Merge pull request #1828 from c9s/c9s/xdepthmaker/fix-book-pricing

FIX: [depth] fix early snapshot id checking

pkg/depth/buffer.go

@@ -3,7 +3,6 @@ package depth
 import (
 	"fmt"
 	"sync"
-	"sync/atomic"
 	"time"
 
 	log "github.com/sirupsen/logrus"
@@ -41,13 +40,14 @@ type Buffer struct {
 	updateTimeout time.Duration
 
 	// bufferingPeriod is used to buffer the update message before we get the full depth
-	bufferingPeriod atomic.Value
+	bufferingPeriod time.Duration
 }
 
-func NewBuffer(fetcher SnapshotFetcher) *Buffer {
+func NewBuffer(fetcher SnapshotFetcher, bufferingPeriod time.Duration) *Buffer {
 	return &Buffer{
 		fetcher:         fetcher,
 		resetC:          make(chan struct{}, 1),
+		bufferingPeriod: bufferingPeriod,
 	}
 }
 
@@ -55,10 +55,6 @@ func (b *Buffer) SetUpdateTimeout(d time.Duration) {
 	b.updateTimeout = d
 }
 
-func (b *Buffer) SetBufferingPeriod(d time.Duration) {
-	b.bufferingPeriod.Store(d)
-}
-
 func (b *Buffer) resetSnapshot() {
 	b.snapshot = nil
 	b.finalUpdateID = 0
@@ -151,7 +147,7 @@ func (b *Buffer) fetchAndPush() error {
 
 	if len(b.buffer) > 0 {
 		// the snapshot is too early
-		if finalUpdateID < b.buffer[0].FirstUpdateID {
+		if finalUpdateID < b.buffer[0].FirstUpdateID-1 {
 			b.resetSnapshot()
 			b.emitReset()
 			b.mu.Unlock()
@@ -197,9 +193,7 @@ func (b *Buffer) fetchAndPush() error {
 
 func (b *Buffer) tryFetch() {
 	for {
-		if period := b.bufferingPeriod.Load(); period != nil {
-			<-time.After(period.(time.Duration))
-		}
+		<-time.After(b.bufferingPeriod)
 
 		err := b.fetchAndPush()
 		if err != nil {

pkg/depth/buffer_test.go

@@ -26,8 +26,7 @@ func TestDepthBuffer_ReadyState(t *testing.T) {
 				{Price: itov(99), Volume: itov(1)},
 			},
 		}, 33, nil
-	})
-	buf.SetBufferingPeriod(time.Millisecond * 5)
+	}, time.Millisecond*5)
 
 	readyC := make(chan struct{})
 	buf.OnReady(func(snapshot types.SliceOrderBook, updates []Update) {

pkg/exchange/binance/stream.go

@@ -90,8 +90,7 @@ func NewStream(ex *Exchange, client *binance.Client, futuresClient *futures.Clie
 			f = depth.NewBuffer(func() (types.SliceOrderBook, int64, error) {
 				log.Infof("fetching %s depth...", e.Symbol)
 				return ex.QueryDepth(context.Background(), e.Symbol)
-			})
-			f.SetBufferingPeriod(time.Second)
+			}, 3*time.Second)
 			f.OnReady(func(snapshot types.SliceOrderBook, updates []depth.Update) {
 				stream.EmitBookSnapshot(snapshot)
 				for _, u := range updates {

pkg/exchange/kucoin/stream.go

@@ -80,9 +80,8 @@ func (s *Stream) handleOrderBookL2Event(e *WebSocketOrderBookL2Event) {
 	} else {
 		f = depth.NewBuffer(func() (types.SliceOrderBook, int64, error) {
 			return s.exchange.QueryDepth(context.Background(), e.Symbol)
-		})
+		}, 3*time.Second)
 		s.depthBuffers[e.Symbol] = f
-		f.SetBufferingPeriod(time.Second)
 		f.OnReady(func(snapshot types.SliceOrderBook, updates []depth.Update) {
 			if valid, err := snapshot.IsValid(); !valid {
 				log.Errorf("depth snapshot is invalid, error: %v", err)

pkg/exchange/max/stream.go

@@ -235,8 +235,7 @@ func (s *Stream) handleBookEvent(ex *Exchange) func(e max.BookEvent) {
 				log.Infof("fetching %s depth with depth = %d...", e.Market, bookDepth)
 				// the depth of websocket orderbook event is 50 by default, so we use 50 as limit here
 				return ex.QueryDepth(context.Background(), e.Market, bookDepth)
-			})
-			f.SetBufferingPeriod(3 * time.Second)
+			}, 3*time.Second)
 			f.OnReady(func(snapshot types.SliceOrderBook, updates []depth.Update) {
 				s.EmitBookSnapshot(snapshot)
 				for _, u := range updates {

pkg/strategy/xdepthmaker/strategy.go

@@ -230,6 +230,8 @@ type Strategy struct {
 	StopHedgeQuoteBalance fixedpoint.Value `json:"stopHedgeQuoteBalance"`
 	StopHedgeBaseBalance  fixedpoint.Value `json:"stopHedgeBaseBalance"`
 
+	SkipCleanUpOpenOrders bool `json:"skipCleanUpOpenOrders"`
+
 	// Quantity is used for fixed quantity of the first layer
 	Quantity fixedpoint.Value `json:"quantity"`
 
@@ -410,10 +412,12 @@ func (s *Strategy) quoteWorker(ctx context.Context) {
 	fullReplenishTicker := time.NewTicker(timejitter.Milliseconds(s.FullReplenishInterval.Duration(), 200))
 	defer fullReplenishTicker.Stop()
 
-	// clean up the previous open orders
+	// clean up the previous open orders before starting the quote worker
+	if !s.SkipCleanUpOpenOrders {
 		if err := s.cleanUpOpenOrders(ctx, s.makerSession); err != nil {
 			log.WithError(err).Warnf("error cleaning up open orders")
 		}
+	}
 
 	s.updateQuote(ctx, 0)
 
@@ -966,10 +970,14 @@ func (s *Strategy) generateMakerOrders(
 	for _, side := range []types.SideType{types.SideTypeBuy, types.SideTypeSell} {
 		sideBook := dupPricingBook.SideBook(side)
 		if sideBook.Len() == 0 {
-			log.Warnf("orderbook %s side is empty", side)
+			s.logger.Warnf("orderbook %s side is empty", side)
 			continue
 		}
 
+		if sideBook.Len() < 5 {
+			s.logger.Warnf("order book %s side is too thin, size: %d, levels: %+v", side, sideBook.Len(), sideBook)
+		}
+
 		availableSideBalance, ok := availableBalances[side]
 		if !ok {
 			log.Warnf("no available balance for side %s side", side)

pkg/types/price_volume_slice.go

@@ -92,6 +92,7 @@ func (slice PriceVolumeSlice) ElemOrLast(i int) (PriceVolume, bool) {
 	return slice[i], true
 }
 
+// IndexByQuoteVolumeDepth returns the index of the price volume slice by the required quote volume depth
 func (slice PriceVolumeSlice) IndexByQuoteVolumeDepth(requiredQuoteVolume fixedpoint.Value) int {
 	var totalQuoteVolume = fixedpoint.Zero
 	for x, pv := range slice {