mirror of
https://github.com/d0zingcat/gocryptotrader.git
synced 2026-05-14 15:09:51 +00:00
4ba2c710b5
* [FIX] Enable ws orderbook sync recovery by: - Testing if books have been cleared - Assigning options when loading snapshot * orderbooks: remove setlastupdate method and on select depth method that updates linked list, this reduced lock contention across code base and fixes buffer bug on applying buffered updates * WS - Introduce signaling for the need to fetch the orderbook * Address nits * Update error messages to include exchange name Co-authored-by: shazbert <oharareid.ryan@gmail.com>
1051 lines
24 KiB
Go
1051 lines
24 KiB
Go
package buffer
|
|
|
|
import (
|
|
"errors"
|
|
"math/rand"
|
|
"testing"
|
|
"time"
|
|
|
|
"github.com/thrasher-corp/gocryptotrader/currency"
|
|
"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
|
|
"github.com/thrasher-corp/gocryptotrader/exchanges/orderbook"
|
|
)
|
|
|
|
var itemArray = [][]orderbook.Item{
|
|
{{Price: 1000, Amount: 1, ID: 1000}},
|
|
{{Price: 2000, Amount: 1, ID: 2000}},
|
|
{{Price: 3000, Amount: 1, ID: 3000}},
|
|
{{Price: 3000, Amount: 2, ID: 4000}},
|
|
{{Price: 4000, Amount: 0, ID: 6000}},
|
|
{{Price: 5000, Amount: 1, ID: 5000}},
|
|
}
|
|
|
|
var cp, _ = currency.NewPairFromString("BTCUSD")
|
|
|
|
const (
|
|
exchangeName = "exchangeTest"
|
|
)
|
|
|
|
func createSnapshot() (holder *Orderbook, asks, bids orderbook.Items, err error) {
|
|
asks = orderbook.Items{{Price: 4000, Amount: 1, ID: 6}}
|
|
bids = orderbook.Items{{Price: 4000, Amount: 1, ID: 6}}
|
|
|
|
book := &orderbook.Base{
|
|
Exchange: exchangeName,
|
|
Asks: asks,
|
|
Bids: bids,
|
|
Asset: asset.Spot,
|
|
Pair: cp,
|
|
PriceDuplication: true,
|
|
}
|
|
|
|
newBook := make(map[currency.Code]map[currency.Code]map[asset.Item]*orderbookHolder)
|
|
|
|
holder = &Orderbook{
|
|
exchangeName: exchangeName,
|
|
dataHandler: make(chan interface{}, 100),
|
|
ob: newBook,
|
|
}
|
|
err = holder.LoadSnapshot(book)
|
|
return
|
|
}
|
|
|
|
func bidAskGenerator() []orderbook.Item {
|
|
var response []orderbook.Item
|
|
randIterator := 100
|
|
for i := 0; i < randIterator; i++ {
|
|
price := float64(rand.Intn(1000)) // nolint:gosec // no need to import crypo/rand for testing
|
|
if price == 0 {
|
|
price = 1
|
|
}
|
|
response = append(response, orderbook.Item{
|
|
Amount: float64(rand.Intn(10)), // nolint:gosec // no need to import crypo/rand for testing
|
|
Price: price,
|
|
ID: int64(i),
|
|
})
|
|
}
|
|
return response
|
|
}
|
|
|
|
func BenchmarkUpdateBidsByPrice(b *testing.B) {
|
|
ob, _, _, err := createSnapshot()
|
|
if err != nil {
|
|
b.Error(err)
|
|
}
|
|
b.ResetTimer()
|
|
for i := 0; i < b.N; i++ {
|
|
bidAsks := bidAskGenerator()
|
|
update := &Update{
|
|
Bids: bidAsks,
|
|
Asks: bidAsks,
|
|
Pair: cp,
|
|
UpdateTime: time.Now(),
|
|
Asset: asset.Spot,
|
|
}
|
|
holder := ob.ob[cp.Base][cp.Quote][asset.Spot]
|
|
holder.updateByPrice(update)
|
|
}
|
|
}
|
|
|
|
func BenchmarkUpdateAsksByPrice(b *testing.B) {
|
|
ob, _, _, err := createSnapshot()
|
|
if err != nil {
|
|
b.Error(err)
|
|
}
|
|
b.ResetTimer()
|
|
for i := 0; i < b.N; i++ {
|
|
bidAsks := bidAskGenerator()
|
|
update := &Update{
|
|
Bids: bidAsks,
|
|
Asks: bidAsks,
|
|
Pair: cp,
|
|
UpdateTime: time.Now(),
|
|
Asset: asset.Spot,
|
|
}
|
|
holder := ob.ob[cp.Base][cp.Quote][asset.Spot]
|
|
holder.updateByPrice(update)
|
|
}
|
|
}
|
|
|
|
// BenchmarkBufferPerformance demonstrates buffer more performant than multi
