Documentation
¶
Index ¶
- Constants
- type EpochQueue
- func (eq *EpochQueue) Enqueue(note *msgjson.EpochOrderNote) error
- func (eq *EpochQueue) Exists(oid order.OrderID) bool
- func (eq *EpochQueue) GenerateMatchProof(preimages []order.Preimage, misses []order.OrderID) (msgjson.Bytes, msgjson.Bytes, error)
- func (eq *EpochQueue) Orders() (orders []*Order)
- func (eq *EpochQueue) Size() int
- type Fill
- type MatchSummary
- type Order
- type OrderBook
- func (ob *OrderBook) AddRecentMatches(matches [][2]int64, ts uint64) []*MatchSummary
- func (ob *OrderBook) BaseFeeRate() uint64
- func (ob *OrderBook) BestFill(sell bool, qty uint64) ([]*Fill, bool)
- func (ob *OrderBook) BestFillMarketBuy(qty, lotSize uint64) ([]*Fill, bool)
- func (ob *OrderBook) BestNOrders(n int, side uint8) ([]*Order, bool, error)
- func (ob *OrderBook) Book(note *msgjson.BookOrderNote) error
- func (ob *OrderBook) Enqueue(note *msgjson.EpochOrderNote) error
- func (ob *OrderBook) LogEpochReport(note *msgjson.EpochReportNote) error
- func (ob *OrderBook) MidGap() (uint64, error)
- func (ob *OrderBook) Orders() ([]*Order, []*Order, []*Order)
- func (ob *OrderBook) QuoteFeeRate() uint64
- func (ob *OrderBook) RecentMatches() []*MatchSummary
- func (ob *OrderBook) Reset(snapshot *msgjson.OrderBook) error
- func (ob *OrderBook) Sync(snapshot *msgjson.OrderBook) error
- func (ob *OrderBook) Unbook(note *msgjson.UnbookOrderNote) error
- func (ob *OrderBook) UpdateRemaining(note *msgjson.UpdateRemainingNote) error
- func (ob *OrderBook) ValidateMatchProof(note msgjson.MatchProofNote) error
- type RemoteOrderBook
Constants ¶
const ErrEmptyOrderbook = dex.ErrorKind("cannot calculate mid-gap from empty order book")
ErrEmptyOrderbook is returned from MidGap when the order book is empty.
Variables ¶
This section is empty.
Functions ¶
This section is empty.
Types ¶
type EpochQueue ¶
type EpochQueue struct {
// contains filtered or unexported fields
}
EpochQueue represents a client epoch queue.
func (*EpochQueue) Enqueue ¶
func (eq *EpochQueue) Enqueue(note *msgjson.EpochOrderNote) error
Enqueue appends the provided order note to the epoch queue.
func (*EpochQueue) Exists ¶
func (eq *EpochQueue) Exists(oid order.OrderID) bool
Exists checks if the provided order id is in the queue.
func (*EpochQueue) GenerateMatchProof ¶
func (eq *EpochQueue) GenerateMatchProof(preimages []order.Preimage, misses []order.OrderID) (msgjson.Bytes, msgjson.Bytes, error)
GenerateMatchProof calculates the sorting seed used in order matching as well as the commitment checksum from the provided epoch queue preimages and misses.
The epoch queue needs to be reset if there are preimage mismatches or non-existent orders for preimage errors.
func (*EpochQueue) Orders ¶
func (eq *EpochQueue) Orders() (orders []*Order)
Orders returns the epoch queue as a []*Order.
func (*EpochQueue) Size ¶
func (eq *EpochQueue) Size() int
Size returns the number of entries in the epoch queue.
type MatchSummary ¶ added in v0.6.0
type MatchSummary struct {
Rate uint64 `json:"rate"`
Qty uint64 `json:"qty"`
Stamp uint64 `json:"stamp"`
Sell bool `json:"sell"`
}
MatchSummary summarizes one or more consecutive matches at a given rate and buy/sell direction. Consecutive matches of the same rate and direction are binned by the server.
type Order ¶
type Order struct {
OrderID order.OrderID
Side uint8
Quantity uint64
Rate uint64
Time uint64
// Epoch is only used in the epoch queue, otherwise it is ignored.
