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CryptoOrderBookPerformanceTests.cs
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CryptoOrderBookPerformanceTests.cs
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using System;
using System.Diagnostics;
using System.Runtime;
using System.Threading;
using System.Threading.Tasks;
using Bitmex.Client.Websocket.Client;
using Crypto.Websocket.Extensions.Core.Models;
using Crypto.Websocket.Extensions.Core.OrderBooks;
using Crypto.Websocket.Extensions.Core.OrderBooks.Models;
using Crypto.Websocket.Extensions.OrderBooks.Sources;
using Crypto.Websocket.Extensions.Tests.data;
using Crypto.Websocket.Extensions.Tests.Helpers;
using Microsoft.Extensions.Logging.Abstractions;
using Xunit;
using Xunit.Abstractions;
using static Crypto.Websocket.Extensions.Tests.Helpers.OrderBookTestUtils;
namespace Crypto.Websocket.Extensions.Tests
{
public class CryptoOrderBookPerformanceTests
{
readonly ITestOutputHelper _output;
readonly string[] _rawFiles = {
"data/bitmex_raw_xbtusd_2018-11-13.txt.gz"
};
public CryptoOrderBookPerformanceTests(ITestOutputHelper output)
{
_output = output;
GCSettings.LatencyMode = GCLatencyMode.SustainedLowLatency;
}
[Fact]
public void StreamLargeAmount_100Iterations_ShouldBeFast()
{
var pair = "BTC/USD";
var data = GetOrderBookSnapshotMockData(pair, 500);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
var orderBook = new CryptoOrderBook(pair, source);
source.BufferEnabled = false;
source.LoadSnapshotEnabled = false;
orderBook.SnapshotReloadEnabled = false;
orderBook.ValidityCheckEnabled = false;
source.StreamSnapshot();
var elapsedMs = StreamLevels(pair, source, 100, 500, 500);
var msg = $"Elapsed time was: {elapsedMs} ms";
_output.WriteLine(msg);
Assert.Equal(515, orderBook.BidLevels.Length);
Assert.Equal(520, orderBook.AskLevels.Length);
Assert.Equal(499, orderBook.BidPrice);
Assert.Equal(500.4, orderBook.AskPrice);
Assert.Equal(1499, orderBook.BidAmount);
Assert.Equal(400, orderBook.AskAmount);
Assert.True(elapsedMs < 100, msg);
}
[Fact]
public void StreamLargeAmount_10kIterations_ShouldBeFast()
{
var pair = "BTC/USD";
var data = GetOrderBookSnapshotMockData(pair, 500);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
var orderBook = new CryptoOrderBook(pair, source);
source.BufferEnabled = false;
source.LoadSnapshotEnabled = false;
orderBook.SnapshotReloadEnabled = false;
orderBook.ValidityCheckEnabled = false;
source.StreamSnapshot();
var elapsedMs = StreamLevels(pair, source, 10000, 500, 500);
var msg = $"Elapsed time was: {elapsedMs} ms";
_output.WriteLine(msg);
Assert.Equal(601, orderBook.BidLevels.Length);
Assert.Equal(596, orderBook.AskLevels.Length);
Assert.Equal(499, orderBook.BidPrice);
Assert.Equal(500, orderBook.AskPrice);
Assert.Equal(10049, orderBook.BidAmount);
Assert.Equal(12999, orderBook.AskAmount);
Assert.True(elapsedMs < 1200, msg);
}
[Fact]
public void StreamLargeAmount_20kIterations_ShouldBeFast()
{
var pair = "BTC/USD";
var data = GetOrderBookSnapshotMockData(pair, 500);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
var orderBook = new CryptoOrderBook(pair, source);
source.BufferEnabled = false;
source.LoadSnapshotEnabled = false;
orderBook.SnapshotReloadEnabled = false;
orderBook.ValidityCheckEnabled = false;
source.StreamSnapshot();
var elapsedMs = StreamLevels(pair, source, 20000, 500, 500);
var msg = $"Elapsed time was: {elapsedMs} ms";
_output.WriteLine(msg);
Assert.Equal(601, orderBook.BidLevels.Length);
Assert.Equal(596, orderBook.AskLevels.Length);
Assert.Equal(499, orderBook.BidPrice);
Assert.Equal(500, orderBook.AskPrice);
Assert.Equal(20049, orderBook.BidAmount);
Assert.Equal(22999, orderBook.AskAmount);
Assert.True(elapsedMs < 2400, msg);
}
[Fact]
public void StreamLargeAmount_100kIterations_ShouldBeFast()
{
var pair = "BTC/USD";
var data = GetOrderBookSnapshotMockData(pair, 500);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
var orderBook = new CryptoOrderBook(pair, source);
source.BufferEnabled = false;
source.LoadSnapshotEnabled = false;
orderBook.SnapshotReloadEnabled = false;
orderBook.ValidityCheckEnabled = false;
source.StreamSnapshot();
var elapsedMs = StreamLevels(pair, source, 100000, 500, 500);
var msg = $"Elapsed time was: {elapsedMs} ms";
_output.WriteLine(msg);
Assert.True(elapsedMs < 7000, msg);
}
#if DEBUG
