Files
gocryptotrader/exchanges/orderbook/linked_list_test.go
Ryan O'Hara-Reid a2381310da GCT: general updates across codebase (#699)
* orderbook: export orderbook nodes for external strategy inspection

* orderbook: Add in methods for locking and unlocking multiple books at the same time e.g. book1.LockWith(book2); defer book1.UnlockWith(book2)

* include waiting functionality for depth change alert

* backtester: add word.

* log: include logger changes to impl with downstream integration

* engine: reduce params for loading exchange

* assort: rm verbose in tests, change wording in ob, expose sync.waitgroup for ext. sync options

* ticker: reduce map look ups and contention when using RW mutex when there are over 80% writes adds find last function to get the latest rate

* engine/syncmanager: add in waitgroup for step over for external package calls

* cleaup

* engine: linter fix

* currency/fx: include all references to fiat currencies to default

* orderbook: Add in fields to Unsafe type for strategies to detect potential out of sync book operations

* syncmanager: changed config variable to display correct time

* ordermanager: Add time when none provided

* currency/manager: update getasset param to get enabled assets for minor optimizations

* ftx: use get all wallet balances for a better accounts breakdown

* orderbook: unlock in reverse order

* bithumb: fixes bug on market buy and sell orders

* bithumb: fix bug for nonce is also time window sensitive

* bithumb: get orders add required parameter

* bithumb: Add asset type to account struct

* currency: improve log output when checking currency and it fails

* bithumb: Add error return on incomplete pair

* ticker:unexport all service related methods

* ticker/currency: fixes

* orderbook: fix comment

* engine: revert variable name in LoadExchange method

* sync_manager: fix panic when enabling disabling manager

* engine: fix naming convention of exported function and comments

* engine: update comment

* orderbook: fix comment for unsafe type
2021-07-29 14:42:28 +10:00

1450 lines
30 KiB
Go

package orderbook
import (
"errors"
"fmt"
"testing"
"time"
)
var ask = Items{
Item{Price: 1337, Amount: 1},
Item{Price: 1338, Amount: 1},
Item{Price: 1339, Amount: 1},
Item{Price: 1340, Amount: 1},
Item{Price: 1341, Amount: 1},
Item{Price: 1342, Amount: 1},
Item{Price: 1343, Amount: 1},
Item{Price: 1344, Amount: 1},
Item{Price: 1345, Amount: 1},
Item{Price: 1346, Amount: 1},
Item{Price: 1347, Amount: 1},
Item{Price: 1348, Amount: 1},
Item{Price: 1349, Amount: 1},
Item{Price: 1350, Amount: 1},
Item{Price: 1351, Amount: 1},
Item{Price: 1352, Amount: 1},
Item{Price: 1353, Amount: 1},
Item{Price: 1354, Amount: 1},
Item{Price: 1355, Amount: 1},
Item{Price: 1356, Amount: 1},
}
// Display displays depth content for tests
func (ll *linkedList) display() {
for tip := ll.head; tip != nil; tip = tip.Next {
fmt.Printf("NODE: %+v %p \n", tip, tip)
}
fmt.Println()
}
func TestLoad(t *testing.T) {
list := asks{}
Check(list, 0, 0, 0, t)
stack := newStack()
list.load(Items{
{Price: 1, Amount: 1},
{Price: 3, Amount: 1},
{Price: 5, Amount: 1},
{Price: 7, Amount: 1},
{Price: 9, Amount: 1},
{Price: 11, Amount: 1},
}, stack)
if stack.getCount() != 0 {
t.Fatalf("incorrect stack count expected: %v received: %v", 0, stack.getCount())
}
Check(list, 6, 36, 6, t)
list.load(Items{
{Price: 1, Amount: 1},
{Price: 3, Amount: 1},
{Price: 5, Amount: 1},
}, stack)
if stack.getCount() != 3 {
t.Fatalf("incorrect stack count expected: %v received: %v", 3, stack.getCount())
}
Check(list, 3, 9, 3, t)
list.load(Items{
{Price: 1, Amount: 1},
{Price: 3, Amount: 1},
{Price: 5, Amount: 1},
{Price: 7, Amount: 1},
}, stack)
if stack.getCount() != 2 {
t.Fatalf("incorrect stack count expected: %v received: %v", 2, stack.getCount())
}
Check(list, 4, 16, 4, t)
// purge entire list
