orderbook: Check assignment of time values and reject if not set (thr…

…asher-corp#1318) * orderbook: Check assignment of time values and reject if not set. * linter: fix * buffer: additional linter winter fixter * Implement through pending exchanges * finished push * linty: minty * gomod: tidy * thrasher: nits * glorious: nits * orderbook: purge type now in favour of external call allocation * orderbook: push last param * orderbook: only 1 unlock call is needed --------- Co-authored-by: Ryan O'Hara-Reid <[email protected]>
gbjk · Sep 7, 2023 · ad9de19 · ad9de19
1 parent 2014388
commit ad9de19
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Showing 31 changed files with 726 additions and 327 deletions.
diff --git a/engine/rpcserver_test.go b/engine/rpcserver_test.go
@@ -3461,7 +3461,10 @@ func TestGetOrderbookMovement(t *testing.T) {
 		{Price: 13, Amount: 1},
 		{Price: 14, Amount: 1},
 	}
-	depth.LoadSnapshot(bid, ask, 0, time.Time{}, true)
+	err = depth.LoadSnapshot(bid, ask, 0, time.Now(), true)
+	if err != nil {
+		t.Fatal(err)
+	}
 
 	_, err = s.GetOrderbookMovement(context.Background(), req)
 	if err.Error() != "quote amount invalid" {
@@ -3571,7 +3574,10 @@ func TestGetOrderbookAmountByNominal(t *testing.T) {
 		{Price: 13, Amount: 1},
 		{Price: 14, Amount: 1},
 	}
-	depth.LoadSnapshot(bid, ask, 0, time.Time{}, true)
+	err = depth.LoadSnapshot(bid, ask, 0, time.Now(), true)
+	if err != nil {
+		t.Fatal(err)
+	}
 
 	nominal, err := s.GetOrderbookAmountByNominal(context.Background(), req)
 	if !errors.Is(err, nil) {
@@ -3674,7 +3680,10 @@ func TestGetOrderbookAmountByImpact(t *testing.T) {
 		{Price: 13, Amount: 1},
 		{Price: 14, Amount: 1},
 	}
-	depth.LoadSnapshot(bid, ask, 0, time.Time{}, true)
+	err = depth.LoadSnapshot(bid, ask, 0, time.Now(), true)
+	if err != nil {
+		t.Fatal(err)
+	}
 
 	req.ImpactPercentage = 9.090909090909092
 	impact, err := s.GetOrderbookAmountByImpact(context.Background(), req)

diff --git a/exchanges/binance/binance_test.go b/exchanges/binance/binance_test.go
@@ -2123,7 +2123,7 @@ func TestWsDepthUpdate(t *testing.T) {
 
 	p := currency.NewPairWithDelimiter("BTC", "USDT", "-")
 	if err := b.SeedLocalCacheWithBook(p, &book); err != nil {
-		t.Error(err)
+		t.Fatal(err)
 	}
 
 	if err := b.wsHandleData(update1); err != nil {

diff --git a/exchanges/binance/binance_websocket.go b/exchanges/binance/binance_websocket.go
@@ -494,6 +494,7 @@ func (b *Binance) SeedLocalCacheWithBook(p currency.Pair, orderbookNew *OrderBoo
 		VerifyOrderbook: b.CanVerifyOrderbook,
 		Bids:            make(orderbook.Items, len(orderbookNew.Bids)),
 		Asks:            make(orderbook.Items, len(orderbookNew.Asks)),
+		LastUpdated:     time.Now(), // Time not provided in REST book.
 	}
 	for i := range orderbookNew.Bids {
 		newOrderBook.Bids[i] = orderbook.Item{

diff --git a/exchanges/binanceus/binanceus_test.go b/exchanges/binanceus/binanceus_test.go
@@ -1450,7 +1450,7 @@ func TestWebsocketOrderBookDepthDiffStream(t *testing.T) {
 
 	p := currency.NewPairWithDelimiter("BTC", "USDT", "-")
 	if err := bi.SeedLocalCacheWithBook(p, &book); err != nil {
-		t.Error(err)
+		t.Fatal(err)
 	}
 	if err := bi.wsHandleData(update1); err != nil {
 		t.Error(err)

