/
market_depth.go
570 lines (502 loc) · 15.7 KB
/
market_depth.go
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494
495
496
497
498
499
500
501
502
503
504
505
506
507
508
509
510
511
512
513
514
515
516
517
518
519
520
521
522
523
524
525
526
527
528
529
530
531
532
533
534
535
536
537
538
539
540
541
542
543
544
545
546
547
548
549
550
551
552
553
554
555
556
557
558
559
560
561
562
563
564
565
566
567
568
569
570
// Copyright (C) 2023 Gobalsky Labs Limited
//
// This program is free software: you can redistribute it and/or modify
// it under the terms of the GNU Affero General Public License as
// published by the Free Software Foundation, either version 3 of the
// License, or (at your option) any later version.
//
// This program is distributed in the hope that it will be useful,
// but WITHOUT ANY WARRANTY; without even the implied warranty of
// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
// GNU Affero General Public License for more details.
//
// You should have received a copy of the GNU Affero General Public License
// along with this program. If not, see <http://www.gnu.org/licenses/>.
package subscribers
import (
"context"
"errors"
"fmt"
"sort"
"sync"
"code.vegaprotocol.io/vega/core/events"
"code.vegaprotocol.io/vega/core/types"
"code.vegaprotocol.io/vega/libs/num"
"code.vegaprotocol.io/vega/logging"
ptypes "code.vegaprotocol.io/vega/protos/vega"
)
type OE interface {
events.Event
Order() *ptypes.Order
}
type priceLevel struct {
// Price of the price level
price *num.Uint
// How many orders are at this level
totalOrders uint64
// How much volume is at this level
totalVolume uint64
// What side of the book is this level
side types.Side
}
// MarketDepth holds all the details about a single markets MarketDepth.
type MarketDepth struct {
// Which market is this for
marketID string
// All of the orders in the order book
liveOrders map[string]*types.Order
// Just the buy side of the book
buySide []*priceLevel
// Just the sell side of the book
sellSide []*priceLevel
// All price levels that have changed in the last update
changes []*priceLevel
// Sequence number is an increment-only value to identify a state
// of the market depth in time. Used when trying to match updates
// to a snapshot dump
sequenceNumber uint64
}
// MarketDepthBuilder is a subscriber of order events
// used to build the live market depth structure.
type MarketDepthBuilder struct {
*Base
mu sync.RWMutex
// Map of all the markets to their market depth
marketDepths map[string]*MarketDepth
// Incrementing counter for subscriberID
subscriberID uint64
// Map of subscriberIds to their channels
subscribers map[uint64]chan<- *types.MarketDepthUpdate
// Logger
log *logging.Logger
}
// NewMarketDepthBuilder constructor to create a market depth subscriber.
func NewMarketDepthBuilder(ctx context.Context, log *logging.Logger, ack bool) *MarketDepthBuilder {
mdb := MarketDepthBuilder{
Base: NewBase(ctx, 10, ack),
log: log,
marketDepths: map[string]*MarketDepth{},
subscribers: map[uint64]chan<- *types.MarketDepthUpdate{},
}
if mdb.isRunning() {
go mdb.loop(mdb.ctx)
}
return &mdb
}
func (mdb *MarketDepthBuilder) loop(ctx context.Context) {
for {
select {
case <-ctx.Done():
mdb.Halt()
return
case e := <-mdb.ch:
if mdb.isRunning() {
mdb.Push(e...)
}
}
}
}
// Push takes order messages and applied them to the makret depth structure.
func (mdb *MarketDepthBuilder) Push(evts ...events.Event) {
for _, e := range evts {
switch et := e.(type) {
case OE:
order, _ := types.OrderFromProto(et.Order())
mdb.updateMarketDepth(order)
default:
mdb.log.Panic("Unknown event type in market depth builder", logging.String("Type", et.Type().String()))
}
}
}
// Types returns all the message types this subscriber wants to receive.
