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replace binance.depthFrame with the extracted depth.Buffer

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This commit is contained in:
c9s 2021-12-25 01:57:05 +08:00
parent b217a0dec8
commit 7e7115b18f
7 changed files with 105 additions and 363 deletions
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73
pkg/cmd/orderbook.go
View File

@ -3,8 +3,8 @@ package cmd
import (
"context"
"fmt"
"os"
"syscall"
"time"
"github.com/pkg/errors"
log "github.com/sirupsen/logrus"
@ -15,24 +15,14 @@ import (
"github.com/c9s/bbgo/pkg/types"
)
// go run ./cmd/bbgo orderbook --exchange=ftx --symbol=BTCUSDT
// go run ./cmd/bbgo orderbook --session=ftx --symbol=BTCUSDT
var orderbookCmd = &cobra.Command{
Use: "orderbook",
Short: "connect to the order book market data streaming service of an exchange",
RunE: func(cmd *cobra.Command, args []string) error {
ctx := context.Background()
exName, err := cmd.Flags().GetString("exchange")
if err != nil {
return fmt.Errorf("can not get exchange from flags: %w", err)
}
exchangeName, err := types.ValidExchangeName(exName)
if err != nil {
return err
}
ex, err := cmdutil.NewExchange(exchangeName)
sessionName, err := cmd.Flags().GetString("session")
if err != nil {
return err
}
@ -46,7 +36,21 @@ var orderbookCmd = &cobra.Command{
return fmt.Errorf("--symbol option is required")
}
s := ex.NewStream()
if userConfig == nil {
return errors.New("--config option or config file is missing")
}
environ := bbgo.NewEnvironment()
if err := environ.ConfigureExchangeSessions(userConfig); err != nil {
return err
}
session, ok := environ.Session(sessionName)
if !ok {
return fmt.Errorf("session %s not found", sessionName)
}
s := session.Exchange.NewStream()
s.SetPublicOnly()
s.Subscribe(types.BookChannel, symbol, types.SubscribeOptions{})
s.OnBookSnapshot(func(book types.SliceOrderBook) {
@ -58,9 +62,18 @@ var orderbookCmd = &cobra.Command{
log.Infof("connecting...")
if err := s.Connect(ctx); err != nil {
return fmt.Errorf("failed to connect to %s", exchangeName)
return fmt.Errorf("failed to connect to %s", sessionName)
}
log.Infof("connected")
defer func() {
log.Infof("closing connection...")
if err := s.Close(); err != nil {
log.WithError(err).Errorf("connection close error")
}
time.Sleep(1 * time.Second)
}()
cmdutil.WaitForSignal(ctx, syscall.SIGINT, syscall.SIGTERM)
return nil
},
@ -72,34 +85,11 @@ var orderUpdateCmd = &cobra.Command{
RunE: func(cmd *cobra.Command, args []string) error {
ctx := context.Background()
configFile, err := cmd.Flags().GetString("config")
if err != nil {
return err
}
if len(configFile) == 0 {
return errors.New("--config option is required")
}
// if config file exists, use the config loaded from the config file.
// otherwise, use a empty config object
var userConfig *bbgo.Config
if _, err := os.Stat(configFile); err == nil {
// load successfully
userConfig, err = bbgo.Load(configFile, false)
if err != nil {
return err
}
} else if os.IsNotExist(err) {
// config file doesn't exist
userConfig = &bbgo.Config{}
} else {
// other error
return err
if userConfig == nil {
return errors.New("--config option or config file is missing")
}
environ := bbgo.NewEnvironment()
if err := environ.ConfigureExchangeSessions(userConfig); err != nil {
return err
}
@ -131,8 +121,7 @@ var orderUpdateCmd = &cobra.Command{
}
func init() {
// since the public data does not require trading authentication, we use --exchange option here.
orderbookCmd.Flags().String("exchange", "", "the exchange name for sync")
orderbookCmd.Flags().String("session", "", "session name")
orderbookCmd.Flags().String("symbol", "", "the trading pair. e.g, BTCUSDT, LTCUSDT...")
orderUpdateCmd.Flags().String("session", "", "session name")

