[TASK 117] Adding orderbook websocket to hitbtc wrapper

saniales · Oct 11, 2018 · 275e92c · 275e92c
1 parent 68edc8f
commit 275e92c
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Showing 3 changed files with 212 additions and 155 deletions.
diff --git a/environment/order.go b/environment/order.go
@@ -16,6 +16,7 @@
 package environment
 
 import (
+	"fmt"
 	"time"
 
 	"github.com/shopspring/decimal"
@@ -37,6 +38,14 @@ type OrderBook struct {
 	Bids []Order `json:"bids,required"`
 }
 
+// String returns the string representation of the object.
+func (book OrderBook) String() string {
+	return fmt.Sprintln("ASKS") +
+		fmt.Sprintln(book.Asks) +
+		fmt.Sprintln("BIDS") +
+		fmt.Sprintln(book.Bids)
+}
+
 //Order represents a single order in the Order Book for a market.
 type Order struct {
 	Value       decimal.Decimal //Value of the trade : e.g. in a BTC ETH is the value of a single ETH in BTC.

diff --git a/exchanges/bitfinex.go b/exchanges/bitfinex.go
@@ -4,6 +4,7 @@ import (
 	"errors"
 	"fmt"
 	"math"
+	"sort"
 	"time"
 
 	"github.com/shopspring/decimal"
@@ -280,7 +281,7 @@ func (wrapper *BitfinexWrapper) FeedConnect(markets []*environment.Market) error
 func (wrapper *BitfinexWrapper) subscribeFeeds(market *environment.Market) {
 	tickers := make(chan []float64)
 	orderbooks := make(chan []float64)
-	trades := make(chan []float64)
+	//trades := make(chan []float64)
 
 	tickerKey := MarketNameFor(market, wrapper)
 
@@ -295,13 +296,14 @@ func (wrapper *BitfinexWrapper) subscribeFeeds(market *environment.Market) {
 	//     VOLUME	float	Daily volume
 	//     HIGH	float	Daily high
 	//     LOW	float	Daily low
-	handleTicker := func(results <-chan []float64, tickerKey string) {
+	handleTicker := func(results <-chan []float64, market *environment.Market) {
 		for {
-
+			fmt.Println("ENTER")
 			values, stillOpen := <-results
 			if !stillOpen {
 				return
 			}
+			fmt.Println("EXIT")
 			if len(values) == 10 { // for client bug : https://github.com/bitfinexcom/bitfinex-api-go/issues/133
 				wrapper.summaries.Set(market, &environment.MarketSummary{
 					Bid:    decimal.NewFromFloat(values[0]),
@@ -315,139 +317,50 @@ func (wrapper *BitfinexWrapper) subscribeFeeds(market *environment.Market) {
 	}
 
 	handleOrderbook := func(results <-chan []float64, m *environment.Market) {
+		orderbookMap := make(map[float64]float64)
 		for {
 			// values : []float64 { PRICE, COUNT, TOTAL_AMOUNT }
-			values, closed := <-results
-			if closed {
+			values, stillOpen := <-results
+			if !stillOpen {
 				return
 			}
 
-			orderbook, initialized := wrapper.orderbook.Get(m)
-			if !initialized {
-				orderbook = &environment.OrderBook{
-					Asks: make([]environment.Order, 0, 25),
-					Bids: make([]environment.Order, 0, 25),
-				}
+			if len(values) != 3 { // for client bug : https://github.com/bitfinexcom/bitfinex-api-go/issues/133
+				continue
 			}
 
-			price := decimal.NewFromFloat(values[0])
+			price := values[0]
 			count := values[1]
-			amount := decimal.NewFromFloat(values[2])
-
-			if count == 0 { // remove price level
-				var temp []environment.Order
-
-				found := false
-				for i, ask := range orderbook.Asks {
-					if found || ask.Value.GreaterThan(price) {
-						break
-					} else if ask.Value.Equals(price) {
-						temp = append(orderbook.Asks[:i], orderbook.Asks[i+1:]...)
-						found = true
-					}
-				}
+			amount := values[2]
 