|
|
// process calls
|
|
// 4219518 287 ns/op 176 B/op 1 allocs/op
|
|
func BenchmarkBufferPerformance(b *testing.B) {
|
|
holder, asks, bids, err := createSnapshot()
|
|
if err != nil {
|
|
b.Fatal(err)
|
|
}
|
|
holder.bufferEnabled = true
|
|
update := &Update{
|
|
Bids: bids,
|
|
Asks: asks,
|
|
Pair: cp,
|
|
UpdateTime: time.Now(),
|
|
Asset: asset.Spot,
|
|
}
|
|
b.ResetTimer()
|
|
for i := 0; i < b.N; i++ {
|
|
randomIndex := rand.Intn(4) // nolint:gosec // no need to import crypo/rand for testing
|
|
update.Asks = itemArray[randomIndex]
|
|
update.Bids = itemArray[randomIndex]
|
|
err = holder.Update(update)
|
|
if err != nil {
|
|
b.Fatal(err)
|
|
}
|
|
}
|
|
}
|
|
|
|
// BenchmarkBufferSortingPerformance benchmark
|
|
// 2693391 467 ns/op 208 B/op 2 allocs/op
|
|
func BenchmarkBufferSortingPerformance(b *testing.B) {
|
|
holder, asks, bids, err := createSnapshot()
|
|
if err != nil {
|
|
b.Fatal(err)
|
|
}
|
|
holder.bufferEnabled = true
|
|
holder.sortBuffer = true
|
|
update := &Update{
|
|
Bids: bids,
|
|
Asks: asks,
|
|
Pair: cp,
|
|
UpdateTime: time.Now(),
|
|
Asset: asset.Spot,
|
|
}
|
|
b.ResetTimer()
|
|
for i := 0; i < b.N; i++ {
|
|
randomIndex := rand.Intn(4) // nolint:gosec // no need to import crypo/rand for testing
|
|
update.Asks = itemArray[randomIndex]
|
|
update.Bids = itemArray[randomIndex]
|
|
err = holder.Update(update)
|
|
if err != nil {
|
|
b.Fatal(err)
|
|
}
|
|
}
|
|
}
|
|
|
|
// BenchmarkBufferSortingPerformance benchmark
|
|
// 1000000 1019 ns/op 208 B/op 2 allocs/op
|
|
func BenchmarkBufferSortingByIDPerformance(b *testing.B) {
|
|
holder, asks, bids, err := createSnapshot()
|
|
if err != nil {
|
|
b.Fatal(err)
|
|
}
|
|
holder.bufferEnabled = true
|
|
holder.sortBuffer = true
|
|
holder.sortBufferByUpdateIDs = true
|
|
update := &Update{
|
|
Bids: bids,
|
|
Asks: asks,
|
|
Pair: cp,
|
|
UpdateTime: time.Now(),
|
|
Asset: asset.Spot,
|
|
}
|
|
b.ResetTimer()
|
|
for i := 0; i < b.N; i++ {
|
|
randomIndex := rand.Intn(4) // nolint:gosec // no need to import crypo/rand for testing
|
|
update.Asks = itemArray[randomIndex]
|
|
update.Bids = itemArray[randomIndex]
|
|
err = holder.Update(update)
|
|
if err != nil {
|
|
b.Fatal(err)
|
|
}
|
|
}
|
|
}
|
|
|
|
// BenchmarkNoBufferPerformance demonstrates orderbook process more performant
|
|
// than buffer
|
|
// 9516966 141 ns/op 0 B/op 0 allocs/op
|
|
func BenchmarkNoBufferPerformance(b *testing.B) {
|
|
obl, asks, bids, err := createSnapshot()
|
|
if err != nil {
|
|
b.Fatal(err)
|
|
}
|
|
update := &Update{
|
|
Bids: bids,
|
|
Asks: asks,
|
|
Pair: cp,
|
|
UpdateTime: time.Now(),
|
|
Asset: asset.Spot,
|
|
}
|
|
b.ResetTimer()
|
|
for i := 0; i < b.N; i++ {
|
|
randomIndex := rand.Intn(4) // nolint:gosec // no need to import crypo/rand for testing
|
|
update.Asks = itemArray[randomIndex]
|
|
update.Bids = itemArray[randomIndex]
|
|
err = obl.Update(update)
|
|
if err != nil {
|
|
b.Fatal(err)
|
|
}
|
|
}
|
|
}
|
|
|
|
func TestUpdates(t *testing.T) {
|
|
holder, _, _, err := createSnapshot()
|
|
if err != nil {
|
|
t.Error(err)
|
|
}
|
|
|
|
book := holder.ob[cp.Base][cp.Quote][asset.Spot]
|
|
book.updateByPrice(&Update{
|
|
Bids: itemArray[5],
|
|
Asks: itemArray[5],
|
|
Pair: cp,
|
|
UpdateTime: time.Now(),
|
|
Asset: asset.Spot,
|
|
})
|
|
if err != nil {
|
|
t.Error(err)
|
|
}
|
|
|
|
book.updateByPrice(&Update{
|
|
Bids: itemArray[0],
|
|
Asks: itemArray[0],
|
|
Pair: cp,
|
|
