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https://github.com/c9s/bbgo.git
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depth: implement depth.Buffer
This commit is contained in:
c9s
parent
d1c5e93e4f
commit
b217a0dec8
174
pkg/depth/buffer.go
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174
pkg/depth/buffer.go
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@ -0,0 +1,174 @@
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package depth
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import (
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"fmt"
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"sync"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/util"
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log "github.com/sirupsen/logrus"
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)
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type SnapshotFetcher func() (snapshot types.SliceOrderBook, finalUpdateID int64, err error)
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type Update struct {
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FirstUpdateID, FinalUpdateID int64
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// Object is the update object
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Object types.SliceOrderBook
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}
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//go:generate callbackgen -type Buffer
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type Buffer struct {
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Symbol string
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buffer []Update
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finalUpdateID int64
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fetcher SnapshotFetcher
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snapshot *types.SliceOrderBook
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resetCallbacks []func()
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readyCallbacks []func(snapshot types.SliceOrderBook, updates []Update)
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pushCallbacks []func(update Update)
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resetC chan struct{}
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mu sync.Mutex
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once util.Reonce
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}
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func NewDepthBuffer(symbol string, fetcher SnapshotFetcher) *Buffer {
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return &Buffer{
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Symbol: symbol,
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fetcher: fetcher,
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resetC: make(chan struct{}, 1),
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}
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}
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func (b *Buffer) resetSnapshot() {
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b.snapshot = nil
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b.finalUpdateID = 0
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b.EmitReset()
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}
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func (b *Buffer) emitReset() {
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select {
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case b.resetC <- struct{}{}:
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default:
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}
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}
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// AddUpdate adds the update to the buffer or push the update to the subscriber
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func (b *Buffer) AddUpdate(o types.SliceOrderBook, firstUpdateID int64, finalArgs ...int64) error {
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finalUpdateID := firstUpdateID
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if len(finalArgs) > 0 {
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finalUpdateID = finalArgs[0]
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}
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u := Update{
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FirstUpdateID: firstUpdateID,
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FinalUpdateID: finalUpdateID,
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Object: o,
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}
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// we lock here because there might be 2+ calls to the AddUpdate method
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// we don't want to reset sync.Once 2 times here
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b.mu.Lock()
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select {
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case <-b.resetC:
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log.Warnf("received depth reset signal, resetting...")
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// if the once goroutine is still running, overwriting this once might cause "unlock of unlocked mutex" panic.
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b.once.Reset()
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default:
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}
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// if the snapshot is set to nil, we need to buffer the message
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if b.snapshot == nil {
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b.buffer = append(b.buffer, u)
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b.once.Do(func() {
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go b.tryFetch()
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})
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b.mu.Unlock()
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return nil
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}
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// if there is a missing update, we should reset the snapshot and re-fetch the snapshot
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if u.FirstUpdateID > b.finalUpdateID+1 {
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// emitReset will reset the once outside the mutex lock section
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b.resetSnapshot()
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b.buffer = nil
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b.buffer = append(b.buffer, u)
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b.emitReset()
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b.mu.Unlock()
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return fmt.Errorf("there is a missing update between %d and %d", u.FirstUpdateID, b.finalUpdateID+1)
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}
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b.finalUpdateID = u.FinalUpdateID
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b.EmitPush(u)
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b.mu.Unlock()
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return nil
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}
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func (b *Buffer) fetchAndPush() error {
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log.Info("fetching depth snapshot...")
