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Consolidate orderbook updates into a single stream update #1634

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merged 1 commit into from
Jun 6, 2024
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Consolidate orderbook updates into a single stream update #1634

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88 changes: 53 additions & 35 deletions protocol/streaming/grpc/grpc_streaming_manager.go
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Original file line number Diff line number Diff line change
Expand Up @@ -113,29 +113,42 @@ func (sm *GrpcStreamingManagerImpl) SendOrderbookUpdates(
}

// Unmarshal each per-clob pair message to v1 updates.
updatesByClobPairId := make(map[uint32][]clobtypes.StreamUpdate)
updatesByClobPairId := make(map[uint32][]ocutypes.OffChainUpdateV1)
for clobPairId, update := range updates {
v1updates, err := GetOffchainUpdatesV1(update)
if err != nil {
panic(err)
}
updatesByClobPairId[clobPairId] = []clobtypes.StreamUpdate{
{
UpdateMessage: &clobtypes.StreamUpdate_OrderbookUpdate{
OrderbookUpdate: &clobtypes.StreamOrderbookUpdate{
Updates: v1updates,
Snapshot: snapshot,
updatesByClobPairId[clobPairId] = v1updates
}
Comment on lines +116 to +123
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Refactor the error handling in GetOffchainUpdatesV1.

Currently, the method GetOffchainUpdatesV1 called within the loop can panic if an error occurs. This could lead to service instability. Consider handling the error more gracefully instead of using panic.

- if err != nil {
-     panic(err)
- }
+ if err != nil {
+     sm.logger.Error("Failed to get V1 updates", log.ErrorKey, err)
+     continue
+ }
Committable suggestion

‼️ IMPORTANT
Carefully review the code before committing. Ensure that it accurately replaces the highlighted code, contains no missing lines, and has no issues with indentation.

Suggested change
updatesByClobPairId := make(map[uint32][]ocutypes.OffChainUpdateV1)
for clobPairId, update := range updates {
v1updates, err := GetOffchainUpdatesV1(update)
if err != nil {
panic(err)
}
updatesByClobPairId[clobPairId] = []clobtypes.StreamUpdate{
{
UpdateMessage: &clobtypes.StreamUpdate_OrderbookUpdate{
OrderbookUpdate: &clobtypes.StreamOrderbookUpdate{
Updates: v1updates,
Snapshot: snapshot,
updatesByClobPairId[clobPairId] = v1updates
}
updatesByClobPairId := make(map[uint32][]ocutypes.OffChainUpdateV1)
for clobPairId, update := range updates {
v1updates, err := GetOffchainUpdatesV1(update)
if err != nil {
sm.logger.Error("Failed to get V1 updates", log.ErrorKey, err)
continue
}
updatesByClobPairId[clobPairId] = v1updates
}


updatesBySubscriptionId := make(map[uint32][]clobtypes.StreamUpdate)
for id, subscription := range sm.orderbookSubscriptions {
// Consolidate orderbook updates into a single `StreamUpdate`.
v1updates := make([]ocutypes.OffChainUpdateV1, 0)
for _, clobPairId := range subscription.clobPairIds {
if update, ok := updatesByClobPairId[clobPairId]; ok {
v1updates = append(v1updates, update...)
}
}

if len(v1updates) > 0 {
updatesBySubscriptionId[id] = []clobtypes.StreamUpdate{
{
UpdateMessage: &clobtypes.StreamUpdate_OrderbookUpdate{
OrderbookUpdate: &clobtypes.StreamOrderbookUpdate{
Updates: v1updates,
Snapshot: snapshot,
},
},
BlockHeight: blockHeight,
ExecMode: uint32(execMode),
},
BlockHeight: blockHeight,
ExecMode: uint32(execMode),
},
}
}
}

sm.sendStreamUpdate(
updatesByClobPairId,
)
sm.sendStreamUpdate(updatesBySubscriptionId)
}

// SendOrderbookFillUpdates groups fills by their clob pair ids and
Expand Down Expand Up @@ -172,14 +185,24 @@ func (sm *GrpcStreamingManagerImpl) SendOrderbookFillUpdates(
updatesByClobPairId[clobPairId] = append(updatesByClobPairId[clobPairId], streamUpdate)
}

sm.sendStreamUpdate(
updatesByClobPairId,
)
updatesBySubscriptionId := make(map[uint32][]clobtypes.StreamUpdate)
for id, subscription := range sm.orderbookSubscriptions {
streamUpdatesForSubscription := make([]clobtypes.StreamUpdate, 0)
for _, clobPairId := range subscription.clobPairIds {
if update, ok := updatesByClobPairId[clobPairId]; ok {
streamUpdatesForSubscription = append(streamUpdatesForSubscription, update...)
}
}

updatesBySubscriptionId[id] = streamUpdatesForSubscription
}

sm.sendStreamUpdate(updatesBySubscriptionId)
Comment on lines +188 to +200
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Optimize the loop for better performance.