[Fact]
public async Task StreamLargeAmount_100kIterations_WithBuffer_ShouldBeFast()
{
var pair = "BTC/USD";
var data = GetOrderBookSnapshotMockData(pair, 500);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
var orderBook = new CryptoOrderBook(pair, source);
var endTime = DateTime.MinValue;
orderBook.OrderBookUpdatedStream.Subscribe(x => endTime = DateTime.UtcNow);
source.BufferEnabled = true;
source.BufferInterval = TimeSpan.FromMilliseconds(0);
source.LoadSnapshotEnabled = false;
orderBook.SnapshotReloadEnabled = false;
orderBook.ValidityCheckEnabled = false;
source.StreamSnapshot();
var startTime = DateTime.UtcNow;
var elapsedInsertingMs = StreamLevels(pair, source, 100000, 500, 500, false);
var msgInserting = $"Elapsed time for inserting was: {elapsedInsertingMs} ms";
_output.WriteLine(msgInserting);
await Task.Delay(1000);
var elapsedEnd = endTime.Subtract(startTime).TotalMilliseconds;
var msg = $"Elapsed time for processing was: {elapsedEnd} ms";
_output.WriteLine(msg);
Assert.True(elapsedEnd < 5000, msgInserting);
Assert.True(elapsedInsertingMs < 1000, msgInserting);
}
[Fact]
public async Task StreamLargeAmount_100kIterations_WithBufferAndSlowdown_ShouldBeFast()
{
var pair = "BTC/USD";
var data = GetOrderBookSnapshotMockData(pair, 500);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
var orderBook = new CryptoOrderBook(pair, source);
var endTime = DateTime.MinValue;
orderBook.OrderBookUpdatedStream.Subscribe(x => endTime = DateTime.UtcNow);
source.BufferEnabled = true;
source.BufferInterval = TimeSpan.FromMilliseconds(1);
source.LoadSnapshotEnabled = false;
orderBook.SnapshotReloadEnabled = false;
orderBook.ValidityCheckEnabled = false;
source.StreamSnapshot();
var startTime = DateTime.UtcNow;
var elapsedInsertingMs = StreamLevels(pair, source, 100000, 500, 500, true);
var msgInserting = $"Elapsed time for inserting was: {elapsedInsertingMs} ms";
_output.WriteLine(msgInserting);
await Task.Delay(1000);
var elapsedEnd = endTime.Subtract(startTime).TotalMilliseconds;
var msg = $"Elapsed time for processing was: {elapsedEnd} ms";
_output.WriteLine(msg);
Assert.True(elapsedEnd < 5000, msgInserting);
Assert.True(elapsedInsertingMs < 1000, msgInserting);
}
[Fact]
public async Task StreamFromFile_ShouldBeFast()
{
var pair = "XBTUSD";
var communicator = new RawFileCommunicator
{
FileNames = _rawFiles
};
var client = new BitmexWebsocketClient(NullLogger.Instance, communicator);
var source = new BitmexOrderBookSource(client)
{
LoadSnapshotEnabled = false,
BufferEnabled = false
};
var orderBook = new CryptoOrderBook(pair, source)
{
SnapshotReloadEnabled = false,
ValidityCheckEnabled = false
};
var snapshotCount = 0;
var diffCount = 0;
source.OrderBookSnapshotStream.Subscribe(x => snapshotCount++);
source.OrderBookStream.Subscribe(x => diffCount++);
var sw = Stopwatch.StartNew();
await communicator.Start();
sw.Stop();
var elapsedMs = sw.ElapsedMilliseconds;
var msg = $"Processed snapshots: {snapshotCount}, diffs: {diffCount}, elapsed time was: {elapsedMs} ms";
_output.WriteLine(msg);
Assert.True(elapsedMs < 8000, msg);
}
#endif
static long StreamLevels(string pair, OrderBookSourceMock source, int iterations, int maxBidPrice, int maxAskCount, bool slowDown = false)
{
var sw = new Stopwatch();
for (int i = 0; i < iterations; i++)
{
if (i % 10 == 0)
{
// insert new levels
var bulk = GetInsertBulkL2(
CreateLevel(pair, (i % maxBidPrice) + 0.4, i + 50, CryptoOrderSide.Bid),
CreateLevel(pair, (Math.Max(i - 55, 1) % maxBidPrice) + 0.4, i + 600, CryptoOrderSide.Bid),
CreateLevel(pair, (maxBidPrice + (i % maxAskCount) + 0.4), i + 400, CryptoOrderSide.Ask),
CreateLevel(pair, (maxBidPrice + (Math.Min(i + 55, maxAskCount) % maxAskCount) + 0.4), i + 3000, CryptoOrderSide.Ask)
);
sw.Start();
source.StreamBulk(bulk);
sw.Stop();
}
else
{
// update levels
var bulk = GetUpdateBulkL2(
CreateLevel(pair, (i % maxBidPrice), i + 50, CryptoOrderSide.Bid),
CreateLevel(pair, (Math.Max(i - 55, 1) % maxBidPrice), i + 600, CryptoOrderSide.Bid),
CreateLevel(pair, (maxBidPrice + (i % maxAskCount)), i + 400, CryptoOrderSide.Ask),
CreateLevel(pair, (maxBidPrice + (Math.Min(i + 55, maxAskCount) % maxAskCount)), i + 3000, CryptoOrderSide.Ask)
);
sw.Start();
source.StreamBulk(bulk);
sw.Stop();
}
if (slowDown && i % 1000 == 0)
{
Thread.Sleep(10);
}
}
return sw.ElapsedMilliseconds;
}
}
}