UpdateTime: time.Now(),
|
|
Asset: asset.Spot,
|
|
})
|
|
if err != nil {
|
|
t.Error(err)
|
|
}
|
|
|
|
if book.ob.GetAskLength() != 3 {
|
|
t.Error("Did not update")
|
|
}
|
|
}
|
|
|
|
// TestHittingTheBuffer logic test
|
|
func TestHittingTheBuffer(t *testing.T) {
|
|
holder, _, _, err := createSnapshot()
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
holder.bufferEnabled = true
|
|
holder.obBufferLimit = 5
|
|
for i := range itemArray {
|
|
asks := itemArray[i]
|
|
bids := itemArray[i]
|
|
err = holder.Update(&Update{
|
|
Bids: bids,
|
|
Asks: asks,
|
|
Pair: cp,
|
|
UpdateTime: time.Now(),
|
|
Asset: asset.Spot,
|
|
})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
}
|
|
|
|
book := holder.ob[cp.Base][cp.Quote][asset.Spot]
|
|
if book.ob.GetAskLength() != 3 {
|
|
t.Errorf("expected 3 entries, received: %v", book.ob.GetAskLength())
|
|
}
|
|
if book.ob.GetBidLength() != 3 {
|
|
t.Errorf("expected 3 entries, received: %v", book.ob.GetBidLength())
|
|
}
|
|
}
|
|
|
|
// TestInsertWithIDs logic test
|
|
func TestInsertWithIDs(t *testing.T) {
|
|
holder, _, _, err := createSnapshot()
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
holder.bufferEnabled = true
|
|
holder.updateEntriesByID = true
|
|
holder.obBufferLimit = 5
|
|
for i := range itemArray {
|
|
asks := itemArray[i]
|
|
if asks[0].Amount <= 0 {
|
|
continue
|
|
}
|
|
bids := itemArray[i]
|
|
err = holder.Update(&Update{
|
|
Bids: bids,
|
|
Asks: asks,
|
|
Pair: cp,
|
|
UpdateTime: time.Now(),
|
|
Asset: asset.Spot,
|
|
Action: UpdateInsert,
|
|
})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
}
|
|
|
|
book := holder.ob[cp.Base][cp.Quote][asset.Spot]
|
|
if book.ob.GetAskLength() != 6 {
|
|
t.Errorf("expected 5 entries, received: %v", book.ob.GetAskLength())
|
|
}
|
|
if book.ob.GetBidLength() != 6 {
|
|
t.Errorf("expected 5 entries, received: %v", book.ob.GetBidLength())
|
|
}
|
|
}
|
|
|
|
// TestSortIDs logic test
|
|
func TestSortIDs(t *testing.T) {
|
|
holder, _, _, err := createSnapshot()
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
holder.bufferEnabled = true
|
|
holder.sortBufferByUpdateIDs = true
|
|
holder.sortBuffer = true
|
|
holder.obBufferLimit = 5
|
|
for i := range itemArray {
|
|
asks := itemArray[i]
|
|
bids := itemArray[i]
|
|
err = holder.Update(&Update{
|
|
Bids: bids,
|
|
Asks: asks,
|
|
Pair: cp,
|
|
UpdateID: int64(i),
|
|
Asset: asset.Spot,
|
|
})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
}
|
|
book := holder.ob[cp.Base][cp.Quote][asset.Spot]
|
|
if book.ob.GetAskLength() != 3 {
|
|
t.Errorf("expected 3 entries, received: %v", book.ob.GetAskLength())
|
|
}
|
|
if book.ob.GetAskLength() != 3 {
|
|
t.Errorf("expected 3 entries, received: %v", book.ob.GetAskLength())
|
|
}
|
|
}
|
|
|
|
// TestOutOfOrderIDs logic test
|
|
func TestOutOfOrderIDs(t *testing.T) {
|
|
holder, _, _, err := createSnapshot()
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
outOFOrderIDs := []int64{2, 1, 5, 3, 4, 6, 7}
|
|
if itemArray[0][0].Price != 1000 {
|
|
t.Errorf("expected sorted price to be 3000, received: %v",
|
|
itemArray[1][0].Price)
|
|
}
|
|
holder.bufferEnabled = true
|
|
holder.sortBuffer = true
|
|
holder.obBufferLimit = 5
|
|
for i := range itemArray {
|
|
asks := itemArray[i]
|
|
err = holder.Update(&Update{
|
|
Asks: asks,
|
|
Pair: cp,
|
|
UpdateID: outOFOrderIDs[i],
|
|
Asset: asset.Spot,
|
|
})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
}
|
|
