FEATURE: [max] new method for depth buffer to set snapshot

pkg/depth/buffer.go

@@ -75,6 +75,32 @@ func (b *Buffer) Reset() {
 	b.mu.Unlock()
 }
 
+func (b *Buffer) SetSnapshot(snapshot types.SliceOrderBook, firstUpdateID int64, finalArgs ...int64) error {
+	finalUpdateID := firstUpdateID
+	if len(finalArgs) > 0 {
+		finalUpdateID = finalArgs[0]
+	}
+
+	b.mu.Lock()
+
+	if b.finalUpdateID >= finalUpdateID {
+		b.mu.Unlock()
+		return nil
+	}
+
+	// set the final update ID so that we will know if there is an update missing
+	b.finalUpdateID = finalUpdateID
+
+	// set the snapshot
+	b.snapshot = &snapshot
+
+	b.mu.Unlock()
+
+	// should unlock first then call ready
+	b.EmitReady(snapshot, nil)
+	return nil
+}
+
 // AddUpdate adds the update to the buffer or push the update to the subscriber
 func (b *Buffer) AddUpdate(o types.SliceOrderBook, firstUpdateID int64, finalArgs ...int64) error {
 	finalUpdateID := firstUpdateID

pkg/exchange/max/maxapi/public_parser.go

@@ -13,8 +13,15 @@ import (
 
 var ErrIncorrectBookEntryElementLength = errors.New("incorrect book entry element length")
 
-const Buy = 1
-const Sell = -1
+const (
+	Buy  = 1
+	Sell = -1
+)
+
+const (
+	BookEventSnapshot string = "snapshot"
+	BookEventUpdate   string = "update"
+)
 
 var parserPool fastjson.ParserPool
 

pkg/exchange/max/stream.go

@@ -255,13 +255,26 @@ func (s *Stream) handleBookEvent(ex *Exchange) func(e max.BookEvent) {
 			return
 		}
 
-		if err := f.AddUpdate(types.SliceOrderBook{
-			Symbol: symbol,
-			Time:   e.Time(),
-			Bids:   e.Bids,
-			Asks:   e.Asks,
-		}, e.FirstUpdateID, e.LastUpdateID); err != nil {
-			log.WithError(err).Errorf("found missing %s update event", e.Market)
+		if e.Event == max.BookEventSnapshot {
+			if err := f.SetSnapshot(types.SliceOrderBook{
+				Symbol:       symbol,
+				Time:         e.Time(),
+				Bids:         e.Bids,
+				Asks:         e.Asks,
+				LastUpdateId: e.LastUpdateID,
+			}, e.FirstUpdateID, e.LastUpdateID); err != nil {
+				log.WithError(err).Errorf("failed to set %s snapshot", e.Market)
+			}
+		} else {
+			if err := f.AddUpdate(types.SliceOrderBook{
+				Symbol:       symbol,
+				Time:         e.Time(),
+				Bids:         e.Bids,
+				Asks:         e.Asks,
+				LastUpdateId: e.LastUpdateID,
+			}, e.FirstUpdateID, e.LastUpdateID); err != nil {
+				log.WithError(err).Errorf("found missing %s update event", e.Market)
+			}
 		}
 	}
 }