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max: improve depth parsing speed

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c9s 2021-06-28 13:11:26 +08:00 committed by c9s
parent 905148a34f
commit 68be0badca
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GPG Key ID: 7385E7E464CB0A54
1 changed files with 37 additions and 23 deletions
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60
pkg/exchange/max/maxapi/public_parser.go
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@ -168,8 +168,8 @@ type BookEvent struct {
Market string `json:"M"` Market string `json:"M"`
Channel string `json:"c"` Channel string `json:"c"`
Timestamp int64 `json:"t"` // Millisecond timestamp Timestamp int64 `json:"t"` // Millisecond timestamp
Bids []BookEntry Bids types.PriceVolumeSlice
Asks []BookEntry Asks types.PriceVolumeSlice
} }
func (e *BookEvent) Time() time.Time { func (e *BookEvent) Time() time.Time {
@ -179,25 +179,8 @@ func (e *BookEvent) Time() time.Time {
func (e *BookEvent) OrderBook() (snapshot types.SliceOrderBook, err error) { func (e *BookEvent) OrderBook() (snapshot types.SliceOrderBook, err error) {
snapshot.Symbol = strings.ToUpper(e.Market) snapshot.Symbol = strings.ToUpper(e.Market)
snapshot.Time = e.Time() snapshot.Time = e.Time()
snapshot.Bids = e.Bids
for _, bid := range e.Bids { snapshot.Asks = e.Asks
pv, err := bid.PriceVolumePair()
if err != nil {
return snapshot, err
}
snapshot.Bids = append(snapshot.Bids, pv)
}
for _, ask := range e.Asks {
pv, err := ask.PriceVolumePair()
if err != nil {
return snapshot, err
}
snapshot.Asks = append(snapshot.Asks, pv)
}
return snapshot, nil return snapshot, nil
} }
@ -236,12 +219,12 @@ func parseBookEvent(val *fastjson.Value) (*BookEvent, error) {
t := time.Unix(0, event.Timestamp*int64(time.Millisecond)) t := time.Unix(0, event.Timestamp*int64(time.Millisecond))
var err error var err error
event.Asks, err = parseBookEntries(val.GetArray("a"), Sell, t) event.Asks, err = parseBookEntries2(val.GetArray("a"))
if err != nil { if err != nil {
return nil, err return nil, err
} }
event.Bids, err = parseBookEntries(val.GetArray("b"), Buy, t) event.Bids, err = parseBookEntries2(val.GetArray("b"))
if err != nil { if err != nil {
return nil, err return nil, err
} }
@ -270,6 +253,37 @@ func (e *BookEntry) PriceVolumePair() (pv types.PriceVolume, err error) {
return pv, err return pv, err
} }
// parseBookEntries2 parses JSON struct like `[["233330", "0.33"], ....]`
func parseBookEntries2(vals []*fastjson.Value) (entries types.PriceVolumeSlice, err error) {
for _, entry := range vals {
pv, err := entry.Array()
if err != nil {
return nil, err
}
if len(pv) < 2 {
return nil, ErrIncorrectBookEntryElementLength
}
price, err := fixedpoint.NewFromString(string(pv[0].GetStringBytes()))
if err != nil {
return nil, err
}
volume, err := fixedpoint.NewFromString(string(pv[1].GetStringBytes()))
if err != nil {
return nil, err
}
entries = append(entries, types.PriceVolume{
Price: price,
Volume: volume,
})
}
return entries, err
}
// parseBookEntries parses JSON struct like `[["233330", "0.33"], ....]` // parseBookEntries parses JSON struct like `[["233330", "0.33"], ....]`
func parseBookEntries(vals []*fastjson.Value, side int, t time.Time) (entries []BookEntry, err error) { func parseBookEntries(vals []*fastjson.Value, side int, t time.Time) (entries []BookEntry, err error) {
for _, entry := range vals { for _, entry := range vals {