func (mdb *MarketDepthBuilder) Types() []events.Type {
return []events.Type{
events.OrderEvent,
}
}
func (md *MarketDepth) orderExists(orderID string) *types.Order {
return md.liveOrders[orderID]
}
func (md *MarketDepth) removeOrder(order *types.Order) error {
// Find the price level
pl := md.getPriceLevel(order.Side, order.Price)
if pl == nil {
return errors.New("unknown pricelevel")
}
// Update the values
pl.totalOrders--
pl.totalVolume -= order.TrueRemaining()
// See if we can remove this price level
if pl.totalOrders == 0 {
md.removePriceLevel(order)
}
md.changes = append(md.changes, pl)
// Remove the orderID from the list of live orders
delete(md.liveOrders, order.ID)
return nil
}
func (md *MarketDepth) createNewPriceLevel(order *types.Order) *priceLevel {
pl := &priceLevel{
price: order.Price.Clone(),
totalOrders: 1,
totalVolume: order.TrueRemaining(),
side: order.Side,
}
if order.Side == types.SideBuy {
index := sort.Search(len(md.buySide), func(i int) bool { return md.buySide[i].price.LTE(order.Price) })
if index < len(md.buySide) {
// We need to go midslice
md.buySide = append(md.buySide, nil)
copy(md.buySide[index+1:], md.buySide[index:])
md.buySide[index] = pl
} else {
// We can tag on the end
md.buySide = append(md.buySide, pl)
}
} else {
index := sort.Search(len(md.sellSide), func(i int) bool { return md.sellSide[i].price.GTE(order.Price) })
if index < len(md.sellSide) {
// We need to go midslice
md.sellSide = append(md.sellSide, nil)
copy(md.sellSide[index+1:], md.sellSide[index:])
md.sellSide[index] = pl
} else {
// We can tag on the end
md.sellSide = append(md.sellSide, pl)
}
}
return pl
}
func (md *MarketDepth) addOrder(order *types.Order) {
// Cache the orderID
orderCopy := order.Clone()
md.liveOrders[order.ID] = orderCopy
// Update the price level
pl := md.getPriceLevel(order.Side, order.Price)
if pl == nil {
pl = md.createNewPriceLevel(order)
} else {
pl.totalOrders++
pl.totalVolume += order.TrueRemaining()
}
md.changes = append(md.changes, pl)
}
func (md *MarketDepth) updateOrder(originalOrder, newOrder *types.Order) {
// If the price is the same, we can update the original order
if originalOrder.Price.EQ(newOrder.Price) {
if newOrder.TrueRemaining() == 0 {
md.removeOrder(newOrder)
} else {
// Update
pl := md.getPriceLevel(originalOrder.Side, originalOrder.Price)
pl.totalVolume += newOrder.TrueRemaining() - originalOrder.TrueRemaining()
originalOrder.Remaining = newOrder.Remaining
originalOrder.Size = newOrder.Size
// copy across iceberg reserves
if originalOrder.IcebergOrder != nil {
originalOrder.IcebergOrder = newOrder.IcebergOrder.Clone()
}
md.changes = append(md.changes, pl)
}
} else {
md.removeOrder(originalOrder)
if newOrder.TrueRemaining() > 0 {
md.addOrder(newOrder)
}
}
}
func (md *MarketDepth) getPriceLevel(side types.Side, price *num.Uint) *priceLevel {
var i int
if side == types.SideBuy {
// buy side levels should be ordered in descending
i = sort.Search(len(md.buySide), func(i int) bool { return md.buySide[i].price.LTE(price) })
if i < len(md.buySide) && md.buySide[i].price.EQ(price) {
return md.buySide[i]
}
} else {
// sell side levels should be ordered in ascending
i = sort.Search(len(md.sellSide), func(i int) bool { return md.sellSide[i].price.GTE(price) })
if i < len(md.sellSide) && md.sellSide[i].price.EQ(price) {
return md.sellSide[i]
}
}
return nil
}
func (md *MarketDepth) removePriceLevel(order *types.Order) {
var i int
if order.Side == types.SideBuy {
// buy side levels should be ordered in descending
i = sort.Search(len(md.buySide), func(i int) bool { return md.buySide[i].price.LTE(order.Price) })
if i < len(md.buySide) && md.buySide[i].price.EQ(order.Price) {
copy(md.buySide[i:], md.buySide[i+1:])
md.buySide[len(md.buySide)-1] = nil
md.buySide = md.buySide[:len(md.buySide)-1]
}
} else {
// sell side levels should be ordered in ascending
i = sort.Search(len(md.sellSide), func(i int) bool { return md.sellSide[i].price.GTE(order.Price) })
// we found the level just return it.
