Bounty #3: Add order book delta replay fixture summary

market/orderbook/replay.go

@@ -0,0 +1,99 @@
+package orderbook
+
+import (
+	"fmt"
+
+	"github.com/shopspring/decimal"
+	"github.com/tent-of-trials/market/types"
+)
+
+type DeltaSide string
+
+const (
+	DeltaBid DeltaSide = "bid"
+	DeltaAsk DeltaSide = "ask"
+)
+
+type ReplayDelta struct {
+	Symbol   types.Symbol    `json:"symbol"`
+	Side     DeltaSide       `json:"side"`
+	Price    decimal.Decimal `json:"price"`
+	Size     decimal.Decimal `json:"size"`
+	Expected int             `json:"expected_depth"`
+}
+
+type ReplayMismatch struct {
+	Step          int             `json:"step"`
+	Symbol        types.Symbol    `json:"symbol"`
+	Side          DeltaSide       `json:"side"`
+	Price         decimal.Decimal `json:"price"`
+	Size          decimal.Decimal `json:"size"`
+	ExpectedDepth int             `json:"expected_depth"`
+	ActualDepth   int             `json:"actual_depth"`
+}
+
+func (m ReplayMismatch) Summary() string {
+	return fmt.Sprintf(
+		"delta step %d diverged for %s %s price=%s size=%s expected_depth=%d actual_depth=%d",
+		m.Step,
+		m.Symbol,
+		m.Side,
+		m.Price.String(),
+		m.Size.String(),
+		m.ExpectedDepth,
+		m.ActualDepth,
+	)
+}
+
+func ReplayDeltas(symbol types.Symbol, deltas []ReplayDelta) (*ReplayMismatch, error) {
+	book := NewOrderBook(symbol, Config{MaxDepth: len(deltas) + 1})
+	for i, delta := range deltas {
+		if delta.Symbol != "" && delta.Symbol != symbol {
+			mismatch := ReplayMismatch{
+				Step:          i + 1,
+				Symbol:        delta.Symbol,
+				Side:          delta.Side,
+				Price:         delta.Price,
+				Size:          delta.Size,
+				ExpectedDepth: delta.Expected,
+				ActualDepth:   0,
+			}
+			return &mismatch, nil
+		}
+
+		order := &types.Order{
+			Symbol:       symbol,
+			Type:         types.Limit,
+			Price:        delta.Price,
+			Quantity:     delta.Size,
+			RemainingQty: delta.Size,
+		}
+		if delta.Side == DeltaBid {
+			order.Side = types.Buy
+		} else {
+			order.Side = types.Sell
+		}
+
+		if _, err := book.AddOrder(order); err != nil {
+			return nil, err
+		}
+
+		actualDepth := len(book.GetBids())
+		if delta.Side == DeltaAsk {
+			actualDepth = len(book.GetAsks())
+		}
+		if actualDepth != delta.Expected {
+			mismatch := ReplayMismatch{
+				Step:          i + 1,
+				Symbol:        symbol,
+				Side:          delta.Side,
+				Price:         delta.Price,
+				Size:          delta.Size,
+				ExpectedDepth: delta.Expected,
+				ActualDepth:   actualDepth,
+			}
+			return &mismatch, nil
+		}
+	}
+	return nil, nil
+}

market/orderbook/replay_test.go

@@ -0,0 +1,72 @@
+package orderbook
+
+import (
+	"strings"
+	"testing"
+
+	"github.com/shopspring/decimal"
+	"github.com/tent-of-trials/market/types"
+)
+
+func dec(value string) decimal.Decimal {
+	return decimal.RequireFromString(value)
+}
+
+func TestReplayDeltasPassesMatchingFixture(t *testing.T) {
+	mismatch, err := ReplayDeltas(types.Symbol("BTC-USD"), []ReplayDelta{
+		{Symbol: "BTC-USD", Side: DeltaBid, Price: dec("100"), Size: dec("1.5"), Expected: 1},
+		{Symbol: "BTC-USD", Side: DeltaBid, Price: dec("101"), Size: dec("2.0"), Expected: 2},
+		{Symbol: "BTC-USD", Side: DeltaAsk, Price: dec("102"), Size: dec("0.5"), Expected: 1},
+	})
+	if err != nil {
+		t.Fatalf("ReplayDeltas returned error: %v", err)
+	}
+	if mismatch != nil {
+		t.Fatalf("expected no mismatch, got %s", mismatch.Summary())
+	}
+}
+
+func TestReplayDeltasReportsFirstDivergentStep(t *testing.T) {
+	mismatch, err := ReplayDeltas(types.Symbol("BTC-USD"), []ReplayDelta{
+		{Symbol: "BTC-USD", Side: DeltaBid, Price: dec("100"), Size: dec("1.5"), Expected: 1},
+		{Symbol: "BTC-USD", Side: DeltaAsk, Price: dec("102"), Size: dec("0.5"), Expected: 2},
+		{Symbol: "BTC-USD", Side: DeltaBid, Price: dec("101"), Size: dec("2.0"), Expected: 2},
+	})
+	if err != nil {
+		t.Fatalf("ReplayDeltas returned error: %v", err)
+	}
+	if mismatch == nil {
+		t.Fatal("expected mismatch")
+	}
+
+	if mismatch.Step != 2 {
+		t.Fatalf("expected mismatch at step 2, got %d", mismatch.Step)
+	}
+	if mismatch.Symbol != "BTC-USD" || mismatch.Side != DeltaAsk {
+		t.Fatalf("unexpected mismatch market: %+v", mismatch)
+	}
+	if !mismatch.Price.Equal(dec("102")) || !mismatch.Size.Equal(dec("0.5")) {
+		t.Fatalf("unexpected mismatch price/size: %+v", mismatch)
+	}
+	if mismatch.ExpectedDepth != 2 || mismatch.ActualDepth != 1 {
+		t.Fatalf("unexpected mismatch depths: %+v", mismatch)
+	}
+}
+
+func TestReplayMismatchSummaryIsCompactAndActionable(t *testing.T) {
+	mismatch := ReplayMismatch{
+		Step:          3,
+		Symbol:        "ETH-USD",
+		Side:          DeltaBid,
+		Price:         dec("2500"),
+		Size:          dec("4"),
+		ExpectedDepth: 2,
+		ActualDepth:   1,
+	}
+	summary := mismatch.Summary()
+	for _, want := range []string{"step 3", "ETH-USD", "bid", "price=2500", "size=4", "expected_depth=2", "actual_depth=1"} {
+		if !strings.Contains(summary, want) {
+			t.Fatalf("summary %q missing %q", summary, want)
+		}
+	}
+}