orderbook.go

package orderbook

import (
	"fmt"
	"sort"
	"strings"
	"time"

	"github.com/thrasher-corp/gocryptotrader/common/key"
	"github.com/thrasher-corp/gocryptotrader/currency"
	"github.com/thrasher-corp/gocryptotrader/dispatch"
	"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
	"github.com/thrasher-corp/gocryptotrader/log"
)

// Get checks and returns the orderbook given an exchange name and currency pair
func Get(exchange string, p currency.Pair, a asset.Item) (*Base, error) {
	return service.Retrieve(exchange, p, a)
}

// GetDepth returns a Depth pointer allowing the caller to stream orderbook changes
func GetDepth(exchange string, p currency.Pair, a asset.Item) (*Depth, error) {
	return service.GetDepth(exchange, p, a)
}

// DeployDepth sets a depth struct and returns a depth pointer. This allows for
// the loading of a new orderbook snapshot and incremental updates via the
// streaming package.
func DeployDepth(exchange string, p currency.Pair, a asset.Item) (*Depth, error) {
	return service.DeployDepth(exchange, p, a)
}

// SubscribeToExchangeOrderbooks returns a pipe to an exchange feed
func SubscribeToExchangeOrderbooks(exchange string) (dispatch.Pipe, error) {
	service.mu.Lock()
	defer service.mu.Unlock()
	exch, ok := service.books[strings.ToLower(exchange)]
	if !ok {
		return dispatch.Pipe{}, fmt.Errorf("%w for %s exchange",
			errCannotFindOrderbook, exchange)
	}
	return service.Mux.Subscribe(exch.ID)
}

// Update stores orderbook data
func (s *Service) Update(b *Base) error {
	name := strings.ToLower(b.Exchange)
	mapKey := key.PairAsset{
		Base:  b.Pair.Base.Item,
		Quote: b.Pair.Quote.Item,
		Asset: b.Asset,
	}

	s.mu.Lock()
	m1, ok := s.books[name]
	if !ok {
		id, err := s.Mux.GetID()
		if err != nil {
			s.mu.Unlock()
			return err
		}
		m1 = Exchange{
			m:  make(map[key.PairAsset]*Depth),
			ID: id,
		}
		s.books[name] = m1
	}
	book, ok := m1.m[mapKey]
	if !ok {
		book = NewDepth(m1.ID)
		book.AssignOptions(b)
		m1.m[mapKey] = book
	}
	err := book.LoadSnapshot(b.Bids, b.Asks, b.LastUpdateID, b.LastUpdated, true)
	s.mu.Unlock()
	if err != nil {
		return err
	}
	return s.Mux.Publish(book, m1.ID)
}

// DeployDepth used for subsystem deployment creates a depth item in the struct
// then returns a ptr to that Depth item
func (s *Service) DeployDepth(exchange string, p currency.Pair, a asset.Item) (*Depth, error) {
	if exchange == "" {
		return nil, errExchangeNameUnset
	}
	if p.IsEmpty() {
		return nil, errPairNotSet
	}
	if !a.IsValid() {
		return nil, errAssetTypeNotSet
	}
	mapKey := key.PairAsset{
		Base:  p.Base.Item,
		Quote: p.Quote.Item,
		Asset: a,
	}

	s.mu.Lock()
	defer s.mu.Unlock()
	m1, ok := s.books[strings.ToLower(exchange)]
	if !ok {
		id, err := s.Mux.GetID()
		if err != nil {
			return nil, err
		}
		m1 = Exchange{
			m:  make(map[key.PairAsset]*Depth),
			ID: id,
		}
		s.books[strings.ToLower(exchange)] = m1
	}
	book, ok := m1.m[mapKey]
	if !ok {
		book = NewDepth(m1.ID)
		book.exchange = exchange
		book.pair = p
		book.asset = a
		m1.m[mapKey] = book
	}
	return book, nil
}

// GetDepth returns the actual depth struct for potential subsystems and
// strategies to interact with
func (s *Service) GetDepth(exchange string, p currency.Pair, a asset.Item) (*Depth, error) {
	s.mu.Lock()
	defer s.mu.Unlock()
	m1, ok := s.books[strings.ToLower(exchange)]
	if !ok {
		return nil, fmt.Errorf("%w for %s exchange",
			errCannotFindOrderbook, exchange)
	}

	book, ok := m1.m[key.PairAsset{
		Base:  p.Base.Item,
		Quote: p.Quote.Item,
		Asset: a,
	}]
	if !ok {
		return nil, fmt.Errorf("%w associated with base currency %s",
			errCannotFindOrderbook,
			p.Quote)
	}
	return book, nil
}

// Retrieve gets orderbook depth data from the stored tranches and returns the
// base equivalent copy
func (s *Service) Retrieve(exchange string, p currency.Pair, a asset.Item) (*Base, error) {
	if p.IsEmpty() {
		return nil, currency.ErrCurrencyPairEmpty
	}
	if !a.IsValid() {
		return nil, fmt.Errorf("%w %v", asset.ErrNotSupported, a)
	}

	s.mu.Lock()
	defer s.mu.Unlock()
	m1, ok := s.books[strings.ToLower(exchange)]
	if !ok {
		return nil, fmt.Errorf("%w for %s exchange",
			errCannotFindOrderbook,
			exchange)
	}
	book, ok := m1.m[key.PairAsset{
		Base:  p.Base.Item,
		Quote: p.Quote.Item,
		Asset: a,
	}]
	if !ok {
		return nil, fmt.Errorf("%w associated with base currency %s",
			errCannotFindOrderbook,
			p.Quote)
	}
	return book.Retrieve()
}

