54 lines
1.0 KiB
Go
54 lines
1.0 KiB
Go
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package twap
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import (
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"time"
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"git.qtrade.icu/lychiyu/bbgo/pkg/types"
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)
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// BboMonitor monitors the best bid and ask price and volume.
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//
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//go:generate callbackgen -type BboMonitor
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type BboMonitor struct {
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Bid types.PriceVolume
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Ask types.PriceVolume
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UpdatedTime time.Time
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updateCallbacks []func(bid, ask types.PriceVolume)
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}
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func NewBboMonitor() *BboMonitor {
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return &BboMonitor{}
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}
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func (m *BboMonitor) UpdateFromBook(book *types.StreamOrderBook) bool {
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bestBid, ok1 := book.BestBid()
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bestAsk, ok2 := book.BestAsk()
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if !ok1 || !ok2 {
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return false
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}
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return m.Update(bestBid, bestAsk, book.LastUpdateTime())
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}
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func (m *BboMonitor) Update(bid, ask types.PriceVolume, t time.Time) bool {
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changed := false
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if m.Bid.Price.Compare(bid.Price) != 0 || m.Bid.Volume.Compare(bid.Volume) != 0 {
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changed = true
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}
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if m.Ask.Price.Compare(ask.Price) != 0 || m.Ask.Volume.Compare(ask.Volume) != 0 {
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changed = true
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}
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m.Bid = bid
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m.Ask = ask
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m.UpdatedTime = t
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if changed {
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m.EmitUpdate(bid, ask)
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}
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return changed
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}
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