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orderbook: consolidate slice array types to orderbook package #1992

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aef286a
orderbook: consolidate slice array types to orderbook package
Aug 5, 2025
83d1483
Update exchanges/bybit/bybit_types.go
shazbert Aug 5, 2025
8941bcb
linter: fix and add test
Aug 5, 2025
82fbbbd
Merge branch 'master' into ob_array_type
Aug 26, 2025
303ff84
cranktakular: nits
Aug 26, 2025
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28 changes: 6 additions & 22 deletions exchanges/binance/binance.go
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Original file line number Diff line number Diff line change
Expand Up @@ -121,36 +121,20 @@ func (e *Exchange) GetExchangeInfo(ctx context.Context) (ExchangeInfo, error) {
// OrderBookDataRequestParams contains the following members
// symbol: string of currency pair
// limit: returned limit amount
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With OrderBookDataRequestParams being removed, these comments explaining it should be too.

func (e *Exchange) GetOrderBook(ctx context.Context, obd OrderBookDataRequestParams) (*OrderBook, error) {
func (e *Exchange) GetOrderBook(ctx context.Context, pair currency.Pair, limit int) (*OrderBookResponse, error) {
params := url.Values{}
symbol, err := e.FormatSymbol(obd.Symbol, asset.Spot)
symbol, err := e.FormatSymbol(pair, asset.Spot)
if err != nil {
return nil, err
}
params.Set("symbol", symbol)
params.Set("limit", strconv.Itoa(obd.Limit))
params.Set("limit", strconv.Itoa(limit))

var resp *OrderBookData
if err := e.SendHTTPRequest(ctx, exchange.RestSpotSupplementary, common.EncodeURLValues(orderBookDepth, params), orderbookLimit(obd.Limit), &resp); err != nil {
var resp *OrderBookResponse
if err := e.SendHTTPRequest(ctx, exchange.RestSpotSupplementary, common.EncodeURLValues(orderBookDepth, params), orderbookLimit(limit), &resp); err != nil {
return nil, err
}

ob := &OrderBook{
Bids: make([]OrderbookItem, len(resp.Bids)),
Asks: make([]OrderbookItem, len(resp.Asks)),
LastUpdateID: resp.LastUpdateID,
}
for x := range resp.Bids {
ob.Bids[x].Price = resp.Bids[x][0].Float64()
ob.Bids[x].Quantity = resp.Bids[x][1].Float64()
}

for x := range resp.Asks {
ob.Asks[x].Price = resp.Asks[x][0].Float64()
ob.Asks[x].Quantity = resp.Asks[x][1].Float64()
}

return ob, nil
return resp, nil
}

// GetMostRecentTrades returns recent trade activity
Expand Down
24 changes: 4 additions & 20 deletions exchanges/binance/binance_cfutures.go
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Original file line number Diff line number Diff line change
Expand Up @@ -83,7 +83,7 @@ func (e *Exchange) FuturesExchangeInfo(ctx context.Context) (CExchangeInfo, erro
}

// GetFuturesOrderbook gets orderbook data for CoinMarginedFutures,
func (e *Exchange) GetFuturesOrderbook(ctx context.Context, symbol currency.Pair, limit int64) (*OrderBook, error) {
func (e *Exchange) GetFuturesOrderbook(ctx context.Context, symbol currency.Pair, limit int64) (*OrderBookResponse, error) {
symbolValue, err := e.FormatSymbol(symbol, asset.CoinMarginedFutures)
if err != nil {
return nil, err
Expand All @@ -105,27 +105,11 @@ func (e *Exchange) GetFuturesOrderbook(ctx context.Context, symbol currency.Pair
rateBudget = cFuturesOrderbook500Rate
}

var data *OrderbookData
if err := e.SendHTTPRequest(ctx, exchange.RestCoinMargined, cfuturesOrderbook+params.Encode(), rateBudget, &data); err != nil {
var resp *OrderBookResponse
if err := e.SendHTTPRequest(ctx, exchange.RestCoinMargined, cfuturesOrderbook+params.Encode(), rateBudget, &resp); err != nil {
return nil, err
}

ob := &OrderBook{
Bids: make([]OrderbookItem, len(data.Bids)),
Asks: make([]OrderbookItem, len(data.Asks)),
}

for x := range data.Bids {
ob.Bids[x].Price = data.Bids[x][0].Float64()
ob.Bids[x].Quantity = data.Bids[x][1].Float64()
}

for x := range data.Asks {
ob.Asks[x].Price = data.Asks[x][0].Float64()
ob.Asks[x].Quantity = data.Asks[x][1].Float64()
}

