package bittrex import ( "context" "fmt" "github.com/thrasher-corp/gocryptotrader/currency" "github.com/thrasher-corp/gocryptotrader/exchanges/asset" "github.com/thrasher-corp/gocryptotrader/exchanges/orderbook" "github.com/thrasher-corp/gocryptotrader/log" ) var ( // maxWSUpdateBuffer defines max websocket updates to apply when an // orderbook is initially fetched maxWSUpdateBuffer = 150 // maxWSOrderbookJobs defines max websocket orderbook jobs in queue to fetch // an orderbook snapshot via REST maxWSOrderbookJobs = 2000 // maxWSOrderbookWorkers defines a max amount of workers allowed to execute // jobs from the job channel maxWSOrderbookWorkers = 10 ) func (b *Bittrex) setupOrderbookManager() { if b.obm == nil { b.obm = &orderbookManager{ state: make(map[currency.Code]map[currency.Code]map[asset.Item]*update), jobs: make(chan job, maxWSOrderbookJobs), } } else { // Change state on reconnect for initial sync. for _, m1 := range b.obm.state { for _, m2 := range m1 { for _, update := range m2 { update.initialSync = true update.needsFetchingBook = true } } } } for i := 0; i < maxWSOrderbookWorkers; i++ { // 10 workers for synchronising book b.SynchroniseWebsocketOrderbook() } } // ProcessUpdateOB processes the websocket orderbook update func (b *Bittrex) ProcessUpdateOB(pair currency.Pair, message *OrderbookUpdateMessage) error { updateBids := make([]orderbook.Item, len(message.BidDeltas)) for x := range message.BidDeltas { updateBids[x] = orderbook.Item{ Price: message.BidDeltas[x].Rate, Amount: message.BidDeltas[x].Quantity, } } updateAsks := make([]orderbook.Item, len(message.AskDeltas)) for x := range message.AskDeltas { updateAsks[x] = orderbook.Item{ Price: message.AskDeltas[x].Rate, Amount: message.AskDeltas[x].Quantity, } } return b.Websocket.Orderbook.Update(&orderbook.Update{ Asset: asset.Spot, Pair: pair, UpdateID: message.Sequence, MaxDepth: orderbookDepth, Bids: updateBids, Asks: updateAsks, }) } // UpdateLocalOBBuffer updates and returns the most recent iteration of the orderbook func (b *Bittrex) UpdateLocalOBBuffer(update *OrderbookUpdateMessage) (bool, error) { enabledPairs, err := b.GetEnabledPairs(asset.Spot) if err != nil { return false, err } format, err := b.GetPairFormat(asset.Spot, true) if err != nil { return false, err } currencyPair, err := currency.NewPairFromFormattedPairs(update.MarketSymbol, enabledPairs, format) if err != nil { return false, err } err = b.obm.stageWsUpdate(update, currencyPair, asset.Spot) if err != nil { init, err2 := b.obm.checkIsInitialSync(currencyPair) if err2 != nil { return false, err2 } return init, err } err = b.applyBufferUpdate(currencyPair) if err != nil { log.Errorf(log.WebsocketMgr, "%s websocket UpdateLocalOBBuffer: Could not apply buffer update\n", b.Name) } return false, err } // SeedLocalOBCache seeds depth data func (b *Bittrex) SeedLocalOBCache(ctx context.Context, p currency.Pair) error { ob, sequence, err := b.GetOrderbook(ctx, p.String(), orderbookDepth) if err != nil { return err } return b.SeedLocalCacheWithOrderBook(p, sequence, ob) } // SeedLocalCacheWithOrderBook seeds the local orderbook cache func (b *Bittrex) SeedLocalCacheWithOrderBook(p currency.Pair, sequence int64, orderbookNew *OrderbookData) error { newOrderBook := orderbook.Base{ Pair: p, Asset: asset.Spot, Exchange: b.Name, LastUpdateID: sequence, VerifyOrderbook: b.CanVerifyOrderbook, Bids: make(orderbook.Items, len(orderbookNew.Bid)), Asks: make(orderbook.Items, len(orderbookNew.Ask)), } for i := range orderbookNew.Bid { newOrderBook.Bids[i] = orderbook.Item{ Amount: orderbookNew.Bid[i].Quantity, Price: orderbookNew.Bid[i].Rate, } } for i := range