mirror of
https://github.com/d0zingcat/gocryptotrader.git
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0440f14179
With the incorrect implementation currently, orderbooks have incorrect entries in them which never get removed. This results in an unsynchronised state, having issues such as bid prices greater than the lowest ask prices The websocket depth updates must be subscribed to before getting a snapshot. Any updates from the websocket that have earlier update ids must be discarded. https://binance-docs.github.io/apidocs/spot/en/#how-to-manage-a-local-order-book-correctly Signed-off-by: David Ackroyd <daveo.ackroyd@gmail.com>
809 lines
20 KiB
Go
809 lines
20 KiB
Go
package wsorderbook
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import (
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"fmt"
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"math/rand"
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"testing"
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"time"
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"github.com/thrasher-corp/gocryptotrader/currency"
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"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
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"github.com/thrasher-corp/gocryptotrader/exchanges/orderbook"
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)
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var itemArray = [][]orderbook.Item{
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{{Price: 1000, Amount: 1, ID: 1}},
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{{Price: 2000, Amount: 1, ID: 2}},
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{{Price: 3000, Amount: 1, ID: 3}},
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{{Price: 3000, Amount: 2, ID: 4}},
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{{Price: 4000, Amount: 0, ID: 6}},
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{{Price: 5000, Amount: 1, ID: 5}},
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}
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var cp = currency.NewPairFromString("BTCUSD")
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const (
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exchangeName = "exchangeTest"
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)
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func createSnapshot() (obl *WebsocketOrderbookLocal, asks, bids []orderbook.Item, err error) {
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var snapShot1 orderbook.Base
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snapShot1.ExchangeName = exchangeName
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asks = []orderbook.Item{
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{Price: 4000, Amount: 1, ID: 6},
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}
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bids = []orderbook.Item{
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{Price: 4000, Amount: 1, ID: 6},
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}
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snapShot1.Asks = asks
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snapShot1.Bids = bids
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snapShot1.AssetType = asset.Spot
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snapShot1.Pair = cp
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obl = &WebsocketOrderbookLocal{exchangeName: exchangeName}
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err = obl.LoadSnapshot(&snapShot1)
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return
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}
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func bidAskGenerator() []orderbook.Item {
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var response []orderbook.Item
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randIterator := 100
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for i := 0; i < randIterator; i++ {
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price := float64(rand.Intn(1000))
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if price == 0 {
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price = 1
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}
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response = append(response, orderbook.Item{
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Amount: float64(rand.Intn(10)),
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Price: price,
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ID: int64(i),
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})
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}
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return response
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}
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func BenchmarkUpdateBidsByPrice(b *testing.B) {
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ob, _, _, err := createSnapshot()
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if err != nil {
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b.Error(err)
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}
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b.ResetTimer()
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for i := 0; i < b.N; i++ {
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bidAsks := bidAskGenerator()
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update := &WebsocketOrderbookUpdate{
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Bids: bidAsks,
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Asks: bidAsks,
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Pair: cp,
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UpdateTime: time.Now(),
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Asset: asset.Spot,
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}
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ob.updateBidsByPrice(ob.ob[cp][asset.Spot], update)
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}
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}
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func BenchmarkUpdateAsksByPrice(b *testing.B) {
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ob, _, _, err := createSnapshot()
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if err != nil {
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b.Error(err)
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}
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b.ResetTimer()
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for i := 0; i < b.N; i++ {
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bidAsks := bidAskGenerator()
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update := &WebsocketOrderbookUpdate{
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Bids: bidAsks,
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Asks: bidAsks,
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Pair: cp,
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UpdateTime: time.Now(),
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Asset: asset.Spot,
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}
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ob.updateAsksByPrice(ob.ob[cp][asset.Spot], update)
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}
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}
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// BenchmarkBufferPerformance demonstrates buffer more performant than multi
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// process calls
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func BenchmarkBufferPerformance(b *testing.B) {
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obl, asks, bids, err := createSnapshot()
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if err != nil {
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b.Fatal(err)
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}
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obl.bufferEnabled = true
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// This is to ensure we do not send in zero orderbook info to our main book
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// in orderbook.go, orderbooks should not be zero even after an update.