list.load(nil, stack)
if stack.getCount() != 6 {
t.Fatalf("incorrect stack count expected: %v received: %v", 6, stack.getCount())
}
Check(list, 0, 0, 0, t)
}
// 22222386 57.3 ns/op 0 B/op 0 allocs/op (old)
// 27906781 42.4 ns/op 0 B/op 0 allocs/op (new)
func BenchmarkLoad(b *testing.B) {
ll := linkedList{}
s := newStack()
for i := 0; i < b.N; i++ {
ll.load(ask, s)
}
}
func TestUpdateInsertByPrice(t *testing.T) {
a := asks{}
stack := newStack()
asksSnapshot := Items{
{Price: 1, Amount: 1},
{Price: 3, Amount: 1},
{Price: 5, Amount: 1},
{Price: 7, Amount: 1},
{Price: 9, Amount: 1},
{Price: 11, Amount: 1},
}
a.load(asksSnapshot, stack)
// Update one instance with matching price
a.updateInsertByPrice(Items{
{Price: 1, Amount: 2},
}, stack, 0, getNow())
Check(a, 7, 37, 6, t)
if stack.getCount() != 0 {
t.Fatalf("incorrect stack count expected: %v received: %v", 0, stack.getCount())
}
// Insert at head
a.updateInsertByPrice(Items{
{Price: 0.5, Amount: 2},
}, stack, 0, getNow())
Check(a, 9, 38, 7, t)
if stack.getCount() != 0 {
t.Fatalf("incorrect stack count expected: %v received: %v", 0, stack.getCount())
}
// Insert at tail
a.updateInsertByPrice(Items{
{Price: 12, Amount: 2},
}, stack, 0, getNow())
Check(a, 11, 62, 8, t)
if stack.getCount() != 0 {
t.Fatalf("incorrect stack count expected: %v received: %v", 0, stack.getCount())
}
// Insert between price and up to and beyond max allowable depth level
a.updateInsertByPrice(Items{
{Price: 11.5, Amount: 2},
{Price: 10.5, Amount: 2},
{Price: 13, Amount: 2},
}, stack, 10, getNow())
Check(a, 15, 106, 10, t)
if stack.getCount() != 1 {
t.Fatalf("incorrect stack count expected: %v received: %v", 1, stack.getCount())
}
// delete at tail
a.updateInsertByPrice(Items{
{Price: 12, Amount: 0},
}, stack, 0, getNow())
Check(a, 13, 82, 9, t)
if stack.getCount() != 2 {
t.Fatalf("incorrect stack count expected: %v received: %v", 2, stack.getCount())
}
// delete at mid
a.updateInsertByPrice(Items{
{Price: 7, Amount: 0},
}, stack, 0, getNow())
Check(a, 12, 75, 8, t)
if stack.getCount() != 3 {
t.Fatalf("incorrect stack count expected: %v received: %v", 3, stack.getCount())
}
// delete at head
a.updateInsertByPrice(Items{
{Price: 0.5, Amount: 0},
}, stack, 0, getNow())
Check(a, 10, 74, 7, t)
if stack.getCount() != 4 {
t.Fatalf("incorrect stack count expected: %v received: %v", 4, stack.getCount())
}
// purge if liquidity plunges to zero
a.load(nil, stack)
// rebuild everything again
a.updateInsertByPrice(Items{
{Price: 1, Amount: 1},
{Price: 3, Amount: 1},
{Price: 5, Amount: 1},
{Price: 7, Amount: 1},
{Price: 9, Amount: 1},
{Price: 11, Amount: 1},
}, stack, 0, getNow())
Check(a, 6, 36, 6, t)
if stack.getCount() != 5 {
t.Fatalf("incorrect stack count expected: %v received: %v", 4, stack.getCount())
}
b := bids{}
bidsSnapshot := Items{
{Price: 11, Amount: 1},
{Price: 9, Amount: 1},
{Price: 7, Amount: 1},
{Price: 5, Amount: 1},
{Price: 3, Amount: 1},
{Price: 1, Amount: 1},
}
b.load(bidsSnapshot, stack)
// Update one instance with matching price
b.updateInsertByPrice(Items{
{Price: 11, Amount: 2},
}, stack, 0, getNow())
Check(b, 7, 47, 6, t)
if stack.getCount() != 0 {
t.Fatalf("incorrect stack count expected: %v received: %v", 0, stack.getCount())
}
// Insert at head
b.updateInsertByPrice(Items{
{Price: 12, Amount: 2},
}, stack, 0, getNow())
Check(b, 9, 71, 7, t)
if stack.getCount() != 0 {
t.Fatalf("incorrect stack count expected: %v received: %v", 0, stack.getCount())
}
// Insert at tail
b.updateInsertByPrice(Items{
{Price: 0.5, Amount: 2},
}, stack, 0, getNow())
Check(b, 11, 72, 8, t)
if stack.getCount() != 0 {
t.Fatalf("incorrect stack count expected: %v received: %v", 0, stack.getCount())
}
// Insert between price and up to and beyond max allowable depth level
b.updateInsertByPrice(Items{
{Price: 11.5, Amount: 2},
{Price: 10.5, Amount: 2},
{Price: 13, Amount: 2},
}, stack, 10, getNow())