if i < len(md.sellSide) && md.sellSide[i].price.EQ(order.Price) {
copy(md.sellSide[i:], md.sellSide[i+1:])
md.sellSide[len(md.sellSide)-1] = nil
md.sellSide = md.sellSide[:len(md.sellSide)-1]
}
}
}
func (mdb *MarketDepthBuilder) updateMarketDepth(order *types.Order) {
mdb.mu.Lock()
defer mdb.mu.Unlock()
// Non persistent and network orders do not matter
if order.Type == types.OrderTypeMarket ||
order.TimeInForce == types.OrderTimeInForceFOK ||
order.TimeInForce == types.OrderTimeInForceIOC {
return
}
// Orders that where not valid are ignored
if order.Status == types.OrderStatusUnspecified {
return
}
// See if we already have a MarketDepth item for this market
md := mdb.marketDepths[order.MarketID]
if md == nil {
// First time we have an update for this market
// so we need to create a new MarketDepth
md = &MarketDepth{
marketID: order.MarketID,
liveOrders: map[string]*types.Order{},
}
mdb.marketDepths[order.MarketID] = md
}
// Initialise changes slice ready for new items
md.changes = []*priceLevel{}
// Do we know about this order already?
originalOrder := md.orderExists(order.ID)
if originalOrder != nil {
// Check to see if we are updating the order or removing it
if order.Status == types.OrderStatusCancelled ||
order.Status == types.OrderStatusExpired ||
order.Status == types.OrderStatusStopped ||
order.Status == types.OrderStatusFilled ||
order.Status == types.OrderStatusPartiallyFilled ||
order.Status == types.OrderStatusRejected ||
order.Status == types.OrderStatusParked {
md.removeOrder(originalOrder)
} else {
md.updateOrder(originalOrder, order)
}
} else {
if order.TrueRemaining() > 0 && order.Status == types.OrderStatusActive {
md.addOrder(order)
}
}
// If nothing changed we can stop here
if len(md.changes) == 0 {
return
}
md.sequenceNumber++
buyPtr := []*types.PriceLevel{}
sellPtr := []*types.PriceLevel{}
// Send out market depth updates to any listeners
for _, pl := range md.changes {
if pl.side == types.SideBuy {
buyPtr = append(buyPtr, &types.PriceLevel{
Price: pl.price.Clone(),
NumberOfOrders: pl.totalOrders,
Volume: pl.totalVolume,
})
} else {
sellPtr = append(sellPtr, &types.PriceLevel{
Price: pl.price.Clone(),
NumberOfOrders: pl.totalOrders,
Volume: pl.totalVolume,
})
}
}
marketDepthUpdate := &types.MarketDepthUpdate{
MarketId: order.MarketID,
Buy: types.PriceLevels(buyPtr).IntoProto(),
Sell: types.PriceLevels(sellPtr).IntoProto(),
SequenceNumber: md.sequenceNumber,
}
for _, channel := range mdb.subscribers {
channel <- marketDepthUpdate
}
// Clear the list of changes
md.changes = make([]*priceLevel, 0, len(md.changes))
}
// Returns the min of 2 uint64s.
func min(x, y uint64) uint64 {
if y < x {
return y
}
return x
}
// GetMarketDepth builds up the structure to be sent out to any market depth listeners.
func (mdb *MarketDepthBuilder) GetMarketDepth(ctx context.Context, market string, limit uint64) (*types.MarketDepth, error) {
mdb.mu.RLock()
defer mdb.mu.RUnlock()
md, ok := mdb.marketDepths[market]
if !ok || md == nil {
// When a market is new with no orders there will not be any market depth/order book
// so we do not need to try and calculate the depth cumulative volumes etc
return &types.MarketDepth{
MarketId: market,
Buy: []*ptypes.PriceLevel{},
Sell: []*ptypes.PriceLevel{},
}, nil
}
buyLimit := uint64(len(md.buySide))
sellLimit := uint64(len(md.sellSide))
if limit > 0 {
buyLimit = min(buyLimit, limit)
sellLimit = min(sellLimit, limit)
}
buyPtr := make([]*types.PriceLevel, buyLimit)
sellPtr := make([]*types.PriceLevel, sellLimit)
// Copy the data across
for index, pl := range md.buySide[:buyLimit] {
buyPtr[index] = &types.PriceLevel{
Volume: pl.totalVolume,
NumberOfOrders: pl.totalOrders,
Price: pl.price.Clone(),
}
}
for index, pl := range md.sellSide[:sellLimit] {
sellPtr[index] = &types.PriceLevel{
Volume: pl.totalVolume,
NumberOfOrders: pl.totalOrders,
Price: pl.price.Clone(),
}
}
return &types.MarketDepth{
MarketId: market,
Buy: types.PriceLevels(buyPtr).IntoProto(),
Sell: types.PriceLevels(sellPtr).IntoProto(),
SequenceNumber: md.sequenceNumber,
}, nil
}
/*****************************************************************************/
/* FUNCTIONS TO HELP WITH UNIT TESTING */
/*****************************************************************************/
func (mdb *MarketDepthBuilder) GetAllOrders(market string) map[string]*types.Order {
if md := mdb.marketDepths[market]; md != nil {
return md.liveOrders
}
return nil
}
// GetOrderCount returns the number of live orders for the given market.
