all: integrate metrics into stream book

examples/exchange-api/binance-book/main.go

@@ -48,7 +48,7 @@ var rootCmd = &cobra.Command{
 		stream.SetPublicOnly()
 		stream.Subscribe(types.BookChannel, symbol, types.SubscribeOptions{})
 
-		streamBook := types.NewStreamBook(symbol)
+		streamBook := types.NewStreamBook(symbol, exchange.Name())
 		streamBook.BindStream(stream)
 
 		go func() {

pkg/bbgo/session.go

@@ -464,7 +464,7 @@ func (session *ExchangeSession) initSymbol(ctx context.Context, environ *Environ
 	for _, sub := range session.Subscriptions {
 		switch sub.Channel {
 		case types.BookChannel:
-			book := types.NewStreamBook(sub.Symbol)
+			book := types.NewStreamBook(sub.Symbol, session.ExchangeName)
 			book.BindStream(session.MarketDataStream)
 			session.orderBooks[sub.Symbol] = book
 

pkg/cmd/orderbook.go

@@ -54,7 +54,7 @@ var orderbookCmd = &cobra.Command{
 			return fmt.Errorf("session %s not found", sessionName)
 		}
 
-		orderBook := types.NewMutexOrderBook(symbol)
+		orderBook := types.NewMutexOrderBook(symbol, session.Exchange.Name())
 
 		s := session.Exchange.NewStream()
 		s.SetPublicOnly()

pkg/strategy/audacitymaker/orderflow.go

@@ -2,6 +2,7 @@ package audacitymaker
 
 import (
 	"context"
+
 	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
@@ -38,7 +39,7 @@ func (s *PerTrade) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
 	position := orderExecutor.Position()
 	symbol := position.Symbol
 	// ger best bid/ask, not used yet
-	s.StreamBook = types.NewStreamBook(symbol)
+	s.StreamBook = types.NewStreamBook(symbol, session.ExchangeName)
 	s.StreamBook.BindStream(session.MarketDataStream)
 
 	// use queue to do time-series rolling
@@ -59,7 +60,7 @@ func (s *PerTrade) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
 
 	session.MarketDataStream.OnMarketTrade(func(trade types.Trade) {
 
-		//log.Infof("%s trade @ %f", trade.Side, trade.Price.Float64())
+		// log.Infof("%s trade @ %f", trade.Side, trade.Price.Float64())
 
 		ctx := context.Background()
 
@@ -80,10 +81,10 @@ func (s *PerTrade) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
 			sellTradesNumber.Update(1)
 		}
 
-		//canceled := s.orderExecutor.GracefulCancel(ctx)
-		//if canceled != nil {
+		// canceled := s.orderExecutor.GracefulCancel(ctx)
+		// if canceled != nil {
 		//	_ = s.orderExecutor.GracefulCancel(ctx)
-		//}
+		// }
 
 		sizeFraction := buyTradeSize.Sum() / sellTradeSize.Sum()
 		numberFraction := buyTradesNumber.Sum() / sellTradesNumber.Sum()
@@ -112,15 +113,15 @@ func (s *PerTrade) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
 			if outlier(orderFlowSizeMinMax.Tail(100), threshold) > 0 && outlier(orderFlowNumberMinMax.Tail(100), threshold) > 0 {
 				_ = s.orderExecutor.GracefulCancel(ctx)
 				log.Infof("long!!")
-				//_ = s.placeTrade(ctx, types.SideTypeBuy, s.Quantity, symbol)
+				// _ = s.placeTrade(ctx, types.SideTypeBuy, s.Quantity, symbol)
 				_ = s.placeOrder(ctx, types.SideTypeBuy, s.Quantity, bid.Price, symbol)
-				//_ = s.placeOrder(ctx, types.SideTypeSell, s.Quantity, ask.Price.Mul(fixedpoint.NewFromFloat(1.0005)), symbol)
+				// _ = s.placeOrder(ctx, types.SideTypeSell, s.Quantity, ask.Price.Mul(fixedpoint.NewFromFloat(1.0005)), symbol)
 			} else if outlier(orderFlowSizeMinMax.Tail(100), threshold) < 0 && outlier(orderFlowNumberMinMax.Tail(100), threshold) < 0 {
 				_ = s.orderExecutor.GracefulCancel(ctx)
 				log.Infof("short!!")
-				//_ = s.placeTrade(ctx, types.SideTypeSell, s.Quantity, symbol)
+				// _ = s.placeTrade(ctx, types.SideTypeSell, s.Quantity, symbol)
 				_ = s.placeOrder(ctx, types.SideTypeSell, s.Quantity, ask.Price, symbol)
-				//_ = s.placeOrder(ctx, types.SideTypeBuy, s.Quantity, bid.Price.Mul(fixedpoint.NewFromFloat(0.9995)), symbol)
+				// _ = s.placeOrder(ctx, types.SideTypeBuy, s.Quantity, bid.Price.Mul(fixedpoint.NewFromFloat(0.9995)), symbol)
 			}
 		}
 
