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orderbook_test.go
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package okex
import (
"github.com/MauriceGit/skiplist"
"github.com/stretchr/testify/assert"
"log"
"testing"
"time"
)
func TestSkipList(t *testing.T) {
list := skiplist.New()
item0 := Item{Price: 7000.0, Amount: 10.0}
list.Insert(item0)
fItem, ok := list.Find(Item{Price: 7000.0, Amount: 200.0})
assert.True(t, ok)
v := fItem.GetValue().(Item)
assert.Equal(t, v.ExtractKey(), 7000.0)
assert.Equal(t, v.Amount, 10.0)
fItem, ok = list.Find(item0)
assert.True(t, ok)
v = fItem.GetValue().(Item)
assert.Equal(t, v.ExtractKey(), 7000.0)
assert.Equal(t, v.Price, 7000.0)
assert.Equal(t, v.Amount, 10.0)
ok = list.ChangeValue(fItem, Item{7000.0, 20.0})
assert.True(t, ok)
smallest := list.GetSmallestNode()
largest := list.GetLargestNode()
assert.NotNil(t, smallest)
assert.NotNil(t, largest)
assert.Equal(t, smallest, largest)
assert.Equal(t, smallest.GetValue().(Item).Amount, 20.0)
fItem, ok = list.Find(Item{Price: 6000.0, Amount: 100})
assert.False(t, ok)
assert.Nil(t, fItem)
}
func parseWSDepthL2TbtResult(s string) (result WSDepthL2TbtResult) {
err := json.Unmarshal([]byte(s), &result)
if err != nil {
log.Fatal(err)
}
return
}
func TestDepthOrderBook_GetOrderBook(t *testing.T) {
dob := NewDepthOrderBook("BTC-USD-200626")
partialString := `{"table":"futures/depth_l2_tbt","action":"partial","data":[{"instrument_id":"BTC-USD-200626","asks":[["6773.41","344","0","8"],["6773.8","13","0","10"],["6773.81","40","0","1"],["6773.84","26","0","4"],["6773.86","1","0","1"],["6773.89","1","0","1"],["6774","4","0","2"],["6774.1","1","0","1"],["6774.14","2","0","1"],["6774.35","1","0","1"],["6774.36","70","0","3"],["6774.41","21","0","1"],["6774.44","1","0","1"],["6774.5","1","0","1"],["6774.95","1","0","1"],["6774.96","21","0","2"],["6775.21","1","0","1"],["6775.22","30","0","1"],["6775.28","1","0","1"],["6775.29","3","0","1"],["6775.6","1","0","1"],["6775.64","20","0","1"],["6775.72","84","0","1"],["6775.75","296","0","1"],["6775.76","2","0","2"],["6775.84","5","0","1"],["6775.86","134","0","2"],["6775.9","20","0","1"],["6776","3","0","1"],["6776.06","99","0","1"],["6776.07","1","0","1"],["6776.16","13","0","1"],["6776.19","13","0","1"],["6776.22","6","0","1"],["6776.26","14","0","2"],["6776.29","15","0","2"],["6776.31","20","0","1"],["6776.32","14","0","2"],["6776.36","8","0","1"],["6776.38","5","0","5"],["6776.42","2","0","1"],["6776.44","3","0","1"],["6776.45","2","0","1"],["6776.46","20","0","1"],["6776.47","9","0","2"],["6776.5","11","0","1"],["6776.53","39","0","3"],["6776.57","20","0","2"],["6776.61","18","0","1"],["6776.62","11","0","2"],["6776.63","6","0","1"],["6776.67","3","0","1"],["6776.69","12","0","1"],["6776.76","2","0","2"],["6776.79","3","0","3"],["6776.83","1","0","1"],["6776.9","1","0","1"],["6776.91","1","0","1"],["6776.97","100","0","1"],["6776.98","13","0","1"],["6777","3","0","1"],["6777.14","6","0","1"],["6777.16","10","0","1"],["6777.2","16","0","8"],["6777.24","26","0","3"],["6777.33","1","0","1"],["6777.38","1","0","1"],["6777.41","4","0","2"],["6777.43","7","0","7"],["6777.45","5","0","1"