orderbook: export NewDepth(), add methods to orderbook.Unsafe type (t…

…hrasher-corp#907) * orderbook: export NewDepth function, return unsafe pointer * orderbook: Add unsafe methods and liquidity checks * Update exchanges/orderbook/unsafe.go Co-authored-by: Scott <[email protected]> * orderbook: addr nits * orderbook: update comments * Update exchanges/orderbook/unsafe.go Co-authored-by: Adrian Gallagher <[email protected]> * Update exchanges/orderbook/unsafe.go Co-authored-by: Adrian Gallagher <[email protected]> Co-authored-by: Scott <[email protected]> Co-authored-by: Adrian Gallagher <[email protected]>
0x1be20 · Mar 25, 2022 · 489e2eb · 489e2eb
1 parent c84bc86
commit 489e2eb
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Showing 5 changed files with 330 additions and 17 deletions.
diff --git a/exchanges/orderbook/depth.go b/exchanges/orderbook/depth.go
@@ -28,7 +28,7 @@ type Depth struct {
 }
 
 // NewDepth returns a new depth item
-func newDepth(id uuid.UUID) *Depth {
+func NewDepth(id uuid.UUID) *Depth {
 	return &Depth{
 		stack: newStack(),
 		id:    id,

diff --git a/exchanges/orderbook/depth_test.go b/exchanges/orderbook/depth_test.go
@@ -14,7 +14,7 @@ import (
 var id, _ = uuid.NewV4()
 
 func TestGetLength(t *testing.T) {
-	d := newDepth(id)
+	d := NewDepth(id)
 	if d.GetAskLength() != 0 {
 		t.Errorf("expected len %v, but received %v", 0, d.GetAskLength())
 	}
@@ -25,7 +25,7 @@ func TestGetLength(t *testing.T) {
 		t.Errorf("expected len %v, but received %v", 1, d.GetAskLength())
 	}
 
-	d = newDepth(id)
+	d = NewDepth(id)
 	if d.GetBidLength() != 0 {
 		t.Errorf("expected len %v, but received %v", 0, d.GetBidLength())
 	}
@@ -38,7 +38,7 @@ func TestGetLength(t *testing.T) {
 }
 
 func TestRetrieve(t *testing.T) {
-	d := newDepth(id)
+	d := NewDepth(id)
 	d.asks.load([]Item{{Price: 1337}}, d.stack)
 	d.bids.load([]Item{{Price: 1337}}, d.stack)
 	d.options = options{
@@ -75,7 +75,7 @@ func TestRetrieve(t *testing.T) {
 }
 
 func TestTotalAmounts(t *testing.T) {
-	d := newDepth(id)
+	d := NewDepth(id)
 
 	liquidity, value := d.TotalBidAmounts()
 	if liquidity != 0 || value != 0 {
@@ -118,15 +118,15 @@ func TestTotalAmounts(t *testing.T) {
 }
 
 func TestLoadSnapshot(t *testing.T) {
-	d := newDepth(id)
+	d := NewDepth(id)
 	d.LoadSnapshot(Items{{Price: 1337, Amount: 1}}, Items{{Price: 1337, Amount: 10}}, 0, time.Time{}, false)
 	if d.Retrieve().Asks[0].Price != 1337 || d.Retrieve().Bids[0].Price != 1337 {
 		t.Fatal("not set")
 	}
 }
 
 func TestFlush(t *testing.T) {
-	d := newDepth(id)
+	d := NewDepth(id)
 	d.LoadSnapshot(Items{{Price: 1337, Amount: 1}}, Items{{Price: 1337, Amount: 10}}, 0, time.Time{}, false)
 	d.Flush()
 	if len(d.Retrieve().Asks) != 0 || len(d.Retrieve().Bids) != 0 {
@@ -140,7 +140,7 @@ func TestFlush(t *testing.T) {
 }
 
 func TestUpdateBidAskByPrice(t *testing.T) {
-	d := newDepth(id)
+	d := NewDepth(id)
 	d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Time{}, false)
 