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book, finalUpdateID, err := b.fetcher()
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if err != nil {
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return err
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}
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log.Infof("fetched depth snapshot, final update id %d", finalUpdateID)
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b.mu.Lock()
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if len(b.buffer) > 0 {
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// the snapshot is too early
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if finalUpdateID < b.buffer[0].FirstUpdateID {
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b.resetSnapshot()
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b.emitReset()
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b.mu.Unlock()
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return fmt.Errorf("depth final update %d is < the first update id %d", finalUpdateID, b.buffer[0].FirstUpdateID)
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}
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}
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var pushUpdates []Update
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for _, u := range b.buffer {
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if u.FirstUpdateID > finalUpdateID+1 {
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b.resetSnapshot()
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b.emitReset()
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b.mu.Unlock()
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return fmt.Errorf("the update id %d > final update id %d + 1", u.FirstUpdateID, finalUpdateID)
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}
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if u.FirstUpdateID < finalUpdateID+1 {
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continue
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}
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pushUpdates = append(pushUpdates, u)
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// update the final update id to the correct final update id
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finalUpdateID = u.FinalUpdateID
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}
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// clean the buffer since we have filtered out the buffer we want
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b.buffer = nil
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// set the final update ID so that we will know if there is an update missing
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b.finalUpdateID = finalUpdateID
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// set the snapshot
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b.snapshot = &book
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b.mu.Unlock()
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b.EmitReady(book, pushUpdates)
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return nil
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}
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func (b *Buffer) tryFetch() {
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for {
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err := b.fetchAndPush()
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if err != nil {
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log.WithError(err).Errorf("snapshot fetch failed")
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continue
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}
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break
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}
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}
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37
pkg/depth/buffer_callbacks.go
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37
pkg/depth/buffer_callbacks.go
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@ -0,0 +1,37 @@
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// Code generated by "callbackgen -type Buffer"; DO NOT EDIT.
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package depth
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import (
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"github.com/c9s/bbgo/pkg/types"
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)
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func (b *Buffer) OnReset(cb func()) {
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b.resetCallbacks = append(b.resetCallbacks, cb)
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}
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func (b *Buffer) EmitReset() {
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for _, cb := range b.resetCallbacks {
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cb()
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}
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}
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func (b *Buffer) OnReady(cb func(snapshot types.SliceOrderBook, updates []Update)) {
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b.readyCallbacks = append(b.readyCallbacks, cb)
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}
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func (b *Buffer) EmitReady(snapshot types.SliceOrderBook, updates []Update) {
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for _, cb := range b.readyCallbacks {
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cb(snapshot, updates)
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}
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}
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func (b *Buffer) OnPush(cb func(update Update)) {
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b.pushCallbacks = append(b.pushCallbacks, cb)
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}
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func (b *Buffer) EmitPush(update Update) {
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for _, cb := range b.pushCallbacks {
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cb(update)
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}
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}
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151
pkg/depth/buffer_test.go
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151
pkg/depth/buffer_test.go
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@ -0,0 +1,151 @@
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package depth
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import (
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"context"
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"testing"
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"time"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/stretchr/testify/assert"
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)
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func TestDepthBuffer_ReadyState(t *testing.T) {
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buf := NewDepthBuffer("", func() (book types.SliceOrderBook, finalID int64, err error) {
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return types.SliceOrderBook{
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Bids: types.PriceVolumeSlice{
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{Price: 100, Volume: 1},
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},
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Asks: types.PriceVolumeSlice{
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{Price: 99, Volume: 1},
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},
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}, 33, nil
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})
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readyC := make(chan struct{})
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buf.OnReady(func(snapshot types.SliceOrderBook, updates []Update) {
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assert.Greater(t, len(updates), 33)
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close(readyC)
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})
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var updateID int64 = 1
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for ; updateID < 100; updateID++ {
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buf.AddUpdate(
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types.SliceOrderBook{
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Bids: types.PriceVolumeSlice{
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{Price: 100, Volume: fixedpoint.Value(updateID)},
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},
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Asks: types.PriceVolumeSlice{
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{Price: 99, Volume: fixedpoint.Value(updateID)},
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},
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}, updateID)
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}
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<-readyC
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}
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func TestDepthBuffer_CorruptedUpdateAtTheBeginning(t *testing.T) {
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// snapshot starts from 30,
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// the first ready event should have a snapshot(30) and updates (31~50)
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var snapshotFinalID int64 = 0
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buf := NewDepthBuffer("", func() (types.SliceOrderBook, int64, error) {
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snapshotFinalID += 30
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return types.SliceOrderBook{
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Bids: types.PriceVolumeSlice{
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{Price: 100, Volume: 1},