],["6777.49","5","0","1"],["6777.5","1","0","1"],["6777.53","15","0","1"],["6777.55","14","0","1"],["6777.58","6","0","1"],["6777.59","2","0","1"],["6777.6","1","0","1"],["6777.61","2","0","1"],["6777.66","1","0","1"],["6777.69","17","0","1"],["6777.72","2","0","2"],["6777.77","1","0","1"],["6777.78","10","0","1"],["6777.84","2","0","1"],["6777.88","50","0","1"],["6777.89","2","0","1"],["6777.92","5","0","1"],["6777.93","12","0","2"],["6777.96","9","0","1"],["6777.97","1","0","1"],["6778","3","0","1"],["6778.05","2","0","1"],["6778.06","3","0","1"],["6778.15","201","0","2"],["6778.25","18","0","9"],["6778.29","18","0","2"],["6778.3","60","0","1"],["6778.33","3","0","1"],["6778.39","16","0","1"],["6778.46","1","0","1"],["6778.48","1","0","1"],["6778.52","1075","0","1"],["6778.53","12","0","1"],["6778.59","5","0","5"],["6778.68","1","0","1"],["6778.82","12","0","4"],["6778.94","1","0","1"],["6778.99","5","0","1"],["6779","3","0","1"],["6779.06","18","0","1"],["6779.2","2","0","2"],["6779.23","4","0","4"],["6779.24","6","0","1"],["6779.27","656","0","1"],["6779.35","21","0","1"],["6779.39","40","0","1"],["6779.41","5","0","1"],["6779.44","67","0","1"],["6779.49","50","0","1"],["6779.56","50","0","1"],["6779.58","1","0","1"],["6779.6","1","0","1"],["6779.63","1","0","1"],["6779.67","5","0","1"],["6779.68","1","0","1"],["6779.73","1","0","1"],["6779.8","1","0","1"],["6779.95","83","0","1"],["6779.96","1","0","1"],["6780","1","0","1"],["6780.03","3","0","1"],["6780.04","5","0","5"],["6780.11","6","0","6"],["6780.17","5","0","1"],["6780.29","50","0","1"],["6780.3","100","0","1"],["6780.34","1","0","1"],["6780.4","73","0","1"],["6780.42","317","0","1"],["6780.49","111","0","1"],["6780.61","13","0","1"],["6780.62","14","0","1"],["6780.63","1","0","1"],["6780.65","159","0","1"],["6780.66","50","0","1"],["6780.74","197","0","2"],["6780.8","60","0","1"],["6780.83","234","0","2"],["6780.96","82","0","3"],["6780.97","1","0","1"],["6780.98","94","0","1"],["6781","3","0","1"],["6781.01","78","0","1"],["6781.06","12","0","1"],["6781.08","50","0","1"],["6781.09","89","0","1"],["6781.1","76","0","1"],["6781.11","10","0","1"],["6781.2","1","0","1"],["6781.22","121","0","1"],["6781.24","9","0","1"],["6781.25","134","0","1"],["6781.28","1","0","1"],["6781.36","5","0","1"],["6781.4","105","0","1"],["6781.42","200","0","1"],["6781.44","40","0","1"],["6781.47","18","0","1"],["6781.48","20","0","1"],["6781.6","40","0","1"],["6781.63","11","0","1"],["6781.64","11","0","1"],["6781.71","50","0","1"],["6781.85","10","0","1"],["6781.9","10","0","1"],["6781.93","33","0","1"],["6781.97","50","0","1"],["6782","135","0","2"],["6782.17","127","0","1"],["6782.21","116","0","1"],["6782.24","10","0","1"],["6782.25","50","0","1"],["6782.27","20","0","1"],["6782.29","3","0","1"],["6782.3","14","0","1"],["6782.31","100","0","2"],["6782.34","138","0","1"],["6782.35","50","0","1"],["6782.37","11","0","1"],["6782.41","29","0","2"],["6782.42","4","0","1"],["6782.45","71","0","1"],["6782.46","170","0","1"],["6782.47","10","0","1"],["6782.65","51","0","2"],["6782.66","154","0","1"],["6782.67","2","0","2"],["6782.69","1","0","1"],["6782.71","50","0","1"],["6782.73","50","0","1"],["6782.76",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depthL2 := parseWSDepthL2TbtResult(partialString)