return ob, nil
return resp, nil
}

// GetFuturesPublicTrades gets recent public trades for CoinMarginedFutures,
Expand Down
57 changes: 26 additions & 31 deletions exchanges/binance/binance_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -25,6 +25,7 @@ import (
"github.com/thrasher-corp/gocryptotrader/exchanges/kline"
"github.com/thrasher-corp/gocryptotrader/exchanges/margin"
"github.com/thrasher-corp/gocryptotrader/exchanges/order"
"github.com/thrasher-corp/gocryptotrader/exchanges/orderbook"
"github.com/thrasher-corp/gocryptotrader/exchanges/sharedtestvalues"
"github.com/thrasher-corp/gocryptotrader/exchanges/subscription"
testexch "github.com/thrasher-corp/gocryptotrader/internal/testing/exchange"
Expand Down Expand Up @@ -1118,14 +1119,8 @@ func TestFetchTradablePairs(t *testing.T) {

func TestGetOrderBook(t *testing.T) {
t.Parallel()
_, err := e.GetOrderBook(t.Context(),
OrderBookDataRequestParams{
Symbol: currency.NewBTCUSDT(),
Limit: 1000,
})
if err != nil {
t.Error("Binance GetOrderBook() error", err)
}
_, err := e.GetOrderBook(t.Context(), currency.NewBTCUSDT(), 1000)
assert.NoError(t, err)
}

func TestGetMostRecentTrades(t *testing.T) {
Expand Down Expand Up @@ -2102,30 +2097,30 @@ func TestWsDepthUpdate(t *testing.T) {
require.NoError(t, testexch.Setup(e), "Test instance Setup must not error")
e.setupOrderbookManager(t.Context())
seedLastUpdateID := int64(161)
book := OrderBook{
Asks: []OrderbookItem{
{Price: 6621.80000000, Quantity: 0.00198100},
{Price: 6622.14000000, Quantity: 4.00000000},
{Price: 6622.46000000, Quantity: 2.30000000},
{Price: 6622.47000000, Quantity: 1.18633300},
{Price: 6622.64000000, Quantity: 4.00000000},
{Price: 6622.73000000, Quantity: 0.02900000},
{Price: 6622.76000000, Quantity: 0.12557700},
{Price: 6622.81000000, Quantity: 2.08994200},
{Price: 6622.82000000, Quantity: 0.01500000},
{Price: 6623.17000000, Quantity: 0.16831300},
book := OrderBookResponse{
Asks: []orderbook.Level{
{Price: 6621.80000000, Amount: 0.00198100},
{Price: 6622.14000000, Amount: 4.00000000},
{Price: 6622.46000000, Amount: 2.30000000},
{Price: 6622.47000000, Amount: 1.18633300},
{Price: 6622.64000000, Amount: 4.00000000},
{Price: 6622.73000000, Amount: 0.02900000},
{Price: 6622.76000000, Amount: 0.12557700},
{Price: 6622.81000000, Amount: 2.08994200},
{Price: 6622.82000000, Amount: 0.01500000},
{Price: 6623.17000000, Amount: 0.16831300},
},
Bids: []OrderbookItem{
{Price: 6621.55000000, Quantity: 0.16356700},
{Price: 6621.45000000, Quantity: 0.16352600},
{Price: 6621.41000000, Quantity: 0.86091200},
{Price: 6621.25000000, Quantity: 0.16914100},
{Price: 6621.23000000, Quantity: 0.09193600},
{Price: 6621.22000000, Quantity: 0.00755100},
{Price: 6621.13000000, Quantity: 0.08432000},
{Price: 6621.03000000, Quantity: 0.00172000},
{Price: 6620.94000000, Quantity: 0.30506700},
{Price: 6620.93000000, Quantity: 0.00200000},
Bids: []orderbook.Level{
{Price: 6621.55000000, Amount: 0.16356700},
{Price: 6621.45000000, Amount: 0.16352600},
{Price: 6621.41000000, Amount: 0.86091200},
{Price: 6621.25000000, Amount: 0.16914100},
{Price: 6621.23000000, Amount: 0.09193600},
{Price: 6621.22000000, Amount: 0.00755100},
{Price: 6621.13000000, Amount: 0.08432000},
{Price: 6621.03000000, Amount: 0.00172000},
{Price: 6620.94000000, Amount: 0.30506700},
{Price: 6620.93000000, Amount: 0.00200000},
},
LastUpdateID: seedLastUpdateID,
}
Expand Down
52 changes: 16 additions & 36 deletions exchanges/binance/binance_types.go
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Original file line number Diff line number Diff line change
Expand Up @@ -8,6 +8,7 @@ import (
"github.com/thrasher-corp/gocryptotrader/currency"
"github.com/thrasher-corp/gocryptotrader/encoding/json"
"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
"github.com/thrasher-corp/gocryptotrader/exchanges/orderbook"
"github.com/thrasher-corp/gocryptotrader/types"
)