Check(b, 15, 141, 10, t)
if stack.getCount() != 1 {
t.Fatalf("incorrect stack count expected: %v received: %v", 0, stack.getCount())
}
// Insert between price and up to and beyond max allowable depth level
b.updateInsertByPrice(Items{
{Price: 1, Amount: 0},
}, stack, 0, getNow())
Check(b, 14, 140, 9, t)
if stack.getCount() != 2 {
t.Fatalf("incorrect stack count expected: %v received: %v", 2, stack.getCount())
}
// delete at mid
b.updateInsertByPrice(Items{
{Price: 10.5, Amount: 0},
}, stack, 0, getNow())
Check(b, 12, 119, 8, t)
if stack.getCount() != 3 {
t.Fatalf("incorrect stack count expected: %v received: %v", 3, stack.getCount())
}
// delete at head
b.updateInsertByPrice(Items{
{Price: 13, Amount: 0},
}, stack, 0, getNow())
Check(b, 10, 93, 7, t)
if stack.getCount() != 4 {
t.Fatalf("incorrect stack count expected: %v received: %v", 4, stack.getCount())
}
// purge if liquidity plunges to zero
b.load(nil, stack)
// rebuild everything again
b.updateInsertByPrice(Items{
{Price: 1, Amount: 1},
{Price: 3, Amount: 1},
{Price: 5, Amount: 1},
{Price: 7, Amount: 1},
{Price: 9, Amount: 1},
{Price: 11, Amount: 1},
}, stack, 0, getNow())
Check(b, 6, 36, 6, t)
if stack.getCount() != 5 {
t.Fatalf("incorrect stack count expected: %v received: %v", 4, stack.getCount())
}
}
func TestCleanup(t *testing.T) {
a := asks{}
stack := newStack()
asksSnapshot := Items{
{Price: 1, Amount: 1},
{Price: 3, Amount: 1},
{Price: 5, Amount: 1},
{Price: 7, Amount: 1},
{Price: 9, Amount: 1},
{Price: 11, Amount: 1},
}
a.load(asksSnapshot, stack)
a.cleanup(6, stack)
Check(a, 6, 36, 6, t)
a.cleanup(5, stack)
Check(a, 5, 25, 5, t)
a.cleanup(1, stack)
Check(a, 1, 1, 1, t)
a.cleanup(10, stack)
Check(a, 1, 1, 1, t)
a.cleanup(0, stack) // will purge, underlying checks are done elseware to prevent this
Check(a, 0, 0, 0, t)
}
// 46154023 24.0 ns/op 0 B/op 0 allocs/op (old)
// 134830672 9.83 ns/op 0 B/op 0 allocs/op (new)
func BenchmarkUpdateInsertByPrice_Amend(b *testing.B) {
a := asks{}
stack := newStack()
a.load(ask, stack)
updates := Items{
{
Price: 1337, // Amend
Amount: 2,
},
{
Price: 1337, // Amend
Amount: 1,
},
}
for i := 0; i < b.N; i++ {
a.updateInsertByPrice(updates, stack, 0, getNow())
}
}
// 49763002 24.9 ns/op 0 B/op 0 allocs/op
func BenchmarkUpdateInsertByPrice_Insert_Delete(b *testing.B) {
a := asks{}
stack := newStack()
a.load(ask, stack)
updates := Items{
{
Price: 1337.5, // Insert
Amount: 2,
},
{
Price: 1337.5, // Delete
Amount: 0,
},
}
for i := 0; i < b.N; i++ {
a.updateInsertByPrice(updates, stack, 0, getNow())
}
}
func TestUpdateByID(t *testing.T) {
a := asks{}
s := newStack()
asksSnapshot := Items{
{Price: 1, Amount: 1, ID: 1},
{Price: 3, Amount: 1, ID: 3},
{Price: 5, Amount: 1, ID: 5},
{Price: 7, Amount: 1, ID: 7},
{Price: 9, Amount: 1, ID: 9},
{Price: 11, Amount: 1, ID: 11},
}
a.load(asksSnapshot, s)
err := a.updateByID(Items{
{Price: 1, Amount: 1, ID: 1},
{Price: 3, Amount: 1, ID: 3},
{Price: 5, Amount: 1, ID: 5},
{Price: 7, Amount: 1, ID: 7},
{Price: 9, Amount: 1, ID: 9},
{Price: 11, Amount: 1, ID: 11},
})
if err != nil {
t.Fatal(err)
}
Check(a, 6, 36, 6, t)
err = a.updateByID(Items{
{Price: 11, Amount: 1, ID: 1337},
})
if !errors.Is(err, errIDCannotBeMatched) {
t.Fatalf("expecting %s but received %v", errIDCannotBeMatched, err)
}
err = a.updateByID(Items{ // Simulate Bitmex updating
{Price: 0, Amount: 1337, ID: 3},
})
if !errors.Is(err, nil) {
t.Fatalf("expecting %v but received %v", nil, err)
}
if a.retrieve()[1].Price == 0 {
t.Fatal("price should not be replaced with zero")
}
if a.retrieve()[1].Amount != 1337 {
t.Fatal("unexpected value for update")
}
}
// 46043871 25.9 ns/op 0 B/op 0 allocs/op
func BenchmarkUpdateByID(b *testing.B) {
asks := linkedList{}
s := newStack()
asksSnapshot := Items{
{Price: 1, Amount: 1, ID: 1},
{Price: 3, Amount: 1, ID: 3},
{Price: 5, Amount: 1, ID: 5},
{Price: 7, Amount: 1, ID: 7},