 	// empty
@@ -157,7 +157,7 @@ func TestUpdateBidAskByPrice(t *testing.T) {
 }
 
 func TestDeleteBidAskByID(t *testing.T) {
-	d := newDepth(id)
+	d := NewDepth(id)
 	d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Time{}, false)
 	err := d.DeleteBidAskByID(Items{{Price: 1337, Amount: 2, ID: 1}}, Items{{Price: 1337, Amount: 2, ID: 2}}, false, 0, time.Time{})
 	if err != nil {
@@ -184,7 +184,7 @@ func TestDeleteBidAskByID(t *testing.T) {
 }
 
 func TestUpdateBidAskByID(t *testing.T) {
-	d := newDepth(id)
+	d := NewDepth(id)
 	d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Time{}, false)
 	err := d.UpdateBidAskByID(Items{{Price: 1337, Amount: 2, ID: 1}}, Items{{Price: 1337, Amount: 2, ID: 2}}, 0, time.Time{})
 	if err != nil {
@@ -207,7 +207,7 @@ func TestUpdateBidAskByID(t *testing.T) {
 }
 
 func TestInsertBidAskByID(t *testing.T) {
-	d := newDepth(id)
+	d := NewDepth(id)
 	d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Time{}, false)
 	err := d.InsertBidAskByID(Items{{Price: 1338, Amount: 2, ID: 3}}, Items{{Price: 1336, Amount: 2, ID: 4}}, 0, time.Time{})
 	if err != nil {
@@ -219,7 +219,7 @@ func TestInsertBidAskByID(t *testing.T) {
 }
 
 func TestUpdateInsertByID(t *testing.T) {
-	d := newDepth(id)
+	d := NewDepth(id)
 	d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Time{}, false)
 
 	err := d.UpdateInsertByID(Items{{Price: 1338, Amount: 0, ID: 3}}, Items{{Price: 1336, Amount: 2, ID: 4}}, 0, time.Time{})

diff --git a/exchanges/orderbook/orderbook.go b/exchanges/orderbook/orderbook.go
@@ -75,7 +75,7 @@ func (s *Service) Update(b *Base) error {
 
 	book, ok := m3[b.Pair.Quote.Item]
 	if !ok {
-		book = newDepth(m1.ID)
+		book = NewDepth(m1.ID)
 		book.AssignOptions(b)
 		m3[b.Pair.Quote.Item] = book
 	}
@@ -122,7 +122,7 @@ func (s *Service) DeployDepth(exchange string, p currency.Pair, a asset.Item) (*
 	}
 	book, ok := m3[p.Quote.Item]
 	if !ok {
-		book = newDepth(m1.ID)
+		book = NewDepth(m1.ID)
 		book.exchange = exchange
 		book.pair = p
 		book.asset = a

diff --git a/exchanges/orderbook/unsafe.go b/exchanges/orderbook/unsafe.go
@@ -1,12 +1,16 @@
 package orderbook
 
 import (
+	"errors"
+	"fmt"
 	"sync"
 	"time"
 
 	"github.com/thrasher-corp/gocryptotrader/exchanges/alert"
 )
 
+var errNoLiquidity = errors.New("no liquidity")
+
 // Unsafe is an exported linked list reference to the current bid/ask heads and
 // a reference to the underlying depth mutex. This allows for the exposure of
 // the internal list to an external strategy or subsystem. The bid and ask
@@ -52,8 +56,8 @@ func (src *Unsafe) UnlockWith(dst sync.Locker) {
 }
 