orderbookNew.Ask { newOrderBook.Asks[i] = orderbook.Item{ Amount: orderbookNew.Ask[i].Quantity, Price: orderbookNew.Ask[i].Rate, } } return b.Websocket.Orderbook.LoadSnapshot(&newOrderBook) } // applyBufferUpdate applies the buffer to the orderbook or initiates a new // orderbook sync by the REST protocol which is off handed to go routine. func (b *Bittrex) applyBufferUpdate(pair currency.Pair) error { fetching, needsFetching, err := b.obm.handleFetchingBook(pair) if err != nil { return err } if fetching { return nil } if needsFetching { if b.Verbose { log.Debugf(log.WebsocketMgr, "%s Orderbook: Fetching via REST\n", b.Name) } return b.obm.fetchBookViaREST(pair) } recent, err := b.Websocket.Orderbook.GetOrderbook(pair, asset.Spot) if err != nil { log.Errorf( log.WebsocketMgr, "%s error fetching recent orderbook when applying updates: %s\n", b.Name, err) } if recent != nil { err = b.obm.checkAndProcessUpdate(b.ProcessUpdateOB, pair, recent) if err != nil { log.Errorf( log.WebsocketMgr, "%s error processing update - initiating new orderbook sync via REST: %s\n", b.Name, err) err = b.obm.setNeedsFetchingBook(pair) if err != nil { return err } } } return nil } // SynchroniseWebsocketOrderbook synchronises full orderbook for currency pair // asset func (b *Bittrex) SynchroniseWebsocketOrderbook() { b.Websocket.Wg.Add(1) go func() { defer b.Websocket.Wg.Done() for { select { case <-b.Websocket.ShutdownC: for { select { case <-b.obm.jobs: default: return } } case j := <-b.obm.jobs: err := b.processJob(j.Pair) if err != nil { log.Errorf(log.WebsocketMgr, "%s processing websocket orderbook error %v", b.Name, err) } } } }() } // processJob fetches and processes orderbook updates func (b *Bittrex) processJob(p currency.Pair) error { err := b.SeedLocalOBCache(context.TODO(), p) if err != nil { return fmt.Errorf("%s %s seeding local cache for orderbook error: %v", p, asset.Spot, err) } err = b.obm.stopFetchingBook(p) if err != nil { return err } // Immediately apply the buffer updates so we don't wait for a // new update to initiate this. return b.applyBufferUpdate(p) } // stageWsUpdate stages websocket update to roll through updates that need to // be applied to a fetched orderbook via REST. func (o *orderbookManager) stageWsUpdate(u *OrderbookUpdateMessage, pair currency.Pair, a asset.Item) error { o.Lock() defer o.Unlock() m1, ok := o.state[pair.Base] if !ok { m1 = make(map[currency.Code]map[asset.Item]*update) o.state[pair.Base] = m1 } m2, ok := m1[pair.Quote] if !ok { m2 = make(map[asset.Item]*update) m1[pair.Quote] = m2 } state, ok := m2[a] if !ok { state = &update{ // 100ms update assuming we might have up to a 10 second delay. // There could be a potential 100 updates for the currency. buffer: make(chan *OrderbookUpdateMessage, maxWSUpdateBuffer), fetchingBook: false, initialSync: true, needsFetchingBook: true, } m2[a] = state } select { // Put update in the channel buffer to be processed case state.buffer <- u: return nil default: <-state.buffer // pop one element state.buffer <- u // to shift buffer on fail return fmt.Errorf("channel blockage for %s, asset %s and connection", pair, a) } } // stopFetchingBook completes the book fetching. func (o *orderbookManager) stopFetchingBook(pair currency.Pair) error { o.Lock() defer o.Unlock() state, ok := o.state[pair.Base][pair.Quote][asset.Spot] if !ok { return fmt.Errorf("could not match pair %s and asset type %s in hash table", pair, asset.Spot) } if !state.fetchingBook { return fmt.Errorf("fetching book already set to false for %s %s", pair, asset.Spot) } state.fetchingBook = false return nil } // setNeedsFetchingBook completes the book