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Optimize order book hot paths
Add BenchmarkDotNet coverage for order book processing and read access, reduce allocations in source conversion and order book update paths, and document the measured performance improvements.
1 parent d601653 commit c4e39ae

37 files changed

Lines changed: 1999 additions & 507 deletions

‎.gitignore‎

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@@ -44,6 +44,7 @@ dlldata.c
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# DNX
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project.lock.json
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artifacts/
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BenchmarkDotNet.Artifacts/
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*_i.c
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*_p.c

‎Crypto.Websocket.Extensions.sln‎

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@@ -29,32 +29,92 @@ Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "Crypto.Websocket.Extensions
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EndProject
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Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "Crypto.Websocket.Extensions.Core", "src\Crypto.Websocket.Extensions.Core\Crypto.Websocket.Extensions.Core.csproj", "{BDE39220-9DBC-4799-A5DC-89D631A8F4A0}"
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EndProject
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Project("{2150E333-8FDC-42A3-9474-1A3956D46DE8}") = "benchmarks", "benchmarks", "{66320409-64EC-F7C5-3DEF-65E7510DAAD1}"
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EndProject
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Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Crypto.Websocket.Extensions.Benchmarks", "benchmarks\Crypto.Websocket.Extensions.Benchmarks\Crypto.Websocket.Extensions.Benchmarks.csproj", "{DBC8FB10-E26E-4852-B43D-446E35B38C5A}"
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EndProject
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Global
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GlobalSection(SolutionConfigurationPlatforms) = preSolution
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Debug|Any CPU = Debug|Any CPU
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Debug|x64 = Debug|x64
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Debug|x86 = Debug|x86
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Release|Any CPU = Release|Any CPU
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Release|x64 = Release|x64
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Release|x86 = Release|x86
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EndGlobalSection
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GlobalSection(ProjectConfigurationPlatforms) = postSolution
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{17A9A7BA-8387-4689-A581-A9C2CAC5B3E2}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
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{17A9A7BA-8387-4689-A581-A9C2CAC5B3E2}.Debug|Any CPU.Build.0 = Debug|Any CPU
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{17A9A7BA-8387-4689-A581-A9C2CAC5B3E2}.Debug|x64.ActiveCfg = Debug|Any CPU
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{17A9A7BA-8387-4689-A581-A9C2CAC5B3E2}.Debug|x64.Build.0 = Debug|Any CPU
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{17A9A7BA-8387-4689-A581-A9C2CAC5B3E2}.Debug|x86.ActiveCfg = Debug|Any CPU
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{17A9A7BA-8387-4689-A581-A9C2CAC5B3E2}.Debug|x86.Build.0 = Debug|Any CPU
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{17A9A7BA-8387-4689-A581-A9C2CAC5B3E2}.Release|Any CPU.ActiveCfg = Release|Any CPU
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{17A9A7BA-8387-4689-A581-A9C2CAC5B3E2}.Release|Any CPU.Build.0 = Release|Any CPU
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{17A9A7BA-8387-4689-A581-A9C2CAC5B3E2}.Release|x64.ActiveCfg = Release|Any CPU
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{17A9A7BA-8387-4689-A581-A9C2CAC5B3E2}.Release|x64.Build.0 = Release|Any CPU
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{17A9A7BA-8387-4689-A581-A9C2CAC5B3E2}.Release|x86.ActiveCfg = Release|Any CPU
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{17A9A7BA-8387-4689-A581-A9C2CAC5B3E2}.Release|x86.Build.0 = Release|Any CPU
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{17E08CC0-D8ED-4DDD-88E1-9DADB5C8AA06}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
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{17E08CC0-D8ED-4DDD-88E1-9DADB5C8AA06}.Debug|Any CPU.Build.0 = Debug|Any CPU
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{17E08CC0-D8ED-4DDD-88E1-9DADB5C8AA06}.Debug|x64.ActiveCfg = Debug|Any CPU
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{17E08CC0-D8ED-4DDD-88E1-9DADB5C8AA06}.Debug|x64.Build.0 = Debug|Any CPU
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{17E08CC0-D8ED-4DDD-88E1-9DADB5C8AA06}.Debug|x86.ActiveCfg = Debug|Any CPU
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{17E08CC0-D8ED-4DDD-88E1-9DADB5C8AA06}.Debug|x86.Build.0 = Debug|Any CPU
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{17E08CC0-D8ED-4DDD-88E1-9DADB5C8AA06}.Release|Any CPU.ActiveCfg = Release|Any CPU
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{17E08CC0-D8ED-4DDD-88E1-9DADB5C8AA06}.Release|Any CPU.Build.0 = Release|Any CPU
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{17E08CC0-D8ED-4DDD-88E1-9DADB5C8AA06}.Release|x64.ActiveCfg = Release|Any CPU
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{17E08CC0-D8ED-4DDD-88E1-9DADB5C8AA06}.Release|x64.Build.0 = Release|Any CPU
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{17E08CC0-D8ED-4DDD-88E1-9DADB5C8AA06}.Release|x86.ActiveCfg = Release|Any CPU
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{17E08CC0-D8ED-4DDD-88E1-9DADB5C8AA06}.Release|x86.Build.0 = Release|Any CPU
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{081FD24C-6264-41D5-8444-C47C7331CCDE}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
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{081FD24C-6264-41D5-8444-C47C7331CCDE}.Debug|Any CPU.Build.0 = Debug|Any CPU
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{081FD24C-6264-41D5-8444-C47C7331CCDE}.Debug|x64.ActiveCfg = Debug|Any CPU
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{081FD24C-6264-41D5-8444-C47C7331CCDE}.Debug|x64.Build.0 = Debug|Any CPU
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{081FD24C-6264-41D5-8444-C47C7331CCDE}.Debug|x86.ActiveCfg = Debug|Any CPU