8
pkg/cmd/userdatastream.go
View File

@ -24,13 +24,13 @@ var userDataStreamCmd = &cobra.Command{
return errors.New("--config option or config file is missing")
}
environ := bbgo.NewEnvironment()
if err := environ.ConfigureExchangeSessions(userConfig); err != nil {
sessionName, err := cmd.Flags().GetString("session")
if err != nil {
return err
}
sessionName, err := cmd.Flags().GetString("session")
if err != nil {
environ := bbgo.NewEnvironment()
if err := environ.ConfigureExchangeSessions(userConfig); err != nil {
return err
}

14
pkg/depth/buffer.go
View File

@ -20,7 +20,6 @@ type Update struct {
//go:generate callbackgen -type Buffer
type Buffer struct {
Symbol string
buffer []Update
finalUpdateID int64
@ -36,9 +35,8 @@ type Buffer struct {
once util.Reonce
}
func NewDepthBuffer(symbol string, fetcher SnapshotFetcher) *Buffer {
func NewBuffer(fetcher SnapshotFetcher) *Buffer {
return &Buffer{
Symbol: symbol,
fetcher: fetcher,
resetC: make(chan struct{}, 1),
}
@ -57,6 +55,13 @@ func (b *Buffer) emitReset() {
}
}
func (b *Buffer) Reset() {
b.mu.Lock()
b.resetSnapshot()
b.emitReset()
b.mu.Unlock()
}
// AddUpdate adds the update to the buffer or push the update to the subscriber
func (b *Buffer) AddUpdate(o types.SliceOrderBook, firstUpdateID int64, finalArgs ...int64) error {
finalUpdateID := firstUpdateID
@ -95,9 +100,8 @@ func (b *Buffer) AddUpdate(o types.SliceOrderBook, firstUpdateID int64, finalArg
// if there is a missing update, we should reset the snapshot and re-fetch the snapshot
if u.FirstUpdateID > b.finalUpdateID+1 {
// emitReset will reset the once outside the mutex lock section
b.buffer = []Update{u}
b.resetSnapshot()
b.buffer = nil
b.buffer = append(b.buffer, u)
b.emitReset()
b.mu.Unlock()
return fmt.Errorf("there is a missing update between %d and %d", u.FirstUpdateID, b.finalUpdateID+1)

6
pkg/depth/buffer_test.go
View File

@ -11,7 +11,7 @@ import (
)
func TestDepthBuffer_ReadyState(t *testing.T) {
buf := NewDepthBuffer("", func() (book types.SliceOrderBook, finalID int64, err error) {
buf := NewBuffer(func() (book types.SliceOrderBook, finalID int64, err error) {
return types.SliceOrderBook{
Bids: types.PriceVolumeSlice{
{Price: 100, Volume: 1},
@ -48,7 +48,7 @@ func TestDepthBuffer_CorruptedUpdateAtTheBeginning(t *testing.T) {
// snapshot starts from 30,
// the first ready event should have a snapshot(30) and updates (31~50)
var snapshotFinalID int64 = 0
buf := NewDepthBuffer("", func() (types.SliceOrderBook, int64, error) {
buf := NewBuffer(func() (types.SliceOrderBook, int64, error) {
snapshotFinalID += 30
return types.SliceOrderBook{
Bids: types.PriceVolumeSlice{
@ -87,7 +87,7 @@ func TestDepthBuffer_CorruptedUpdateAtTheBeginning(t *testing.T) {
func TestDepthBuffer_ConcurrentRun(t *testing.T) {
var snapshotFinalID int64 = 0
buf := NewDepthBuffer("", func() (types.SliceOrderBook, int64, error) {
buf := NewBuffer(func() (types.SliceOrderBook, int64, error) {
snapshotFinalID += 30
time.Sleep(10 * time.Millisecond)
return types.SliceOrderBook{

