xdepthmaker: fix pricing book copy by avoiding using CopyDepth

pkg/strategy/xdepthmaker/strategy.go

@@ -25,7 +25,7 @@ var defaultMargin = fixedpoint.NewFromFloat(0.003)
 
 var Two = fixedpoint.NewFromInt(2)
 
-const priceUpdateTimeout = 30 * time.Second
+const priceUpdateTimeout = 5 * time.Minute
 
 const ID = "xdepthmaker"
 
@@ -644,7 +644,16 @@ func (s *Strategy) generateMakerOrders(
 	var accumulatedAskQuantity = fixedpoint.Zero
 	var accumulatedBidQuoteQuantity = fixedpoint.Zero
 
-	dupPricingBook := pricingBook.CopyDepth(0)
+	// copy the pricing book because during the generation the book data could change
+	dupPricingBook := pricingBook.Copy()
+
+	log.Infof("dupPricingBook: \n\tbids: %+v \n\tasks: %+v",
+		dupPricingBook.SideBook(types.SideTypeBuy),
+		dupPricingBook.SideBook(types.SideTypeSell))
+
+	log.Infof("pricingBook: \n\tbids: %+v \n\tasks: %+v",
+		pricingBook.SideBook(types.SideTypeBuy),
+		pricingBook.SideBook(types.SideTypeSell))
 
 	if maxLayer == 0 || maxLayer > s.NumLayers {
 		maxLayer = s.NumLayers
@@ -831,14 +840,12 @@ func (s *Strategy) updateQuote(ctx context.Context, maxLayer int) {
 		log.WithError(err).Warnf("quote update error, %s price not updating, order book last update: %s ago",
 			s.Symbol,
 			time.Since(bookLastUpdateTime))
-		return
 	}
 
 	if _, err := s.askPriceHeartBeat.Update(bestAsk); err != nil {
 		log.WithError(err).Warnf("quote update error, %s price not updating, order book last update: %s ago",
 			s.Symbol,
 			time.Since(bookLastUpdateTime))
-		return
 	}
 
 	balances, err := s.MakerOrderExecutor.Session().Exchange.QueryAccountBalances(ctx)

pkg/strategy/xdepthmaker/strategy_test.go

@@ -45,7 +45,7 @@ func TestStrategy_generateMakerOrders(t *testing.T) {
 	}
 
 	pricingBook := types.NewStreamBook("BTCUSDT")
-	pricingBook.OrderBook.Load(types.SliceOrderBook{
+	pricingBook.Load(types.SliceOrderBook{
 		Symbol: "BTCUSDT",
 		Bids: types.PriceVolumeSlice{
 			{Price: Number("25000.00"), Volume: Number("0.1")},

pkg/types/orderbook.go

@@ -27,7 +27,8 @@ type MutexOrderBook struct {
 	sync.Mutex
 
 	Symbol string
-	OrderBook OrderBook
+
+	orderBook OrderBook
 }
 
 func NewMutexOrderBook(symbol string) *MutexOrderBook {
@@ -39,20 +40,27 @@ func NewMutexOrderBook(symbol string) *MutexOrderBook {
 
 	return &MutexOrderBook{
 		Symbol:    symbol,
-		OrderBook: book,
+		orderBook: book,
 	}
 }
 
 func (b *MutexOrderBook) IsValid() (ok bool, err error) {
 	b.Lock()
-	ok, err = b.OrderBook.IsValid()
+	ok, err = b.orderBook.IsValid()
 	b.Unlock()
 	return ok, err
 }
 
+func (b *MutexOrderBook) SideBook(sideType SideType) PriceVolumeSlice {
+	b.Lock()
+	sideBook := b.orderBook.SideBook(sideType)
+	b.Unlock()
+	return sideBook
+}
+
 func (b *MutexOrderBook) LastUpdateTime() time.Time {
 	b.Lock()
-	t := b.OrderBook.LastUpdateTime()
+	t := b.orderBook.LastUpdateTime()
 	b.Unlock()
 	return t
 }
@@ -60,8 +68,8 @@ func (b *MutexOrderBook) LastUpdateTime() time.Time {
 func (b *MutexOrderBook) BestBidAndAsk() (bid, ask PriceVolume, ok bool) {
 	var ok1, ok2 bool
 	b.Lock()
-	bid, ok1 = b.OrderBook.BestBid()
-	ask, ok2 = b.OrderBook.BestAsk()
+	bid, ok1 = b.orderBook.BestBid()
+	ask, ok2 = b.orderBook.BestAsk()
 	b.Unlock()
 	ok = ok1 && ok2
 	return bid, ask, ok
@@ -69,48 +77,49 @@ func (b *MutexOrderBook) BestBidAndAsk() (bid, ask PriceVolume, ok bool) {
 
 func (b *MutexOrderBook) BestBid() (pv PriceVolume, ok bool) {
 	b.Lock()
-	pv, ok = b.OrderBook.BestBid()
+	pv, ok = b.orderBook.BestBid()
 	b.Unlock()
 	return pv, ok
 }
 
 func (b *MutexOrderBook) BestAsk() (pv PriceVolume, ok bool) {
 	b.Lock()
-	pv, ok = b.OrderBook.BestAsk()
+	pv, ok = b.orderBook.BestAsk()
 	b.Unlock()
 	return pv, ok
 }
 
 func (b *MutexOrderBook) Load(book SliceOrderBook) {
 	b.Lock()
-	b.OrderBook.Load(book)
+	b.orderBook.Load(book)
 	b.Unlock()
 }
 
 func (b *MutexOrderBook) Reset() {
 	b.Lock()
-	b.OrderBook.Reset()
+	b.orderBook.Reset()
 	b.Unlock()
 }
 
 func (b *MutexOrderBook) CopyDepth(depth int) OrderBook {
 	b.Lock()
-	book := b.OrderBook.CopyDepth(depth)
-	b.Unlock()
-	return book
+	defer b.Unlock()
+
+	return b.orderBook.CopyDepth(depth)
 }
 
 func (b *MutexOrderBook) Copy() OrderBook {
 	b.Lock()
-	book := b.OrderBook.Copy()
-	b.Unlock()
-	return book
+	defer b.Unlock()
+
+	return b.orderBook.Copy()
 }
 
 func (b *MutexOrderBook) Update(update SliceOrderBook) {
 	b.Lock()
-	b.OrderBook.Update(update)
-	b.Unlock()
+	defer b.Unlock()
+
+	b.orderBook.Update(update)
 }
 
 type BookSignalType string

pkg/types/price_volume_slice.go

@@ -17,7 +17,7 @@ func (p PriceVolume) Equals(b PriceVolume) bool {
 }
 
 func (p PriceVolume) String() string {
-	return fmt.Sprintf("PriceVolume{ price: %s, volume: %s }", p.Price.String(), p.Volume.String())
+	return fmt.Sprintf("PriceVolume{ Price: %s, Volume: %s }", p.Price.String(), p.Volume.String())
 }
 
 type PriceVolumeSlice []PriceVolume