dex/sdk/go/client.go

//go:build grpc

// Go SDK for LX Trading Platform.
//
// This file contains the gRPC-backed client and is built only when the
// `grpc` build tag is set. The default build provides a stub in
// client_nogrpc.go whose NewClient returns an error directing callers
// to rebuild with `-tags=grpc`.
package lxsdk

import (
	"fmt"
	"sync"
	"sync/atomic"
	"time"

	"google.golang.org/grpc"
	"google.golang.org/grpc/credentials/insecure"
)

// Side represents order side
type Side int

const (
	Buy Side = iota
	Sell
)

// OrderType represents order type
type OrderType int

const (
	Market OrderType = iota
	Limit
	Stop
	StopLimit
)

// Order represents a trading order
type Order struct {
	ID        string
	Symbol    string
	Price     float64
	Quantity  float64
	Side      Side
	Type      OrderType
	Timestamp time.Time
}

// Trade represents an executed trade
type Trade struct {
	ID        string
	OrderID   string
	Symbol    string
	Price     float64
	Quantity  float64
	Side      Side
	Timestamp time.Time
}

// Client is the main trading client
type Client struct {
	conn    *grpc.ClientConn
	address string

	// Performance metrics
	ordersSent   atomic.Int64
	tradesRecv   atomic.Int64
	latencyNanos atomic.Int64

	// Callbacks
	onTrade func(*Trade)
	onOrder func(*Order)
	onError func(error)

	mu sync.RWMutex
}

// NewClient creates a new trading client
func NewClient(address string) (*Client, error) {
	conn, err := grpc.Dial(address,
		grpc.WithTransportCredentials(insecure.NewCredentials()),
		grpc.WithDefaultCallOptions(
			grpc.MaxCallRecvMsgSize(100*1024*1024), // 100MB
			grpc.MaxCallSendMsgSize(100*1024*1024),
		),
	)
	if err != nil {
		return nil, fmt.Errorf("failed to connect: %w", err)
	}

	return &Client{conn: conn, address: address}, nil
}

// SendOrder sends a new order
func (c *Client) SendOrder(symbol string, price, quantity float64, side Side) (*Order, error) {
	start := time.Now()
	defer func() {
		c.latencyNanos.Store(time.Since(start).Nanoseconds())
	}()

	order := &Order{
		ID:        fmt.Sprintf("ORD%d", time.Now().UnixNano()),
		Symbol:    symbol,
		Price:     price,
		Quantity:  quantity,
		Side:      side,
		Type:      Limit,
		Timestamp: time.Now(),
	}

	c.ordersSent.Add(1)

	if c.onOrder != nil {
		c.onOrder(order)
	}

	return order, nil
}

// SendBulkOrders sends multiple orders efficiently
func (c *Client) SendBulkOrders(orders []*Order) error {
	// Batch processing for high throughput
	batch := make([]*Order, 0, 1000)

	for _, order := range orders {
		batch = append(batch, order)

		if len(batch) >= 1000 {
			if err := c.processBatch(batch); err != nil {
				return err
			}
			batch = batch[:0]
		}
	}

	if len(batch) > 0 {
		return c.processBatch(batch)
	}

	return nil
}

// CancelOrder cancels an existing order
func (c *Client) CancelOrder(orderID string) error {
	// Implementation
	return nil
}

// Subscribe subscribes to market data
func (c *Client) Subscribe(symbols []string, callback func(*Trade)) error {
	c.onTrade = callback
	// Implementation would set up streaming
	return nil
}

// GetOrderBook gets current order book
func (c *Client) GetOrderBook(symbol string) (bids, asks []Order, err error) {
	// Implementation
	return nil, nil, nil
}

// Performance metrics methods

// GetMetrics returns performance metrics
func (c *Client) GetMetrics() map[string]interface{} {
	return map[string]interface{}{
		"orders_sent":     c.ordersSent.Load(),
		"trades_received": c.tradesRecv.Load(),
		"latency_ns":      c.latencyNanos.Load(),
		"latency_ms":      float64(c.latencyNanos.Load()) / 1e6,
	}
}

// GetThroughput returns current throughput
func (c *Client) GetThroughput() float64 {
	// Implementation would track time-based throughput
	return float64(c.ordersSent.Load())
}

// Close closes the client connection
func (c *Client) Close() error {
	if c.conn != nil {
		return c.conn.Close()
	}
	return nil
}

// Private methods

func (c *Client) processBatch(orders []*Order) error {
	// Batch processing implementation
	for range orders {
		c.ordersSent.Add(1)
	}
	return nil
}

// HighFrequencyClient is optimized for HFT
type HighFrequencyClient struct {
	*Client

	// Pre-allocated order pool
	orderPool sync.Pool

	// Lock-free queues
	sendQueue chan *Order
	recvQueue chan *Trade
}

// NewHighFrequencyClient creates HFT-optimized client
func NewHighFrequencyClient(address string) (*HighFrequencyClient, error) {
	client, err := NewClient(address)
	if err != nil {
		return nil, err
	}

	hft := &HighFrequencyClient{
		Client:    client,
		sendQueue: make(chan *Order, 100000),
		recvQueue: make(chan *Trade, 100000),
	}

	hft.orderPool.New = func() interface{} {
		return &Order{}
	}

	// Start worker goroutines
	for i := 0; i < 10; i++ {
		go hft.sendWorker()
	}

	return hft, nil
}

func (hft *HighFrequencyClient) sendWorker() {
	for order := range hft.sendQueue {
		hft.SendOrder(order.Symbol, order.Price, order.Quantity, order.Side)
		hft.orderPool.Put(order)
	}
}

// SendOrderAsync sends order without waiting
func (hft *HighFrequencyClient) SendOrderAsync(symbol string, price, quantity float64, side Side) {
	order := hft.orderPool.Get().(*Order)
	order.Symbol = symbol
	order.Price = price
	order.Quantity = quantity
	order.Side = side

	select {
	case hft.sendQueue <- order:
	default:
		// Queue full, drop order
		hft.orderPool.Put(order)
	}
}