ftx: orderbook snapshot checksum

pkg/exchange/ftx/stream_message_handler.go

@@ -12,7 +12,7 @@ type messageHandler struct {
 	*types.StandardStream
 }
 
-func (h messageHandler) handleMessage(message []byte) {
+func (h *messageHandler) handleMessage(message []byte) {
 	var r rawResponse
 	if err := json.Unmarshal(message, &r); err != nil {
 		logger.WithError(err).Errorf("failed to unmarshal resp: %s", string(message))
@@ -36,7 +36,7 @@ func (h messageHandler) handleSubscribedMessage(response rawResponse) {
 }
 
 func (h *messageHandler) handleMarketData(response rawResponse) {
-	r, err := response.toDataResponse()
+	r, err := response.toOrderBookResponse()
 	if err != nil {
 		log.WithError(err).Errorf("failed to convert the partial response to data response")
 		return
@@ -51,8 +51,8 @@ func (h *messageHandler) handleMarketData(response rawResponse) {
 	}
 }
 
-func (h messageHandler) handleOrderBook(r dataResponse) {
+func (h *messageHandler) handleOrderBook(r orderBookResponse) {
-	ob, err := toGlobalOrderBook(r)
+	globalOrderBook, err := toGlobalOrderBook(r)
 	if err != nil {
 		log.WithError(err).Errorf("failed to generate orderbook snapshot")
 		return
@@ -60,9 +60,14 @@ func (h messageHandler) handleOrderBook(r dataResponse) {
 
 	switch r.Type {
 	case partialRespType:
-		h.EmitBookSnapshot(ob)
+		if err := r.verifyChecksum(); err != nil {
+			log.WithError(err).Errorf("invalid orderbook snapshot")
+			return
+		}
+		h.EmitBookSnapshot(globalOrderBook)
 	case updateRespType:
-		h.EmitBookUpdate(ob)
+		// emit updates, not the whole orderbook
+		h.EmitBookUpdate(globalOrderBook)
 	default:
 		log.Errorf("unsupported order book data type %s", r.Type)
 		return

pkg/exchange/ftx/websocket_messages.go

@@ -3,7 +3,9 @@ package ftx
 import (
 	"encoding/json"
 	"fmt"
+	"hash/crc32"
 	"math"
+	"strconv"
 	"strings"
 	"time"
 
@@ -65,13 +67,13 @@ func (r rawResponse) toSubscribedResp() subscribedResponse {
 	}
 }
 
-func (r rawResponse) toDataResponse() (dataResponse, error) {
+func (r rawResponse) toOrderBookResponse() (orderBookResponse, error) {
-	o := dataResponse{
+	o := orderBookResponse{
 		mandatoryFields: r.mandatoryFields,
 	}
 
 	if err := json.Unmarshal(r.Data, &o); err != nil {
-		return dataResponse{}, err
+		return orderBookResponse{}, err
 	}
 
 	sec, dec := math.Modf(o.Time)
@@ -85,7 +87,7 @@ type subscribedResponse struct {
 	mandatoryFields
 }
 
-type dataResponse struct {
+type orderBookResponse struct {
 	mandatoryFields
 
 	Action string `json:"action"`
@@ -96,12 +98,130 @@ type dataResponse struct {
 
 	Checksum uint32 `json:"checksum"`
 
+	// best 100 orders. Ex. {[100,1], [50, 2]}
 	Bids [][]json.Number `json:"bids"`
 
+	// best 100 orders. Ex. {[51, 1], [102, 3]}
 	Asks [][]json.Number `json:"asks"`
 }
 