book := holder.ob[cp.Base][cp.Quote][asset.Spot]
|
|
cpy := book.ob.Retrieve()
|
|
// Index 1 since index 0 is price 7000
|
|
if cpy.Asks[1].Price != 2000 {
|
|
t.Errorf("expected sorted price to be 2000, received: %v", cpy.Asks[1].Price)
|
|
}
|
|
}
|
|
|
|
func TestOrderbookLastUpdateID(t *testing.T) {
|
|
holder, _, _, err := createSnapshot()
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
if exp := float64(1000); itemArray[0][0].Price != exp {
|
|
t.Errorf("expected sorted price to be %f, received: %v",
|
|
exp, itemArray[1][0].Price)
|
|
}
|
|
|
|
for i := range itemArray {
|
|
asks := itemArray[i]
|
|
err = holder.Update(&Update{
|
|
Asks: asks,
|
|
Pair: cp,
|
|
UpdateID: int64(i) + 1,
|
|
Asset: asset.Spot,
|
|
})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
}
|
|
|
|
ob, err := holder.GetOrderbook(cp, asset.Spot)
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
if exp := len(itemArray); ob.LastUpdateID != int64(exp) {
|
|
t.Errorf("expected last update id to be %d, received: %v", exp, ob.LastUpdateID)
|
|
}
|
|
}
|
|
|
|
// TestRunUpdateWithoutSnapshot logic test
|
|
func TestRunUpdateWithoutSnapshot(t *testing.T) {
|
|
t.Parallel()
|
|
var holder Orderbook
|
|
var snapShot1 orderbook.Base
|
|
asks := []orderbook.Item{
|
|
{Price: 4000, Amount: 1, ID: 8},
|
|
}
|
|
bids := []orderbook.Item{
|
|
{Price: 5999, Amount: 1, ID: 8},
|
|
{Price: 4000, Amount: 1, ID: 9},
|
|
}
|
|
snapShot1.Asks = asks
|
|
snapShot1.Bids = bids
|
|
snapShot1.Asset = asset.Spot
|
|
snapShot1.Pair = cp
|
|
holder.exchangeName = exchangeName
|
|
err := holder.Update(&Update{
|
|
Bids: bids,
|
|
Asks: asks,
|
|
Pair: cp,
|
|
UpdateTime: time.Now(),
|
|
Asset: asset.Spot,
|
|
})
|
|
if !errors.Is(err, errDepthNotFound) {
|
|
t.Fatalf("expected %v but received %v", errDepthNotFound, err)
|
|
}
|
|
}
|
|
|
|
// TestRunUpdateWithoutAnyUpdates logic test
|
|
func TestRunUpdateWithoutAnyUpdates(t *testing.T) {
|
|
t.Parallel()
|
|
var obl Orderbook
|
|
var snapShot1 orderbook.Base
|
|
snapShot1.Asks = []orderbook.Item{}
|
|
snapShot1.Bids = []orderbook.Item{}
|
|
snapShot1.Asset = asset.Spot
|
|
snapShot1.Pair = cp
|
|
obl.exchangeName = exchangeName
|
|
err := obl.Update(&Update{
|
|
Bids: snapShot1.Asks,
|
|
Asks: snapShot1.Bids,
|
|
Pair: cp,
|
|
UpdateTime: time.Now(),
|
|
Asset: asset.Spot,
|
|
})
|
|
if !errors.Is(err, errUpdateNoTargets) {
|
|
t.Fatalf("expected %v but received %v", errUpdateNoTargets, err)
|
|
}
|
|
}
|
|
|
|
// TestRunSnapshotWithNoData logic test
|
|
func TestRunSnapshotWithNoData(t *testing.T) {
|
|
t.Parallel()
|
|
var obl Orderbook
|
|
obl.ob = make(map[currency.Code]map[currency.Code]map[asset.Item]*orderbookHolder)
|
|
obl.dataHandler = make(chan interface{}, 1)
|
|
var snapShot1 orderbook.Base
|
|
snapShot1.Asset = asset.Spot
|
|
snapShot1.Pair = cp
|
|
snapShot1.Exchange = "test"
|
|
obl.exchangeName = "test"
|
|
err := obl.LoadSnapshot(&snapShot1)
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
}
|
|
|
|
// TestLoadSnapshot logic test
|
|
func TestLoadSnapshot(t *testing.T) {
|
|
t.Parallel()
|
|
var obl Orderbook
|
|
obl.dataHandler = make(chan interface{}, 100)
|
|
obl.ob = make(map[currency.Code]map[currency.Code]map[asset.Item]*orderbookHolder)
|
|
var snapShot1 orderbook.Base
|
|
snapShot1.Exchange = "SnapshotWithOverride"
|
|
asks := []orderbook.Item{
|
|
{Price: 4000, Amount: 1, ID: 8},
|
|
}
|
|
bids := []orderbook.Item{
|
|
{Price: 4000, Amount: 1, ID: 9},
|
|
