forked from aopoltorzhicky/go_kraken
/
order_book_side.go
181 lines (152 loc) · 4.09 KB
/
order_book_side.go
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package websocket
import (
"bytes"
"sort"
"strings"
"sync"
"github.com/shopspring/decimal"
)
type orderBookLevel struct {
Price decimal.Decimal
Volume decimal.Decimal
}
type byPrice []orderBookLevel
func (a byPrice) Len() int { return len(a) }
func (a byPrice) Less(i, j int) bool { return a[i].Price.Cmp(a[j].Price) == -1 }
func (a byPrice) Swap(i, j int) { a[i], a[j] = a[j], a[i] }
func newOrderBookLevels(m map[string]orderBookLevel, asc bool) []orderBookLevel {
result := make([]orderBookLevel, 0)
for _, value := range m {
result = append(result, value)
}
if asc {
sort.Sort(byPrice(result))
} else {
sort.Sort(sort.Reverse(byPrice(result)))
}
return result
}
// OrderBookSide -
type OrderBookSide struct {
m map[string]orderBookLevel
sorted []orderBookLevel
depth int
pricePrecision int32
volumePrecision int32
isAsk bool
mx *sync.RWMutex
}
func newOrderBookSide(depth, pricePrecision, volumePrecision int, isAsk bool) *OrderBookSide {
return &OrderBookSide{
m: make(map[string]orderBookLevel),
sorted: make([]orderBookLevel, 0),
depth: depth,
pricePrecision: int32(pricePrecision),
volumePrecision: int32(volumePrecision),
isAsk: isAsk,
mx: new(sync.RWMutex),
}
}
func (o *OrderBookSide) applyUpdate(upd OrderBookItem) error {
flValue, err := upd.Volume.Float64()
if err != nil {
return err
}
price := decimal.RequireFromString(upd.Price.String())
key := price.StringFixed(o.pricePrecision)
o.mx.Lock()
if flValue == 0 {
delete(o.m, key)
} else {
o.m[key] = orderBookLevel{
Price: price,
Volume: decimal.RequireFromString(upd.Volume.String()),
}
}
o.mx.Unlock()
return nil
}
func (o *OrderBookSide) applyUpdates(updates []OrderBookItem) error {
for i := range updates {
if err := o.applyUpdate(updates[i]); err != nil {
return err
}
}
o.mx.Lock()
levels := newOrderBookLevels(o.m, o.isAsk)
for _, level := range levels[o.depth:] {
delete(o.m, level.Price.StringFixed(o.pricePrecision))
}
o.sorted = levels[:o.depth]
o.mx.Unlock()
return nil
}
// Get - receives volume by price. If not exists returns false
func (o *OrderBookSide) Get(price decimal.Decimal) (decimal.Decimal, bool) {
o.mx.RLock()
defer o.mx.RUnlock()
key := price.StringFixed(o.pricePrecision)
level, ok := o.m[key]
if !ok {
return decimal.Zero, ok
}
return level.Volume, ok
}
// Range - ranges by order book side from best price to depth
func (o *OrderBookSide) Range(handler func(price, volume decimal.Decimal) error) error {
o.mx.RLock()
defer o.mx.RUnlock()
for i := range o.sorted {
if err := handler(o.sorted[i].Price, o.sorted[i].Volume); err != nil {
return err
}
}
return nil
}
// Best - returns best price and volume at this price. If order book is not initialized it returns Zero
func (o *OrderBookSide) Best() (decimal.Decimal, decimal.Decimal) {
o.mx.RLock()
defer o.mx.RUnlock()
if len(o.sorted) == 0 {
return decimal.Zero, decimal.Zero
}
return o.sorted[0].Price, o.sorted[0].Volume
}
func (o *OrderBookSide) checksum() []byte {
o.mx.RLock()
defer o.mx.RUnlock()
var str bytes.Buffer
for _, level := range o.sorted {
price := level.Price.StringFixed(o.pricePrecision)
price = strings.Replace(price, ".", "", 1)
price = strings.TrimLeft(price, "0")
str.WriteString(price)
volume := level.Volume.StringFixed(o.volumePrecision)
volume = strings.Replace(volume, ".", "", 1)
volume = strings.TrimLeft(volume, "0")
str.WriteString(volume)
}
return str.Bytes()
}
// String -
func (o *OrderBookSide) String() string {
o.mx.RLock()
defer o.mx.RUnlock()
var str strings.Builder
for i := range o.sorted {
str.WriteByte('\t')
if o.pricePrecision > 0 {
str.WriteString(o.sorted[i].Price.StringFixed(o.pricePrecision))
} else {
str.WriteString(o.sorted[i].Price.String())
}
str.WriteString(" [ ")
if o.volumePrecision > 0 {
str.WriteString(o.sorted[i].Volume.StringFixed(o.volumePrecision))
} else {
str.WriteString(o.sorted[i].Volume.String())
}
str.WriteString(" ]\r\n")
}
return str.String()
}