{Price: 9, Amount: 1, ID: 9},
{Price: 11, Amount: 1, ID: 11},
}
asks.load(asksSnapshot, s)
for i := 0; i < b.N; i++ {
err := asks.updateByID(Items{
{Price: 1, Amount: 1, ID: 1},
{Price: 3, Amount: 1, ID: 3},
{Price: 5, Amount: 1, ID: 5},
{Price: 7, Amount: 1, ID: 7},
{Price: 9, Amount: 1, ID: 9},
{Price: 11, Amount: 1, ID: 11},
})
if err != nil {
b.Fatal(err)
}
}
}
func TestDeleteByID(t *testing.T) {
a := asks{}
s := newStack()
asksSnapshot := Items{
{Price: 1, Amount: 1, ID: 1},
{Price: 3, Amount: 1, ID: 3},
{Price: 5, Amount: 1, ID: 5},
{Price: 7, Amount: 1, ID: 7},
{Price: 9, Amount: 1, ID: 9},
{Price: 11, Amount: 1, ID: 11},
}
a.load(asksSnapshot, s)
// Delete at head
err := a.deleteByID(Items{
{Price: 1, Amount: 1, ID: 1},
}, s, false)
if err != nil {
t.Fatal(err)
}
Check(a, 5, 35, 5, t)
// Delete at tail
err = a.deleteByID(Items{
{Price: 1, Amount: 1, ID: 11},
}, s, false)
if err != nil {
t.Fatal(err)
}
Check(a, 4, 24, 4, t)
// Delete in middle
err = a.deleteByID(Items{
{Price: 1, Amount: 1, ID: 5},
}, s, false)
if err != nil {
t.Fatal(err)
}
Check(a, 3, 19, 3, t)
// Intentional error
err = a.deleteByID(Items{
{Price: 11, Amount: 1, ID: 1337},
}, s, false)
if !errors.Is(err, errIDCannotBeMatched) {
t.Fatalf("expecting %s but received %v", errIDCannotBeMatched, err)
}
// Error bypass
err = a.deleteByID(Items{
{Price: 11, Amount: 1, ID: 1337},
}, s, true)
if err != nil {
t.Fatal(err)
}
}
func TestUpdateInsertByIDAsk(t *testing.T) {
a := asks{}
s := newStack()
asksSnapshot := Items{
{Price: 1, Amount: 1, ID: 1},
{Price: 3, Amount: 1, ID: 3},
{Price: 5, Amount: 1, ID: 5},
{Price: 7, Amount: 1, ID: 7},
{Price: 9, Amount: 1, ID: 9},
{Price: 11, Amount: 1, ID: 11},
}
a.load(asksSnapshot, s)
// Update one instance with matching ID
err := a.updateInsertByID(Items{
{Price: 1, Amount: 2, ID: 1},
}, s)
if err != nil {
t.Fatal(err)
}
Check(a, 7, 37, 6, t)
// Reset
a.load(asksSnapshot, s)
// Update all instances with matching ID in order
err = a.updateInsertByID(Items{
{Price: 1, Amount: 2, ID: 1},
{Price: 3, Amount: 2, ID: 3},
{Price: 5, Amount: 2, ID: 5},
{Price: 7, Amount: 2, ID: 7},
{Price: 9, Amount: 2, ID: 9},
{Price: 11, Amount: 2, ID: 11},
}, s)
if err != nil {
t.Fatal(err)
}
Check(a, 12, 72, 6, t)
// Update all instances with matching ID in backwards
err = a.updateInsertByID(Items{
{Price: 11, Amount: 2, ID: 11},
{Price: 9, Amount: 2, ID: 9},
{Price: 7, Amount: 2, ID: 7},
{Price: 5, Amount: 2, ID: 5},
{Price: 3, Amount: 2, ID: 3},
{Price: 1, Amount: 2, ID: 1},
}, s)
if err != nil {
t.Fatal(err)
}
Check(a, 12, 72, 6, t)
// Update all instances with matching ID all over the ship
err = a.updateInsertByID(Items{
{Price: 11, Amount: 2, ID: 11},
{Price: 3, Amount: 2, ID: 3},
{Price: 7, Amount: 2, ID: 7},
{Price: 9, Amount: 2, ID: 9},
{Price: 1, Amount: 2, ID: 1},
{Price: 5, Amount: 2, ID: 5},
}, s)
if err != nil {
t.Fatal(err)
}
Check(a, 12, 72, 6, t)
// Update all instances move one before ID in middle
err = a.updateInsertByID(Items{
{Price: 1, Amount: 2, ID: 1},
{Price: 3, Amount: 2, ID: 3},
{Price: 2, Amount: 2, ID: 5},
{Price: 7, Amount: 2, ID: 7},
{Price: 9, Amount: 2, ID: 9},
{Price: 11, Amount: 2, ID: 11},
}, s)
if err != nil {
t.Fatal(err)
}
Check(a, 12, 66, 6, t)
// Update all instances move one before ID at head
err = a.updateInsertByID(Items{
{Price: 1, Amount: 2, ID: 1},
{Price: 3, Amount: 2, ID: 3},
{Price: .5, Amount: 2, ID: 5},
{Price: 7, Amount: 2, ID: 7},
{Price: 9, Amount: 2, ID: 9},
{Price: 11, Amount: 2, ID: 11},
}, s)
if err != nil {
t.Fatal(err)
}
Check(a, 12, 63, 6, t)
// Reset
a.load(asksSnapshot, s)
// Update all instances move one after ID
err = a.updateInsertByID(Items{
{Price: 1, Amount: 2, ID: 1},
{Price: 3, Amount: 2, ID: 3},
{Price: 8, Amount: 2, ID: 5},
{Price: 7, Amount: 2, ID: 7},
{Price: 9, Amount: 2, ID: 9},
{Price: 11, Amount: 2, ID: 11},
}, s)