-				if found {
-					orderbook.Asks = temp
-				} else {
-					var temp []environment.Order
-					for i, bid := range orderbook.Bids {
-						if found || bid.Value.GreaterThan(price) {
-							break
-						} else if bid.Value.Equals(price) {
-							temp = append(orderbook.Bids[:i], orderbook.Bids[i+1:]...)
-							found = true
-						}
-					}
-
-					if found {
-						orderbook.Bids = temp
-					}
-				}
-			} else if amount.GreaterThan(decimal.Zero) { // adding to asks
-				found := false
-				for _, bid := range orderbook.Bids {
-					if found || bid.Value.GreaterThan(price) {
-						break
-					} else if bid.Value.Equals(price) {
-						found = true
-						delta := bid.Quantity.Sub(amount)
-						if amount.GreaterThan(bid.Quantity) {
-							orderbook.Asks = append([]environment.Order{environment.Order{
-								Value:     price,
-								Quantity:  delta,
-								Timestamp: time.Now(),
-							}}, orderbook.Asks...)
-						}
-					}
-				}
-
-				var temp []environment.Order
-				for i, ask := range orderbook.Asks {
-					if found {
-						break
-					} else if ask.Value.GreaterThan(price) {
-						temp = append(orderbook.Asks[:i], environment.Order{
-							Value:     price,
-							Quantity:  amount,
-							Timestamp: time.Now(),
-						})
-						temp = append(temp, orderbook.Asks[i+1:]...)
-
-						found = true
-					} else if ask.Value.Equals(price) {
-						found = true
-						ask.Quantity.Add(amount)
-					}
-				}
+			if count == 0 {
+				delete(orderbookMap, price)
+				continue
+			}
 
-				if temp != nil {
-					orderbook.Asks = temp
-				}
-			} else if amount.LessThan(decimal.Zero) {
-				amount = amount.Abs()
-
-				found := false
-				for _, bid := range orderbook.Asks {
-					if found || bid.Value.GreaterThan(price) {
-						break
-					} else if bid.Value.Equals(price) {
-						found = true
-						delta := bid.Quantity.Sub(amount)
-						if amount.GreaterThan(bid.Quantity) {
-							orderbook.Bids = append([]environment.Order{environment.Order{
-								Value:     price,
-								Quantity:  delta,
-								Timestamp: time.Now(),
-							}}, orderbook.Bids...)
-						}
-					}
-				}
+			orderbookMap[price] += amount
 
-				var temp []environment.Order
-				for i, ask := range orderbook.Bids {
-					if found {
-						break
-					} else if ask.Value.GreaterThan(price) {
-						temp = append(orderbook.Bids[:i], environment.Order{
-							Value:     price,
-							Quantity:  amount,
-							Timestamp: time.Now(),
-						})
-						temp = append(temp, orderbook.Bids[i+1:]...)
-
-						found = true
-					} else if ask.Value.Equals(price) {
-						found = true
-						ask.Quantity.Add(amount)
-					}
-				}
+			orderbook := environment.OrderBook{
+				Asks: make([]environment.Order, 0, 25),
+				Bids: make([]environment.Order, 0, 25),
+			}
 
-				if temp != nil {
-					orderbook.Bids = temp
+			// now let's create the cache
+			for price, amount := range orderbookMap {
+				if amount < 0 {
+					orderbook.Bids = insertSort(orderbook.Bids, environment.Order{
+						Value:    decimal.NewFromFloat(price),
+						Quantity: decimal.NewFromFloat(-amount),
+					}, false)
+				} else if amount > 0 {
+					orderbook.Asks = insertSort(orderbook.Asks, environment.Order{
+						Value:    decimal.NewFromFloat(price),
+						Quantity: decimal.NewFromFloat(amount),
+					}, true)
 				}
 			}
-			wrapper.orderbook.Set(m, orderbook)
+
+			wrapper.orderbook.Set(m, &orderbook)
 		}
 	}
 
@@ -469,12 +382,12 @@ func (wrapper *BitfinexWrapper) subscribeFeeds(market *environment.Market) {
 		}
 	*/
 
-	go handleTicker(tickers, tickerKey)
+	go handleTicker(tickers, market)
 	go handleOrderbook(orderbooks, market)
 
-	wrapper.api.WebSocket.AddSubscribe(bitfinex.ChanTicker, tickerKey, tickers)
+	//wrapper.api.WebSocket.AddSubscribe(bitfinex.ChanTicker, tickerKey, tickers)
 	wrapper.api.WebSocket.AddSubscribe(bitfinex.ChanBook, tickerKey, orderbooks)
-	wrapper.api.WebSocket.AddSubscribe(bitfinex.ChanTrade, tickerKey, trades)
+	//wrapper.api.WebSocket.AddSubscribe(bitfinex.ChanTrade, tickerKey, trades)
 }
 
 // Withdraw performs a withdraw operation from the exchange to a destination address.
@@ -489,3 +402,16 @@ func (wrapper *BitfinexWrapper) Withdraw(destinationAddress string, coinTicker s
 
 	return nil
 }
+
+func insertSort(data []environment.Order, el environment.Order, reverse bool) []environment.Order {
+	index := sort.Search(len(data), func(i int) bool {
+		if reverse {
+			return data[i].Value.LessThan(el.Value)
+		}
+		return data[i].Value.GreaterThan(el.Value)
+	})
+	data = append(data, environment.Order{})
+	copy(data[index+1:], data[index:])
+	data[index] = el
+	return data
+}