diff --git a/exchanges/binanceus/binanceus_websocket.go b/exchanges/binanceus/binanceus_websocket.go
@@ -845,6 +845,7 @@ func (bi *Binanceus) SeedLocalCacheWithBook(p currency.Pair, orderbookNew *Order
 		VerifyOrderbook: bi.CanVerifyOrderbook,
 		Bids:            make(orderbook.Items, len(orderbookNew.Bids)),
 		Asks:            make(orderbook.Items, len(orderbookNew.Asks)),
+		LastUpdated:     time.Now(), // Time not provided in REST book.
 	}
 	for i := range orderbookNew.Bids {
 		newOrderBook.Bids[i] = orderbook.Item{

diff --git a/exchanges/bitfinex/bitfinex_websocket.go b/exchanges/bitfinex/bitfinex_websocket.go
@@ -1439,7 +1439,7 @@ func (b *Bitfinex) WsInsertSnapshot(p currency.Pair, assetType asset.Item, books
 	book.PriceDuplication = true
 	book.IsFundingRate = fundingRate
 	book.VerifyOrderbook = b.CanVerifyOrderbook
-	book.LastUpdated = time.Now()
+	book.LastUpdated = time.Now() // Not included in snapshot
 	return b.Websocket.Orderbook.LoadSnapshot(&book)
 }
 
@@ -1451,7 +1451,7 @@ func (b *Bitfinex) WsUpdateOrderbook(p currency.Pair, assetType asset.Item, book
 		Pair:       p,
 		Bids:       make([]orderbook.Item, 0, len(book)),
 		Asks:       make([]orderbook.Item, 0, len(book)),
-		UpdateTime: time.Now(),
+		UpdateTime: time.Now(), // Not included in update
 	}
 
 	for i := range book {

diff --git a/exchanges/bitmex/bitmex_test.go b/exchanges/bitmex/bitmex_test.go
@@ -941,7 +941,7 @@ func TestWSOrderbookHandling(t *testing.T) {
       "attributes":{"id":"sorted","symbol":"grouped"},
       "action":"partial",
       "data":[
-        {"symbol":"ETHUSD","id":17999992000,"side":"Sell","size":100,"price":80},
+        {"symbol":"ETHUSD","id":17999992000,"side":"Sell","size":100,"price":80,"timestamp":"2017-04-04T22:16:38.461Z"},
         {"symbol":"ETHUSD","id":17999993000,"side":"Sell","size":20,"price":70},
         {"symbol":"ETHUSD","id":17999994000,"side":"Sell","size":10,"price":60},
         {"symbol":"ETHUSD","id":17999995000,"side":"Buy","size":10,"price":50},
@@ -958,7 +958,7 @@ func TestWSOrderbookHandling(t *testing.T) {
       "table":"orderBookL2_25",
       "action":"update",
       "data":[
-        {"symbol":"ETHUSD","id":17999995000,"side":"Buy","size":5}
+        {"symbol":"ETHUSD","id":17999995000,"side":"Buy","size":5,"timestamp":"2017-04-04T22:16:38.461Z"}
       ]
     }`)
 	err = b.wsHandleData(pressXToJSON)
@@ -981,7 +981,7 @@ func TestWSOrderbookHandling(t *testing.T) {
       "table":"orderBookL2_25",
       "action":"delete",
       "data":[
-        {"symbol":"ETHUSD","id":17999995000,"side":"Buy"}
+        {"symbol":"ETHUSD","id":17999995000,"side":"Buy","timestamp":"2017-04-04T22:16:38.461Z"}
       ]
     }`)
 	err = b.wsHandleData(pressXToJSON)
@@ -993,7 +993,7 @@ func TestWSOrderbookHandling(t *testing.T) {
       "table":"orderBookL2_25",
       "action":"delete",
       "data":[
-        {"symbol":"ETHUSD","id":17999995000,"side":"Buy"}
+        {"symbol":"ETHUSD","id":17999995000,"side":"Buy","timestamp":"2017-04-04T22:16:38.461Z"}
       ]
     }`)
 	err = b.wsHandleData(pressXToJSON)

diff --git a/exchanges/bitmex/bitmex_types.go b/exchanges/bitmex/bitmex_types.go
@@ -322,11 +322,12 @@ type Order struct {
 
