package binance import ( "context" "encoding/json" "errors" "fmt" "net/http" "strconv" "strings" "time" "github.com/gorilla/websocket" "github.com/thrasher-corp/gocryptotrader/currency" "github.com/thrasher-corp/gocryptotrader/exchanges/asset" "github.com/thrasher-corp/gocryptotrader/exchanges/order" "github.com/thrasher-corp/gocryptotrader/exchanges/orderbook" "github.com/thrasher-corp/gocryptotrader/exchanges/stream" "github.com/thrasher-corp/gocryptotrader/exchanges/ticker" "github.com/thrasher-corp/gocryptotrader/exchanges/trade" "github.com/thrasher-corp/gocryptotrader/log" ) const ( binanceDefaultWebsocketURL = "wss://stream.binance.com:9443/stream" pingDelay = time.Minute * 9 ) var listenKey string 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 ) // WsConnect initiates a websocket connection func (b *Binance) WsConnect() error { if !b.Websocket.IsEnabled() || !b.IsEnabled() { return errors.New(stream.WebsocketNotEnabled) } var dialer websocket.Dialer dialer.HandshakeTimeout = b.Config.HTTPTimeout dialer.Proxy = http.ProxyFromEnvironment var err error if b.Websocket.CanUseAuthenticatedEndpoints() { listenKey, err = b.GetWsAuthStreamKey(context.TODO()) if err != nil { b.Websocket.SetCanUseAuthenticatedEndpoints(false) log.Errorf(log.ExchangeSys, "%v unable to connect to authenticated Websocket. Error: %s", b.Name, err) } else { // cleans on failed connection clean := strings.Split(b.Websocket.GetWebsocketURL(), "?streams=") authPayload := clean[0] + "?streams=" + listenKey err = b.Websocket.SetWebsocketURL(authPayload, false, false) if err != nil { return err } } } err = b.Websocket.Conn.Dial(&dialer, http.Header{}) if err != nil { return fmt.Errorf("%v - Unable to connect to Websocket. Error: %s", b.Name, err) } if b.Websocket.CanUseAuthenticatedEndpoints() { go b.KeepAuthKeyAlive() } b.Websocket.Conn.SetupPingHandler(stream.PingHandler{ UseGorillaHandler: true, MessageType: websocket.PongMessage, Delay: pingDelay, }) b.Websocket.Wg.Add(1) go b.wsReadData() b.setupOrderbookManager() return nil } func (b *Binance) 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 update.lastUpdateID = 0 } } } } for i := 0; i < maxWSOrderbookWorkers; i++ { // 10 workers for synchronising book b.SynchroniseWebsocketOrderbook() } } // KeepAuthKeyAlive will continuously send messages to // keep the WS auth key active func (b *Binance) KeepAuthKeyAlive() { b.Websocket.Wg.Add(1) defer b.Websocket.Wg.Done() ticks := time.NewTicker(time.Minute * 30) for { select { case <-b.Websocket.ShutdownC: ticks.Stop() return case <-ticks.C: err := b.MaintainWsAuthStreamKey(context.TODO()) if err != nil { b.Websocket.DataHandler <- err log.Warnf(log.ExchangeSys, b.Name+" - Unable to renew auth websocket token, may experience shutdown") } } } } // wsReadData receives and passes on websocket messages for processing func (b *Binance) wsReadData() { defer b.Websocket.Wg.Done() for { resp := b.Websocket.Conn.ReadMessage() if resp.Raw == nil { return } err := b.wsHandleData(resp.Raw) if err != nil { b.Websocket.DataHandler <- err } } } func (b *Binance) wsHandleData(respRaw []byte) error { var multiStreamData map[string]interface{} err := json.Unmarshal(respRaw, &multiStreamData) if err != nil { return err } if r, ok := multiStreamData["result"]; ok { if r == nil { return nil } } if method, ok := multiStreamData["method"].(string); ok { // TODO handle subscription handling if strings.EqualFold(method, "subscribe") { return nil } if strings.EqualFold(method, "unsubscribe") { return nil } } if newdata, ok := multiStreamData["data"].(map[string]interface{}); ok { if e, ok := newdata["e"].