Epoch uint64
}
Order represents an ask or bid.
type OrderBook ¶
type OrderBook struct {
// contains filtered or unexported fields
}
OrderBook represents a client tracked order book.
func NewOrderBook ¶
NewOrderBook creates a new order book.
func (*OrderBook) AddRecentMatches ¶ added in v0.6.0
func (ob *OrderBook) AddRecentMatches(matches [][2]int64, ts uint64) []*MatchSummary
AddRecentMatches adds the recent matches. If the recent matches cache length grows bigger than 100, it will slice out the ones first added.
func (*OrderBook) BaseFeeRate ¶ added in v0.2.0
BaseFeeRate is the last reported base asset fee rate.
func (*OrderBook) BestFill ¶ added in v0.2.0
BestFill is the best (rate, quantity) fill for an order of the type and quantity specified. BestFill should be used when the exact quantity of base asset is known, i.e. limit orders and market sell orders. For market buy orders, use BestFillMarketBuy.
func (*OrderBook) BestFillMarketBuy ¶ added in v0.2.0
BestFillMarketBuy is the best (rate, quantity) fill for a market buy order. The qty given will be in units of quote asset.
func (*OrderBook) BestNOrders ¶
BestNOrders returns the best n orders from the provided side. NOTE: This is UNUSED, and test coverage is a near dup of bookside_test.go.
func (*OrderBook) Book ¶
func (ob *OrderBook) Book(note *msgjson.BookOrderNote) error
Book adds a new order to the order book.
func (*OrderBook) Enqueue ¶
func (ob *OrderBook) Enqueue(note *msgjson.EpochOrderNote) error
Enqueue appends the provided order note to the corresponding epoch's queue.
func (*OrderBook) LogEpochReport ¶ added in v0.2.0
func (ob *OrderBook) LogEpochReport(note *msgjson.EpochReportNote) error
LogEpochReport is currently a no-op, and will update market history charts in the future.
func (*OrderBook) MidGap ¶
MidGap returns the mid-gap price for the market. If one market side is empty the bets rate from the other side will be used. If both sides are empty, an error will be returned.
func (*OrderBook) Orders ¶
Orders is the full order book, as slices of sorted buys and sells, and unsorted epoch orders in the current epoch.
func (*OrderBook) QuoteFeeRate ¶ added in v0.2.0
QuoteFeeRate is the last reported quote asset fee rate.
func (*OrderBook) RecentMatches ¶ added in v0.6.0
func (ob *OrderBook) RecentMatches() []*MatchSummary
RecentMatches returns up to 100 recent matches, newest first.
func (*OrderBook) Reset ¶
Reset forcibly updates a client tracked order book with an order book snapshot. This resets the sequence. TODO: eliminate this and half of the mutexes!
func (*OrderBook) Sync ¶
Sync updates a client tracked order book with an order book snapshot. It is an error if the the OrderBook is already synced.
func (*OrderBook) Unbook ¶
func (ob *OrderBook) Unbook(note *msgjson.UnbookOrderNote) error
Unbook removes an order from the order book.
func (*OrderBook) UpdateRemaining ¶
func (ob *OrderBook) UpdateRemaining(note *msgjson.UpdateRemainingNote) error
UpdateRemaining updates the remaining quantity of a booked order.
func (*OrderBook) ValidateMatchProof ¶
func (ob *OrderBook) ValidateMatchProof(note msgjson.MatchProofNote) error
ValidateMatchProof ensures the match proof data provided is correct by comparing it to a locally generated proof from the same epoch queue.
type RemoteOrderBook ¶
type RemoteOrderBook interface {
// Sync instantiates a client tracked order book with the
// current order book snapshot.
Sync(*msgjson.OrderBook)
// Book adds a new order to the order book.
Book(*msgjson.BookOrderNote)
// Unbook removes an order from the order book.
Unbook(*msgjson.UnbookOrderNote) error
}
RemoteOrderBook defines the functions a client tracked order book must implement.
Source Files