@@ -138,7 +139,9 @@ func (s *PerTrade) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
 	}
 }
 
-func (s *PerTrade) placeOrder(ctx context.Context, side types.SideType, quantity fixedpoint.Value, price fixedpoint.Value, symbol string) error {
+func (s *PerTrade) placeOrder(
+	ctx context.Context, side types.SideType, quantity fixedpoint.Value, price fixedpoint.Value, symbol string,
+) error {
 	market, _ := s.session.Market(symbol)
 	_, err := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
 		Symbol:   symbol,

pkg/strategy/scmaker/strategy.go

@@ -98,7 +98,7 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
 func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
 	s.Strategy.Initialize(ctx, s.Environment, session, s.Market, ID, s.InstanceID())
 
-	s.book = types.NewStreamBook(s.Symbol)
+	s.book = types.NewStreamBook(s.Symbol, session.Exchange.Name())
 	s.book.BindStream(session.MarketDataStream)
 
 	s.liquidityOrderBook = bbgo.NewActiveOrderBook(s.Symbol)

pkg/strategy/tri/strategy.go

@@ -513,7 +513,9 @@ func notifyUsdPnL(profit fixedpoint.Value) {
 	bbgo.Notify(title)
 }
 
-func (s *Strategy) iocOrderExecution(ctx context.Context, session *bbgo.ExchangeSession, orders [3]types.SubmitOrder, ratio float64) (types.OrderSlice, error) {
+func (s *Strategy) iocOrderExecution(
+	ctx context.Context, session *bbgo.ExchangeSession, orders [3]types.SubmitOrder, ratio float64,
+) (types.OrderSlice, error) {
 	service, ok := session.Exchange.(types.ExchangeOrderQueryService)
 	if !ok {
 		return nil, errors.New("exchange does not support ExchangeOrderQueryService")
@@ -700,7 +702,9 @@ func (s *Strategy) waitWebSocketOrderDone(ctx context.Context, orderID uint64, t
 	}
 }
 
-func (s *Strategy) waitOrdersAndCollectTrades(ctx context.Context, service types.ExchangeOrderQueryService, createdOrders types.OrderSlice) (map[uint64][]types.Trade, types.OrderSlice, error) {
+func (s *Strategy) waitOrdersAndCollectTrades(
+	ctx context.Context, service types.ExchangeOrderQueryService, createdOrders types.OrderSlice,
+) (map[uint64][]types.Trade, types.OrderSlice, error) {
 	var err error
 	var orderTrades = make(map[uint64][]types.Trade)
 	var updatedOrders types.OrderSlice
@@ -763,7 +767,9 @@ func (s *Strategy) analyzeOrders(orders types.OrderSlice) {
 	}
 }
 
-func (s *Strategy) buildArbMarkets(session *bbgo.ExchangeSession, symbols []string, separateStream bool, sigC sigchan.Chan) (map[string]*ArbMarket, error) {
+func (s *Strategy) buildArbMarkets(
+	session *bbgo.ExchangeSession, symbols []string, separateStream bool, sigC sigchan.Chan,
+) (map[string]*ArbMarket, error) {
 	markets := make(map[string]*ArbMarket)
 	// build market object
 	for _, symbol := range symbols {
@@ -790,7 +796,7 @@ func (s *Strategy) buildArbMarkets(session *bbgo.ExchangeSession, symbols []stri
 				Speed: types.SpeedHigh,
 			})
 