(string); ok { switch e { case "outboundAccountInfo": var data wsAccountInfo err := json.Unmarshal(respRaw, &data) if err != nil { return fmt.Errorf("%v - Could not convert to outboundAccountInfo structure %s", b.Name, err) } b.Websocket.DataHandler <- data return nil case "outboundAccountPosition": var data wsAccountPosition err := json.Unmarshal(respRaw, &data) if err != nil { return fmt.Errorf("%v - Could not convert to outboundAccountPosition structure %s", b.Name, err) } b.Websocket.DataHandler <- data return nil case "balanceUpdate": var data wsBalanceUpdate err := json.Unmarshal(respRaw, &data) if err != nil { return fmt.Errorf("%v - Could not convert to balanceUpdate structure %s", b.Name, err) } b.Websocket.DataHandler <- data return nil case "executionReport": var data wsOrderUpdate err := json.Unmarshal(respRaw, &data) if err != nil { return fmt.Errorf("%v - Could not convert to executionReport structure %s", b.Name, err) } averagePrice := 0.0 if data.Data.CumulativeFilledQuantity != 0 { averagePrice = data.Data.CumulativeQuoteTransactedQuantity / data.Data.CumulativeFilledQuantity } remainingAmount := data.Data.Quantity - data.Data.CumulativeFilledQuantity pair, assetType, err := b.GetRequestFormattedPairAndAssetType(data.Data.Symbol) if err != nil { return err } var feeAsset currency.Code if data.Data.CommissionAsset != "" { feeAsset = currency.NewCode(data.Data.CommissionAsset) } orderID := strconv.FormatInt(data.Data.OrderID, 10) orderStatus, err := stringToOrderStatus(data.Data.OrderStatus) if err != nil { b.Websocket.DataHandler <- order.ClassificationError{ Exchange: b.Name, OrderID: orderID, Err: err, } } clientOrderID := data.Data.ClientOrderID if orderStatus == order.Cancelled { clientOrderID = data.Data.CancelledClientOrderID } orderType, err := order.StringToOrderType(data.Data.OrderType) if err != nil { b.Websocket.DataHandler <- order.ClassificationError{ Exchange: b.Name, OrderID: orderID, Err: err, } } orderSide, err := order.StringToOrderSide(data.Data.Side) if err != nil { b.Websocket.DataHandler <- order.ClassificationError{ Exchange: b.Name, OrderID: orderID, Err: err, } } b.Websocket.DataHandler <- &order.Detail{ Price: data.Data.Price, Amount: data.Data.Quantity, AverageExecutedPrice: averagePrice, ExecutedAmount: data.Data.CumulativeFilledQuantity, RemainingAmount: remainingAmount, Cost: data.Data.CumulativeQuoteTransactedQuantity, CostAsset: pair.Quote, Fee: data.Data.Commission, FeeAsset: feeAsset, Exchange: b.Name, OrderID: orderID, ClientOrderID: clientOrderID, Type: orderType, Side: orderSide, Status: orderStatus, AssetType: assetType, Date: data.Data.OrderCreationTime, LastUpdated: data.Data.TransactionTime, Pair: pair, } return nil case "listStatus": var data wsListStatus err := json.Unmarshal(respRaw, &data) if err != nil { return fmt.Errorf("%v - Could not convert to listStatus structure %s", b.Name, err) } b.Websocket.DataHandler <- data return nil } } } if wsStream, ok := multiStreamData["stream"].(string); ok { streamType := strings.Split(wsStream, "@") if len(streamType) > 1 { if data, ok := multiStreamData["data"]; ok { rawData, err := json.Marshal(data) if err != nil { return err } pairs, err := b.GetEnabledPairs(asset.Spot) if err != nil { return err } format, err := b.GetPairFormat(asset.Spot, true) if err != nil { return err } switch streamType[1] { case "trade": saveTradeData := b.IsSaveTradeDataEnabled() if !saveTradeData && !b.IsTradeFeedEnabled() { return nil } var t TradeStream err := json.Unmarshal(rawData, &t) if err != nil { return fmt.Errorf("%v - Could not unmarshal trade data: %s", b.Name, err) } price, err := strconv.ParseFloat(t.Price, 64) if err != nil { return fmt.Errorf("%v - price conversion error: %s", b.Name, err) } amount, err := strconv.ParseFloat(t.Quantity, 64) if err != nil { return fmt.Errorf("%v - amount conversion error: %s", b.Name, err) } pair, err := currency.NewPairFromFormattedPairs(t.Symbol, pairs, format) if err != nil { return err } return b.Websocket.Trade.Update(saveTradeData, trade.Data{ CurrencyPair: pair, Timestamp: t.TimeStamp, Price: price, Amount: amount, Exchange: b.Name, AssetType: asset.Spot, TID: strconv.FormatInt(t.TradeID, 10), }) case "ticker": var t TickerStream err := json.Unmarshal(rawData, &t) if err != nil { return fmt.Errorf("%v - Could not convert to a TickerStream structure %s", b.Name, err.Error()) } pair, err := currency.NewPairFromFormattedPairs(t.Symbol, pairs, format) if err != nil { return err } b.Websocket.DataHandler <- &ticker.Price{ ExchangeName: b.Name, Open: t.OpenPrice, Close: t.ClosePrice, Volume: t.TotalTradedVolume, QuoteVolume: t.TotalTradedQuoteVolume, High: t.HighPrice, Low: t.LowPrice, Bid: t.BestBidPrice, Ask: t.BestAskPrice, Last: t.LastPrice, LastUpdated: t.EventTime, AssetType: asset.Spot, Pair: pair, } return nil case "kline_1m", "kline_3m", "kline_5m", "kline_15m", "kline_30m", "kline_1h", "kline_2h", "kline_4h", "kline_6h", "kline_8h", "kline_12h", "kline_1d", "kline_3d", "kline_1w", "kline_1M": var kline KlineStream err := json.Unmarshal(rawData, &kline) if err != nil { return fmt.Errorf("%v - Could not convert to a KlineStream structure %s", b.Name, err) } pair, err := currency.NewPairFromFormattedPairs(kline.Symbol, pairs, format) if err != nil { return err } b.Websocket.DataHandler <- stream.KlineData{ Timestamp: kline.EventTime, Pair: pair, AssetType: asset.Spot, Exchange: b.Name, StartTime: kline.Kline.StartTime, CloseTime: kline.Kline.CloseTime, Interval: kline.Kline.Interval, OpenPrice: kline.Kline.OpenPrice, ClosePrice: kline.Kline.ClosePrice, HighPrice: kline.Kline.HighPrice, LowPrice: kline.Kline.LowPrice, Volume: kline.Kline.Volume, } return nil case "depth": var depth WebsocketDepthStream err := json.Unmarshal(rawData, &depth) if err != nil { return fmt.Errorf("%v - Could not convert to depthStream structure %s", b.Name, err) } init, err := b.UpdateLocalBuffer(&depth) if err != nil { if init { return nil } return fmt.Errorf("%v - UpdateLocalCache error: %s", b.Name, err) } return nil default: b.Websocket.DataHandler <- stream.UnhandledMessageWarning{ Message: b.Name + stream.UnhandledMessage + string(respRaw), } } } } } return fmt.Errorf("unhandled stream data %s", string(respRaw)) } func stringToOrderStatus(status string) (order.Status, error) { switch status { case "NEW": return order.New, nil case "PARTIALLY_FILLED": return order.PartiallyFilled, nil case "FILLED": return order.Filled, nil case "CANCELED": return order.Cancelled, nil case "PENDING_CANCEL": return order.PendingCancel, nil case "REJECTED": return order.Rejected, nil case "EXPIRED": return order.Expired, nil default: return order.UnknownStatus, errors.New(status + " not recognised as order status") } } // SeedLocalCache seeds depth data func (b *Binance) SeedLocalCache(ctx context.Context, p currency.Pair) error { ob, err := b.GetOrderBook(ctx, OrderBookDataRequestParams{ Symbol: p, Limit: 1000, }) if err != nil { return err } return b.SeedLocalCacheWithBook(p, ob) } // SeedLocalCacheWithBook seeds the local orderbook cache func (b *Binance) SeedLocalCacheWithBook(p currency.Pair, orderbookNew *OrderBook) error { newOrderBook := orderbook.Base{ Pair: p, Asset: asset.Spot, Exchange: b.Name, LastUpdateID: orderbookNew.LastUpdateID, VerifyOrderbook: b.CanVerifyOrderbook, Bids: make(orderbook.Items, len(orderbookNew.Bids)), Asks: make(orderbook.Items, len(orderbookNew.Asks)), LastUpdated: time.Now(), // Time not provided in REST book. } for i := range orderbookNew.Bids { newOrderBook.Bids[i] = orderbook.Item{ Amount: orderbookNew.Bids[i].Quantity, Price: orderbookNew.Bids[i].Price, } } for i := range orderbookNew.Asks { newOrderBook.Asks[i] = orderbook.Item{ Amount: orderbookNew.Asks[i].Quantity, Price: orderbookNew.Asks[i].Price, } } return b.Websocket.Orderbook.LoadSnapshot(&newOrderBook) } // UpdateLocalBuffer