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{081FD24C-6264-41D5-8444-C47C7331CCDE}.Debug|x86.Build.0 = Debug|Any CPU
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{081FD24C-6264-41D5-8444-C47C7331CCDE}.Release|Any CPU.ActiveCfg = Release|Any CPU
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{081FD24C-6264-41D5-8444-C47C7331CCDE}.Release|Any CPU.Build.0 = Release|Any CPU
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{081FD24C-6264-41D5-8444-C47C7331CCDE}.Release|x64.ActiveCfg = Release|Any CPU
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{081FD24C-6264-41D5-8444-C47C7331CCDE}.Release|x64.Build.0 = Release|Any CPU
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{081FD24C-6264-41D5-8444-C47C7331CCDE}.Release|x86.ActiveCfg = Release|Any CPU
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{081FD24C-6264-41D5-8444-C47C7331CCDE}.Release|x86.Build.0 = Release|Any CPU
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{2AFCA5EA-E46D-40FF-A79A-310B60E23632}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
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{2AFCA5EA-E46D-40FF-A79A-310B60E23632}.Debug|Any CPU.Build.0 = Debug|Any CPU
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{2AFCA5EA-E46D-40FF-A79A-310B60E23632}.Debug|x64.ActiveCfg = Debug|Any CPU
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{2AFCA5EA-E46D-40FF-A79A-310B60E23632}.Debug|x64.Build.0 = Debug|Any CPU
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{2AFCA5EA-E46D-40FF-A79A-310B60E23632}.Debug|x86.ActiveCfg = Debug|Any CPU
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{2AFCA5EA-E46D-40FF-A79A-310B60E23632}.Debug|x86.Build.0 = Debug|Any CPU
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{2AFCA5EA-E46D-40FF-A79A-310B60E23632}.Release|Any CPU.ActiveCfg = Release|Any CPU
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{2AFCA5EA-E46D-40FF-A79A-310B60E23632}.Release|Any CPU.Build.0 = Release|Any CPU
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{2AFCA5EA-E46D-40FF-A79A-310B60E23632}.Release|x64.ActiveCfg = Release|Any CPU
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{2AFCA5EA-E46D-40FF-A79A-310B60E23632}.Release|x64.Build.0 = Release|Any CPU
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{2AFCA5EA-E46D-40FF-A79A-310B60E23632}.Release|x86.ActiveCfg = Release|Any CPU
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{2AFCA5EA-E46D-40FF-A79A-310B60E23632}.Release|x86.Build.0 = Release|Any CPU
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{BDE39220-9DBC-4799-A5DC-89D631A8F4A0}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
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{BDE39220-9DBC-4799-A5DC-89D631A8F4A0}.Debug|Any CPU.Build.0 = Debug|Any CPU
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{BDE39220-9DBC-4799-A5DC-89D631A8F4A0}.Debug|x64.ActiveCfg = Debug|Any CPU
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{BDE39220-9DBC-4799-A5DC-89D631A8F4A0}.Debug|x64.Build.0 = Debug|Any CPU
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{BDE39220-9DBC-4799-A5DC-89D631A8F4A0}.Debug|x86.ActiveCfg = Debug|Any CPU
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{BDE39220-9DBC-4799-A5DC-89D631A8F4A0}.Debug|x86.Build.0 = Debug|Any CPU
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{BDE39220-9DBC-4799-A5DC-89D631A8F4A0}.Release|Any CPU.ActiveCfg = Release|Any CPU
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{BDE39220-9DBC-4799-A5DC-89D631A8F4A0}.Release|Any CPU.Build.0 = Release|Any CPU
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{BDE39220-9DBC-4799-A5DC-89D631A8F4A0}.Release|x64.ActiveCfg = Release|Any CPU
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{BDE39220-9DBC-4799-A5DC-89D631A8F4A0}.Release|x64.Build.0 = Release|Any CPU
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{BDE39220-9DBC-4799-A5DC-89D631A8F4A0}.Release|x86.ActiveCfg = Release|Any CPU
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{BDE39220-9DBC-4799-A5DC-89D631A8F4A0}.Release|x86.Build.0 = Release|Any CPU
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{DBC8FB10-E26E-4852-B43D-446E35B38C5A}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
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{DBC8FB10-E26E-4852-B43D-446E35B38C5A}.Debug|Any CPU.Build.0 = Debug|Any CPU
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{DBC8FB10-E26E-4852-B43D-446E35B38C5A}.Debug|x64.ActiveCfg = Debug|Any CPU
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{DBC8FB10-E26E-4852-B43D-446E35B38C5A}.Debug|x64.Build.0 = Debug|Any CPU
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{DBC8FB10-E26E-4852-B43D-446E35B38C5A}.Debug|x86.ActiveCfg = Debug|Any CPU
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{DBC8FB10-E26E-4852-B43D-446E35B38C5A}.Debug|x86.Build.0 = Debug|Any CPU
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{DBC8FB10-E26E-4852-B43D-446E35B38C5A}.Release|Any CPU.ActiveCfg = Release|Any CPU
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{DBC8FB10-E26E-4852-B43D-446E35B38C5A}.Release|Any CPU.Build.0 = Release|Any CPU
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{DBC8FB10-E26E-4852-B43D-446E35B38C5A}.Release|x64.ActiveCfg = Release|Any CPU
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{DBC8FB10-E26E-4852-B43D-446E35B38C5A}.Release|x64.Build.0 = Release|Any CPU
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{DBC8FB10-E26E-4852-B43D-446E35B38C5A}.Release|x86.ActiveCfg = Release|Any CPU
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{DBC8FB10-E26E-4852-B43D-446E35B38C5A}.Release|x86.Build.0 = Release|Any CPU
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EndGlobalSection
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GlobalSection(SolutionProperties) = preSolution
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HideSolutionNode = FALSE
@@ -65,6 +125,7 @@ Global
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{081FD24C-6264-41D5-8444-C47C7331CCDE} = {42E4078C-4FBE-4B03-B889-1573332945A9}
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{2AFCA5EA-E46D-40FF-A79A-310B60E23632} = {42E4078C-4FBE-4B03-B889-1573332945A9}
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{BDE39220-9DBC-4799-A5DC-89D631A8F4A0} = {360B18BD-653A-4824-9261-C88167EEBAD2}
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{DBC8FB10-E26E-4852-B43D-446E35B38C5A} = {66320409-64EC-F7C5-3DEF-65E7510DAAD1}
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EndGlobalSection
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GlobalSection(ExtensibilityGlobals) = postSolution
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SolutionGuid = {EE3E0B94-CF20-4C22-B50B-E720E8DFD675}

