbook interaction functionality from buffer to orderbook linked list - Use single point reference for orderbook depth

* buffer/orderbook: conversion continued (WIP)

* exchange: buffer/linkedlist handover (WIP)

* Added some tests for yesterday

* linkedList: added more testing and trying to figure out broken things

* Started tying everything in

* continuous integration and testing

* orderbook: expanded tests

* go mod tidy

* Add in different synchornisation levels for protocols
Add in timer for the streaming system to reduce updates to datahandler
Add in more test code as I integrate more exchanges

* Depth: Add tests, add length check to call linked list updating, add in constructor.
Linked List: Improve tests, add in checks for zero liquidity on books.
Node: Added in cleaner POC, add in contructor.
Buffer: Fixed tests, checked benchmarks.

* orderbook: reinstate dispatch calls

* Addr glorious & madcozbad nits

* fix functionality and add tests

* Address linterinos

* remove label

* expanded comment

* fix races and and bitmex test

* reinstate go routine for alerting changes

* rm line :D

* fix more tests

* Addr glorious nits

* rm glorious field

* depth: defer unlock to stop deadlock

* orderbook: remove unused vars

* buffer: fix test to what it should be

* nits: madcosbad addr

* nits: glorious nits

* linkedlist: remove unused params

* orderbook: shift time call to outside of push to inline, add in case for update inster price for zero liquidity, nits

* orderbook: nits addressed

* engine: change stream -> websocket convention and remove unused function

* nits: glorious nits

* Websocket Buffer: Add verbosity switch

* linked list: Add comment

* linked list: fix spelling

* nits: glorious nits

* orderbook: Adds in test and explicit time type with constructor, fix nits

* linter

* spelling: removed the dere fence

* depth: Update alerting mechanism to a more battle tested state

* depth: spelling

* nits: glorious nits

* linked list: match cases

* buffer: fix linter issue

* golangci: increase timeout by 30 seconds

* nodes: update atomic checks

* spelling: fix

* node: add in commentary

* exchanges/syncer: add function to switch over to REST when websocket functionality is not available for a specific asset type

* linter: exchange linter issues

* syncer: Add in warning

* nits: glorious nits

* AssetWebsocketSupport: unexport map

* Nits: Adrr

* rm letter

* exchanges: Orderbook verification change for naming, deprecate checksum bypass as it has the potential to obfuscate errors that are at the tail end of the book, add in verification for websocket stream updates

* general: fix spelling remove breakpoint

* nits: fix more glorious nits until more are found

* orderbook: fix tests

* orderbook: fix wait tests and add in more checks

* nits: addr

* orderbook: remove dispatch reference

* linkedlist: consolidate bid/ask functions

* linked lisdt: remove words

* fix spelling
2021-04-23 15:16:01 +10:00