 // OrderBookL2 contains order book l2
 type OrderBookL2 struct {
-	ID     int64   `json:"id"`
-	Price  float64 `json:"price"`
-	Side   string  `json:"side"`
-	Size   int64   `json:"size"`
-	Symbol string  `json:"symbol"`
+	ID        int64     `json:"id"`
+	Price     float64   `json:"price"`
+	Side      string    `json:"side"`
+	Size      int64     `json:"size"`
+	Symbol    string    `json:"symbol"`
+	Timestamp time.Time `json:"timestamp"`
 }
 
 // Position Summary of Open and Closed Positions

diff --git a/exchanges/bitmex/bitmex_websocket.go b/exchanges/bitmex/bitmex_websocket.go
@@ -500,6 +500,7 @@ func (b *Bitmex) processOrderbook(data []OrderBookL2, action string, p currency.
 		book.Pair = p
 		book.Exchange = b.Name
 		book.VerifyOrderbook = b.CanVerifyOrderbook
+		book.LastUpdated = data[0].Timestamp
 
 		err := b.Websocket.Orderbook.LoadSnapshot(&book)
 		if err != nil {
@@ -528,11 +529,12 @@ func (b *Bitmex) processOrderbook(data []OrderBookL2, action string, p currency.
 		}
 
 		err = b.Websocket.Orderbook.Update(&orderbook.Update{
-			Bids:   bids,
-			Asks:   asks,
-			Pair:   p,
-			Asset:  a,
-			Action: updateAction,
+			Bids:       bids,
+			Asks:       asks,
+			Pair:       p,
+			Asset:      a,
+			Action:     updateAction,
+			UpdateTime: data[0].Timestamp,
 		})
 		if err != nil {
 			return err

diff --git a/exchanges/btse/btse_websocket.go b/exchanges/btse/btse_websocket.go
@@ -143,15 +143,19 @@ func (b *BTSE) wsHandleData(respRaw []byte) error {
 			if err != nil {
 				return err
 			}
-			log.Infof(log.WebsocketMgr, "%v subscribed to %v", b.Name, strings.Join(subscribe.Channel, ", "))
+			if b.Verbose {
+				log.Infof(log.WebsocketMgr, "%v subscribed to %v", b.Name, strings.Join(subscribe.Channel, ", "))
+			}
 		case "login":
 			var login WsLoginAcknowledgement
 			err = json.Unmarshal(respRaw, &login)
 			if err != nil {
 				return err
 			}
 			b.Websocket.SetCanUseAuthenticatedEndpoints(login.Success)
-			log.Infof(log.WebsocketMgr, "%v websocket authenticated: %v", b.Name, login.Success)
+			if b.Verbose {
+				log.Infof(log.WebsocketMgr, "%v websocket authenticated: %v", b.Name, login.Success)
+			}
 		default:
 			return errors.New(b.Name + stream.UnhandledMessage + string(respRaw))
 		}
@@ -265,7 +269,7 @@ func (b *BTSE) wsHandleData(respRaw []byte) error {
 			})
 		}
 		return trade.AddTradesToBuffer(b.Name, trades...)
-	case strings.Contains(topic, "orderBookL2Api"):
+	case strings.Contains(topic, "orderBookL2Api"): // TODO: Fix orderbook updates.
 		var t wsOrderBook
 		err = json.Unmarshal(respRaw, &t)
 		if err != nil {
@@ -328,6 +332,7 @@ func (b *BTSE) wsHandleData(respRaw []byte) error {
 		newOB.Exchange = b.Name
 		newOB.Asks.Reverse() // Reverse asks for correct alignment
 		newOB.VerifyOrderbook = b.CanVerifyOrderbook
+		newOB.LastUpdated = time.Now() // NOTE: Temp to fix test.
 		err = b.Websocket.Orderbook.LoadSnapshot(&newOB)
 		if err != nil {
 			return err