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dummyItem := orderbook.Item{
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Amount: 1333337,
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Price: 1337.1337,
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ID: 1337,
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}
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obl.ob[cp][asset.Spot].Bids = append(obl.ob[cp][asset.Spot].Bids, dummyItem)
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update := &WebsocketOrderbookUpdate{
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Bids: bids,
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Asks: asks,
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Pair: cp,
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UpdateTime: time.Now(),
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Asset: asset.Spot,
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}
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b.ResetTimer()
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for i := 0; i < b.N; i++ {
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randomIndex := rand.Intn(4)
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update.Asks = itemArray[randomIndex]
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update.Bids = itemArray[randomIndex]
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err = obl.Update(update)
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if err != nil {
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b.Fatal(err)
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}
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}
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}
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// BenchmarkBufferSortingPerformance benchmark
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func BenchmarkBufferSortingPerformance(b *testing.B) {
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obl, asks, bids, err := createSnapshot()
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if err != nil {
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b.Fatal(err)
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}
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obl.bufferEnabled = true
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obl.sortBuffer = true
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// This is to ensure we do not send in zero orderbook info to our main book
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// in orderbook.go, orderbooks should not be zero even after an update.
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dummyItem := orderbook.Item{
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Amount: 1333337,
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Price: 1337.1337,
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ID: 1337,
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}
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obl.ob[cp][asset.Spot].Bids = append(obl.ob[cp][asset.Spot].Bids, dummyItem)
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update := &WebsocketOrderbookUpdate{
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Bids: bids,
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Asks: asks,
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Pair: cp,
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UpdateTime: time.Now(),
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Asset: asset.Spot,
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}
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b.ResetTimer()
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for i := 0; i < b.N; i++ {
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randomIndex := rand.Intn(4)
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update.Asks = itemArray[randomIndex]
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update.Bids = itemArray[randomIndex]
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err = obl.Update(update)
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if err != nil {
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b.Fatal(err)
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}
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}
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}
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// BenchmarkBufferSortingPerformance benchmark
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func BenchmarkBufferSortingByIDPerformance(b *testing.B) {
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obl, asks, bids, err := createSnapshot()
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if err != nil {
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b.Fatal(err)
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}
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obl.bufferEnabled = true
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obl.sortBuffer = true
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obl.sortBufferByUpdateIDs = true
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// This is to ensure we do not send in zero orderbook info to our main book
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// in orderbook.go, orderbooks should not be zero even after an update.
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dummyItem := orderbook.Item{
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Amount: 1333337,
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Price: 1337.1337,
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ID: 1337,
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}
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obl.ob[cp][asset.Spot].Bids = append(obl.ob[cp][asset.Spot].Bids, dummyItem)
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update := &WebsocketOrderbookUpdate{
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Bids: bids,
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Asks: asks,
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Pair: cp,
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UpdateTime: time.Now(),
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Asset: asset.Spot,
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}
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b.ResetTimer()
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for i := 0; i < b.N; i++ {
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randomIndex := rand.Intn(4)
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update.Asks = itemArray[randomIndex]
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update.Bids = itemArray[randomIndex]
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err = obl.Update(update)
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if err != nil {
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b.Fatal(err)
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}
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}
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}
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// BenchmarkNoBufferPerformance demonstrates orderbook process less performant
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// than buffer
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func BenchmarkNoBufferPerformance(b *testing.B) {
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obl, asks, bids, err := createSnapshot()
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if err != nil {
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b.Fatal(err)
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}
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// This is to ensure we do not send in zero orderbook info to our main book
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// in orderbook.go, orderbooks should not be zero even after an update.
