forked from f0cii/bybit-api
/
orderbook_local.go
83 lines (67 loc) · 1.39 KB
/
orderbook_local.go
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package ws
import (
"sort"
"sync"
"time"
)
type OrderBookLocal struct {
ob map[string]*OrderBookL2
m sync.Mutex
}
func (o *OrderBookLocal) GetOrderBook() (ob OrderBook) {
for _, v := range o.ob {
switch v.Side {
case "Buy":
ob.Bids = append(ob.Bids, Item{
Price: v.Price,
Amount: float64(v.Size),
})
case "Sell":
ob.Asks = append(ob.Asks, Item{
Price: v.Price,
Amount: float64(v.Size),
})
}
}
sort.Slice(ob.Bids, func(i, j int) bool {
return ob.Bids[i].Price > ob.Bids[j].Price
})
sort.Slice(ob.Asks, func(i, j int) bool {
return ob.Asks[i].Price < ob.Asks[j].Price
})
ob.Timestamp = time.Now()
return
}
func NewOrderBookLocal() *OrderBookLocal {
o := &OrderBookLocal{
ob: make(map[string]*OrderBookL2),
}
return o
}
func (o *OrderBookLocal) LoadSnapshot(newOrderbook []*OrderBookL2) error {
o.m.Lock()
defer o.m.Unlock()
o.ob = make(map[string]*OrderBookL2)
for _, v := range newOrderbook {
o.ob[v.Key()] = v
}
return nil
}
func (o *OrderBookLocal) Update(delta *OrderBookL2Delta) {
o.m.Lock()
defer o.m.Unlock()
for _, elem := range delta.Delete {
delete(o.ob, elem.Key())
}
for _, elem := range delta.Update {
if v, ok := o.ob[elem.Key()]; ok {
// price is same while id is same
// v.Price = elem.Price
v.Size = elem.Size
v.Side = elem.Side
}
}
for _, elem := range delta.Insert {
o.ob[elem.Key()] = elem
}
}