Add order book function with single db call

tolyo · Dec 10, 2023 · 3531706 · 3531706
1 parent ad3394c
commit 3531706
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Showing 3 changed files with 52 additions and 0 deletions.
diff --git a/pkg/models/order_book.go b/pkg/models/order_book.go
@@ -3,6 +3,7 @@ package models
 type PriceVolume struct {
  Price float64
  Volume float64
+ Side OrderSide
 }
 
 type OrderBook struct {

diff --git a/pkg/services/order_book_service.go b/pkg/services/order_book_service.go
@@ -36,3 +36,30 @@ func GetVolumes(instrumentName models.InstrumentName, side models.OrderSide) []m
  )
  return res
 }
+
+func GetOrderBook(instrumentName models.InstrumentName) models.OrderBook {
+ res := db.QueryList[models.PriceVolume](`
+ SELECT price, volume, side
+ FROM price_level
+ WHERE price > 0
+ AND instrument_id = (SELECT id FROM instrument WHERE name = $1)
+ ORDER BY price ASC, side DESC
+ `, instrumentName)
+
+ orderBook := models.OrderBook{}
+ for _, entry := range res {
+ switch entry.Side {
+ case models.Sell:
+ orderBook.SellSide = append(orderBook.SellSide, models.PriceVolume{Price: entry.Price, Volume: entry.Volume})
+ case models.Buy:
+ orderBook.BuySide = append(orderBook.BuySide, models.PriceVolume{Price: entry.Price, Volume: entry.Volume})
+ }
+ }
+
+ // reverse array
+ for i, j := 0, len(orderBook.BuySide)-1; i < j; i, j = i+1, j-1 {
+ orderBook.BuySide[i], orderBook.BuySide[j] = orderBook.BuySide[j], orderBook.BuySide[i]
+ }
+
+ return orderBook
+}
diff --git a/pkg/services/order_book_service_test.go b/pkg/services/order_book_service_test.go
@@ -67,3 +67,27 @@ func (assert *ServiceTestSuite) TestGetVolumeBuySide() {
  }, GetVolumes("BTC_EUR", models.Buy))
 
 }
+
+func (assert *ServiceTestSuite) TestGetOrderBook() {
+
+ res := GetOrderBook("BTC_EUR")
+ assert.Len(res.BuySide, 0)
+ assert.Len(res.BuySide, 0)
+
+ // when
+ ProcessTradeOrder(assert.tradingAccount1, "BTC_EUR", "LIMIT", models.Buy, 1.7, 10, "GTC")
+ ProcessTradeOrder(assert.tradingAccount1, "BTC_EUR", "LIMIT", models.Buy, 1.6, 10, "GTC")
+ ProcessTradeOrder(assert.tradingAccount1, "BTC_EUR", "LIMIT", models.Buy, 1.7, 10, "GTC")
+ ProcessTradeOrder(assert.tradingAccount1, "BTC_EUR", "LIMIT", models.Buy, 1.4, 10, "GTC")
+
+ // then should be sorted with most expensive orders first
+ assert.Equal(models.OrderBook{
+ BuySide: []models.PriceVolume{
+ {Price: 1.7, Volume: 20},
+ {Price: 1.6, Volume: 10},
+ {Price: 1.4, Volume: 10},
+ },
+ SellSide: nil,
+ }, GetOrderBook("BTC_EUR"))
+
+}