fetching initiation. func (o *orderbookManager) setNeedsFetchingBook(pair currency.Pair) error { o.Lock() defer o.Unlock() state, ok := o.state[pair.Base][pair.Quote][asset.Spot] if !ok { return fmt.Errorf("could not match pair %s and asset type %s in hash table", pair, asset.Spot) } state.needsFetchingBook = true return nil } // handleFetchingBook checks if a full book is being fetched or needs to be // fetched func (o *orderbookManager) handleFetchingBook(pair currency.Pair) (fetching, needsFetching bool, err error) { o.Lock() defer o.Unlock() state, ok := o.state[pair.Base][pair.Quote][asset.Spot] if !ok { return false, false, fmt.Errorf("check is fetching book cannot match currency pair %s asset type %s", pair, asset.Spot) } if state.fetchingBook { return true, false, nil } if state.needsFetchingBook { state.needsFetchingBook = false state.fetchingBook = true return false, true, nil } return false, false, nil } // checkIsInitialSync checks status if the book is Initial Sync being via the REST // protocol. func (o *orderbookManager) checkIsInitialSync(pair currency.Pair) (bool, error) { o.Lock() defer o.Unlock() state, ok := o.state[pair.Base][pair.Quote][asset.Spot] if !ok { return false, fmt.Errorf("checkIsInitialSync of orderbook cannot match currency pair %s asset type %s", pair, asset.Spot) } return state.initialSync, nil } // fetchBookViaREST pushes a job of fetching the orderbook via the REST protocol // to get an initial full book that we can apply our buffered updates too. func (o *orderbookManager) fetchBookViaREST(pair currency.Pair) error { o.Lock() defer o.Unlock() state, ok := o.state[pair.Base][pair.Quote][asset.Spot] if !ok { return fmt.Errorf("fetch book via rest cannot match currency pair %s asset type %s", pair, asset.Spot) } state.initialSync = true state.fetchingBook = true select { case o.jobs <- job{pair}: return nil default: return fmt.Errorf("%s %s book synchronisation channel blocked up", pair, asset.Spot) } } func (o *orderbookManager) checkAndProcessUpdate(processor func(currency.Pair, *OrderbookUpdateMessage) error, pair currency.Pair, recent *orderbook.Base) error { o.Lock() defer o.Unlock() state, ok := o.state[pair.Base][pair.Quote][asset.Spot] if !ok { return fmt.Errorf("could not match pair [%s] asset type [%s] in hash table to process websocket orderbook update", pair, asset.Spot) } // This will continuously remove updates from the buffered channel and // apply them to the current orderbook. buffer: for { select { case d := <-state.buffer: process, err := state.validate(d, recent) if err != nil { return err } if process { err := processor(pair, d) if err != nil { return fmt.Errorf("%s %s processing update error: %w", pair, asset.Spot, err) } recent.LastUpdateID = d.Sequence } default: break buffer } } return nil } // validate checks for correct update alignment func (u *update) validate(updt *OrderbookUpdateMessage, recent *orderbook.Base) (bool, error) { if updt.Sequence <= recent.LastUpdateID { // Drop any event where u is <= lastUpdateId in the snapshot. return false, nil } id := recent.LastUpdateID + 1 if u.initialSync { // The first processed event should have U <= lastUpdateId+1 AND // u >= lastUpdateId+1. if updt.Sequence > id { return false, fmt.Errorf("initial websocket orderbook sync failure for pair %s and asset %s", recent.Pair, asset.Spot) } u.initialSync = false } else if updt.Sequence != id { // While listening to the stream, each new event's U should be // equal to the previous event's u+1. return false, fmt.Errorf("websocket orderbook synchronisation failure for pair %s and asset %s", recent.Pair, asset.Spot) } return true, nil }