-			book := types.NewStreamBook(symbol)
+			book := types.NewStreamBook(symbol, session.ExchangeName)
 			priceUpdater := func(_ types.SliceOrderBook) {
 				bestBid, bestAsk, _ := book.BestBidAndAsk()
 				if bestAsk.Equals(m.bestAsk) && bestBid.Equals(m.bestBid) {

pkg/strategy/xdepthmaker/strategy.go

@@ -393,7 +393,7 @@ func (s *Strategy) CrossRun(
 		return err
 	}
 
-	s.pricingBook = types.NewStreamBook(s.HedgeSymbol)
+	s.pricingBook = types.NewStreamBook(s.HedgeSymbol, s.hedgeSession.ExchangeName)
 	s.pricingBook.BindStream(s.hedgeSession.MarketDataStream)
 
 	s.stopC = make(chan struct{})

pkg/strategy/xdepthmaker/strategy_test.go

@@ -44,7 +44,7 @@ func TestStrategy_generateMakerOrders(t *testing.T) {
 		},
 	}
 
-	pricingBook := types.NewStreamBook("BTCUSDT")
+	pricingBook := types.NewStreamBook("BTCUSDT", types.ExchangeBinance)
 	pricingBook.Load(types.SliceOrderBook{
 		Symbol: "BTCUSDT",
 		Bids: types.PriceVolumeSlice{

pkg/strategy/xgap/strategy.go

@@ -153,11 +153,11 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
 	})
 
 	if s.SourceExchange != "" {
-		s.sourceBook = types.NewStreamBook(s.Symbol)
+		s.sourceBook = types.NewStreamBook(s.Symbol, sourceSession.ExchangeName)
 		s.sourceBook.BindStream(s.sourceSession.MarketDataStream)
 	}
 
-	s.tradingBook = types.NewStreamBook(s.Symbol)
+	s.tradingBook = types.NewStreamBook(s.Symbol, tradingSession.ExchangeName)
 	s.tradingBook.BindStream(s.tradingSession.MarketDataStream)
 
 	s.tradingSession.UserDataStream.OnTradeUpdate(func(trade types.Trade) {

pkg/strategy/xmaker/strategy.go

@@ -819,7 +819,7 @@ func (s *Strategy) CrossRun(
 		})
 	}
 
-	s.book = types.NewStreamBook(s.Symbol)
+	s.book = types.NewStreamBook(s.Symbol, s.sourceSession.ExchangeName)
 	s.book.BindStream(s.sourceSession.MarketDataStream)
 
 	s.activeMakerOrders = bbgo.NewActiveOrderBook(s.Symbol)

pkg/twap/stream_executor.go

@@ -396,7 +396,7 @@ func (e *StreamExecutor) Run(parentCtx context.Context) error {
 	e.marketDataStream.SetPublicOnly()
 	e.marketDataStream.Subscribe(types.BookChannel, e.Symbol, types.SubscribeOptions{})
 
-	e.orderBook = types.NewStreamBook(e.Symbol)
+	e.orderBook = types.NewStreamBook(e.Symbol, e.Session.ExchangeName)
 	e.orderBook.BindStream(e.marketDataStream)
 
 	e.userDataStream = e.Session.Exchange.NewStream()

pkg/twap/v2/stream_executor.go

@@ -88,7 +88,7 @@ func NewFixedQuantityExecutor(
 		Depth: types.DepthLevelMedium,
 	})
 
-	orderBook := types.NewStreamBook(symbol)
+	orderBook := types.NewStreamBook(symbol, exchange.Name())
 	orderBook.BindStream(marketDataStream)
 
 	userDataStream := exchange.NewStream()

pkg/twap/v2/stream_executor_test.go

@@ -143,6 +143,7 @@ func TestNewStreamExecutor(t *testing.T) {
 		},
 	}
 
+	mockEx.EXPECT().Name().Return(exchangeName)
 	mockEx.EXPECT().NewStream().Return(mockMarketDataStream)
 	mockEx.EXPECT().NewStream().Return(mockUserDataStream)
 	mockEx.EXPECT().QueryAccountBalances(gomock.AssignableToTypeOf(ctx)).Return(initialBalances, nil)

pkg/types/orderbook.go

@@ -6,6 +6,8 @@ import (
 	"sync"
 	"time"
 
+	"github.com/prometheus/client_golang/prometheus"
+
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 )
 
@@ -26,12 +28,13 @@ type OrderBook interface {
 type MutexOrderBook struct {
 	sync.Mutex
 