}
|
|
snapShot1.Asks = asks
|
|
snapShot1.Bids = bids
|
|
snapShot1.Asset = asset.Spot
|
|
snapShot1.Pair = cp
|
|
err := obl.LoadSnapshot(&snapShot1)
|
|
if err != nil {
|
|
t.Error(err)
|
|
}
|
|
}
|
|
|
|
// TestFlushBuffer logic test
|
|
func TestFlushBuffer(t *testing.T) {
|
|
obl, _, _, err := createSnapshot()
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
if obl.ob[cp.Base][cp.Quote][asset.Spot] == nil {
|
|
t.Error("expected ob to have ask entries")
|
|
}
|
|
obl.FlushBuffer()
|
|
if obl.ob[cp.Base][cp.Quote][asset.Spot] != nil {
|
|
t.Error("expected ob be flushed")
|
|
}
|
|
}
|
|
|
|
// TestInsertingSnapShots logic test
|
|
func TestInsertingSnapShots(t *testing.T) {
|
|
t.Parallel()
|
|
var holder Orderbook
|
|
holder.dataHandler = make(chan interface{}, 100)
|
|
holder.ob = make(map[currency.Code]map[currency.Code]map[asset.Item]*orderbookHolder)
|
|
var snapShot1 orderbook.Base
|
|
snapShot1.Exchange = "WSORDERBOOKTEST1"
|
|
asks := []orderbook.Item{
|
|
{Price: 6000, Amount: 1, ID: 1},
|
|
{Price: 6001, Amount: 0.5, ID: 2},
|
|
{Price: 6002, Amount: 2, ID: 3},
|
|
{Price: 6003, Amount: 3, ID: 4},
|
|
{Price: 6004, Amount: 5, ID: 5},
|
|
{Price: 6005, Amount: 2, ID: 6},
|
|
{Price: 6006, Amount: 1.5, ID: 7},
|
|
{Price: 6007, Amount: 0.5, ID: 8},
|
|
{Price: 6008, Amount: 23, ID: 9},
|
|
{Price: 6009, Amount: 9, ID: 10},
|
|
{Price: 6010, Amount: 7, ID: 11},
|
|
}
|
|
|
|
bids := []orderbook.Item{
|
|
{Price: 5999, Amount: 1, ID: 12},
|
|
{Price: 5998, Amount: 0.5, ID: 13},
|
|
{Price: 5997, Amount: 2, ID: 14},
|
|
{Price: 5996, Amount: 3, ID: 15},
|
|
{Price: 5995, Amount: 5, ID: 16},
|
|
{Price: 5994, Amount: 2, ID: 17},
|
|
{Price: 5993, Amount: 1.5, ID: 18},
|
|
{Price: 5992, Amount: 0.5, ID: 19},
|
|
{Price: 5991, Amount: 23, ID: 20},
|
|
{Price: 5990, Amount: 9, ID: 21},
|
|
{Price: 5989, Amount: 7, ID: 22},
|
|
}
|
|
|
|
snapShot1.Asks = asks
|
|
snapShot1.Bids = bids
|
|
snapShot1.Asset = asset.Spot
|
|
snapShot1.Pair = cp
|
|
err := holder.LoadSnapshot(&snapShot1)
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
var snapShot2 orderbook.Base
|
|
snapShot2.Exchange = "WSORDERBOOKTEST2"
|
|
asks = []orderbook.Item{
|
|
{Price: 51, Amount: 1, ID: 1},
|
|
{Price: 52, Amount: 0.5, ID: 2},
|
|
{Price: 53, Amount: 2, ID: 3},
|
|
{Price: 54, Amount: 3, ID: 4},
|
|
{Price: 55, Amount: 5, ID: 5},
|
|
{Price: 56, Amount: 2, ID: 6},
|
|
{Price: 57, Amount: 1.5, ID: 7},
|
|
{Price: 58, Amount: 0.5, ID: 8},
|
|
{Price: 59, Amount: 23, ID: 9},
|
|
{Price: 50, Amount: 9, ID: 10},
|
|
{Price: 60, Amount: 7, ID: 11},
|
|
}
|
|
|
|
bids = []orderbook.Item{
|
|
{Price: 49, Amount: 1, ID: 12},
|
|
{Price: 48, Amount: 0.5, ID: 13},
|
|
{Price: 47, Amount: 2, ID: 14},
|
|
{Price: 46, Amount: 3, ID: 15},
|
|
{Price: 45, Amount: 5, ID: 16},
|
|
{Price: 44, Amount: 2, ID: 17},
|
|
{Price: 43, Amount: 1.5, ID: 18},
|
|
{Price: 42, Amount: 0.5, ID: 19},
|
|
{Price: 41, Amount: 23, ID: 20},
|
|
{Price: 40, Amount: 9, ID: 21},
|
|
{Price: 39, Amount: 7, ID: 22},
|
|
}
|
|
|
|
snapShot2.Asks = asks
|
|
snapShot2.Asks.SortAsks()
|
|
snapShot2.Bids = bids
|
|
snapShot2.Bids.SortBids()
|
|
snapShot2.Asset = asset.Spot
|
|
snapShot2.Pair, err = currency.NewPairFromString("LTCUSD")
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
err = holder.LoadSnapshot(&snapShot2)
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
var snapShot3 orderbook.Base
|
|
snapShot3.Exchange = "WSORDERBOOKTEST3"