Expand Down Expand Up @@ -123,35 +124,14 @@ type CoinInfo struct {
Withdrawing float64 `json:"withdrawing,string"`
}

// OrderBookDataRequestParams represents Klines request data.
type OrderBookDataRequestParams struct {
Symbol currency.Pair `json:"symbol"` // Required field; example LTCBTC,BTCUSDT
Limit int `json:"limit"` // Default 100; max 5000. If limit > 5000, then the response will truncate to 5000
}

// OrderbookItem stores an individual orderbook item
type OrderbookItem struct {
Price float64
Quantity float64
}

// OrderBookData is resp data from orderbook endpoint
type OrderBookData struct {
Code int `json:"code"`
Msg string `json:"msg"`
LastUpdateID int64 `json:"lastUpdateId"`
Bids [][2]types.Number `json:"bids"`
Asks [][2]types.Number `json:"asks"`
}

// OrderBook actual structured data that can be used for orderbook
type OrderBook struct {
Symbol string
LastUpdateID int64
Code int
Msg string
Bids []OrderbookItem
Asks []OrderbookItem
// OrderBookResponse is resp data from orderbook endpoint
type OrderBookResponse struct {
Code int `json:"code"`
Msg string `json:"msg"`
LastUpdateID int64 `json:"lastUpdateId"`
Timestamp types.Time `json:"T"`
Bids orderbook.LevelsArrayPriceAmount `json:"bids"`
Asks orderbook.LevelsArrayPriceAmount `json:"asks"`
}

// DepthUpdateParams is used as an embedded type for WebsocketDepthStream
Expand All @@ -163,13 +143,13 @@ type DepthUpdateParams []struct {

// WebsocketDepthStream is the difference for the update depth stream
type WebsocketDepthStream struct {
Event string `json:"e"`
Timestamp types.Time `json:"E"`
Pair string `json:"s"`
FirstUpdateID int64 `json:"U"`
LastUpdateID int64 `json:"u"`
UpdateBids [][2]types.Number `json:"b"`
UpdateAsks [][2]types.Number `json:"a"`
Event string `json:"e"`
Timestamp types.Time `json:"E"`
Pair string `json:"s"`
FirstUpdateID int64 `json:"U"`
LastUpdateID int64 `json:"u"`
UpdateBids orderbook.LevelsArrayPriceAmount `json:"b"`
UpdateAsks orderbook.LevelsArrayPriceAmount `json:"a"`
}

// RecentTradeRequestParams represents Klines request data.
Expand Down
24 changes: 4 additions & 20 deletions exchanges/binance/binance_ufutures.go
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Original file line number Diff line number Diff line change
Expand Up @@ -87,7 +87,7 @@ func (e *Exchange) UExchangeInfo(ctx context.Context) (UFuturesExchangeInfo, err
}

// UFuturesOrderbook gets orderbook data for usdt margined futures
func (e *Exchange) UFuturesOrderbook(ctx context.Context, symbol currency.Pair, limit int64) (*OrderBook, error) {
func (e *Exchange) UFuturesOrderbook(ctx context.Context, symbol currency.Pair, limit int64) (*OrderBookResponse, error) {
symbolValue, err := e.FormatSymbol(symbol, asset.USDTMarginedFutures)
if err != nil {
return nil, err
Expand All @@ -113,27 +113,11 @@ func (e *Exchange) UFuturesOrderbook(ctx context.Context, symbol currency.Pair,
rateBudget = uFuturesOrderbook500Rate
}

var data *OrderbookData
if err := e.SendHTTPRequest(ctx, exchange.RestUSDTMargined, ufuturesOrderbook+params.Encode(), rateBudget, &data); err != nil {
var resp *OrderBookResponse
if err := e.SendHTTPRequest(ctx, exchange.RestUSDTMargined, ufuturesOrderbook+params.Encode(), rateBudget, &resp); err != nil {
return nil, err
}

ob := &OrderBook{
Symbol: symbolValue,
LastUpdateID: data.LastUpdateID,
Bids: make([]OrderbookItem, len(data.Bids)),
Asks: make([]OrderbookItem, len(data.Asks)),
}

for x := range data.Asks {
ob.Asks[x].Price = data.Asks[x][0].Float64()
ob.Asks[x].Quantity = data.Asks[x][1].Float64()
}
for x := range data.Bids {
ob.Bids[x].Price = data.Bids[x][0].Float64()
ob.Bids[x].Quantity = data.Bids[x][1].Float64()
}
return ob, nil
return resp, nil
}