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dummyItem := orderbook.Item{
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Amount: 1333337,
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Price: 1337.1337,
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ID: 1337,
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}
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obl.ob[cp][asset.Spot].Bids = append(obl.ob[cp][asset.Spot].Bids, dummyItem)
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update := &WebsocketOrderbookUpdate{
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Bids: bids,
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Asks: asks,
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Pair: cp,
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UpdateTime: time.Now(),
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Asset: asset.Spot,
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}
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b.ResetTimer()
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for i := 0; i < b.N; i++ {
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randomIndex := rand.Intn(4)
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update.Asks = itemArray[randomIndex]
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update.Bids = itemArray[randomIndex]
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err = obl.Update(update)
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if err != nil {
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b.Fatal(err)
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}
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}
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}
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func TestUpdates(t *testing.T) {
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obl, _, _, err := createSnapshot()
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if err != nil {
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t.Error(err)
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}
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obl.updateAsksByPrice(obl.ob[cp][asset.Spot], &WebsocketOrderbookUpdate{
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Bids: itemArray[5],
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Asks: itemArray[5],
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Pair: cp,
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UpdateTime: time.Now(),
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Asset: asset.Spot,
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})
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if err != nil {
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t.Error(err)
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}
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obl.updateAsksByPrice(obl.ob[cp][asset.Spot], &WebsocketOrderbookUpdate{
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Bids: itemArray[0],
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Asks: itemArray[0],
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Pair: cp,
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UpdateTime: time.Now(),
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Asset: asset.Spot,
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})
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if err != nil {
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t.Error(err)
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}
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if len(obl.ob[cp][asset.Spot].Asks) != 3 {
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t.Error("Did not update")
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}
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}
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// TestHittingTheBuffer logic test
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func TestHittingTheBuffer(t *testing.T) {
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obl, _, _, err := createSnapshot()
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if err != nil {
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t.Fatal(err)
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}
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obl.bufferEnabled = true
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obl.obBufferLimit = 5
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for i := range itemArray {
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asks := itemArray[i]
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bids := itemArray[i]
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err = obl.Update(&WebsocketOrderbookUpdate{
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Bids: bids,
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Asks: asks,
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Pair: cp,
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UpdateTime: time.Now(),
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Asset: asset.Spot,
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})
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if err != nil {
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t.Fatal(err)
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}
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}
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if len(obl.ob[cp][asset.Spot].Asks) != 3 {
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t.Log(obl.ob[cp][asset.Spot])
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t.Errorf("expected 3 entries, received: %v",
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len(obl.ob[cp][asset.Spot].Asks))
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}
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if len(obl.ob[cp][asset.Spot].Bids) != 3 {
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t.Errorf("expected 3 entries, received: %v",
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len(obl.ob[cp][asset.Spot].Bids))
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}
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}
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// TestInsertWithIDs logic test
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func TestInsertWithIDs(t *testing.T) {
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obl, _, _, err := createSnapshot()
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if err != nil {
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t.Fatal(err)
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}
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obl.bufferEnabled = true
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obl.updateEntriesByID = true
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obl.obBufferLimit = 5
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for i := range itemArray {
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asks := itemArray[i]
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bids := itemArray[i]
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err = obl.Update(&WebsocketOrderbookUpdate{
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Bids: bids,
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Asks: asks,
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Pair: cp,
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UpdateTime: time.Now(),
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Asset: asset.Spot,
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Action: "insert",
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})
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if err != nil {
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t.Fatal(err)
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}
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}
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if len(obl.ob[cp][asset.Spot].Asks) != 6 {
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t.Errorf("expected 6 entries, received: %v",
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len(obl.ob[cp][asset.Spot].Asks))
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}
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if len(obl.ob[cp][asset.Spot].Bids) != 6 {
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t.Errorf("expected 6 entries, received: %v",
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len(obl.ob[cp][asset.Spot].Bids))
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}
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}
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// TestSortIDs logic test
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func TestSortIDs(t *testing.T) {
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obl, _, _, err := createSnapshot()
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if err != nil {
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t.Fatal(err)
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}
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obl.bufferEnabled = true
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obl.sortBufferByUpdateIDs = true
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obl.sortBuffer = true
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obl.obBufferLimit = 5
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for i := range itemArray {
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asks := itemArray[i]
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bids := itemArray[i]
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err = obl.Update(&WebsocketOrderbookUpdate{
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Bids: bids,
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Asks: asks,
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Pair: cp,
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UpdateID: int64(i),
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Asset: asset.Spot,
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})
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if err != nil {
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t.Fatal(err)
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}
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}
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if len(obl.ob[cp][asset.Spot].Asks) != 3 {
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t.Errorf("expected 3 entries, received: %v",
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len(obl.ob[cp][asset.Spot].Asks))
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}
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if len(obl.ob[cp][asset.Spot].Bids) != 3 {
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t.Errorf("expected 3 entries, received: %v",
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len(obl.ob[cp][asset.Spot].Bids))
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}
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}
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// TestDeleteWithIDs logic test
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func TestDeleteWithIDs(t *testing.T) {
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obl, _, _, err := createSnapshot()
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if err != nil {
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t.Fatal(err)
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}
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// This is to ensure we do not send in zero orderbook info to our main book
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// in orderbook.go, orderbooks should not be zero even after an update.