-func toGlobalOrderBook(r dataResponse) (types.OrderBook, error) {
+// only 100 orders so we use linear search here
+func (r *orderBookResponse) update(orderUpdates orderBookResponse) {
+	r.Checksum = orderUpdates.Checksum
+	r.updateBids(orderUpdates.Bids)
+	r.updateAsks(orderUpdates.Asks)
+}
+
+func (r *orderBookResponse) updateAsks(asks [][]json.Number) {
+	higherPrice := func(dst, src float64) bool {
+		return dst < src
+	}
+	for _, o := range asks {
+		if remove := o[1] == "0"; remove {
+			r.Asks = removePrice(r.Asks, o[0])
+		} else {
+			r.Asks = upsertPriceVolume(r.Asks, o, higherPrice)
+		}
+	}
+}
+
+func (r *orderBookResponse) updateBids(bids [][]json.Number) {
+	lessPrice := func(dst, src float64) bool {
+		return dst > src
+	}
+	for _, o := range bids {
+		if remove := o[1] == "0"; remove {
+			r.Bids = removePrice(r.Bids, o[0])
+		} else {
+			r.Bids = upsertPriceVolume(r.Bids, o, lessPrice)
+		}
+	}
+}
+
+func upsertPriceVolume(dst [][]json.Number, src []json.Number, priceComparator func(dst float64, src float64) bool) [][]json.Number {
+	for i, pv := range dst {
+		dstPrice := pv[0]
+		srcPrice := src[0]
+
+		// update volume
+		if dstPrice == srcPrice {
+			pv[1] = src[1]
+			return dst
+		}
+
+		// The value must be a number which is verified by json.Unmarshal, so the err
+		// should never happen.
+		dstPriceNum, err := strconv.ParseFloat(string(dstPrice), 64)
+		if err != nil {
+			logger.WithError(err).Errorf("unexpected price %s", dstPrice)
+			continue
+		}
+		srcPriceNum, err := strconv.ParseFloat(string(srcPrice), 64)
+		if err != nil {
+			logger.WithError(err).Errorf("unexpected price updates %s", srcPrice)
+			continue
+		}
+
+		if !priceComparator(dstPriceNum, srcPriceNum) {
+			return insertAt(dst, i, src)
+		}
+	}
+
+	return append(dst, src)
+}
+
+func insertAt(dst [][]json.Number, id int, pv []json.Number) (result [][]json.Number) {
+	result = append(result, dst[:id]...)
+	result = append(result, pv)
+	result = append(result, dst[id:]...)
+	return
+}
+
+func removePrice(dst [][]json.Number, price json.Number) [][]json.Number {
+	for i, pv := range dst {
+		if pv[0] == price {
+			return append(dst[:i], dst[i+1:]...)
+		}
+	}
+
+	return dst
+}
+
+func (r orderBookResponse) verifyChecksum() error {
+	if crc32Val := crc32.ChecksumIEEE([]byte(checksumString(r.Bids, r.Asks))); crc32Val != r.Checksum {
+		return fmt.Errorf("expected checksum %d, actual checksum %d: %w", r.Checksum, crc32Val, errUnmatchedChecksum)
+	}
+	return nil
+}
+
+// <best_bid_price>:<best_bid_size>:<best_ask_price>:<best_ask_size>...
+func checksumString(bids, asks [][]json.Number) string {
+	sb := strings.Builder{}
+	appendNumber := func(pv []json.Number) {
+		if sb.Len() != 0 {
+			sb.WriteString(":")
+		}
+		sb.WriteString(string(pv[0]))
+		sb.WriteString(":")
+		sb.WriteString(string(pv[1]))
+	}
+
+	bidsLen := len(bids)
+	asksLen := len(asks)
+	for i := 0; i < bidsLen || i < asksLen; i++ {
+		if i < bidsLen {
+			appendNumber(bids[i])
+		}
+		if i < asksLen {
+			appendNumber(asks[i])
+		}
+	}
+	return sb.String()
+}
+
+var errUnmatchedChecksum = fmt.Errorf("unmatched checksum")
+
+func toGlobalOrderBook(r orderBookResponse) (types.OrderBook, error) {
 	bids, err := toPriceVolumeSlice(r.Bids)
 	if err != nil {
 		return types.OrderBook{}, fmt.Errorf("can't convert bids to priceVolumeSlice: %w", err)

pkg/exchange/ftx/websocket_messages_test.go

@@ -26,7 +26,7 @@ func Test_rawResponse_toDataResponse(t *testing.T) {
 	assert.NoError(t, err)
 	var m rawResponse
 	assert.NoError(t, json.Unmarshal(f, &m))
-	r, err := m.toDataResponse()
+	r, err := m.toOrderBookResponse()
 	assert.NoError(t, err)
 	assert.Equal(t, partialRespType, r.Type)
 	assert.Equal(t, orderbook, r.Channel)
@@ -41,12 +41,12 @@ func Test_rawResponse_toDataResponse(t *testing.T) {
 	assert.Equal(t, []json.Number{"44579.0", "0.15"}, r.Asks[1])
 }
 
-func Test_DataResponse_toGlobalOrderBook(t *testing.T) {
+func Test_orderBookResponse_toGlobalOrderBook(t *testing.T) {
 	f, err := ioutil.ReadFile("./orderbook_snapshot.json")
 	assert.NoError(t, err)
 	var m rawResponse
 	assert.NoError(t, json.Unmarshal(f, &m))
-	r, err := m.toDataResponse()
+	r, err := m.toOrderBookResponse()
 	assert.NoError(t, err)
 
 	b, err := toGlobalOrderBook(r)
@@ -78,3 +78,95 @@ func Test_DataResponse_toGlobalOrderBook(t *testing.T) {
 