// URecentTrades gets recent trades for usdt margined futures
Expand Down
48 changes: 11 additions & 37 deletions exchanges/binance/binance_websocket.go
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Expand Up @@ -449,40 +449,28 @@ func stringToOrderStatus(status string) (order.Status, error) {

// SeedLocalCache seeds depth data
func (e *Exchange) SeedLocalCache(ctx context.Context, p currency.Pair) error {
ob, err := e.GetOrderBook(ctx,
OrderBookDataRequestParams{
Symbol: p,
Limit: 1000,
})
ob, err := e.GetOrderBook(ctx, p, 1000)
if err != nil {
return err
}
return e.SeedLocalCacheWithBook(p, ob)
}

// SeedLocalCacheWithBook seeds the local orderbook cache
func (e *Exchange) SeedLocalCacheWithBook(p currency.Pair, orderbookNew *OrderBook) error {
func (e *Exchange) SeedLocalCacheWithBook(p currency.Pair, orderbookNew *OrderBookResponse) error {
t := orderbookNew.Timestamp.Time()
if t.IsZero() {
t = time.Now() // Time not provided for this REST book.
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Is this handling still necessary? Are there ever books which don't return their time?

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Yeah it seems like all spot orderbooks don't return a time value.

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Huh, but GetOrderBook() is in the non-futures file, and has a timestamp in its response struct. If that can just receive futures responses too, don't worry, but if it's spot-only, I think including a timestamp field there if one is never returned is bad.

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Yeah you are right I was most likely thinking when I convert this over to manage other assets as well when I do a full ob pass that this will auto utilise the shared field. I can drop it if you really want but it might be missed in a future upgrade pass.

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You're better informed on the tradeoffs than me, so use your own judgement.

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Will leave this unresolved for other peoples perspective. Either way when somebody is doing some hectic trading and they see a latency discrepancy they will be all like 👻 and open a holy PR that rectifies this issue. 🙏

}
newOrderBook := orderbook.Book{
Pair: p,
Asset: asset.Spot,
Exchange: e.Name,
LastUpdateID: orderbookNew.LastUpdateID,
ValidateOrderbook: e.ValidateOrderbook,
Bids: make(orderbook.Levels, len(orderbookNew.Bids)),
Asks: make(orderbook.Levels, len(orderbookNew.Asks)),
LastUpdated: time.Now(), // Time not provided in REST book.
}
for i := range orderbookNew.Bids {
newOrderBook.Bids[i] = orderbook.Level{
Amount: orderbookNew.Bids[i].Quantity,
Price: orderbookNew.Bids[i].Price,
}
}
for i := range orderbookNew.Asks {
newOrderBook.Asks[i] = orderbook.Level{
Amount: orderbookNew.Asks[i].Quantity,
Price: orderbookNew.Asks[i].Price,
}
Bids: orderbookNew.Bids.Levels(),
Asks: orderbookNew.Asks.Levels(),
LastUpdated: t,
}
return e.Websocket.Orderbook.LoadSnapshot(&newOrderBook)
}
Expand Down Expand Up @@ -618,23 +606,9 @@ func (e *Exchange) manageSubs(ctx context.Context, op string, subs subscription.

// ProcessOrderbookUpdate processes the websocket orderbook update
func (e *Exchange) ProcessOrderbookUpdate(cp currency.Pair, a asset.Item, ws *WebsocketDepthStream) error {
updateBid := make([]orderbook.Level, len(ws.UpdateBids))
for i := range ws.UpdateBids {
updateBid[i] = orderbook.Level{
Price: ws.UpdateBids[i][0].Float64(),
Amount: ws.UpdateBids[i][1].Float64(),
}
}
updateAsk := make([]orderbook.Level, len(ws.UpdateAsks))
for i := range ws.UpdateAsks {
updateAsk[i] = orderbook.Level{
Price: ws.UpdateAsks[i][0].Float64(),
Amount: ws.UpdateAsks[i][1].Float64(),
}
}
return e.Websocket.Orderbook.Update(&orderbook.Update{
Bids: updateBid,
Asks: updateAsk,
Bids: ws.UpdateBids.Levels(),
Asks: ws.UpdateAsks.Levels(),
Pair: cp,
UpdateID: ws.LastUpdateID,
UpdateTime: ws.Timestamp.Time(),
Expand Down
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