diff --git a/exchanges/coinbasepro/coinbasepro_test.go b/exchanges/coinbasepro/coinbasepro_test.go
@@ -852,7 +852,8 @@ func TestWsOrderbook(t *testing.T) {
     "type": "snapshot",
     "product_id": "BTC-USD",
     "bids": [["10101.10", "0.45054140"]],
-    "asks": [["10102.55", "0.57753524"]]
+    "asks": [["10102.55", "0.57753524"]],
+	"time":"2023-08-15T06:46:55.376250Z"
 }`)
 	err := c.wsHandleData(pressXToJSON)
 	if err != nil {
@@ -862,7 +863,7 @@ func TestWsOrderbook(t *testing.T) {
 	pressXToJSON = []byte(`{
   "type": "l2update",
   "product_id": "BTC-USD",
-  "time": "2019-08-14T20:42:27.265Z",
+  "time": "2023-08-15T06:46:57.933713Z",
   "changes": [
     [
       "buy",

diff --git a/exchanges/coinbasepro/coinbasepro_types.go b/exchanges/coinbasepro/coinbasepro_types.go
@@ -441,13 +441,14 @@ type WebsocketOrderbookSnapshot struct {
 	Type      string      `json:"type"`
 	Bids      [][2]string `json:"bids"`
 	Asks      [][2]string `json:"asks"`
+	Time      time.Time   `json:"time"`
 }
 
 // WebsocketL2Update defines an update on the L2 orderbooks
 type WebsocketL2Update struct {
 	Type      string      `json:"type"`
 	ProductID string      `json:"product_id"`
-	Time      string      `json:"time"`
+	Time      time.Time   `json:"time"`
 	Changes   [][3]string `json:"changes"`
 }
 

diff --git a/exchanges/coinbasepro/coinbasepro_websocket.go b/exchanges/coinbasepro/coinbasepro_websocket.go
@@ -102,7 +102,7 @@ func (c *CoinbasePro) wsHandleData(respRaw []byte) error {
 		}
 
 	case "snapshot":
-		snapshot := WebsocketOrderbookSnapshot{}
+		var snapshot WebsocketOrderbookSnapshot
 		err := json.Unmarshal(respRaw, &snapshot)
 		if err != nil {
 			return err
@@ -112,9 +112,8 @@ func (c *CoinbasePro) wsHandleData(respRaw []byte) error {
 		if err != nil {
 			return err
 		}
-
 	case "l2update":
-		update := WebsocketL2Update{}
+		var update WebsocketL2Update
 		err := json.Unmarshal(respRaw, &update)
 		if err != nil {
 			return err
@@ -291,38 +290,38 @@ func (c *CoinbasePro) ProcessSnapshot(snapshot *WebsocketOrderbookSnapshot) erro
 	}
 
 	for i := range snapshot.Bids {
-		price, err := strconv.ParseFloat(snapshot.Bids[i][0], 64)
+		var price float64
+		price, err = strconv.ParseFloat(snapshot.Bids[i][0], 64)
 		if err != nil {
 			return err
 		}
-
-		amount, err := strconv.ParseFloat(snapshot.Bids[i][1], 64)
+		var amount float64
+		amount, err = strconv.ParseFloat(snapshot.Bids[i][1], 64)
 		if err != nil {
 			return err
 		}
-
 		base.Bids[i] = orderbook.Item{Price: price, Amount: amount}
 	}
 
 	for i := range snapshot.Asks {
-		price, err := strconv.ParseFloat(snapshot.Asks[i][0], 64)
+		var price float64
+		price, err = strconv.ParseFloat(snapshot.Asks[i][0], 64)
 		if err != nil {
 			return err
 		}
-
-		amount, err := strconv.ParseFloat(snapshot.Asks[i][1], 64)
+		var amount float64
+		amount, err = strconv.ParseFloat(snapshot.Asks[i][1], 64)
 		if err != nil {
 			return err
 		}
-
 		base.Asks[i] = orderbook.Item{Price: price, Amount: amount}
 	}
 
 	base.Asset = asset.Spot
 	base.Pair = pair
 	base.Exchange = c.Name
 	base.VerifyOrderbook = c.CanVerifyOrderbook
-
+	base.LastUpdated = snapshot.Time
 	return c.Websocket.Orderbook.LoadSnapshot(&base)
 }
 