-	Symbol string
+	Symbol   string
+	Exchange ExchangeName
 
 	orderBook OrderBook
 }
 
-func NewMutexOrderBook(symbol string) *MutexOrderBook {
+func NewMutexOrderBook(symbol string, exchangeName ExchangeName) *MutexOrderBook {
 	var book OrderBook = NewSliceOrderBook(symbol)
 
 	if v, _ := strconv.ParseBool(os.Getenv("ENABLE_RBT_ORDERBOOK")); v {
@@ -40,6 +43,7 @@ func NewMutexOrderBook(symbol string) *MutexOrderBook {
 
 	return &MutexOrderBook{
 		Symbol:    symbol,
+		Exchange:  exchangeName,
 		orderBook: book,
 	}
 }
@@ -134,6 +138,46 @@ type BookSignal struct {
 	Time time.Time
 }
 
+var streamOrderBookBestBidPriceMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "bbgo_stream_order_book_best_bid_price",
+		Help: "",
+	}, []string{"symbol", "exchange"})
+
+var streamOrderBookBestAskPriceMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "bbgo_stream_order_book_best_ask_price",
+		Help: "",
+	}, []string{"symbol", "exchange"})
+
+var streamOrderBookBestBidVolumeMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "bbgo_stream_order_book_best_bid_volume",
+		Help: "",
+	}, []string{"symbol", "exchange"})
+
+var streamOrderBookBestAskVolumeMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "bbgo_stream_order_book_best_ask_volume",
+		Help: "",
+	}, []string{"symbol", "exchange"})
+
+var streamOrderBookUpdateTimeMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "bbgo_stream_order_book_update_time_milliseconds",
+		Help: "",
+	}, []string{"symbol", "exchange"})
+
+func init() {
+	prometheus.MustRegister(
+		streamOrderBookBestBidPriceMetrics,
+		streamOrderBookBestAskPriceMetrics,
+		streamOrderBookBestBidVolumeMetrics,
+		streamOrderBookBestAskVolumeMetrics,
+		streamOrderBookUpdateTimeMetrics,
+	)
+}
+
 // StreamOrderBook receives streaming data from websocket connection and
 // update the order book with mutex lock, so you can safely access it.
 //
@@ -147,13 +191,25 @@ type StreamOrderBook struct {
 	snapshotCallbacks []func(snapshot SliceOrderBook)
 }
 
-func NewStreamBook(symbol string) *StreamOrderBook {
+func NewStreamBook(symbol string, exchangeName ExchangeName) *StreamOrderBook {
 	return &StreamOrderBook{
-		MutexOrderBook: NewMutexOrderBook(symbol),
+		MutexOrderBook: NewMutexOrderBook(symbol, exchangeName),
 		C:              make(chan *BookSignal, 1),
 	}
 }
 
+func (sb *StreamOrderBook) updateMetrics(t time.Time) {
+	bestBid, bestAsk, ok := sb.BestBidAndAsk()
+	if ok {
+		exchangeName := string(sb.Exchange)
+		streamOrderBookBestAskPriceMetrics.WithLabelValues(sb.Symbol, exchangeName).Set(bestAsk.Price.Float64())
+		streamOrderBookBestBidPriceMetrics.WithLabelValues(sb.Symbol, exchangeName).Set(bestBid.Price.Float64())
+		streamOrderBookBestAskVolumeMetrics.WithLabelValues(sb.Symbol, exchangeName).Set(bestAsk.Volume.Float64())
+		streamOrderBookBestBidVolumeMetrics.WithLabelValues(sb.Symbol, exchangeName).Set(bestBid.Volume.Float64())
+		streamOrderBookUpdateTimeMetrics.WithLabelValues(sb.Symbol, exchangeName).Set(float64(t.UnixMilli()))
+	}
+}
+
 func (sb *StreamOrderBook) BindStream(stream Stream) {
 	stream.OnBookSnapshot(func(book SliceOrderBook) {
 		if sb.MutexOrderBook.Symbol != book.Symbol {
@@ -163,6 +219,7 @@ func (sb *StreamOrderBook) BindStream(stream Stream) {
 		sb.Load(book)
 		sb.EmitSnapshot(book)
 		sb.emitChange(BookSignalSnapshot, book.Time)
+		sb.updateMetrics(book.Time)
 	})
 
 	stream.OnBookUpdate(func(book SliceOrderBook) {
@@ -173,6 +230,7 @@ func (sb *StreamOrderBook) BindStream(stream Stream) {
 		sb.Update(book)
 		sb.EmitUpdate(book)
 		sb.emitChange(BookSignalUpdate, book.Time)
+		sb.updateMetrics(book.Time)
 	})
 }