dob.Update(ActionDepthL2Partial, &depthL2.Data[0])
ob := dob.GetOrderBook(1)
assert.Equal(t, len(ob.Asks), 1)
assert.Equal(t, len(ob.Bids), 1)
ob = dob.GetOrderBook(10)
//t.Logf("%#v", ob)
assert.Equal(t, len(ob.Asks), 10)
assert.Equal(t, len(ob.Bids), 10)
//for _, v := range ob.Asks {
// t.Logf("Ask: %v,%v", v.Price, v.Amount)
//}
assert.Equal(t, ob.Asks[0].Price, 6773.41)
assert.Equal(t, ob.Asks[0].Amount, 344.0)
assert.Equal(t, ob.Asks[1].Price, 6773.8)
assert.Equal(t, ob.Asks[1].Amount, 13.0)
// ["6773.4","29","0","4"],["6773.3","3","0","1"]
assert.Equal(t, ob.Bids[0].Price, 6773.4)
assert.Equal(t, ob.Bids[0].Amount, 29.0)
assert.Equal(t, ob.Bids[1].Price, 6773.3)
assert.Equal(t, ob.Bids[1].Amount, 3.0)
// 更新
updateString := `{"table":"futures/depth_l2_tbt","action":"update","data":[{"instrument_id":"BTC-USD-200626","asks":[["6773.3","0","0","0"],["6773.39","0","0","0"]],"bids":[["6774.41","0","0","0"],["6773.51","0","0","0"],["6773.42","0","0","0"]],"timestamp":"2020-04-12T10:24:19.925Z","checksum":854586422}]}`
depthL2 = parseWSDepthL2TbtResult(updateString)
_, ok := dob.asks.Find(Item{Price: 6773.3})
assert.False(t, ok)
dob.Update(ActionDepthL2Update, &depthL2.Data[0])
// "asks":[["6773.3","0","0","0"],["6773.39","0","0","0"]],"bids":[["6774.41","0","0","0"],["6773.51","0","0","0"],["6773.42","0","0","0"]]
_, ok = dob.asks.Find(Item{Price: 6773.3})
assert.False(t, ok)
_, ok = dob.asks.Find(Item{Price: 6773.39})
assert.False(t, ok)
_, ok = dob.bids.Find(Item{Price: 6774.41})
assert.False(t, ok)
_, ok = dob.bids.Find(Item{Price: 6773.51})
assert.False(t, ok)
_, ok = dob.bids.Find(Item{Price: 6773.42})
assert.False(t, ok)
//assert.Equal(t, item6773_3.GetValue().(Item).Amount, 3.0)
updateString = `{"table":"futures/depth_l2_tbt","action":"update","data":[{"instrument_id":"BTC-USD-200626","asks":[["6772.8","0","0","0"],["6777.55","0","0","0"],["6781.25","0","0","0"],["6782.5","11","0","1"],["6783.14","171","0","2"]],"bids":[["6774.21","0","0","0"],["6774.01","0","0","0"],["6773.42","0","0","0"],["6766.01","133","0","1"],["6025.23","0","0","0"],["6025.18","0","0","0"]],"timestamp":"2020-04-12T10:24:19.938Z","checksum":854586422}]}`
depthL2 = parseWSDepthL2TbtResult(updateString)
dob.Update(ActionDepthL2Update, &depthL2.Data[0])
fv, ok := dob.asks.Find(Item{Price: 6782.5})
assert.True(t, ok)
assert.Equal(t, fv.GetValue().(Item).Amount, 11.0)
fv, ok = dob.bids.Find(Item{Price: 6766.01})
assert.True(t, ok)
assert.Equal(t, fv.GetValue().(Item).Amount, 133.0)
n := int64(1000000)
start := time.Now()
for i := 0; i < 1000000; i++ {
dob.Update(ActionDepthL2Update, &depthL2.Data[0])
}
d := time.Now().Sub(start)
t.Logf("d: %v %v ns", d.String(), d.Nanoseconds()/n)
}
func TestSkipList1(t *testing.T) {
list := skiplist.New()
item0 := Item{Price: 7000.0, Amount: 10.0}
list.Insert(item0)
fItem, ok := list.Find(Item{Price: 7000.0, Amount: 200000.0})
t.Logf("ok:%v", ok)
//assert.True(t, ok)
v := fItem.GetValue().(Item)
assert.Equal(t, v.ExtractKey(), 7000.0)
assert.Equal(t, v.Amount, 10.0)