// GetDepth returns the concrete book allowing the caller to stream orderbook changes
func (b *Base) GetDepth() (*Depth, error) {
	return service.GetDepth(b.Exchange, b.Pair, b.Asset)
}

// TotalBidsAmount returns the total amount of bids and the total orderbook
// bids value
func (b *Base) TotalBidsAmount() (amountCollated, total float64) {
	for x := range b.Bids {
		amountCollated += b.Bids[x].Amount
		total += b.Bids[x].Amount * b.Bids[x].Price
	}
	return amountCollated, total
}

// TotalAsksAmount returns the total amount of asks and the total orderbook
// asks value
func (b *Base) TotalAsksAmount() (amountCollated, total float64) {
	for y := range b.Asks {
		amountCollated += b.Asks[y].Amount
		total += b.Asks[y].Amount * b.Asks[y].Price
	}
	return amountCollated, total
}

// Verify ensures that the orderbook items are correctly sorted prior to being
// set and will reject any book with incorrect values.
// Bids should always go from a high price to a low price and
// Asks should always go from a low price to a higher price
func (b *Base) Verify() error {
	if !b.VerifyOrderbook {
		return nil
	}

	// Checking for both ask and bid lengths being zero has been removed and
	// a warning has been put in place for some exchanges that return zero
	// level books. In the event that there is a massive liquidity change where
	// a book dries up, this will still update so we do not traverse potential
	// incorrect old data.
	if len(b.Asks) == 0 || len(b.Bids) == 0 {
		log.Warnf(log.OrderBook,
			bookLengthIssue,
			b.Exchange,
			b.Pair,
			b.Asset,
			len(b.Bids),
			len(b.Asks))
	}
	err := checkAlignment(b.Bids, b.IsFundingRate, b.PriceDuplication, b.IDAlignment, b.ChecksumStringRequired, dsc, b.Exchange)
	if err != nil {
		return fmt.Errorf(bidLoadBookFailure, b.Exchange, b.Pair, b.Asset, err)
	}
	err = checkAlignment(b.Asks, b.IsFundingRate, b.PriceDuplication, b.IDAlignment, b.ChecksumStringRequired, asc, b.Exchange)
	if err != nil {
		return fmt.Errorf(askLoadBookFailure, b.Exchange, b.Pair, b.Asset, err)
	}
	return nil
}

// checker defines specific functionality to determine ascending/descending
// validation
type checker func(current Tranche, previous Tranche) error

// asc specifically defines ascending price check
var asc = func(current Tranche, previous Tranche) error {
	if current.Price < previous.Price {
		return errPriceOutOfOrder
	}
	return nil
}

// dsc specifically defines descending price check
var dsc = func(current Tranche, previous Tranche) error {
	if current.Price > previous.Price {
		return errPriceOutOfOrder
	}
	return nil
}

// checkAlignment validates full orderbook
func checkAlignment(depth Tranches, fundingRate, priceDuplication, isIDAligned, requiresChecksumString bool, c checker, exch string) error {
	for i := range depth {
		if depth[i].Price == 0 {
			switch {
			case exch == "Bitfinex" && fundingRate: /* funding rate can be 0 it seems on Bitfinex */
			default:
				return errPriceNotSet
			}
		}

		if depth[i].Amount <= 0 {
			return errAmountInvalid
		}
		if fundingRate && depth[i].Period == 0 {
			return errPeriodUnset
		}
		if requiresChecksumString && (depth[i].StrAmount == "" || depth[i].StrPrice == "") {
			return errChecksumStringNotSet
		}

		if i != 0 {
			prev := i - 1
			if err := c(depth[i], depth[prev]); err != nil {
				return err
			}
			if isIDAligned && depth[i].ID < depth[prev].ID {
				return errIDOutOfOrder
			}
			if !priceDuplication && depth[i].Price == depth[prev].Price {
				return errDuplication
			}
			if depth[i].ID != 0 && depth[i].ID == depth[prev].ID {
				return errIDDuplication
			}
		}
	}
	return nil
}

// Process processes incoming orderbooks, creating or updating the orderbook
// list
func (b *Base) Process() error {
	if b.Exchange == "" {
		return errExchangeNameUnset
	}

	if b.Pair.IsEmpty() {
		return errPairNotSet
	}

	if b.Asset.String() == "" {
		return errAssetTypeNotSet
	}

	if b.LastUpdated.IsZero() {
		b.LastUpdated = time.Now()
	}

	if err := b.Verify(); err != nil {
		return err
	}
	return service.Update(b)
}

// Reverse reverses the order of orderbook items; some bid/asks are
// returned in either ascending or descending order. One bid or ask slice
// depending on what's received can be reversed. This is usually faster than
// using a sort algorithm as the algorithm could be impeded by a worst case time
// complexity when elements are shifted as opposed to just swapping element
// values.
func (ts *Tranches) Reverse() {
	eLen := len(*ts)
	var target int
	for i := eLen/2 - 1; i >= 0; i-- {
		target = eLen - 1 - i
		(*ts)[i], (*ts)[target] = (*ts)[target], (*ts)[i]
	}
}

// SortAsks sorts ask items to the correct ascending order if pricing values are
// scattered. If order from exchange is descending consider using the Reverse
// function.
func (ts Tranches) SortAsks() {
	sort.Slice(ts, func(i, j int) bool { return ts[i].Price < ts[j].Price })
}

// SortBids sorts bid items to the correct descending order if pricing values
// are scattered. If order from exchange is ascending consider using the Reverse
// function.
func (ts Tranches) SortBids() {
	sort.Slice(ts, func(i, j int) bool { return ts[i].Price > ts[j].Price })
}