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dummyItem := orderbook.Item{
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Amount: 1333337,
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Price: 1337.1337,
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ID: 1337,
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}
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obl.ob[cp][asset.Spot].Bids = append(obl.ob[cp][asset.Spot].Bids, dummyItem)
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obl.ob[cp][asset.Spot].Asks = append(obl.ob[cp][asset.Spot].Asks,
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itemArray[2][0])
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obl.ob[cp][asset.Spot].Asks = append(obl.ob[cp][asset.Spot].Asks,
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itemArray[1][0])
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obl.updateEntriesByID = true
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for i := range itemArray {
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asks := itemArray[i]
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bids := itemArray[i]
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err = obl.Update(&WebsocketOrderbookUpdate{
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Bids: bids,
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Asks: asks,
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Pair: cp,
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UpdateTime: time.Now(),
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Asset: asset.Spot,
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Action: "delete",
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})
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if err != nil {
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t.Fatal(err)
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}
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}
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if len(obl.ob[cp][asset.Spot].Asks) != 0 {
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t.Errorf("expected 0 entries, received: %v",
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len(obl.ob[cp][asset.Spot].Asks))
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}
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if len(obl.ob[cp][asset.Spot].Bids) != 1 {
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t.Errorf("expected 1 entries, received: %v",
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len(obl.ob[cp][asset.Spot].Bids))
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}
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}
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// TestUpdateWithIDs logic test
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func TestUpdateWithIDs(t *testing.T) {
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obl, _, _, err := createSnapshot()
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if err != nil {
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t.Fatal(err)
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}
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obl.updateEntriesByID = true
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for i := range itemArray {
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asks := itemArray[i]
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bids := itemArray[i]
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err = obl.Update(&WebsocketOrderbookUpdate{
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Bids: bids,
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Asks: asks,
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Pair: cp,
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UpdateTime: time.Now(),
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Asset: asset.Spot,
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Action: "update",
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})
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if err != nil {
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t.Fatal(err)
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}
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}
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if len(obl.ob[cp][asset.Spot].Asks) != 1 {
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t.Log(obl.ob[cp][asset.Spot])
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t.Errorf("expected 1 entries, received: %v",
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len(obl.ob[cp][asset.Spot].Asks))
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}
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if len(obl.ob[cp][asset.Spot].Bids) != 1 {
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t.Errorf("expected 1 entries, received: %v",
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len(obl.ob[cp][asset.Spot].Bids))
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}
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}
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// TestOutOfOrderIDs logic test