|
|
asks = []orderbook.Item{
|
|
{Price: 511, Amount: 1, ID: 1},
|
|
{Price: 52, Amount: 0.5, ID: 2},
|
|
{Price: 53, Amount: 2, ID: 3},
|
|
{Price: 54, Amount: 3, ID: 4},
|
|
{Price: 55, Amount: 5, ID: 5},
|
|
{Price: 56, Amount: 2, ID: 6},
|
|
{Price: 57, Amount: 1.5, ID: 7},
|
|
{Price: 58, Amount: 0.5, ID: 8},
|
|
{Price: 59, Amount: 23, ID: 9},
|
|
{Price: 50, Amount: 9, ID: 10},
|
|
{Price: 60, Amount: 7, ID: 11},
|
|
}
|
|
|
|
bids = []orderbook.Item{
|
|
{Price: 49, Amount: 1, ID: 12},
|
|
{Price: 48, Amount: 0.5, ID: 13},
|
|
{Price: 47, Amount: 2, ID: 14},
|
|
{Price: 46, Amount: 3, ID: 15},
|
|
{Price: 45, Amount: 5, ID: 16},
|
|
{Price: 44, Amount: 2, ID: 17},
|
|
{Price: 43, Amount: 1.5, ID: 18},
|
|
{Price: 42, Amount: 0.5, ID: 19},
|
|
{Price: 41, Amount: 23, ID: 20},
|
|
{Price: 40, Amount: 9, ID: 21},
|
|
{Price: 39, Amount: 7, ID: 22},
|
|
}
|
|
|
|
snapShot3.Asks = asks
|
|
snapShot3.Asks.SortAsks()
|
|
snapShot3.Bids = bids
|
|
snapShot3.Bids.SortBids()
|
|
snapShot3.Asset = asset.Futures
|
|
snapShot3.Pair, err = currency.NewPairFromString("LTCUSD")
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
err = holder.LoadSnapshot(&snapShot3)
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
ob, err := holder.GetOrderbook(snapShot1.Pair, snapShot1.Asset)
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
if ob.Asks[0] != snapShot1.Asks[0] {
|
|
t.Errorf("loaded data mismatch. Expected %v, received %v",
|
|
snapShot1.Asks[0],
|
|
ob.Asks[0])
|
|
}
|
|
ob, err = holder.GetOrderbook(snapShot2.Pair, snapShot2.Asset)
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
if ob.Asks[0] != snapShot2.Asks[0] {
|
|
t.Errorf("loaded data mismatch. Expected %v, received %v",
|
|
snapShot2.Asks[0],
|
|
ob.Asks[0])
|
|
}
|
|
ob, err = holder.GetOrderbook(snapShot3.Pair, snapShot3.Asset)
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
if ob.Asks[0] != snapShot3.Asks[0] {
|
|
t.Errorf("loaded data mismatch. Expected %v, received %v",
|
|
snapShot3.Asks[0],
|
|
ob.Asks[0])
|
|
}
|
|
}
|
|
|
|
func TestGetOrderbook(t *testing.T) {
|
|
holder, _, _, err := createSnapshot()
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
ob, err := holder.GetOrderbook(cp, asset.Spot)
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
bufferOb := holder.ob[cp.Base][cp.Quote][asset.Spot]
|
|
b := bufferOb.ob.Retrieve()
|
|
if bufferOb.ob.GetAskLength() != len(ob.Asks) ||
|
|
bufferOb.ob.GetBidLength() != len(ob.Bids) ||
|
|
b.Asset != ob.Asset ||
|
|
b.Exchange != ob.Exchange ||
|
|
b.LastUpdateID != ob.LastUpdateID ||
|
|
b.PriceDuplication != ob.PriceDuplication ||
|
|
b.Pair != ob.Pair {
|
|
t.Fatal("data on both books should be the same")
|
|
}
|
|
}
|
|
|
|
func TestSetup(t *testing.T) {
|
|
t.Parallel()
|
|
w := Orderbook{}
|
|
err := w.Setup(0, false, false, false, false, true, "", nil)
|
|
if !errors.Is(err, errUnsetExchangeName) {
|
|
t.Fatalf("expected error %v but received %v", errUnsetExchangeName, err)
|
|
}
|
|
|
|
err = w.Setup(0, false, false, false, false, false, "test", nil)
|
|
if !errors.Is(err, errUnsetDataHandler) {
|
|
t.Fatalf("expected error %v but received %v", errUnsetDataHandler, err)
|
|
}
|
|
|
|
err = w.Setup(0, true, false, false, false, true, "test", make(chan interface{}))
|
|
if !errors.Is(err, errIssueBufferEnabledButNoLimit) {
|
|
t.Fatalf("expected error %v but received %v", errIssueBufferEnabledButNoLimit, err)
|
|
}
|
|
|
|