updates and returns the most recent iteration of the orderbook func (b *Binance) UpdateLocalBuffer(wsdp *WebsocketDepthStream) (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(wsdp.Pair, enabledPairs, format) if err != nil { return false, err } err = b.obm.stageWsUpdate(wsdp, 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 { b.flushAndCleanup(currencyPair) } return false, err } // GenerateSubscriptions generates the default subscription set func (b *Binance) GenerateSubscriptions() ([]stream.ChannelSubscription, error) { var channels = []string{"@ticker", "@trade", "@kline_1m", "@depth@100ms"} var subscriptions []stream.ChannelSubscription assets := b.GetAssetTypes(true) for x := range assets { if assets[x] == asset.Spot { pairs, err := b.GetEnabledPairs(assets[x]) if err != nil { return nil, err } for y := range pairs { for z := range channels { lp := pairs[y].Lower() lp.Delimiter = "" subscriptions = append(subscriptions, stream.ChannelSubscription{ Channel: lp.String() + channels[z], Currency: pairs[y], Asset: assets[x], }) } } } } return subscriptions, nil } // Subscribe subscribes to a set of channels func (b *Binance) Subscribe(channelsToSubscribe []stream.ChannelSubscription) error { payload := WsPayload{ Method: "SUBSCRIBE", } for i := range channelsToSubscribe { payload.Params = append(payload.Params, channelsToSubscribe[i].Channel) if i%50 == 0 && i != 0 { err := b.Websocket.Conn.SendJSONMessage(payload) if err != nil { return err } payload.Params = []string{} } } if len(payload.Params) > 0 { err := b.Websocket.Conn.SendJSONMessage(payload) if err != nil { return err } } b.Websocket.AddSuccessfulSubscriptions(channelsToSubscribe...) return nil } // Unsubscribe unsubscribes from a set of channels func (b *Binance) Unsubscribe(channelsToUnsubscribe []stream.ChannelSubscription) error { payload := WsPayload{ Method: "UNSUBSCRIBE", } for i := range channelsToUnsubscribe { payload.Params = append(payload.Params, channelsToUnsubscribe[i].Channel) if i%50 == 0 && i != 0 { err := b.Websocket.Conn.SendJSONMessage(payload) if err != nil { return err } payload.Params = []string{} } } if len(payload.Params) > 0 { err := b.Websocket.Conn.SendJSONMessage(payload) if err != nil { return err } } b.Websocket.RemoveSuccessfulUnsubscriptions(channelsToUnsubscribe...) return nil } // ProcessUpdate processes the websocket orderbook update func (b *Binance) ProcessUpdate(cp currency.Pair, a asset.Item, ws *WebsocketDepthStream) error { updateBid := make([]orderbook.Item, len(ws.UpdateBids)) for i := range ws.UpdateBids { price, ok := ws.UpdateBids[i][0].(string) if !ok { return errors.New("type assertion failed for bid price") } p, err := strconv.ParseFloat(price, 64) if err != nil { return err } amount, ok := ws.UpdateBids[i][1].(string) if !ok { return errors.New("type assertion failed for bid amount") } a, err := strconv.ParseFloat(amount, 64) if err != nil { return err } updateBid[i] = orderbook.Item{Price: p, Amount: a} } updateAsk := make([]orderbook.Item, len(ws.UpdateAsks)) for i := range ws.UpdateAsks { price, ok := ws.UpdateAsks[i][0].(string) if !ok { return errors.New("type assertion failed for ask price") } p, err := strconv.ParseFloat(price, 64) if err != nil { return err } amount, ok := ws.UpdateAsks[i][1].