orderbook

Documentation

Index

• Constants
• type Actor
  • func NewActor(cat *catalog.Catalog, c *cache.Cache) *Actor
  • func (a *Actor) Handle(ev msgbus.Event, bus *msgbus.MsgBus)
  • func (a *Actor) OnInit(config map[string]any)
  • func (a *Actor) OnStart()
  • func (a *Actor) OnStop()
  • func (a *Actor) RegisterSymbol(symbolID, pricePrecision, sizePrecision int)
• type DepthUpdateBuffer
• type OrderbookConfig
• type SymbolBook

Constants

const (
	// DefaultDepthUpdateBufferSize is the default capacity for depth update ring buffers
	DefaultDepthUpdateBufferSize = 100
)

Types

type Actor

type Actor struct {
	coreactor.ActorBase
	// contains filtered or unexported fields
}

Actor is the orderbook actor that maintains per-symbol order books, writes state to Cache, and requests snapshots via MsgBus commands.

func NewActor

func NewActor(cat *catalog.Catalog, c *cache.Cache) *Actor

NewActor creates a new orderbook Actor.

func (*Actor) Handle

func (a *Actor) Handle(ev msgbus.Event, bus *msgbus.MsgBus)

Handle dispatches events to the appropriate handler.

func (*Actor) OnInit

func (a *Actor) OnInit(config map[string]any)

OnInit decodes the config and registers the symbol for this orderbook.

func (*Actor) OnStart

func (a *Actor) OnStart()

OnStart is called once when the actor is started.

func (*Actor) OnStop

func (a *Actor) OnStop()

OnStop is called once when the actor is stopped.

func (*Actor) RegisterSymbol

func (a *Actor) RegisterSymbol(symbolID, pricePrecision, sizePrecision int)

RegisterSymbol registers a symbol with its precision info. Creates a new SymbolBook in WaitForSnapshot state.

type DepthUpdateBuffer

type DepthUpdateBuffer struct {
	PreviousDepthID int
	FirstDepthID    int
	FinalDepthID    int
	Timestamp       uint64
	Bids            []common.PriceLevel
	Asks            []common.PriceLevel
}

DepthUpdateBuffer holds a buffered depth update during sync. For Binance depth updates:

• PreviousDepthID = U - 1 (one before first update ID)
• FirstDepthID = U (first update ID in event)
• FinalDepthID = u (final update ID in event)

type OrderbookConfig

type OrderbookConfig struct {
	Symbol string `yaml:"symbol"` // Universal ticker of the symbol to track
}

OrderbookConfig contains configuration for a single orderbook actor instance.

type SymbolBook

type SymbolBook struct {
	// contains filtered or unexported fields
}

SymbolBook maintains the orderbook state for a single symbol. Uses btree.Map keyed by PriceTick for both bids and asks.