246
pkg/exchange/binance/depthframe.go
View File

@ -1,246 +0,0 @@
package binance
import (
"context"
"fmt"
"sync"
"time"
"github.com/adshao/go-binance/v2"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
//go:generate callbackgen -type DepthFrame
type DepthFrame struct {
Symbol string
client *binance.Client
context context.Context
snapshotMutex sync.Mutex
snapshotDepth *DepthEvent
bufMutex sync.Mutex
bufEvents []DepthEvent
resetC chan struct{}
once sync.Once
readyCallbacks []func(snapshotDepth DepthEvent, bufEvents []DepthEvent)
pushCallbacks []func(e DepthEvent)
}
func (f *DepthFrame) reset() {
if debugBinanceDepth {
log.Infof("resetting %s depth frame", f.Symbol)
}
f.bufMutex.Lock()
f.bufEvents = nil
f.bufMutex.Unlock()
f.snapshotMutex.Lock()
f.snapshotDepth = nil
f.once = sync.Once{}
f.snapshotMutex.Unlock()
}
func (f *DepthFrame) emitReset() {
select {
case f.resetC <- struct{}{}:
default:
}
}
func (f *DepthFrame) bufferEvent(e DepthEvent) {
if debugBinanceDepth {
log.Infof("buffering %s depth event FirstUpdateID = %d, FinalUpdateID = %d", f.Symbol, e.FirstUpdateID, e.FinalUpdateID)
}
f.bufMutex.Lock()
f.bufEvents = append(f.bufEvents, e)
f.bufMutex.Unlock()
}
func (f *DepthFrame) loadDepthSnapshot() error {
if debugBinanceDepth {
log.Infof("buffering %s depth events...", f.Symbol)
}
time.Sleep(3 * time.Second)
depth, err := f.fetch(f.context)
if err != nil {
return err
}
if len(depth.Asks) == 0 {
return fmt.Errorf("%s depth response error: empty asks", f.Symbol)
}
if len(depth.Bids) == 0 {
return fmt.Errorf("%s depth response error: empty bids", f.Symbol)
}
if debugBinanceDepth {
log.Infof("fetched %s depth, last update ID = %d", f.Symbol, depth.FinalUpdateID)
}
// filter the events by the event IDs
f.bufMutex.Lock()
bufEvents := f.bufEvents
f.bufEvents = nil
f.bufMutex.Unlock()
var events []DepthEvent
for _, e := range bufEvents {
if e.FinalUpdateID < depth.FinalUpdateID {
if debugBinanceDepth {
log.Infof("DROP %s depth event (final update id is %d older than the last update), updateID %d ~ %d (len %d)",
f.Symbol,
depth.FinalUpdateID-e.FinalUpdateID,
e.FirstUpdateID, e.FinalUpdateID, e.FinalUpdateID-e.FirstUpdateID)
}
continue
}
if debugBinanceDepth {
log.Infof("KEEP %s depth event, updateID %d ~ %d (len %d)",
f.Symbol,
e.FirstUpdateID, e.FinalUpdateID, e.FinalUpdateID-e.FirstUpdateID)
}
events = append(events, e)
}
// since we're buffering the update events, ideally the some of the head events
// should be older than the received depth snapshot.
// if the head event is newer than the depth we got,
// then there are something missed, we need to restart the process.
if len(events) > 0 {
// The first processed event should have U (final update ID) <= lastUpdateId+1 AND (first update id) >= lastUpdateId+1.
firstEvent := events[0]
// valid
nextID := depth.FinalUpdateID + 1
