package orderbook import ( "fmt" "sort" "strings" "time" "github.com/gofrs/uuid" "github.com/thrasher-corp/gocryptotrader/currency" "github.com/thrasher-corp/gocryptotrader/dispatch" "github.com/thrasher-corp/gocryptotrader/exchanges/asset" "github.com/thrasher-corp/gocryptotrader/log" ) // Get checks and returns the orderbook given an exchange name and currency pair func Get(exchange string, p currency.Pair, a asset.Item) (*Base, error) { return service.Retrieve(exchange, p, a) } // GetDepth returns a Depth pointer allowing the caller to stream orderbook // changes func GetDepth(exchange string, p currency.Pair, a asset.Item) (*Depth, error) { return service.GetDepth(exchange, p, a) } // DeployDepth sets a depth struct and returns a depth pointer. This allows for // the loading of a new orderbook snapshot and incremental updates via the // streaming package. func DeployDepth(exchange string, p currency.Pair, a asset.Item) (*Depth, error) { return service.DeployDepth(exchange, p, a) } // SubscribeToExchangeOrderbooks returns a pipe to an exchange feed func SubscribeToExchangeOrderbooks(exchange string) (dispatch.Pipe, error) { service.Lock() defer service.Unlock() exch, ok := service.books[strings.ToLower(exchange)] if !ok { return dispatch.Pipe{}, fmt.Errorf("%w for %s exchange", errCannotFindOrderbook, exchange) } return service.Mux.Subscribe(exch.ID) } // Update stores orderbook data func (s *Service) Update(b *Base) error { name := strings.ToLower(b.Exchange) s.Lock() m1, ok := s.books[name] if !ok { id, err := s.Mux.GetID() if err != nil { s.Unlock() return err } m1 = Exchange{ m: make(map[asset.Item]map[*currency.Item]map[*currency.Item]*Depth), ID: id, } s.books[name] = m1 } m2, ok := m1.m[b.Asset] if !ok { m2 = make(map[*currency.Item]map[*currency.Item]*Depth) m1.m[b.Asset] = m2 } m3, ok := m2[b.Pair.Base.Item] if !ok { m3 = make(map[*currency.Item]*Depth) m2[b.Pair.Base.Item] = m3 } book, ok := m3[b.Pair.Quote.Item] if !ok { book = newDepth(m1.ID) book.AssignOptions(b) m3[b.Pair.Quote.Item] = book } book.SetLastUpdate(b.LastUpdated, b.LastUpdateID, true) book.LoadSnapshot(b.Bids, b.Asks) s.Unlock() return s.Mux.Publish([]uuid.UUID{m1.ID}, book.Retrieve()) } // DeployDepth used for subsystem deployment creates a depth item in the struct // then returns a ptr to that Depth item func (s *Service) DeployDepth(exchange string, p currency.Pair, a asset.Item) (*Depth, error) { if exchange == "" { return nil, errExchangeNameUnset } if p.IsEmpty() { return nil, errPairNotSet } if !a.IsValid() { return nil, errAssetTypeNotSet } s.Lock() defer s.Unlock() m1, ok := s.books[strings.ToLower(exchange)] if !ok { id, err := s.Mux.GetID() if err != nil { return nil, err } m1 = Exchange{ m: make(map[asset.Item]map[*currency.Item]map[*currency.Item]*Depth), ID: id, } s.books[strings.ToLower(exchange)] = m1 } m2, ok := m1.m[a] if !ok { m2 = make(map[*currency.Item]map[*currency.Item]*Depth) m1.m[a] = m2 } m3, ok := m2[p.Base.Item] if !ok { m3 = make(map[*currency.Item]*Depth) m2[p.Base.Item] = m3 } book, ok := m3[p.Quote.Item] if !ok { book = newDepth(m1.ID) m3[p.Quote.Item] = book } return book, nil } // GetDepth returns the actual depth struct for potential subsystems and // strategies to interact with func (s *Service) GetDepth(exchange string, p currency.Pair, a asset.Item) (*Depth, error) { s.Lock() defer s.Unlock() m1, ok := s.books[strings.ToLower(exchange)] if !ok { return nil, fmt.Errorf("%w for %s exchange", errCannotFindOrderbook, exchange) } m2, ok := m1.m[a] if !ok { return nil, fmt.Errorf("%w associated with asset type %s", errCannotFindOrderbook, a) } m3, ok := m2[p.Base.Item] if !ok { return nil, fmt.Errorf("%w associated with base currency %s", errCannotFindOrderbook, p.Base) } book, ok := m3[p.Quote.Item] if !ok { return nil, fmt.Errorf("%w associated with base currency %s", errCannotFindOrderbook, p.Quote) } return book, nil } // Retrieve gets orderbook depth data from the associated linked list and // returns the base equivalent copy func (s *Service) Retrieve(exchange string, p currency.Pair, a asset.Item) (*Base, error) { s.Lock() defer s.Unlock() m1, ok := s.books[strings.ToLower(exchange)] if !ok { return nil, fmt.Errorf("%w for %s exchange", errCannotFindOrderbook, exchange) } m2, ok := m1.m[a] if !ok { return nil, fmt.Errorf("%w associated with asset type %s", errCannotFindOrderbook, a) } m3, ok := m2[p.Base.Item] if !ok { return nil, fmt.Errorf("%w associated with base currency %s", errCannotFindOrderbook, p.Base) } book, ok := m3[p.Quote.Item] if !ok { return nil, fmt.Errorf("%w associated with base currency %s", errCannotFindOrderbook, p.Quote) } return book.Retrieve(), nil } // TotalBidsAmount returns the total amount of bids and the total orderbook // bids value func (b *Base) TotalBidsAmount() (amountCollated, total float64) { for x := range b.Bids { amountCollated += b.Bids[x].Amount total += b.Bids[x].Amount * b.Bids[x].Price } return amountCollated, total } // TotalAsksAmount returns the total amount of asks and the total orderbook // asks value func (b *Base) TotalAsksAmount() (amountCollated, total float64) { for y := range b.Asks { amountCollated += b.Asks[y].Amount total += b.Asks[y].Amount * b.Asks[y].Price } return amountCollated, total } // Verify ensures that the orderbook items are correctly sorted prior to being // set and will reject any book with incorrect values. // Bids should always go from a high price to a low price and // Asks should always go from a low price to a higher price func (b *Base) Verify() error { if !b.VerifyOrderbook { return nil } // Checking for both ask and bid lengths being zero has been removed and // a warning has been put in place some exchanges e.g. LakeBTC return zero // level books. In the event that there is a massive liquidity change where // a book dries up, this will still update so we do not traverse potential // incorrect old data. if len(b.Asks) == 0 || len(b.Bids) == 0 { log.Warnf(log.OrderBook, bookLengthIssue, b.Exchange, b.Pair, b.Asset, len(b.Bids), len(b.Asks)) } err := checkAlignment(b.Bids, b.IsFundingRate, b.PriceDuplication, b.IDAlignment, dsc) if err != nil { return fmt.Errorf(bidLoadBookFailure, b.Exchange, b.Pair, b.Asset, err) } err = checkAlignment(b.Asks, b.IsFundingRate, b.PriceDuplication, b.IDAlignment, asc) if err != nil { return fmt.Errorf(askLoadBookFailure, b.Exchange, b.Pair, b.Asset, err) } return nil } // checker defines specific functionality to determine ascending/descending // validation type checker func(current Item, previous Item) error // asc specifically defines ascending price check var asc = func(current Item, previous Item) error { if current.Price < previous.Price { return errPriceOutOfOrder } return nil } // dsc specifically defines descending price check var dsc = func(current Item, previous Item) error { if current.Price > previous.Price { return errPriceOutOfOrder } return nil } // checkAlignment validates full orderbook func checkAlignment(depth Items, fundingRate, priceDuplication, isIDAligned bool, c checker) error { for i := range depth { if depth[i].Price == 0 { return errPriceNotSet } if depth[i].Amount <= 0 { return errAmountInvalid } if fundingRate && depth[i].Period == 0 { return errPeriodUnset } if i != 0 { prev := i - 1 if err := c(depth[i], depth[prev]); err != nil { return err } if isIDAligned && depth[i].ID < depth[prev].ID { return errIDOutOfOrder } if !priceDuplication && depth[i].Price == depth[prev].Price { return errDuplication } if depth[i].ID != 0 && depth[i].ID == depth[prev].ID { return errIDDuplication } } } return nil } // Process processes incoming orderbooks, creating or updating the orderbook // list func (b *Base) Process() error { if b.Exchange == "" { return errExchangeNameUnset } if b.Pair.IsEmpty() { return errPairNotSet } if b.Asset.String() == "" { return errAssetTypeNotSet } if b.LastUpdated.IsZero() { b.LastUpdated = time.Now() } err := b.Verify() if err != nil { return err } return service.Update(b) } // Reverse reverses the order of orderbook items; some bid/asks are // returned in either ascending or descending order. One bid or ask slice // depending on whats received can be reversed. This is usually faster than // using a sort algorithm as the algorithm could be impeded by a worst case time // complexity when elements are shifted as opposed to just swapping element // values. func (elem *Items) Reverse() { eLen := len(*elem) var target int for i := eLen/2 - 1; i >= 0; i-- { target = eLen - 1 - i (*elem)[i], (*elem)[target] = (*elem)[target], (*elem)[i] } } // SortAsks sorts ask items to the correct ascending order if pricing values are // scattered. If order from exchange is descending consider using the Reverse // function. func (elem *Items) SortAsks() { sort.Sort(byOBPrice(*elem)) } // SortBids sorts bid items to the correct descending order if pricing values // are scattered. If order from exchange is ascending consider using the Reverse // function. func (elem *Items) SortBids() { sort.Sort(sort.Reverse(byOBPrice(*elem))) }