err = w.Setup(1337, true, true, true, true, false, "test", make(chan interface{}))
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
if w.obBufferLimit != 1337 ||
|
|
!w.bufferEnabled ||
|
|
!w.sortBuffer ||
|
|
!w.sortBufferByUpdateIDs ||
|
|
!w.updateEntriesByID ||
|
|
w.exchangeName != "test" {
|
|
t.Errorf("Setup incorrectly loaded %s", w.exchangeName)
|
|
}
|
|
}
|
|
|
|
func TestValidate(t *testing.T) {
|
|
t.Parallel()
|
|
w := Orderbook{}
|
|
err := w.validate(nil)
|
|
if !errors.Is(err, errUpdateIsNil) {
|
|
t.Fatalf("expected error %v but received %v", errUpdateIsNil, err)
|
|
}
|
|
|
|
err = w.validate(&Update{})
|
|
if !errors.Is(err, errUpdateNoTargets) {
|
|
t.Fatalf("expected error %v but received %v", errUpdateNoTargets, err)
|
|
}
|
|
}
|
|
|
|
func TestEnsureMultipleUpdatesViaPrice(t *testing.T) {
|
|
t.Parallel()
|
|
holder, _, _, err := createSnapshot()
|
|
if err != nil {
|
|
t.Error(err)
|
|
}
|
|
|
|
asks := bidAskGenerator()
|
|
book := holder.ob[cp.Base][cp.Quote][asset.Spot]
|
|
book.updateByPrice(&Update{
|
|
Bids: asks,
|
|
Asks: asks,
|
|
Pair: cp,
|
|
UpdateTime: time.Now(),
|
|
Asset: asset.Spot,
|
|
})
|
|
if err != nil {
|
|
t.Error(err)
|
|
}
|
|
|
|
if book.ob.GetAskLength() <= 3 {
|
|
t.Errorf("Insufficient updates")
|
|
}
|
|
}
|
|
|
|
func deploySliceOrdered(size int) orderbook.Items {
|
|
rand.Seed(time.Now().UnixNano())
|
|
var items []orderbook.Item
|
|
for i := 0; i < size; i++ {
|
|
items = append(items, orderbook.Item{Amount: 1, Price: rand.Float64() + float64(i), ID: rand.Int63()}) // nolint:gosec // Not needed for tests
|
|
}
|
|
return items
|
|
}
|
|
|
|
func TestUpdateByIDAndAction(t *testing.T) {
|
|
t.Parallel()
|
|
holder := orderbookHolder{}
|
|
|
|
asks := deploySliceOrdered(100)
|
|
bids := append(asks[:0:0], asks...)
|
|
bids.Reverse()
|
|
|
|
book, err := orderbook.DeployDepth("test", cp, asset.Spot)
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
book.LoadSnapshot(append(bids[:0:0], bids...), append(asks[:0:0], asks...), 0, time.Time{}, true)
|
|
|
|
err = book.Retrieve().Verify()
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
holder.ob = book
|
|
|
|
err = holder.updateByIDAndAction(&Update{})
|
|
if err == nil {
|
|
t.Fatal("error cannot be nil")
|
|
}
|
|
|
|
err = holder.updateByIDAndAction(&Update{
|
|
Action: Amend,
|
|
Bids: []orderbook.Item{
|
|
{
|
|
Price: 100,
|
|
ID: 6969,
|
|
},
|
|
},
|
|
})
|
|
if err == nil {
|
|
t.Fatal("error cannot be nil")
|
|
}
|
|
|
|
// append to slice
|
|
err = holder.updateByIDAndAction(&Update{
|
|
Action: UpdateInsert,
|
|
Bids: []orderbook.Item{
|
|
{
|
|
Price: 0,
|
|
ID: 1337,
|
|
Amount: 1,
|
|
},
|
|
},
|
|
Asks: []orderbook.Item{
|
|
{
|
|
Price: 100,
|
|
ID: 1337,
|
|
Amount: 1,
|
|
},
|
|
},
|
|
})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
cpy := book.Retrieve()
|
|
|
|
if cpy.Bids[len(cpy.Bids)-1].Price != 0 {
|
|
t.Fatal("did not append bid item")
|
|
}
|
|
if cpy.Asks[len(cpy.Asks)-1].Price != 100 {
|
|
t.Fatal("did not append ask item")
|
|
}
|
|
|
|
// Change amount
|
|
err = holder.updateByIDAndAction(&Update{
|
|
Action: UpdateInsert,
|
|
Bids: []orderbook.Item{
|
|
{
|
|
Price: 0,
|
|
ID: 1337,
|
|
Amount: 100,
|
|
},
|
|
},
|
|
Asks: []orderbook.Item{
|
|
{
|
|
Price: 100,
|
|
ID: 1337,
|
|
Amount: 100,
|
|
},
|
|
},
|
|
})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
cpy = book.Retrieve()
|
|
|
|
if cpy.Bids[len(cpy.Bids)-1].Amount != 100 {
|
|