if firstEvent.FirstUpdateID > nextID || firstEvent.FinalUpdateID < nextID {
return fmt.Errorf("mismatch %s final update id for order book, resetting depth", f.Symbol)
}
if debugBinanceDepth {
log.Infof("VALID first %s depth event, updateID %d ~ %d (len %d)",
f.Symbol,
firstEvent.FirstUpdateID, firstEvent.FinalUpdateID, firstEvent.FinalUpdateID-firstEvent.FirstUpdateID)
}
}
if debugBinanceDepth {
log.Infof("READY %s depth, %d bufferred events", f.Symbol, len(events))
}
f.snapshotMutex.Lock()
f.snapshotDepth = depth
f.snapshotMutex.Unlock()
f.EmitReady(*depth, events)
return nil
}
func (f *DepthFrame) PushEvent(e DepthEvent) {
select {
case <-f.resetC:
f.reset()
default:
}
f.snapshotMutex.Lock()
snapshot := f.snapshotDepth
f.snapshotMutex.Unlock()
// before the snapshot is loaded, we need to buffer the events until we loaded the snapshot.
if snapshot == nil {
// buffer the events until we loaded the snapshot
f.bufferEvent(e)
go f.once.Do(func() {
if err := f.loadDepthSnapshot(); err != nil {
log.WithError(err).Errorf("%s depth snapshot load failed, resetting..", f.Symbol)
f.emitReset()
}
})
return
}
// drop old events
if e.FinalUpdateID <= snapshot.FinalUpdateID {
log.Infof("DROP %s depth update event, updateID %d ~ %d (len %d)",
f.Symbol,
e.FirstUpdateID, e.FinalUpdateID, e.FinalUpdateID-e.FirstUpdateID)
return
}
if e.FirstUpdateID > snapshot.FinalUpdateID+1 {
log.Infof("MISSING %s depth update event, resetting, updateID %d ~ %d (len %d)",
f.Symbol,
e.FirstUpdateID, e.FinalUpdateID, e.FinalUpdateID-e.FirstUpdateID)
f.emitReset()
return
}
f.snapshotMutex.Lock()
f.snapshotDepth.FinalUpdateID = e.FinalUpdateID
f.snapshotMutex.Unlock()
f.EmitPush(e)
}
// fetch fetches the depth and convert to the depth event so that we can reuse the event structure to convert it to the global orderbook type
func (f *DepthFrame) fetch(ctx context.Context) (*DepthEvent, error) {
if debugBinanceDepth {
log.Infof("fetching %s depth snapshot", f.Symbol)
}
response, err := f.client.NewDepthService().Symbol(f.Symbol).Do(ctx)
if err != nil {
return nil, err
}
event := DepthEvent{
Symbol: f.Symbol,
FirstUpdateID: 0,
FinalUpdateID: response.LastUpdateID,
}
for _, entry := range response.Bids {
// entry.Price, Quantity: entry.Quantity
price, err := fixedpoint.NewFromString(entry.Price)
if err != nil {
return nil, err
}
quantity, err := fixedpoint.NewFromString(entry.Quantity)
if err != nil {
return nil, err
}
event.Bids = append(event.Bids, types.PriceVolume{Price: price, Volume: quantity})
}
for _, entry := range response.Asks {
price, err := fixedpoint.NewFromString(entry.Price)
if err != nil {
return nil, err
}
quantity, err := fixedpoint.NewFromString(entry.Quantity)
if err != nil {
return nil, err
}
event.Asks = append(event.Asks, types.PriceVolume{Price: price, Volume : quantity})
}
return &event, nil
}