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},
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Asks: types.PriceVolumeSlice{
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{Price: 99, Volume: 1},
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},
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}, snapshotFinalID, nil
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})
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resetC := make(chan struct{}, 1)
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buf.OnReset(func() {
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resetC <- struct{}{}
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})
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var updateID int64 = 10
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for ; updateID < 100; updateID++ {
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if updateID == 50 {
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updateID += 5
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}
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buf.AddUpdate(types.SliceOrderBook{
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Bids: types.PriceVolumeSlice{
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{Price: 100, Volume: fixedpoint.Value(updateID)},
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},
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Asks: types.PriceVolumeSlice{
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{Price: 99, Volume: fixedpoint.Value(updateID)},
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},
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}, updateID)
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}
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<-resetC
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}
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func TestDepthBuffer_ConcurrentRun(t *testing.T) {
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var snapshotFinalID int64 = 0
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buf := NewDepthBuffer("", func() (types.SliceOrderBook, int64, error) {
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snapshotFinalID += 30
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time.Sleep(10 * time.Millisecond)
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return types.SliceOrderBook{
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Bids: types.PriceVolumeSlice{
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{Price: 100, Volume: 1},
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},
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Asks: types.PriceVolumeSlice{
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{Price: 99, Volume: 1},
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},
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}, snapshotFinalID, nil
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})
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readyCnt := 0
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resetCnt := 0
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pushCnt := 0
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buf.OnPush(func(update Update) {
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pushCnt++
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})
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buf.OnReady(func(snapshot types.SliceOrderBook, updates []Update) {
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readyCnt++
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assert.Greater(t, len(updates), 0)
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})
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buf.OnReset(func() {
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resetCnt++
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})
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ctx, cancel := context.WithTimeout(context.Background(), 3*time.Second)
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defer cancel()
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ticker := time.NewTicker(time.Millisecond)
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defer ticker.Stop()
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var updateID int64 = 10
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for {
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select {
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case <-ctx.Done():
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assert.Greater(t, readyCnt, 1)
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assert.Greater(t, resetCnt, 1)
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assert.Greater(t, pushCnt, 1)
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return
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case <-ticker.C:
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updateID++
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if updateID%100 == 0 {
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updateID++
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}
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buf.AddUpdate(types.SliceOrderBook{
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Bids: types.PriceVolumeSlice{
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{Price: 100, Volume: fixedpoint.Value(updateID)},
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},
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Asks: types.PriceVolumeSlice{
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{Price: 99, Volume: fixedpoint.Value(updateID)},
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},
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}, updateID)
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}
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}
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}
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33
pkg/util/reonce.go
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33
pkg/util/reonce.go
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@ -0,0 +1,33 @@
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package util
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import (
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"sync"
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"sync/atomic"
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)
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type Reonce struct {
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done uint32
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m sync.Mutex
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}
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func (o *Reonce) Reset() {
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o.m.Lock()
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atomic.StoreUint32(&o.done, 0)
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o.m.Unlock()
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}
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func (o *Reonce) Do(f func()) {
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if atomic.LoadUint32(&o.done) == 0 {
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// Outlined slow-path to allow inlining of the fast-path.
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o.doSlow(f)
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}
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}
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func (o *Reonce) doSlow(f func()) {
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o.m.Lock()
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defer o.m.Unlock()
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if o.done == 0 {
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defer atomic.StoreUint32(&o.done, 1)
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f()
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}
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}
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33
pkg/util/reonce_test.go
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33
pkg/util/reonce_test.go
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@ -0,0 +1,33 @@
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package util
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import (
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"testing"
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"time"
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"github.com/stretchr/testify/assert"
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)
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func TestReonce_DoAndReset(t *testing.T) {
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var cnt = 0
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var reonce Reonce
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go reonce.Do(func() {
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t.Log("once #1")
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time.Sleep(10 * time.Millisecond)
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cnt++
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})
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// make sure it's locked
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time.Sleep(10 * time.Millisecond)
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t.Logf("reset")
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reonce.Reset()
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go reonce.Do(func() {
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t.Log("once #2")
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time.Sleep(10 * time.Millisecond)
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cnt++
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})
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time.Sleep(time.Second)
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assert.Equal(t, 2, cnt)
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}
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