fItem, ok = list.Find(item0)
assert.True(t, ok)
v = fItem.GetValue().(Item)
assert.Equal(t, v.ExtractKey(), 7000.0)
assert.Equal(t, v.Price, 7000.0)
assert.Equal(t, v.Amount, 10.0)
ok = list.ChangeValue(fItem, Item{7000.0, 20.0})
assert.True(t, ok)
smallest := list.GetSmallestNode()
largest := list.GetLargestNode()
assert.NotNil(t, smallest)
assert.NotNil(t, largest)
assert.Equal(t, smallest, largest)
assert.Equal(t, smallest.GetValue().(Item).Amount, 20.0)
fItem, ok = list.Find(Item{Price: 6000.0, Amount: 100})
assert.False(t, ok)
assert.Nil(t, fItem)
}
//func parseWSDepthL2TbtResult(s string) (result WSDepthL2TbtResult) {
// err := json.Unmarshal([]byte(s), &result)
// if err != nil {
// log.Fatal(err)
// }
// return
//}
func TestDepthOrderBook_GetOrderBook1(t *testing.T) {
dob := NewDepthOrderBook("TRX-USDT-201225")
partialString := `{"table":"futures/depth_l2_tbt","action":"partial","data":[{"instrument_id":"TRX-USDT-201225","asks":[["0.01815","61","0","2"],["0.01816","39","0","3"],["0.01819","301","0","4"],["0.0182","4","0","1"],["0.01821","176","0","1"],["0.01823","180","0","2"],["0.01824","190","0","2"],["0.01825","346","0","1"],["0.01826","434","0","3"],["0.01828","12","0","1"],["0.01829","1751","0","2"],["0.01834","150","0","1"],["0.01839","102","0","1"],["0.01846","10","0","1"],["0.01848","50","0","1"],["0.01887","8661","0","1"],["0.01954","6","0","1"],["0.01959","3464","0","1"],["0.0198","2","0","1"],["0.0199","3","0","1"],["0.01999","10","0","1"],["0.02045","8666","0","1"],["0.02223","43277","0","1"],["0.03599","395","0","1"]],"bids":[["0.01813","20","0","1"],["0.01811","33","0","3"],["0.0181","81","0","3"],["0.01809","308","0","2"],["0.01807","192","0","3"],["0.01805","192","0","2"],["0.01804","195","0","2"],["0.01803","356","0","2"],["0.01802","188","0","1"],["0.01801","5","0","1"],["0.018","6","0","1"],["0.01799","1735","0","1"],["0.01798","7","0","1"],["0.01795","50","0","1"],["0.01793","243","0","1"],["0.01788","150","0","1"],["0.01783","102","0","1"],["0.01774","50","0","1"],["0.01741","8664","0","1"],["0.0173","1","0","1"],["0.0165","2","0","1"],["0.01646","1","0","1"],["0.0161","3471","0","1"],["0.01524","8658","0","1"],["0.01346","43270","0","1"]],"timestamp":"2020-07-23T08:52:50.202Z","checksum":1060528549}]}`
depthL2 := parseWSDepthL2TbtResult(partialString)
dob.Update(ActionDepthL2Partial, &depthL2.Data[0])
t.Logf("%+v", dob.asks.String())
var ok bool
//_,ok=dob.asks.Find(Item{Price:0.01824})
//t.Logf("查找0.01824%+v",ok)
_, ok = dob.asks.Find(Item{Price: 0.01826})
t.Logf("查找0.01826%+v", ok)
assert.True(t, ok)
// 更新
updateString := `{"table":"futures/depth_l2_tbt","action":"update","data":[{"instrument_id":"TRX-USDT-201225","asks":[["0.01823","174","0","1"],["0.01824","182","0","1"],["0.01826","424","0","2"],["0.01828","0","0","0"]],"bids":[],"timestamp":"2020-07-23T08:52:50.694Z","checksum":-1843888222}]}`
depthL2 = parseWSDepthL2TbtResult(updateString)
dob.Update(ActionDepthL2Update, &depthL2.Data[0])
t.Logf("! %+v", dob.asks.String())
_, ok = dob.asks.Find(Item{Price: 0.01826})
t.Logf("查找0.01826%+v", ok)
ob := dob.GetOrderBook(20)
for _, v := range ob.Asks {
t.Logf("ask: %#v", v)
}
}