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func TestOutOfOrderIDs(t *testing.T) {
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obl, _, _, err := createSnapshot()
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if err != nil {
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t.Fatal(err)
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}
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outOFOrderIDs := []int64{2, 1, 5, 3, 4, 6, 7}
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if itemArray[0][0].Price != 1000 {
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t.Errorf("expected sorted price to be 3000, received: %v",
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itemArray[1][0].Price)
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}
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obl.bufferEnabled = true
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obl.sortBuffer = true
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obl.obBufferLimit = 5
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for i := range itemArray {
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asks := itemArray[i]
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err = obl.Update(&WebsocketOrderbookUpdate{
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Asks: asks,
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Pair: cp,
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UpdateID: outOFOrderIDs[i],
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Asset: asset.Spot,
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})
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if err != nil {
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t.Fatal(err)
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}
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}
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// Index 1 since index 0 is price 7000
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if obl.ob[cp][asset.Spot].Asks[1].Price != 2000 {
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t.Errorf("expected sorted price to be 3000, received: %v",
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obl.ob[cp][asset.Spot].Asks[1].Price)
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}
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}
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func TestOrderbookLastUpdateID(t *testing.T) {
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obl, _, _, err := createSnapshot()
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if err != nil {
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t.Fatal(err)
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}
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if exp := float64(1000); itemArray[0][0].Price != exp {
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t.Errorf("expected sorted price to be %f, received: %v",
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exp, itemArray[1][0].Price)
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}
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for i := range itemArray {
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asks := itemArray[i]
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err = obl.Update(&WebsocketOrderbookUpdate{
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Asks: asks,
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Pair: cp,
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UpdateID: int64(i) + 1,
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Asset: asset.Spot,
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})
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if err != nil {
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t.Fatal(err)
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}
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}
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ob := obl.GetOrderbook(cp, asset.Spot)
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if exp := len(itemArray); ob.LastUpdateID != int64(exp) {
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t.Errorf("expected last update id to be %d, received: %v", exp, ob.LastUpdateID)
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}
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}
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// TestRunUpdateWithoutSnapshot logic test
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func TestRunUpdateWithoutSnapshot(t *testing.T) {
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var obl WebsocketOrderbookLocal
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var snapShot1 orderbook.Base
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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.AssetType = asset.Spot
|
|
snapShot1.Pair = cp
|
|
obl.exchangeName = exchangeName
|
|
err := obl.Update(&WebsocketOrderbookUpdate{
|
|
Bids: bids,
|
|
Asks: asks,
|
|
Pair: cp,
|
|
UpdateTime: time.Now(),
|
|
Asset: asset.Spot,
|
|
})
|
|
if err == nil {
|
|