if err != nil {
t.Fatal(err)
}
Check(a, 12, 78, 6, t)
// Reset
a.load(asksSnapshot, s)
// Update all instances move one after ID to tail
err = a.updateInsertByID(Items{
{Price: 1, Amount: 2, ID: 1},
{Price: 3, Amount: 2, ID: 3},
{Price: 12, Amount: 2, ID: 5},
{Price: 7, Amount: 2, ID: 7},
{Price: 9, Amount: 2, ID: 9},
{Price: 11, Amount: 2, ID: 11},
}, s)
if err != nil {
t.Fatal(err)
}
Check(a, 12, 86, 6, t)
// Update all instances then pop new instance
err = a.updateInsertByID(Items{
{Price: 1, Amount: 2, ID: 1},
{Price: 3, Amount: 2, ID: 3},
{Price: 12, Amount: 2, ID: 5},
{Price: 7, Amount: 2, ID: 7},
{Price: 9, Amount: 2, ID: 9},
{Price: 11, Amount: 2, ID: 11},
{Price: 10, Amount: 2, ID: 10},
}, s)
if err != nil {
t.Fatal(err)
}
Check(a, 14, 106, 7, t)
// Reset
a.load(asksSnapshot, s)
// Update all instances pop at head
err = a.updateInsertByID(Items{
{Price: 0.5, Amount: 2, ID: 0},
{Price: 1, Amount: 2, ID: 1},
{Price: 3, Amount: 2, ID: 3},
{Price: 12, Amount: 2, ID: 5},
{Price: 7, Amount: 2, ID: 7},
{Price: 9, Amount: 2, ID: 9},
{Price: 11, Amount: 2, ID: 11},
}, s)
if err != nil {
t.Fatal(err)
}
Check(a, 14, 87, 7, t)
// bookmark head and move to mid
err = a.updateInsertByID(Items{
{Price: 7.5, Amount: 2, ID: 0},
}, s)
if err != nil {
t.Fatal(err)
}
Check(a, 14, 101, 7, t)
// bookmark head and move to tail
err = a.updateInsertByID(Items{
{Price: 12.5, Amount: 2, ID: 1},
}, s)
if err != nil {
t.Fatal(err)
}
Check(a, 14, 124, 7, t)
// move tail location to head
err = a.updateInsertByID(Items{
{Price: 2.5, Amount: 2, ID: 1},
}, s)
if err != nil {
t.Fatal(err)
}
Check(a, 14, 104, 7, t)
// move tail location to mid
err = a.updateInsertByID(Items{
{Price: 8, Amount: 2, ID: 5},
}, s)
if err != nil {
t.Fatal(err)
}
Check(a, 14, 96, 7, t)
// insert at tail dont match
err = a.updateInsertByID(Items{
{Price: 30, Amount: 2, ID: 1234},
}, s)
if err != nil {
t.Fatal(err)
}
Check(a, 16, 156, 8, t)
// insert between last and 2nd last
err = a.updateInsertByID(Items{
{Price: 12, Amount: 2, ID: 12345},
}, s)
if err != nil {
t.Fatal(err)
}
Check(a, 18, 180, 9, t)
// readjust at end
err = a.updateInsertByID(Items{
{Price: 29, Amount: 3, ID: 1234},
}, s)
if err != nil {
t.Fatal(err)
}
Check(a, 19, 207, 9, t)
// readjust further and decrease price past tail
err = a.updateInsertByID(Items{
{Price: 31, Amount: 3, ID: 1234},
}, s)
if err != nil {
t.Fatal(err)
}
Check(a, 19, 213, 9, t)
// purge
a.load(nil, s)
// insert with no liquidity and jumbled
err = a.updateInsertByID(Items{
{Price: 11, Amount: 2, ID: 11},
{Price: 9, Amount: 2, ID: 9},
{Price: 7, Amount: 2, ID: 7},
{Price: 0.5, Amount: 2, ID: 0},
{Price: 12, Amount: 2, ID: 5},
{Price: 1, Amount: 2, ID: 1},
{Price: 3, Amount: 2, ID: 3},
}, s)
if err != nil {
t.Fatal(err)
}
Check(a, 14, 87, 7, t)
}
func TestUpdateInsertByIDBids(t *testing.T) {
b := bids{}
s := newStack()
bidsSnapshot := Items{
{Price: 11, Amount: 1, ID: 11},
{Price: 9, Amount: 1, ID: 9},
{Price: 7, Amount: 1, ID: 7},
{Price: 5, Amount: 1, ID: 5},
{Price: 3, Amount: 1, ID: 3},
{Price: 1, Amount: 1, ID: 1},
}
b.load(bidsSnapshot, s)
// Update one instance with matching ID
err := b.updateInsertByID(Items{
{Price: 1, Amount: 2, ID: 1},
}, s)
if err != nil {
t.Fatal(err)
}
Check(b, 7, 37, 6, t)
// Reset
b.load(bidsSnapshot, s)
// Update all instances with matching ID in order
err = b.updateInsertByID(Items{
{Price: 1, Amount: 2, ID: 1},
{Price: 3, Amount: 2, ID: 3},
{Price: 5, Amount: 2, ID: 5},
{Price: 7, Amount: 2, ID: 7},
{Price: 9, Amount: 2, ID: 9},
{Price: 11, Amount: 2, ID: 11},
}, s)
if err != nil {
t.Fatal(err)
}
Check(b, 12, 72, 6, t)
// Update all instances with matching ID in backwards
err = b.updateInsertByID(Items{
{Price: 11, Amount: 2, ID: 11},
{Price: 9, Amount: 2, ID: 9},
{Price: 7, Amount: 2, ID: 7},
{Price: 5, Amount: 2, ID: 5},
{Price: 3, Amount: 2, ID: 3},
{Price: 1, Amount: 2, ID: 1},
