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https://github.com/c9s/bbgo.git
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improve orderbook validation error
This commit is contained in:
parent
7310700540
commit
1aefbbfddc
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@ -62,8 +62,8 @@ var rootCmd = &cobra.Command{
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bestBid, hasBid := book.BestBid()
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bestBid, hasBid := book.BestBid()
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bestAsk, hasAsk := book.BestAsk()
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bestAsk, hasAsk := book.BestAsk()
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if !book.IsValid() {
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if valid, err := book.IsValid(); !valid {
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log.Warnf("order book is invalid")
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log.Errorf("order book is invalid, error: %v", err)
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return
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return
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}
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}
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@ -44,6 +44,16 @@ func (f *DepthFrame) loadDepthSnapshot() {
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f.mu.Lock()
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f.mu.Lock()
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if len(depth.Asks) == 0 {
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log.Errorf("depth response error: empty asks")
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return
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}
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if len(depth.Bids) == 0 {
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log.Errorf("depth response error: empty bids")
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return
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}
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// filter the events by the event IDs
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// filter the events by the event IDs
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var events []DepthEvent
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var events []DepthEvent
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for _, e := range f.BufEvents {
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for _, e := range f.BufEvents {
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@ -7,6 +7,7 @@ import (
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"os"
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"os"
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"strconv"
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"strconv"
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"strings"
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"strings"
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"sync"
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"time"
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"time"
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"github.com/adshao/go-binance/v2"
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"github.com/adshao/go-binance/v2"
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@ -52,6 +53,7 @@ type Stream struct {
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Client *binance.Client
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Client *binance.Client
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ListenKey string
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ListenKey string
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Conn *websocket.Conn
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Conn *websocket.Conn
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connLock sync.Mutex
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publicOnly bool
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publicOnly bool
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@ -92,8 +94,8 @@ func NewStream(client *binance.Client) *Stream {
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return
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return
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}
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}
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if !snapshot.IsValid() {
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if valid, err := snapshot.IsValid(); !valid {
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log.Warnf("depth snapshot is invalid, event: %+v", e)
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log.Warnf("depth snapshot is invalid, event: %+v, error: %v", e, err)
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}
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}
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stream.EmitBookSnapshot(snapshot)
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stream.EmitBookSnapshot(snapshot)
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@ -174,6 +176,7 @@ func NewStream(client *binance.Client) *Stream {
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// reset the previous frames
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// reset the previous frames
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for _, f := range stream.depthFrames {
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for _, f := range stream.depthFrames {
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f.Reset()
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f.Reset()
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f.loadDepthSnapshot()
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}
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}
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var params []string
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var params []string
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@ -273,7 +276,10 @@ func (s *Stream) connect(ctx context.Context) error {
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}
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}
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log.Infof("websocket connected")
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log.Infof("websocket connected")
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s.connLock.Lock()
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s.Conn = conn
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s.Conn = conn
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s.connLock.Unlock()
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s.EmitConnect()
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s.EmitConnect()
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return nil
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return nil
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@ -320,10 +326,13 @@ func (s *Stream) read(ctx context.Context) {
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return
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return
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case <-pingTicker.C:
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case <-pingTicker.C:
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s.connLock.Lock()
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if err := s.Conn.WriteControl(websocket.PingMessage, []byte("hb"), time.Now().Add(3*time.Second)); err != nil {
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if err := s.Conn.WriteControl(websocket.PingMessage, []byte("hb"), time.Now().Add(3*time.Second)); err != nil {
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log.WithError(err).Error("ping error", err)
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log.WithError(err).Error("ping error", err)
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}
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}
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s.connLock.Unlock()
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case <-keepAliveTicker.C:
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case <-keepAliveTicker.C:
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if !s.publicOnly {
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if !s.publicOnly {
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if err := s.keepaliveListenKey(ctx, s.ListenKey); err != nil {
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if err := s.keepaliveListenKey(ctx, s.ListenKey); err != nil {
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@ -453,6 +462,9 @@ func (s *Stream) Close() error {
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log.Infof("user data stream closed")
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log.Infof("user data stream closed")
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}
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}
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s.connLock.Lock()
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defer s.connLock.Unlock()
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return s.Conn.Close()
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return s.Conn.Close()
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}
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}
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@ -5,6 +5,8 @@ import (
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"sort"
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"sort"
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"sync"
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"sync"
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"github.com/pkg/errors"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/sigchan"
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"github.com/c9s/bbgo/pkg/sigchan"
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)
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)
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@ -139,15 +141,19 @@ func (b *OrderBook) BestAsk() (PriceVolume, bool) {
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return b.Asks[0], true
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return b.Asks[0], true
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}
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}
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func (b *OrderBook) IsValid() bool {
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func (b *OrderBook) IsValid() (bool, error) {
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bid, hasBid := b.BestBid()
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bid, hasBid := b.BestBid()
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ask, hasAsk := b.BestAsk()
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ask, hasAsk := b.BestAsk()
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if !hasBid || !hasAsk {
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if !hasBid {
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return false
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return false, errors.New("empty bids")
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}
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}
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return bid.Price < ask.Price
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if !hasAsk {
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return false, errors.New("empty asks")
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}
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return bid.Price < ask.Price, fmt.Errorf("bid price %f > ask price %f", bid.Price.Float64(), ask.Price.Float64())
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}
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}
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func (b *OrderBook) PriceVolumesBySide(side SideType) PriceVolumeSlice {
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func (b *OrderBook) PriceVolumesBySide(side SideType) PriceVolumeSlice {
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