Files
gocryptotrader/exchanges/orderbook/linked_list_test.go
Ryan O'Hara-Reid 7b718700f7 orderbook: Implement initial linked list (#643)
* Exchanges: Initial implementation after rebase of depth (WIP)

* orderbook/buffer: convert and couple orderbook interaction functionality from buffer to orderbook linked list - Use single point reference for orderbook depth

* buffer/orderbook: conversion continued (WIP)

* exchange: buffer/linkedlist handover (WIP)

* Added some tests for yesterday

* linkedList: added more testing and trying to figure out broken things

* Started tying everything in

* continuous integration and testing

* orderbook: expanded tests

* go mod tidy

* Add in different synchornisation levels for protocols
Add in timer for the streaming system to reduce updates to datahandler
Add in more test code as I integrate more exchanges

* Depth: Add tests, add length check to call linked list updating, add in constructor.
Linked List: Improve tests, add in checks for zero liquidity on books.
Node: Added in cleaner POC, add in contructor.
Buffer: Fixed tests, checked benchmarks.

* orderbook: reinstate dispatch calls

* Addr glorious & madcozbad nits

* fix functionality and add tests

* Address linterinos

* remove label

* expanded comment

* fix races and and bitmex test

* reinstate go routine for alerting changes

* rm line :D

* fix more tests

* Addr glorious nits

* rm glorious field

* depth: defer unlock to stop deadlock

* orderbook: remove unused vars

* buffer: fix test to what it should be

* nits: madcosbad addr

* nits: glorious nits

* linkedlist: remove unused params

* orderbook: shift time call to outside of push to inline, add in case for update inster price for zero liquidity, nits

* orderbook: nits addressed

* engine: change stream -> websocket convention and remove unused function

* nits: glorious nits

* Websocket Buffer: Add verbosity switch

* linked list: Add comment

* linked list: fix spelling

* nits: glorious nits

* orderbook: Adds in test and explicit time type with constructor, fix nits

* linter

* spelling: removed the dere fence

* depth: Update alerting mechanism to a more battle tested state

* depth: spelling

* nits: glorious nits

* linked list: match cases

* buffer: fix linter issue

* golangci: increase timeout by 30 seconds

* nodes: update atomic checks

* spelling: fix

* node: add in commentary

* exchanges/syncer: add function to switch over to REST when websocket functionality is not available for a specific asset type

* linter: exchange linter issues

* syncer: Add in warning

* nits: glorious nits

* AssetWebsocketSupport: unexport map

* Nits: Adrr

* rm letter

* exchanges: Orderbook verification change for naming, deprecate checksum bypass as it has the potential to obfuscate errors that are at the tail end of the book, add in verification for websocket stream updates

* general: fix spelling remove breakpoint

* nits: fix more glorious nits until more are found

* orderbook: fix tests

* orderbook: fix wait tests and add in more checks

* nits: addr

* orderbook: remove dispatch reference

* linkedlist: consolidate bid/ask functions

* linked lisdt: remove words

* fix spelling
2021-04-23 15:16:01 +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")
}
}