@@ -337,11 +336,6 @@ func (c *CoinbasePro) ProcessUpdate(update *WebsocketL2Update) error {
 		return err
 	}
 
-	timestamp, err := time.Parse(time.RFC3339, update.Time)
-	if err != nil {
-		return err
-	}
-
 	asks := make(orderbook.Items, 0, len(update.Changes))
 	bids := make(orderbook.Items, 0, len(update.Changes))
 
@@ -365,14 +359,18 @@ func (c *CoinbasePro) ProcessUpdate(update *WebsocketL2Update) error {
 		Bids:       bids,
 		Asks:       asks,
 		Pair:       p,
-		UpdateTime: timestamp,
+		UpdateTime: update.Time,
 		Asset:      asset.Spot,
 	})
 }
 
 // GenerateDefaultSubscriptions Adds default subscriptions to websocket to be handled by ManageSubscriptions()
 func (c *CoinbasePro) GenerateDefaultSubscriptions() ([]stream.ChannelSubscription, error) {
-	var channels = []string{"heartbeat", "level2", "ticker", "user", "matches"}
+	var channels = []string{"heartbeat",
+		"level2_batch", /*Other orderbook feeds require authentication. This is batched in 50ms lots.*/
+		"ticker",
+		"user",
+		"matches"}
 	enabledCurrencies, err := c.GetEnabledPairs(asset.Spot)
 	if err != nil {
 		return nil, err

diff --git a/exchanges/coinut/coinut_websocket.go b/exchanges/coinut/coinut_websocket.go
@@ -557,6 +557,7 @@ func (c *COINUT) WsProcessOrderbookSnapshot(ob *WsOrderbookSnapshot) error {
 
 	newOrderBook.Asset = asset.Spot
 	newOrderBook.Exchange = c.Name
+	newOrderBook.LastUpdated = time.Now() // No time sent
 
 	return c.Websocket.Orderbook.LoadSnapshot(&newOrderBook)
 }
@@ -582,9 +583,10 @@ func (c *COINUT) WsProcessOrderbookUpdate(update *WsOrderbookUpdate) error {
 	}
 
 	bufferUpdate := &orderbook.Update{
-		Pair:     p,
-		UpdateID: update.TransID,
-		Asset:    asset.Spot,
+		Pair:       p,
+		UpdateID:   update.TransID,
+		Asset:      asset.Spot,
+		UpdateTime: time.Now(), // No time sent
 	}
 	if strings.EqualFold(update.Side, order.Buy.Lower()) {
 		bufferUpdate.Bids = []orderbook.Item{{Price: update.Price, Amount: update.Volume}}

diff --git a/exchanges/gemini/gemini_websocket.go b/exchanges/gemini/gemini_websocket.go
@@ -560,6 +560,7 @@ func (g *Gemini) wsProcessUpdate(result *wsL2MarketData) error {
 		newOrderBook.Pair = pair
 		newOrderBook.Exchange = g.Name
 		newOrderBook.VerifyOrderbook = g.CanVerifyOrderbook
+		newOrderBook.LastUpdated = time.Now() // No time is sent
 		err := g.Websocket.Orderbook.LoadSnapshot(&newOrderBook)
 		if err != nil {
 			return err
@@ -569,10 +570,11 @@ func (g *Gemini) wsProcessUpdate(result *wsL2MarketData) error {
 			return nil
 		}
 		err := g.Websocket.Orderbook.Update(&orderbook.Update{
-			Asks:  asks,
-			Bids:  bids,
-			Pair:  pair,
-			Asset: asset.Spot,
+			Asks:       asks,
+			Bids:       bids,
+			Pair:       pair,
+			Asset:      asset.Spot,
+			UpdateTime: time.Now(), // No time is sent
 		})
 		if err != nil {
 			return err