(string) if !ok { return errors.New("type assertion failed for ask amount") } a, err := strconv.ParseFloat(amount, 64) if err != nil { return err } updateAsk[i] = orderbook.Item{Price: p, Amount: a} } return b.Websocket.Orderbook.Update(&orderbook.Update{ Bids: updateBid, Asks: updateAsk, Pair: cp, UpdateID: ws.LastUpdateID, UpdateTime: ws.Timestamp, Asset: a, }) } // 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 *Binance) 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.ProcessUpdate, 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 } // 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 } // SynchroniseWebsocketOrderbook synchronises full orderbook for currency pair // asset func (b *Binance) 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 *Binance) processJob(p currency.Pair) error { err := b.SeedLocalCache(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. err = b.applyBufferUpdate(p) if err != nil { b.flushAndCleanup(p) return err } return nil } // flushAndCleanup flushes orderbook and clean local cache func (b *Binance) flushAndCleanup(p currency.Pair) { errClean := b.Websocket.Orderbook.FlushOrderbook(p, asset.Spot) if errClean != nil { log.Errorf(log.WebsocketMgr, "%s flushing websocket error: %v", b.Name, errClean) } errClean = b.obm.cleanup(p) if errClean != nil { log.Errorf(log.WebsocketMgr, "%s cleanup websocket error: %v", b.Name, errClean) } } // stageWsUpdate stages websocket update to roll through updates that need to // be applied to a fetched orderbook via REST. func (o *orderbookManager) stageWsUpdate(u *WebsocketDepthStream, 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 *WebsocketDepthStream, maxWSUpdateBuffer), fetchingBook: false, initialSync: true, needsFetchingBook: true, } m2[a] = state } if state.lastUpdateID != 0 && u.FirstUpdateID != state.lastUpdateID+1 { // While listening to the stream, each new event's U should be // equal to the previous event's u+1. return fmt.Errorf("websocket orderbook synchronisation failure for pair %s and asset %s", pair, a) } state.lastUpdateID = u.LastUpdateID 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) } } // 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 } // 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 } // completeInitialSync sets if an asset type has completed its initial sync func (o *orderbookManager) completeInitialSync(pair currency.Pair) error { o.Lock() defer o.Unlock() state, ok := o.state[pair.Base][pair.Quote][asset.Spot] if !ok { return fmt.Errorf("complete initial sync cannot match currency pair %s asset type %s", pair, asset.Spot) } if !state.initialSync { return fmt.Errorf("initial sync already set to false for %s %s", pair, asset.Spot) } state.initialSync = false return 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, asset.Item, *WebsocketDepthStream) 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, asset.Spot, d) if err != nil { return fmt.Errorf("%s %s processing update error: %w", pair, asset.Spot, err) } } default: break buffer } } return nil } // validate checks for correct update alignment func (u *update) validate(updt *WebsocketDepthStream, recent *orderbook.Base) (bool, error) { if updt.LastUpdateID <= 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.FirstUpdateID > id || updt.LastUpdateID < id { return false, fmt.Errorf("initial websocket orderbook sync failure for pair %s and asset %s", recent.Pair, asset.Spot) } u.initialSync = false } return true, nil } // cleanup cleans up buffer and reset fetch and init func (o *orderbookManager) cleanup(pair currency.Pair) error { o.Lock() state, ok := o.state[pair.Base][pair.Quote][asset.Spot] if !ok { o.Unlock() return fmt.Errorf("cleanup cannot match %s %s to hash table", pair, asset.Spot) } bufferEmpty: for { select { case <-state.buffer: // bleed and discard buffer default: break bufferEmpty } } o.Unlock() // disable rest orderbook synchronisation _ = o.stopFetchingBook(pair) _ = o.completeInitialSync(pair) _ = o.stopNeedsFetchingBook(pair) return nil } // stopNeedsFetchingBook completes the book fetching initiation. func (o *orderbookManager) stopNeedsFetchingBook(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.needsFetchingBook { return fmt.Errorf("needs fetching book already set to false for %s %s", pair, asset.Spot) } state.needsFetchingBook = false return nil }