 }
 
+func Test_checksumString(t *testing.T) {
+	type args struct {
+		bids [][]json.Number
+		asks [][]json.Number
+	}
+	tests := []struct {
+		name string
+		args args
+		want string
+	}{
+		{
+			name: "more bids",
+			args: args{
+				bids: [][]json.Number{{"5000.5", "10"}, {"4995.0", "5"}},
+				asks: [][]json.Number{{"5001.0", "6"}},
+			},
+			want: "5000.5:10:5001.0:6:4995.0:5",
+		},
+		{
+			name: "lengths of bids and asks are the same",
+			args: args{
+				bids: [][]json.Number{{"5000.5", "10"}, {"4995.0", "5"}},
+				asks: [][]json.Number{{"5001.0", "6"}, {"5002.0", "7"}},
+			},
+			want: "5000.5:10:5001.0:6:4995.0:5:5002.0:7",
+		},
+	}
+	for _, tt := range tests {
+		t.Run(tt.name, func(t *testing.T) {
+			if got := checksumString(tt.args.bids, tt.args.asks); got != tt.want {
+				t.Errorf("checksumString() = %v, want %v", got, tt.want)
+			}
+		})
+	}
+}
+
+func Test_orderBookResponse_verifyChecksum(t *testing.T) {
+	for _, file := range []string{"./orderbook_snapshot.json"} {
+		f, err := ioutil.ReadFile(file)
+		assert.NoError(t, err)
+		var m rawResponse
+		assert.NoError(t, json.Unmarshal(f, &m))
+		r, err := m.toOrderBookResponse()
+		assert.NoError(t, err)
+		assert.NoError(t, r.verifyChecksum(), "filename: "+file)
+	}
+}
+
+func Test_removePrice(t *testing.T) {
+	pairs := [][]json.Number{{"123.99", "2.0"}, {"2234.12", "3.1"}}
+	assert.Equal(t, pairs, removePrice(pairs, "99333"))
+
+	pairs = removePrice(pairs, "2234.12")
+	assert.Equal(t, [][]json.Number{{"123.99", "2.0"}}, pairs)
+	assert.Equal(t, [][]json.Number{}, removePrice(pairs, "123.99"))
+}
+
+func Test_orderBookResponse_update(t *testing.T) {
+	ob := &orderBookResponse{Bids: nil, Asks: nil}
+
+	ob.update(orderBookResponse{
+		Bids: [][]json.Number{{"1.0", "0"}, {"10.0", "1"}, {"11.0", "1"}},
+		Asks: [][]json.Number{{"1.0", "1"}},
+	})
+	assert.Equal(t, [][]json.Number{{"11.0", "1"}, {"10.0", "1"}}, ob.Bids)
+	assert.Equal(t, [][]json.Number{{"1.0", "1"}}, ob.Asks)
+	ob.update(orderBookResponse{
+		Bids: [][]json.Number{{"9.0", "1"}, {"12.0", "1"}, {"10.5", "1"}},
+		Asks: [][]json.Number{{"1.0", "0"}},
+	})
+	assert.Equal(t, [][]json.Number{{"12.0", "1"}, {"11.0", "1"}, {"10.5", "1"}, {"10.0", "1"}, {"9.0", "1"}}, ob.Bids)
+	assert.Equal(t, [][]json.Number{}, ob.Asks)
+
+	// remove them
+	ob.update(orderBookResponse{
+		Bids: [][]json.Number{{"9.0", "0"}, {"12.0", "0"}, {"10.5", "0"}},
+		Asks: [][]json.Number{{"9.0", "1"}, {"12.0", "1"}, {"10.5", "1"}},
+	})
+	assert.Equal(t, [][]json.Number{{"11.0", "1"}, {"10.0", "1"}}, ob.Bids)
+	assert.Equal(t, [][]json.Number{{"9.0", "1"}, {"10.5", "1"}, {"12.0", "1"}}, ob.Asks)
+}
+
+func Test_insertAt(t *testing.T) {
+	r := insertAt([][]json.Number{{"1.2", "2"}, {"1.4", "2"}}, 1, []json.Number{"1.3", "2"})
+	assert.Equal(t, [][]json.Number{{"1.2", "2"}, {"1.3", "2"}, {"1.4", "2"}}, r)
+
+	r = insertAt([][]json.Number{{"1.2", "2"}, {"1.4", "2"}}, 0, []json.Number{"1.1", "2"})
+	assert.Equal(t, [][]json.Number{{"1.1", "2"}, {"1.2", "2"}, {"1.4", "2"}}, r)
+
+	r = insertAt([][]json.Number{{"1.2", "2"}, {"1.4", "2"}}, 2, []json.Number{"1.5", "2"})
+	assert.Equal(t, [][]json.Number{{"1.2", "2"}, {"1.4", "2"}, {"1.5", "2"}}, r)
+}