t.Fatal("did not update bid amount", cpy.Bids[len(cpy.Bids)-1].Amount)
|
|
}
|
|
|
|
if cpy.Asks[len(cpy.Asks)-1].Amount != 100 {
|
|
t.Fatal("did not update ask amount")
|
|
}
|
|
|
|
// Change price level
|
|
err = holder.updateByIDAndAction(&Update{
|
|
Action: UpdateInsert,
|
|
Bids: []orderbook.Item{
|
|
{
|
|
Price: 100,
|
|
ID: 1337,
|
|
Amount: 99,
|
|
},
|
|
},
|
|
Asks: []orderbook.Item{
|
|
{
|
|
Price: 0,
|
|
ID: 1337,
|
|
Amount: 99,
|
|
},
|
|
},
|
|
})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
cpy = book.Retrieve()
|
|
|
|
if cpy.Bids[0].Amount != 99 && cpy.Bids[0].Price != 100 {
|
|
t.Fatal("did not adjust bid item placement and details")
|
|
}
|
|
|
|
if cpy.Asks[0].Amount != 99 && cpy.Asks[0].Amount != 0 {
|
|
t.Fatal("did not adjust ask item placement and details")
|
|
}
|
|
|
|
book.LoadSnapshot(append(bids[:0:0], bids...), append(bids[:0:0], bids...), 0, time.Time{}, true) // nolint:gocritic
|
|
|
|
// Delete - not found
|
|
err = holder.updateByIDAndAction(&Update{
|
|
Action: Delete,
|
|
Asks: []orderbook.Item{
|
|
{
|
|
Price: 0,
|
|
ID: 1337,
|
|
Amount: 99,
|
|
},
|
|
},
|
|
})
|
|
if err == nil {
|
|
t.Fatal("error cannot be nil")
|
|
}
|
|
err = holder.updateByIDAndAction(&Update{
|
|
Action: Delete,
|
|
Bids: []orderbook.Item{
|
|
{
|
|
Price: 0,
|
|
ID: 1337,
|
|
Amount: 99,
|
|
},
|
|
},
|
|
})
|
|
if err == nil {
|
|
t.Fatal("error cannot be nil")
|
|
}
|
|
|
|
// Delete - found
|
|
err = holder.updateByIDAndAction(&Update{
|
|
Action: Delete,
|
|
Asks: []orderbook.Item{
|
|
asks[0],
|
|
},
|
|
})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
if book.GetAskLength() != 99 {
|
|
t.Fatal("element not deleted")
|
|
}
|
|
|
|
// Apply update
|
|
err = holder.updateByIDAndAction(&Update{
|
|
Action: Amend,
|
|
Asks: []orderbook.Item{
|
|
{ID: 123456},
|
|
},
|
|
})
|
|
if err == nil {
|
|
t.Fatal("error cannot be nil")
|
|
}
|
|
|
|
update := book.Retrieve().Asks[0]
|
|
update.Amount = 1337
|
|
|
|
err = holder.updateByIDAndAction(&Update{
|
|
Action: Amend,
|
|
Asks: []orderbook.Item{
|
|
update,
|
|
},
|
|
})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
if book.Retrieve().Asks[0].Amount != 1337 {
|
|
t.Fatal("element not updated")
|
|
}
|
|
}
|
|
|
|
func TestFlushOrderbook(t *testing.T) {
|
|
t.Parallel()
|
|
w := &Orderbook{}
|
|
err := w.Setup(5, false, false, false, false, false, "test", make(chan interface{}, 2))
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
var snapShot1 orderbook.Base
|
|
snapShot1.Exchange = "Snapshooooot"
|
|
asks := []orderbook.Item{
|
|
{Price: 4000, Amount: 1, ID: 8},
|
|
}
|
|
bids := []orderbook.Item{
|
|
{Price: 4000, Amount: 1, ID: 9},
|
|
}
|
|
snapShot1.Asks = asks
|
|
snapShot1.Bids = bids
|
|
snapShot1.Asset = asset.Spot
|
|
snapShot1.Pair = cp
|
|
|
|
err = w.FlushOrderbook(cp, asset.Spot)
|
|
if err == nil {
|
|
t.Fatal("book not loaded error cannot be nil")
|
|
}
|
|
|
|
_, err = w.GetOrderbook(cp, asset.Spot)
|
|
if !errors.Is(err, errDepthNotFound) {
|
|
t.Fatalf("expected: %v but received: %v", errDepthNotFound, err)
|
|
}
|
|
|
|
err = w.LoadSnapshot(&snapShot1)
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
err = w.FlushOrderbook(cp, asset.Spot)
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
o, err := w.GetOrderbook(cp, asset.Spot)
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
if len(o.Bids) != 0 || len(o.Asks) != 0 {
|
|
t.Fatal("orderbook items not flushed")
|
|
}
|
|
}
|