}, s)
if err != nil {
t.Fatal(err)
}
Check(b, 12, 72, 6, t)
// Update all instances with matching ID all over the ship
err = b.updateInsertByID(Items{
{Price: 11, Amount: 2, ID: 11},
{Price: 3, Amount: 2, ID: 3},
{Price: 7, Amount: 2, ID: 7},
{Price: 9, Amount: 2, ID: 9},
{Price: 1, Amount: 2, ID: 1},
{Price: 5, Amount: 2, ID: 5},
}, s)
if err != nil {
t.Fatal(err)
}
Check(b, 12, 72, 6, t)
// Update all instances move one before ID in middle
err = b.updateInsertByID(Items{
{Price: 1, Amount: 2, ID: 1},
{Price: 3, Amount: 2, ID: 3},
{Price: 2, Amount: 2, ID: 5},
{Price: 7, Amount: 2, ID: 7},
{Price: 9, Amount: 2, ID: 9},
{Price: 11, Amount: 2, ID: 11},
}, s)
if err != nil {
t.Fatal(err)
}
Check(b, 12, 66, 6, t)
// Update all instances move one before ID at head
err = b.updateInsertByID(Items{
{Price: 1, Amount: 2, ID: 1},
{Price: 3, Amount: 2, ID: 3},
{Price: .5, Amount: 2, ID: 5},
{Price: 7, Amount: 2, ID: 7},
{Price: 9, Amount: 2, ID: 9},
{Price: 11, Amount: 2, ID: 11},
}, s)
if err != nil {
t.Fatal(err)
}
Check(b, 12, 63, 6, t)
// Reset
b.load(bidsSnapshot, s)
// Update all instances move one after ID
err = b.updateInsertByID(Items{
{Price: 1, Amount: 2, ID: 1},
{Price: 3, Amount: 2, ID: 3},
{Price: 8, Amount: 2, ID: 5},
{Price: 7, Amount: 2, ID: 7},
{Price: 9, Amount: 2, ID: 9},
{Price: 11, Amount: 2, ID: 11},
}, s)
if err != nil {
t.Fatal(err)
}
Check(b, 12, 78, 6, t)
// Reset
b.load(bidsSnapshot, s)
// Update all instances move one after ID to tail
err = b.updateInsertByID(Items{
{Price: 1, Amount: 2, ID: 1},
{Price: 3, Amount: 2, ID: 3},
{Price: 12, Amount: 2, ID: 5},
{Price: 7, Amount: 2, ID: 7},
{Price: 9, Amount: 2, ID: 9},
{Price: 11, Amount: 2, ID: 11},
}, s)
if err != nil {
t.Fatal(err)
}
Check(b, 12, 86, 6, t)
// Update all instances then pop new instance
err = b.updateInsertByID(Items{
{Price: 1, Amount: 2, ID: 1},
{Price: 3, Amount: 2, ID: 3},
{Price: 12, Amount: 2, ID: 5},
{Price: 7, Amount: 2, ID: 7},
{Price: 9, Amount: 2, ID: 9},
{Price: 11, Amount: 2, ID: 11},
{Price: 10, Amount: 2, ID: 10},
}, s)
if err != nil {
t.Fatal(err)
}
Check(b, 14, 106, 7, t)
// Reset
b.load(bidsSnapshot, s)
// Update all instances pop at tail
err = b.updateInsertByID(Items{
{Price: 0.5, Amount: 2, ID: 0},
{Price: 1, Amount: 2, ID: 1},
{Price: 3, Amount: 2, ID: 3},
{Price: 12, Amount: 2, ID: 5},
{Price: 7, Amount: 2, ID: 7},
{Price: 9, Amount: 2, ID: 9},
{Price: 11, Amount: 2, ID: 11},
}, s)
if err != nil {
t.Fatal(err)
}
Check(b, 14, 87, 7, t)
// bookmark head and move to mid
err = b.updateInsertByID(Items{
{Price: 9.5, Amount: 2, ID: 5},
}, s)
if err != nil {
t.Fatal(err)
}
Check(b, 14, 82, 7, t)
// bookmark head and move to tail
err = b.updateInsertByID(Items{
{Price: 0.25, Amount: 2, ID: 11},
}, s)
if err != nil {
t.Fatal(err)
}
Check(b, 14, 60.5, 7, t)
// move tail location to head
err = b.updateInsertByID(Items{
{Price: 10, Amount: 2, ID: 11},
}, s)
if err != nil {
t.Fatal(err)
}
Check(b, 14, 80, 7, t)
// move tail location to mid
err = b.updateInsertByID(Items{
{Price: 7.5, Amount: 2, ID: 0},
}, s)
if err != nil {
t.Fatal(err)
}
Check(b, 14, 94, 7, t)
// insert at head dont match
err = b.updateInsertByID(Items{
{Price: 30, Amount: 2, ID: 1234},
}, s)
if err != nil {
t.Fatal(err)
}
Check(b, 16, 154, 8, t)
// insert between last and 2nd last
err = b.updateInsertByID(Items{
{Price: 1.5, Amount: 2, ID: 12345},
}, s)
if err != nil {
t.Fatal(err)
}
Check(b, 18, 157, 9, t)
// readjust at end
err = b.updateInsertByID(Items{
{Price: 1, Amount: 3, ID: 1},
}, s)
if err != nil {
t.Fatal(err)
}
Check(b, 19, 158, 9, t)
// readjust further and decrease price past tail
err = b.updateInsertByID(Items{
{Price: .9, Amount: 3, ID: 1},
}, s)
if err != nil {
t.Fatal(err)
}
Check(b, 19, 157.7, 9, t)
// purge
b.load(nil, s)
// insert with no liquidity and jumbled
err = b.updateInsertByID(Items{