t.Fatal("expected an error running update with no snapshot loaded")
|
|
}
|
|
if err.Error() != "ob.Base could not be found for Exchange exchangeTest CurrencyPair: BTCUSD AssetType: spot" {
|
|
t.Fatal(err)
|
|
}
|
|
}
|
|
|
|
// TestRunUpdateWithoutAnyUpdates logic test
|
|
func TestRunUpdateWithoutAnyUpdates(t *testing.T) {
|
|
var obl WebsocketOrderbookLocal
|
|
var snapShot1 orderbook.Base
|
|
snapShot1.Asks = []orderbook.Item{}
|
|
snapShot1.Bids = []orderbook.Item{}
|
|
snapShot1.AssetType = asset.Spot
|
|
snapShot1.Pair = cp
|
|
obl.exchangeName = exchangeName
|
|
err := obl.Update(&WebsocketOrderbookUpdate{
|
|
Bids: snapShot1.Asks,
|
|
Asks: snapShot1.Bids,
|
|
Pair: cp,
|
|
UpdateTime: time.Now(),
|
|
Asset: asset.Spot,
|
|
})
|
|
if err == nil {
|
|
t.Fatal("expected an error running update with no snapshot loaded")
|
|
}
|
|
if err.Error() != fmt.Sprintf("%v cannot have bids and ask targets both nil",
|
|
exchangeName) {
|
|
t.Fatal("expected nil asks and bids error")
|
|
}
|
|
}
|
|
|
|
// TestRunSnapshotWithNoData logic test
|
|
func TestRunSnapshotWithNoData(t *testing.T) {
|
|
var obl WebsocketOrderbookLocal
|
|
var snapShot1 orderbook.Base
|
|
snapShot1.Asks = []orderbook.Item{}
|
|
snapShot1.Bids = []orderbook.Item{}
|
|
snapShot1.AssetType = asset.Spot
|
|
snapShot1.Pair = cp
|
|
snapShot1.ExchangeName = "test"
|
|
obl.exchangeName = "test"
|
|
err := obl.LoadSnapshot(&snapShot1)
|
|
if err == nil {
|
|
t.Fatal("expected an error loading a snapshot")
|
|
}
|
|
if err.Error() != "test snapshot ask and bids are nil" {
|
|
t.Fatal(err)
|
|
}
|
|
}
|
|
|
|
// TestLoadSnapshot logic test
|
|
func TestLoadSnapshot(t *testing.T) {
|
|
var obl WebsocketOrderbookLocal
|
|
var snapShot1 orderbook.Base
|
|
snapShot1.ExchangeName = "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.AssetType = asset.Spot
|
|
snapShot1.Pair = cp
|
|
err := obl.LoadSnapshot(&snapShot1)
|
|
if err != nil {
|
|
t.Error(err)
|
|
}
|
|
}
|
|
|
|
// TestFlushCache logic test
|
|
func TestFlushCache(t *testing.T) {
|
|
obl, _, _, err := createSnapshot()
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
if obl.ob[cp][asset.Spot] == nil {
|
|
t.Error("expected ob to have ask entries")
|
|
}
|
|
obl.FlushCache()
|
|
if obl.ob[cp][asset.Spot] != nil {
|
|
t.Error("expected ob be flushed")
|
|
}
|
|
}
|
|
|
|
// TestInsertingSnapShots logic test
|
|
func TestInsertingSnapShots(t *testing.T) {
|
|
var obl WebsocketOrderbookLocal
|
|
var snapShot1 orderbook.Base
|
|
snapShot1.ExchangeName = "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.AssetType = asset.Spot
|
|
snapShot1.Pair = cp
|
|
err := obl.LoadSnapshot(&snapShot1)
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
var snapShot2 orderbook.Base
|
|
snapShot2.ExchangeName = "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.Bids = bids
|
|
snapShot2.AssetType = asset.Spot
|
|
snapShot2.Pair = currency.NewPairFromString("LTCUSD")
|
|
err = obl.LoadSnapshot(&snapShot2)
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
var snapShot3 orderbook.Base
|
|
snapShot3.ExchangeName = "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.Bids = bids
|
|
snapShot3.AssetType = "FUTURES"
|
|
snapShot3.Pair = currency.NewPairFromString("LTCUSD")
|
|
err = obl.LoadSnapshot(&snapShot3)
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
if obl.ob[snapShot1.Pair][snapShot1.AssetType].Asks[0] != snapShot1.Asks[0] {
|
|
t.Errorf("loaded data mismatch. Expected %v, received %v",
|
|
snapShot1.Asks[0],
|
|
obl.ob[snapShot1.Pair][snapShot1.AssetType].Asks[0])
|
|
}
|
|
if obl.ob[snapShot2.Pair][snapShot2.AssetType].Asks[0] != snapShot2.Asks[0] {
|
|
t.Errorf("loaded data mismatch. Expected %v, received %v",
|
|
snapShot2.Asks[0],
|
|
obl.ob[snapShot2.Pair][snapShot2.AssetType].Asks[0])
|
|
}
|
|
if obl.ob[snapShot3.Pair][snapShot3.AssetType].Asks[0] != snapShot3.Asks[0] {
|
|
t.Errorf("loaded data mismatch. Expected %v, received %v",
|
|
snapShot3.Asks[0],
|
|
obl.ob[snapShot3.Pair][snapShot3.AssetType].Asks[0])
|
|
}
|
|
}
|
|
|
|
func TestGetOrderbook(t *testing.T) {
|
|
obl, _, _, err := createSnapshot()
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
ob := obl.GetOrderbook(cp, asset.Spot)
|
|
if obl.ob[cp][asset.Spot] != ob {
|
|
t.Error("Failed to get orderbook")
|
|
}
|
|
}
|
|
|
|
func TestSetup(t *testing.T) {
|
|
w := WebsocketOrderbookLocal{}
|
|
w.Setup(1, true, true, true, true, "hi")
|
|
if w.obBufferLimit != 1 ||
|
|
!w.bufferEnabled ||
|
|
!w.sortBuffer ||
|
|
!w.sortBufferByUpdateIDs ||
|
|
!w.updateEntriesByID ||
|
|
w.exchangeName != "hi" {
|
|
t.Errorf("Setup incorrectly loaded %s", w.exchangeName)
|
|
}
|
|
}
|
|
|
|
func TestEnsureMultipleUpdatesViaPrice(t *testing.T) {
|
|
obl, _, _, err := createSnapshot()
|
|
if err != nil {
|
|
t.Error(err)
|
|
}
|
|
|
|
asks := bidAskGenerator()
|
|
obl.updateAsksByPrice(obl.ob[cp][asset.Spot], &WebsocketOrderbookUpdate{
|
|
Bids: asks,
|
|
Asks: asks,
|
|
Pair: cp,
|
|
UpdateTime: time.Now(),
|
|
Asset: asset.Spot,
|
|
})
|
|
if err != nil {
|
|
t.Error(err)
|
|
}
|
|
|
|
if len(obl.ob[cp][asset.Spot].Asks) <= 3 {
|
|
t.Errorf("Insufficient updates")
|
|
}
|
|
}
|