func (mdb *MarketDepthBuilder) GetOrderCount(market string) int64 {
var (
liveOrders int64
bookOrders uint64
)
if md := mdb.marketDepths[market]; md != nil {
liveOrders = int64(len(md.liveOrders))
for _, pl := range md.buySide {
bookOrders += pl.totalOrders
}
for _, pl := range md.sellSide {
bookOrders += pl.totalOrders
}
if liveOrders != int64(bookOrders) {
return -1
}
return liveOrders
}
return 0
}
// GetVolumeAtPrice returns the order volume at the given price level.
func (mdb *MarketDepthBuilder) GetVolumeAtPrice(market string, side types.Side, price uint64) uint64 {
if md := mdb.marketDepths[market]; md != nil {
pl := md.getPriceLevel(side, num.NewUint(price))
if pl == nil {
return 0
}
return pl.totalVolume
}
return 0
}
// GetTotalVolume returns the total volume in the order book.
func (mdb *MarketDepthBuilder) GetTotalVolume(market string) int64 {
var volume int64
if md := mdb.marketDepths[market]; md != nil {
for _, pl := range md.buySide {
volume += int64(pl.totalVolume)
}
for _, pl := range md.sellSide {
volume += int64(pl.totalVolume)
}
return volume
}
return 0
}
// GetOrderCountAtPrice returns the number of orders at the given price level.
func (mdb *MarketDepthBuilder) GetOrderCountAtPrice(market string, side types.Side, price uint64) uint64 {
if md := mdb.marketDepths[market]; md != nil {
pl := md.getPriceLevel(side, num.NewUint(price))
if pl == nil {
return 0
}
return pl.totalOrders
}
return 0
}
// GetPriceLevels returns the number of non empty price levels.
func (mdb *MarketDepthBuilder) GetPriceLevels(market string) int {
return mdb.GetBuyPriceLevels(market) + mdb.GetSellPriceLevels(market)
}
// GetBestBidPrice returns the highest bid price in the book.
func (mdb *MarketDepthBuilder) GetBestBidPrice(market string) *num.Uint {
md := mdb.marketDepths[market]
if md != nil {
if len(md.buySide) > 0 {
return md.buySide[0].price.Clone()
}
}
return num.UintZero()
}
// GetBestAskPrice returns the highest bid price in the book.
func (mdb *MarketDepthBuilder) GetBestAskPrice(market string) *num.Uint {
md := mdb.marketDepths[market]
if md != nil {
if len(md.sellSide) > 0 {
return md.sellSide[0].price.Clone()
}
}
return num.UintZero()
}
// GetBuyPriceLevels returns the number of non empty buy price levels.
func (mdb *MarketDepthBuilder) GetBuyPriceLevels(market string) int {
if md := mdb.marketDepths[market]; md != nil {
return len(md.buySide)
}
return 0
}
// GetSellPriceLevels returns the number of non empty sell price levels.
func (mdb *MarketDepthBuilder) GetSellPriceLevels(market string) int {
if md := mdb.marketDepths[market]; md != nil {
return len(md.sellSide)
}
return 0
}
// Subscribe allows a client to register for updates of the market depth book.
func (mdb *MarketDepthBuilder) Subscribe(updates chan<- *types.MarketDepthUpdate) uint64 {
mdb.mu.Lock()
defer mdb.mu.Unlock()
mdb.subscriberID++
mdb.subscribers[mdb.subscriberID] = updates
return mdb.subscriberID
}
// Unsubscribe allows the client to unregister interest in market depth updates.
func (mdb *MarketDepthBuilder) Unsubscribe(id uint64) error {
mdb.mu.Lock()
defer mdb.mu.Unlock()
if len(mdb.subscribers) == 0 {
return nil
}
if _, exists := mdb.subscribers[id]; exists {
delete(mdb.subscribers, id)
return nil
}
return fmt.Errorf("subscriber to market depth updates does not exist with id: %d", id)
}