From 1aefbbfddc68950cafe8fb7a97754e3a6fec4b1f Mon Sep 17 00:00:00 2001
From: c9s <yoan@maicoin.com>
Date: Mon, 25 Jan 2021 13:53:11 +0800
Subject: [PATCH] improve orderbook validation error

---
 examples/binance-book/main.go      |  4 ++--
 pkg/exchange/binance/depthframe.go | 10 ++++++++++
 pkg/exchange/binance/stream.go     | 16 ++++++++++++++--
 pkg/types/orderbook.go             | 14 ++++++++++----
 4 files changed, 36 insertions(+), 8 deletions(-)

diff --git a/examples/binance-book/main.go b/examples/binance-book/main.go
index 9823bc454..c2ba4d6e7 100644
--- a/examples/binance-book/main.go
+++ b/examples/binance-book/main.go
@@ -62,8 +62,8 @@ var rootCmd = &cobra.Command{
 			bestBid, hasBid := book.BestBid()
 			bestAsk, hasAsk := book.BestAsk()
 
-			if !book.IsValid() {
-				log.Warnf("order book is invalid")
+			if valid, err := book.IsValid(); !valid {
+				log.Errorf("order book is invalid, error: %v", err)
 				return
 			}
 
diff --git a/pkg/exchange/binance/depthframe.go b/pkg/exchange/binance/depthframe.go
index ca3ea046e..0c0934ec5 100644
--- a/pkg/exchange/binance/depthframe.go
+++ b/pkg/exchange/binance/depthframe.go
@@ -44,6 +44,16 @@ func (f *DepthFrame) loadDepthSnapshot() {
 
 	f.mu.Lock()
 
+	if len(depth.Asks) == 0 {
+		log.Errorf("depth response error: empty asks")
+		return
+	}
+
+	if len(depth.Bids) == 0 {
+		log.Errorf("depth response error: empty bids")
+		return
+	}
+
 	// filter the events by the event IDs
 	var events []DepthEvent
 	for _, e := range f.BufEvents {
diff --git a/pkg/exchange/binance/stream.go b/pkg/exchange/binance/stream.go
index f56becaeb..4704da4b2 100644
--- a/pkg/exchange/binance/stream.go
+++ b/pkg/exchange/binance/stream.go
@@ -7,6 +7,7 @@ import (
 	"os"
 	"strconv"
 	"strings"
+	"sync"
 	"time"
 
 	"github.com/adshao/go-binance/v2"
@@ -52,6 +53,7 @@ type Stream struct {
 	Client    *binance.Client
 	ListenKey string
 	Conn      *websocket.Conn
+	connLock  sync.Mutex
 
 	publicOnly bool
 
@@ -92,8 +94,8 @@ func NewStream(client *binance.Client) *Stream {
 					return
 				}
 
-				if !snapshot.IsValid() {
-					log.Warnf("depth snapshot is invalid, event: %+v", e)
+				if valid, err := snapshot.IsValid(); !valid {
+					log.Warnf("depth snapshot is invalid, event: %+v, error: %v", e, err)
 				}
 
 				stream.EmitBookSnapshot(snapshot)
@@ -174,6 +176,7 @@ func NewStream(client *binance.Client) *Stream {
 		// reset the previous frames
 		for _, f := range stream.depthFrames {
 			f.Reset()
+			f.loadDepthSnapshot()
 		}
 
 		var params []string
@@ -273,7 +276,10 @@ func (s *Stream) connect(ctx context.Context) error {
 	}
 
 	log.Infof("websocket connected")
+
+	s.connLock.Lock()
 	s.Conn = conn
+	s.connLock.Unlock()
 
 	s.EmitConnect()
 	return nil
@@ -320,10 +326,13 @@ func (s *Stream) read(ctx context.Context) {
 				return
 
 			case <-pingTicker.C:
+				s.connLock.Lock()
 				if err := s.Conn.WriteControl(websocket.PingMessage, []byte("hb"), time.Now().Add(3*time.Second)); err != nil {
 					log.WithError(err).Error("ping error", err)
 				}
 
+				s.connLock.Unlock()
+
 			case <-keepAliveTicker.C:
 				if !s.publicOnly {
 					if err := s.keepaliveListenKey(ctx, s.ListenKey); err != nil {
@@ -453,6 +462,9 @@ func (s *Stream) Close() error {
 		log.Infof("user data stream closed")
 	}
 
+	s.connLock.Lock()
+	defer s.connLock.Unlock()
+
 	return s.Conn.Close()
 }
 
diff --git a/pkg/types/orderbook.go b/pkg/types/orderbook.go
index 66c1c05b9..441f4694d 100644
--- a/pkg/types/orderbook.go
+++ b/pkg/types/orderbook.go
@@ -5,6 +5,8 @@ import (
 	"sort"
 	"sync"
 
+	"github.com/pkg/errors"
+
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/sigchan"
 )
@@ -139,15 +141,19 @@ func (b *OrderBook) BestAsk() (PriceVolume, bool) {
 	return b.Asks[0], true
 }
 
-func (b *OrderBook) IsValid() bool {
+func (b *OrderBook) IsValid() (bool, error) {
 	bid, hasBid := b.BestBid()
 	ask, hasAsk := b.BestAsk()
 
-	if !hasBid || !hasAsk {
-		return false
+	if !hasBid {
+		return false, errors.New("empty bids")
 	}
 
-	return bid.Price < ask.Price
+	if !hasAsk {
+		return false, errors.New("empty asks")
+	}
+
+	return bid.Price < ask.Price, fmt.Errorf("bid price %f > ask price %f", bid.Price.Float64(), ask.Price.Float64())
 }
 
 func (b *OrderBook) PriceVolumesBySide(side SideType) PriceVolumeSlice {