The nested loops in SendOrderbookFillUpdates can be optimized by reducing the scope of the inner loop. Consider precomputing a map from clobPairId to updates before iterating over subscriptions.

- for id, subscription := range sm.orderbookSubscriptions {
-     streamUpdatesForSubscription := make([]clobtypes.StreamUpdate, 0)
-     for _, clobPairId := range subscription.clobPairIds {
-         if update, ok := updatesByClobPairId[clobPairId]; ok {
-             streamUpdatesForSubscription = append(streamUpdatesForSubscription, update...)
-         }
-     }
-     updatesBySubscriptionId[id] = streamUpdatesForSubscription
- }
+ precomputedUpdates := make(map[uint32][]clobtypes.StreamUpdate)
+ for clobPairId, update := range updatesByClobPairId {
+     precomputedUpdates[clobPairId] = update
+ }
+ for id, subscription := range sm.orderbookSubscriptions {
+     for _, clobPairId := range subscription.clobPairIds {
+         if updates, ok := precomputedUpdates[clobPairId]; ok {
+             updatesBySubscriptionId[id] = append(updatesBySubscriptionId[id], updates...)
+         }
+     }
+ }
Committable suggestion

‼️ IMPORTANT
Carefully review the code before committing. Ensure that it accurately replaces the highlighted code, contains no missing lines, and has no issues with indentation.

Suggested change
updatesBySubscriptionId := make(map[uint32][]clobtypes.StreamUpdate)
for id, subscription := range sm.orderbookSubscriptions {
streamUpdatesForSubscription := make([]clobtypes.StreamUpdate, 0)
for _, clobPairId := range subscription.clobPairIds {
if update, ok := updatesByClobPairId[clobPairId]; ok {
streamUpdatesForSubscription = append(streamUpdatesForSubscription, update...)
}
}
updatesBySubscriptionId[id] = streamUpdatesForSubscription
}
sm.sendStreamUpdate(updatesBySubscriptionId)
updatesBySubscriptionId := make(map[uint32][]clobtypes.StreamUpdate)
precomputedUpdates := make(map[uint32][]clobtypes.StreamUpdate)
for clobPairId, update := range updatesByClobPairId {
precomputedUpdates[clobPairId] = update
}
for id, subscription := range sm.orderbookSubscriptions {
for _, clobPairId := range subscription.clobPairIds {
if updates, ok := precomputedUpdates[clobPairId]; ok {
updatesBySubscriptionId[id] = append(updatesBySubscriptionId[id], updates...)
}
}
}
sm.sendStreamUpdate(updatesBySubscriptionId)

}

// sendStreamUpdate takes in a map of clob pair id to stream updates and emits them to subscribers.
func (sm *GrpcStreamingManagerImpl) sendStreamUpdate(
updatesByClobPairId map[uint32][]clobtypes.StreamUpdate,
updatesBySubscriptionId map[uint32][]clobtypes.StreamUpdate,
) {
metrics.IncrCounter(
metrics.GrpcEmitProtocolUpdateCount,
Expand All @@ -192,24 +215,19 @@ func (sm *GrpcStreamingManagerImpl) sendStreamUpdate(
// Send updates to subscribers.
idsToRemove := make([]uint32, 0)
for id, subscription := range sm.orderbookSubscriptions {
streamUpdatesForSubscription := make([]clobtypes.StreamUpdate, 0)
for _, clobPairId := range subscription.clobPairIds {
if update, ok := updatesByClobPairId[clobPairId]; ok {
streamUpdatesForSubscription = append(streamUpdatesForSubscription, update...)
}
}

if len(streamUpdatesForSubscription) > 0 {
metrics.IncrCounter(
metrics.GrpcSendResponseToSubscriberCount,
1,
)
if err := subscription.srv.Send(
&clobtypes.StreamOrderbookUpdatesResponse{
Updates: streamUpdatesForSubscription,
},
); err != nil {
idsToRemove = append(idsToRemove, id)
if streamUpdatesForSubscription, ok := updatesBySubscriptionId[id]; ok {
if len(streamUpdatesForSubscription) > 0 {
metrics.IncrCounter(
metrics.GrpcSendResponseToSubscriberCount,
1,
)
if err := subscription.srv.Send(
&clobtypes.StreamOrderbookUpdatesResponse{
Updates: streamUpdatesForSubscription,
},
); err != nil {
idsToRemove = append(idsToRemove, id)
}
}
}
}
Expand Down
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