package orderbook import ( "fmt" "sort" "time" "github.com/thrasher-corp/gocryptotrader/common" "github.com/thrasher-corp/gocryptotrader/common/key" "github.com/thrasher-corp/gocryptotrader/currency" "github.com/thrasher-corp/gocryptotrader/dispatch" "github.com/thrasher-corp/gocryptotrader/exchanges/asset" ) // Get checks and returns the orderbook given an exchange name and currency pair func Get(exchange string, p currency.Pair, a asset.Item) (*Book, error) { return s.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 s.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 s.DeployDepth(exchange, p, a) } // SubscribeToExchangeOrderbooks returns a pipe to an exchange feed func SubscribeToExchangeOrderbooks(exchange string) (dispatch.Pipe, error) { s.m.RLock() defer s.m.RUnlock() id, ok := s.exchangeRouters[exchange] if !ok { return dispatch.Pipe{}, fmt.Errorf("%w for %s exchange", ErrOrderbookNotFound, exchange) } return s.signalMux.Subscribe(id) } // Update stores orderbook data func (s *store) Update(b *Book) error { s.m.RLock() book, ok := s.orderbooks[key.ExchangeAssetPair{Exchange: b.Exchange, Base: b.Pair.Base.Item, Quote: b.Pair.Quote.Item, Asset: b.Asset}] s.m.RUnlock() if !ok { var err error book, err = s.track(b) if err != nil { return err } } b.RestSnapshot = true if err := book.Depth.LoadSnapshot(b); err != nil { return err } return s.signalMux.Publish(book.Depth, book.RouterID) } func (s *store) track(b *Book) (book, error) { s.m.Lock() defer s.m.Unlock() id, ok := s.exchangeRouters[b.Exchange] if !ok { exchangeID, err := s.signalMux.GetID() if err != nil { return book{}, err } id = exchangeID s.exchangeRouters[b.Exchange] = id } depth := NewDepth(id) depth.AssignOptions(b) ob := book{RouterID: id, Depth: depth} s.orderbooks[key.ExchangeAssetPair{Exchange: b.Exchange, Base: b.Pair.Base.Item, Quote: b.Pair.Quote.Item, Asset: b.Asset}] = ob return ob, nil } // DeployDepth used for subsystem deployment creates a depth item in the struct then returns a ptr to that Depth item func (s *store) DeployDepth(exchange string, p currency.Pair, a asset.Item) (*Depth, error) { if exchange == "" { return nil, common.ErrExchangeNameNotSet } if p.IsEmpty() { return nil, errPairNotSet } if !a.IsValid() { return nil, errAssetTypeNotSet } s.m.RLock() ob, ok := s.orderbooks[key.ExchangeAssetPair{Exchange: exchange, Base: p.Base.Item, Quote: p.Quote.Item, Asset: a}] s.m.RUnlock() var err error if !ok { ob, err = s.track(&Book{Exchange: exchange, Pair: p, Asset: a}) } return ob.Depth, err } // GetDepth returns the actual depth struct for potential subsystems and strategies to interact with func (s *store) GetDepth(exchange string, p currency.Pair, a asset.Item) (*Depth, error) { s.m.RLock() ob, ok := s.orderbooks[key.ExchangeAssetPair{Exchange: exchange, Base: p.Base.Item, Quote: p.Quote.Item, Asset: a}] s.m.RUnlock() if !ok { return nil, fmt.Errorf("%w for %q %q %q", ErrOrderbookNotFound, exchange, p, a) } return ob.Depth, nil } // Retrieve gets orderbook depth data from the stored Levels and returns the // base equivalent copy func (s *store) Retrieve(exchange string, p currency.Pair, a asset.Item) (*Book, error) { if p.IsEmpty() { return nil, currency.ErrCurrencyPairEmpty } if !a.IsValid() { return nil, fmt.Errorf("%w %q", asset.ErrNotSupported, a) } s.m.RLock() ob, ok := s.orderbooks[key.ExchangeAssetPair{Exchange: exchange, Base: p.Base.Item, Quote: p.Quote.Item, Asset: a}] s.m.RUnlock() if !ok { return nil, fmt.Errorf("%w for %q %q %q", ErrOrderbookNotFound, exchange, p, a) } return ob.Depth.Retrieve() } // GetDepth returns the concrete book allowing the caller to stream orderbook changes func (b *Book) GetDepth() (*Depth, error) { return s.GetDepth(b.Exchange, b.Pair, b.Asset) } // TotalBidsAmount returns the total amount of bids and the total orderbook // bids value func (b *Book) 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 *Book) 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 } // Process processes incoming orderbooks, creating or updating the orderbook // list func (b *Book) Process() error { if b.Exchange == "" { return common.ErrExchangeNameNotSet } if b.Pair.IsEmpty() { return errPairNotSet } if b.Asset.String() == "" { return errAssetTypeNotSet } if b.LastUpdated.IsZero() { // TODO: Enforce setting this on all exchanges b.LastUpdated = time.Now() } if err := b.Validate(); err != nil { return err } return s.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 what's 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 (l *Levels) Reverse() { eLen := len(*l) var target int for i := eLen/2 - 1; i >= 0; i-- { target = eLen - 1 - i (*l)[i], (*l)[target] = (*l)[target], (*l)[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 (l Levels) SortAsks() { sort.Slice(l, func(i, j int) bool { return l[i].Price < l[j].Price }) } // 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 (l Levels) SortBids() { sort.Slice(l, func(i, j int) bool { return l[i].Price > l[j].Price }) }