{Price: 0.5, Amount: 2, ID: 0},
{Price: 1, Amount: 2, ID: 1},
{Price: 3, Amount: 2, ID: 3},
{Price: 12, Amount: 2, ID: 5},
{Price: 7, Amount: 2, ID: 7},
{Price: 9, Amount: 2, ID: 9},
{Price: 11, Amount: 2, ID: 11},
}, s)
if err != nil {
t.Fatal(err)
}
Check(b, 14, 87, 7, t)
}
func TestInsertUpdatesBid(t *testing.T) {
b := bids{}
s := newStack()
bidsSnapshot := Items{
{Price: 11, Amount: 1, ID: 11},
{Price: 9, Amount: 1, ID: 9},
{Price: 7, Amount: 1, ID: 7},
{Price: 5, Amount: 1, ID: 5},
{Price: 3, Amount: 1, ID: 3},
{Price: 1, Amount: 1, ID: 1},
}
b.load(bidsSnapshot, s)
err := b.insertUpdates(Items{
{Price: 11, Amount: 1, ID: 11},
{Price: 9, Amount: 1, ID: 9},
{Price: 7, Amount: 1, ID: 7},
{Price: 5, Amount: 1, ID: 5},
{Price: 3, Amount: 1, ID: 3},
{Price: 1, Amount: 1, ID: 1},
}, s)
if !errors.Is(err, errCollisionDetected) {
t.Fatalf("expected error %s but received %v", errCollisionDetected, err)
}
Check(b, 6, 36, 6, t)
// Insert at head
err = b.insertUpdates(Items{
{Price: 12, Amount: 1, ID: 11},
}, s)
if err != nil {
t.Fatal(err)
}
Check(b, 7, 48, 7, t)
// Insert at tail
err = b.insertUpdates(Items{
{Price: 0.5, Amount: 1, ID: 12},
}, s)
if err != nil {
t.Fatal(err)
}
Check(b, 8, 48.5, 8, t)
// Insert at mid
err = b.insertUpdates(Items{
{Price: 5.5, Amount: 1, ID: 13},
}, s)
if err != nil {
t.Fatal(err)
}
Check(b, 9, 54, 9, t)
// purge
b.load(nil, s)
// Add one at head
err = b.insertUpdates(Items{
{Price: 5.5, Amount: 1, ID: 13},
}, s)
if err != nil {
t.Fatal(err)
}
Check(b, 1, 5.5, 1, t)
}
func TestInsertUpdatesAsk(t *testing.T) {
a := asks{}
s := newStack()
askSnapshot := Items{
{Price: 1, Amount: 1, ID: 1},
{Price: 3, Amount: 1, ID: 3},
{Price: 5, Amount: 1, ID: 5},
{Price: 7, Amount: 1, ID: 7},
{Price: 9, Amount: 1, ID: 9},
{Price: 11, Amount: 1, ID: 11},
}
a.load(askSnapshot, s)
err := a.insertUpdates(Items{
{Price: 11, Amount: 1, ID: 11},
{Price: 9, Amount: 1, ID: 9},
{Price: 7, Amount: 1, ID: 7},
{Price: 5, Amount: 1, ID: 5},
{Price: 3, Amount: 1, ID: 3},
{Price: 1, Amount: 1, ID: 1},
}, s)
if !errors.Is(err, errCollisionDetected) {
t.Fatalf("expected error %s but received %v", errCollisionDetected, err)
}
Check(a, 6, 36, 6, t)
// Insert at tail
err = a.insertUpdates(Items{
{Price: 12, Amount: 1, ID: 11},
}, s)
if err != nil {
t.Fatal(err)
}
Check(a, 7, 48, 7, t)
// Insert at head
err = a.insertUpdates(Items{
{Price: 0.5, Amount: 1, ID: 12},
}, s)
if err != nil {
t.Fatal(err)
}
Check(a, 8, 48.5, 8, t)
// Insert at mid
err = a.insertUpdates(Items{
{Price: 5.5, Amount: 1, ID: 13},
}, s)
if err != nil {
t.Fatal(err)
}
Check(a, 9, 54, 9, t)
// purge
a.load(nil, s)
// Add one at head
err = a.insertUpdates(Items{
{Price: 5.5, Amount: 1, ID: 13},
}, s)
if err != nil {
t.Fatal(err)
}
Check(a, 1, 5.5, 1, t)
}
// check checks depth values after an update has taken place
func Check(depth interface{}, liquidity, value float64, nodeCount int, t *testing.T) {
t.Helper()
b, isBid := depth.(bids)
a, isAsk := depth.(asks)
var ll linkedList
switch {
case isBid:
ll = b.linkedList
case isAsk:
ll = a.linkedList
default:
t.Fatal("value passed in is not of type bids or asks")
}
liquidityTotal, valueTotal := ll.amount()
if liquidityTotal != liquidity {
ll.display()
t.Fatalf("mismatched liquidity expecting %v but received %v",
liquidity,
liquidityTotal)
}
if valueTotal != value {
ll.display()
t.Fatalf("mismatched total value expecting %v but received %v",
value,
valueTotal)
}
if ll.length != nodeCount {
ll.display()
t.Fatalf("mismatched node count expecting %v but received %v",
nodeCount,
ll.length)
}
if ll.head == nil {
return
}
var tail *Node
var price float64
for tip := ll.head; ; tip = tip.Next {
switch {
case price == 0:
price = tip.Value.Price
case isBid && price < tip.Value.Price:
ll.display()
t.Fatal("Bid pricing out of order should be descending")
case isAsk && price > tip.Value.Price:
ll.display()