25
pkg/exchange/binance/depthframe_callbacks.go
View File

@ -1,25 +0,0 @@
// Code generated by "callbackgen -type DepthFrame"; DO NOT EDIT.
package binance
import ()
func (f *DepthFrame) OnReady(cb func(snapshotDepth DepthEvent, bufEvents []DepthEvent)) {
f.readyCallbacks = append(f.readyCallbacks, cb)
}
func (f *DepthFrame) EmitReady(snapshotDepth DepthEvent, bufEvents []DepthEvent) {
for _, cb := range f.readyCallbacks {
cb(snapshotDepth, bufEvents)
}
}
func (f *DepthFrame) OnPush(cb func(e DepthEvent)) {
f.pushCallbacks = append(f.pushCallbacks, cb)
}
func (f *DepthFrame) EmitPush(e DepthEvent) {
for _, cb := range f.pushCallbacks {
cb(e)
}
}

96
pkg/exchange/binance/stream.go
View File

@ -2,7 +2,6 @@ package binance
import (
"context"
"github.com/c9s/bbgo/pkg/util"
"math/rand"
"net"
"net/http"
@ -11,6 +10,10 @@ import (
"sync"
"time"
"github.com/c9s/bbgo/pkg/depth"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/util"
"github.com/adshao/go-binance/v2"
"github.com/adshao/go-binance/v2/futures"
@ -90,7 +93,7 @@ type Stream struct {
orderTradeUpdateEventCallbacks []func(e *OrderTradeUpdateEvent)
depthFrames map[string]*DepthFrame
depthFrames map[string]*depth.Buffer
}
func NewStream(client *binance.Client, futuresClient *futures.Client) *Stream {
@ -100,7 +103,7 @@ func NewStream(client *binance.Client, futuresClient *futures.Client) *Stream {
},
Client: client,
futuresClient: futuresClient,
depthFrames: make(map[string]*DepthFrame),
depthFrames: make(map[string]*depth.Buffer),
}
stream.OnDepthEvent(func(e *DepthEvent) {
@ -110,52 +113,69 @@ func NewStream(client *binance.Client, futuresClient *futures.Client) *Stream {
f, ok := stream.depthFrames[e.Symbol]
if !ok {
f = &DepthFrame{
client: client,
context: context.Background(),
Symbol: e.Symbol,
resetC: make(chan struct{}, 1),
}
f = depth.NewBuffer(func() (snapshot types.SliceOrderBook, finalUpdateID int64, err error) {
response, err := client.NewDepthService().Symbol(e.Symbol).Do(context.Background())
if err != nil {
return snapshot, finalUpdateID, err
}
snapshot.Symbol = e.Symbol
finalUpdateID = response.LastUpdateID
for _, entry := range response.Bids {
// entry.Price, Quantity: entry.Quantity
price, err := fixedpoint.NewFromString(entry.Price)
if err != nil {
return snapshot, finalUpdateID, err
}
quantity, err := fixedpoint.NewFromString(entry.Quantity)
if err != nil {
return snapshot, finalUpdateID, err
}
snapshot.Bids = append(snapshot.Bids, types.PriceVolume{Price: price, Volume: quantity})
}
for _, entry := range response.Asks {
price, err := fixedpoint.NewFromString(entry.Price)
if err != nil {
return snapshot, finalUpdateID, err
}
quantity, err := fixedpoint.NewFromString(entry.Quantity)
if err != nil {
return snapshot, finalUpdateID, err
}
snapshot.Asks = append(snapshot.Asks, types.PriceVolume{Price: price, Volume: quantity})
}
return snapshot, finalUpdateID, nil
})
stream.depthFrames[e.Symbol] = f
f.OnReady(func(snapshotDepth DepthEvent, bufEvents []DepthEvent) {
log.Infof("depth snapshot ready: %s", snapshotDepth.String())
snapshot, err := snapshotDepth.OrderBook()
if err != nil {
log.WithError(err).Error("book snapshot convert error")
return
}
f.OnReady(func(snapshot types.SliceOrderBook, updates []depth.Update) {
if valid, err := snapshot.IsValid(); !valid {
log.Errorf("depth snapshot is invalid, event: %+v, error: %v", snapshotDepth, err)
log.Errorf("depth snapshot is invalid, error: %v", err)
return
}
stream.EmitBookSnapshot(snapshot)
for _, e := range bufEvents {
bookUpdate, err := e.OrderBook()
if err != nil {
log.WithError(err).Error("book convert error")
return
}
stream.EmitBookUpdate(bookUpdate)
for _, u := range updates {
stream.EmitBookUpdate(u.Object)
}
})
f.OnPush(func(e DepthEvent) {
book, err := e.OrderBook()
if err != nil {
log.WithError(err).Error("book convert error")
return
}
stream.EmitBookUpdate(book)
f.OnPush(func(update depth.Update) {
stream.EmitBookUpdate(update.Object)
})
} else {
f.PushEvent(*e)
f.AddUpdate(types.SliceOrderBook{
Symbol: e.Symbol,
Bids: e.Bids,
Asks: e.Asks,
}, e.FirstUpdateID, e.FinalUpdateID)
}
})
@ -270,7 +290,7 @@ func NewStream(client *binance.Client, futuresClient *futures.Client) *Stream {
stream.OnDisconnect(func() {
log.Infof("resetting depth snapshots...")
for _, f := range stream.depthFrames {
f.emitReset()
f.Reset()
}
})