 // GetUnsafe returns an unsafe orderbook with pointers to the linked list heads.
-func (d *Depth) GetUnsafe() Unsafe {
-	return Unsafe{
+func (d *Depth) GetUnsafe() *Unsafe {
+	return &Unsafe{
 		BidHead:        &d.bids.linkedList.head,
 		AskHead:        &d.asks.linkedList.head,
 		m:              &d.m,
@@ -62,3 +66,103 @@ func (d *Depth) GetUnsafe() Unsafe {
 		LastUpdated:    &d.options.lastUpdated,
 	}
 }
+
+// CheckBidLiquidity determines if the liquidity is sufficient for usage
+func (src *Unsafe) CheckBidLiquidity() error {
+	_, err := src.GetBidLiquidity()
+	return err
+}
+
+// CheckAskLiquidity determines if the liquidity is sufficient for usage
+func (src *Unsafe) CheckAskLiquidity() error {
+	_, err := src.GetAskLiquidity()
+	return err
+}
+
+// GetBestBid returns the top bid price
+func (src *Unsafe) GetBestBid() (float64, error) {
+	bid, err := src.GetBidLiquidity()
+	if err != nil {
+		return 0, fmt.Errorf("get orderbook best bid price %w", err)
+	}
+	return bid.Value.Price, nil
+}
+
+// GetBestAsk returns the top ask price
+func (src *Unsafe) GetBestAsk() (float64, error) {
+	ask, err := src.GetAskLiquidity()
+	if err != nil {
+		return 0, fmt.Errorf("get orderbook best ask price %w", err)
+	}
+	return ask.Value.Price, nil
+}
+
+// GetBidLiquidity gets the head node for the bid liquidity
+func (src *Unsafe) GetBidLiquidity() (*Node, error) {
+	n := *src.BidHead
+	if n == nil {
+		return nil, fmt.Errorf("bid %w", errNoLiquidity)
+	}
+	return n, nil
+}
+
+// GetAskLiquidity gets the head node for the ask liquidity
+func (src *Unsafe) GetAskLiquidity() (*Node, error) {
+	n := *src.AskHead
+	if n == nil {
+		return nil, fmt.Errorf("ask %w", errNoLiquidity)
+	}
+	return n, nil
+}
+
+// GetLiquidity checks and returns nodes to the top bids and asks
+func (src *Unsafe) GetLiquidity() (ask, bid *Node, err error) {
+	bid, err = src.GetBidLiquidity()
+	if err != nil {
+		return nil, nil, err
+	}
+	ask, err = src.GetAskLiquidity()
+	if err != nil {
+		return nil, nil, err
+	}
+	return ask, bid, nil
+}
+
+// GetMidPrice returns the average between the top bid and top ask.
+func (src *Unsafe) GetMidPrice() (float64, error) {
+	ask, bid, err := src.GetLiquidity()
+	if err != nil {
+		return 0, fmt.Errorf("get orderbook mid price %w", err)
+	}
+	return (bid.Value.Price + ask.Value.Price) / 2, nil
+}
+
+// GetSpread returns the spread between the top bid and top asks.
+func (src *Unsafe) GetSpread() (float64, error) {
+	ask, bid, err := src.GetLiquidity()
+	if err != nil {
+		return 0, fmt.Errorf("get orderbook price spread %w", err)
+	}
+	return ask.Value.Price - bid.Value.Price, nil
+}
+
+// GetImbalance returns difference between the top bid and top ask amounts
+// divided by its sum.
+func (src *Unsafe) GetImbalance() (float64, error) {
+	ask, bid, err := src.GetLiquidity()
+	if err != nil {
+		return 0, fmt.Errorf("get orderbook imbalance %w", err)
+	}
+	top := bid.Value.Amount - ask.Value.Amount
+	bottom := bid.Value.Amount + ask.Value.Amount
+	if bottom == 0 {
+		return 0, errNoLiquidity
+	}
+	return top / bottom, nil
+}
+
+// IsStreaming returns if the orderbook is updated by a streaming protocol and
+// is most likely more up to date than that of a REST protocol update.
+func (src *Unsafe) IsStreaming() bool {
+	return !*src.UpdatedViaREST
+}