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FEAUTRE: [max] reset book if receive both empty asks and bids

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This commit is contained in:
kbearXD 2024-11-13 14:48:19 +08:00
parent a2c1a00de2
commit a356c8ac35
1 changed files with 17 additions and 11 deletions
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28
pkg/exchange/max/stream.go
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@ -217,17 +217,7 @@ func (s *Stream) handleBookEvent(ex *Exchange) func(e max.BookEvent) {
return func(e max.BookEvent) {
symbol := toGlobalSymbol(e.Market)
f, ok := s.depthBuffers[symbol]
if ok {
err := f.AddUpdate(types.SliceOrderBook{
Symbol: toGlobalSymbol(e.Market),
Time: e.Time(),
Bids: e.Bids,
Asks: e.Asks,
}, e.FirstUpdateID, e.LastUpdateID)
if err != nil {
log.WithError(err).Errorf("found missing %s update event", e.Market)
}
} else {
if !ok {
f = depth.NewBuffer(func() (types.SliceOrderBook, int64, error) {
log.Infof("fetching %s depth...", e.Market)
// the depth of websocket orderbook event is 50 by default, so we use 50 as limit here
@ -245,6 +235,22 @@ func (s *Stream) handleBookEvent(ex *Exchange) func(e max.BookEvent) {
})
s.depthBuffers[symbol] = f
}
// if we receive orderbook event with both asks and bids are empty, it means we need to rebuild this orderbook
shouldReset := len(e.Asks) == 0 && len(e.Bids) == 0
if shouldReset {
f.Reset()
return
}
if err := f.AddUpdate(types.SliceOrderBook{
Symbol: symbol,
Time: e.Time(),
Bids: e.Bids,
Asks: e.Asks,
}, e.FirstUpdateID, e.LastUpdateID); err != nil {
log.WithError(err).Errorf("found missing %s update event", e.Market)
}
}
}