t.Fatal("Ask pricing out of order should be ascending")
default:
price = tip.Value.Price
}
if tip.Next == nil {
tail = tip
break
}
}
var liqReversed, valReversed float64
var nodeReversed int
for tip := tail; tip != nil; tip = tip.Prev {
liqReversed += tip.Value.Amount
valReversed += tip.Value.Amount * tip.Value.Price
nodeReversed++
}
if liquidity-liqReversed != 0 {
ll.display()
fmt.Println(liquidity, liqReversed)
t.Fatalf("mismatched liquidity when reversing direction expecting %v but received %v",
0,
liquidity-liqReversed)
}
if nodeCount-nodeReversed != 0 {
ll.display()
t.Fatalf("mismatched node count when reversing direction expecting %v but received %v",
0,
nodeCount-nodeReversed)
}
if value-valReversed != 0 {
ll.display()
fmt.Println(valReversed, value)
t.Fatalf("mismatched total book value when reversing direction expecting %v but received %v",
0,
value-valReversed)
}
}
func TestAmount(t *testing.T) {
a := asks{}
s := newStack()
askSnapshot := Items{
{Price: 1, Amount: 1, ID: 1},
{Price: 3, Amount: 1, ID: 3},
{Price: 5, Amount: 1, ID: 5},
{Price: 7, Amount: 1, ID: 7},
{Price: 9, Amount: 1, ID: 9},
{Price: 11, Amount: 1, ID: 11},
}
a.load(askSnapshot, s)
liquidity, value := a.amount()
if liquidity != 6 {
t.Fatalf("incorrect liquidity calculation expected 6 but received %f", liquidity)
}
if value != 36 {
t.Fatalf("incorrect value calculation expected 36 but received %f", value)
}
}
func TestShiftBookmark(t *testing.T) {
bookmarkedNode := &Node{
Value: Item{
ID: 1337,
Amount: 1,
Price: 2,
},
Next: nil,
Prev: nil,
shelved: time.Time{},
}
originalBookmarkPrev := &Node{
Value: Item{
ID: 1336,
},
Next: bookmarkedNode,
Prev: nil, // At head
shelved: time.Time{},
}
originalBookmarkNext := &Node{
Value: Item{
ID: 1338,
},
Next: nil, // This can be left nil in actuality this will be
// populated
Prev: bookmarkedNode,
shelved: time.Time{},
}
// associate previous and next nodes to bookmarked node
bookmarkedNode.Prev = originalBookmarkPrev
bookmarkedNode.Next = originalBookmarkNext
tip := &Node{
Value: Item{
ID: 69420,
},
Next: nil, // In this case tip will be at tail
Prev: nil,
shelved: time.Time{},
}
tipprev := &Node{
Value: Item{
ID: 69419,
},
Next: tip,
Prev: nil, // This can be left nil in actuality this will be
// populated
shelved: time.Time{},
}
// associate tips prev field with the correct prev node
tip.Prev = tipprev
if !shiftBookmark(tip, &bookmarkedNode, nil, Item{Amount: 1336, ID: 1337, Price: 9999}) {
t.Fatal("There should be liquidity so we don't need to set tip to bookmark")
}
if bookmarkedNode.Value.Price != 9999 ||
bookmarkedNode.Value.Amount != 1336 ||
bookmarkedNode.Value.ID != 1337 {
t.Fatal("bookmarked details are not set correctly with shift")
}
if bookmarkedNode.Prev != tip {
t.Fatal("bookmarked prev memory address does not point to tip")
}
if bookmarkedNode.Next != nil {
t.Fatal("bookmarked next is at tail and should be nil")
}
if bookmarkedNode.Next != nil {
t.Fatal("bookmarked next is at tail and should be nil")
}
if originalBookmarkPrev.Next != originalBookmarkNext {
t.Fatal("original bookmarked prev node should be associated with original bookmarked next node")
}
if originalBookmarkNext.Prev != originalBookmarkPrev {
t.Fatal("original bookmarked next node should be associated with original bookmarked prev node")
}
var nilBookmark *Node
if shiftBookmark(tip, &nilBookmark, nil, Item{Amount: 1336, ID: 1337, Price: 9999}) {
t.Fatal("there should not be a bookmarked node")
}
if tip != nilBookmark {
t.Fatal("nilBookmark not reassigned")
}
head := bookmarkedNode
bookmarkedNode.Prev = nil
bookmarkedNode.Next = originalBookmarkNext
tip.Next = nil
if !shiftBookmark(tip, &bookmarkedNode, &head, Item{Amount: 1336, ID: 1337, Price: 9999}) {
t.Fatal("There should be liquidity so we don't need to set tip to bookmark")
}
if head != originalBookmarkNext {
t.Fatal("unexpected pointer variable")
}
}