‎README.md‎

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@@ -23,9 +23,16 @@ It helps to unify data models and usage of more clients together.
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* targets `netstandard2.1`, `net6.0`, `net7.0`, `net8.0`, `net9.0`, `net10.0`
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* built on [Websocket.Client 5.4.0](https://www.nuget.org/packages/Websocket.Client/5.4.0) through the updated exchange clients
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* third-party exchange adapters for Bybit, Luno, and VALR remain enabled; NuGet resolves the shared websocket transport to the newer package version
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* benchmarked order book hot paths with [BenchmarkDotNet](benchmarks/README.md)
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* reactive extensions ([Rx.NET](https://github.com/Reactive-Extensions/Rx.NET))
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* integrated logging abstraction ([LibLog](https://github.com/damianh/LibLog))
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### Performance
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The order book implementation is tuned for allocation-sensitive websocket streams. Common L2 diff processing avoids temporary notification objects when nobody is subscribed, keeps internal source-to-orderbook handoff on the single-update path, and uses list-based dispatch for bulk level updates to avoid interface enumerator allocations.
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The current benchmark suite focuses on `CryptoOrderBook`, `CryptoOrderBookL2`, and related source adapters. In the latest pass, representative BenchmarkDotNet runs showed `CryptoOrderBook.BidLevels` improving from 17,822 ns / 77 KB to 5,409 ns / 4.8 KB, and `CryptoOrderBookL2` diff processing improving from 935 ns / 545 B to 665 ns / 160 B. See the [benchmarks README](benchmarks/README.md) for commands and detailed results.
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### Supported exchanges
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| Logo | Name | Websocket client |

‎benchmarks/Crypto.Websocket.Extensions.Benchmarks/BenchmarkOrderBookSource.cs‎

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using Crypto.Websocket.Extensions.Core.OrderBooks.Models;
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using Crypto.Websocket.Extensions.Core.OrderBooks.Sources;
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using Microsoft.Extensions.Logging.Abstractions;
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namespace Crypto.Websocket.Extensions.Benchmarks;
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internal sealed class BenchmarkOrderBookSource : OrderBookSourceBase
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{
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public BenchmarkOrderBookSource() : base(NullLogger.Instance)
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{
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BufferEnabled = false;
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LoadSnapshotEnabled = false;
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}
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public override string ExchangeName => "benchmark";
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public void StreamSnapshotRaw(OrderBookLevelBulk snapshot)
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{
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StreamSnapshot(snapshot);
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}
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public void StreamBulk(OrderBookLevelBulk bulk)
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{
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BufferData(bulk);
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}
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protected override Task<OrderBookLevelBulk?> LoadSnapshotInternal(string? pair, int count = 1000)
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{
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return Task.FromResult<OrderBookLevelBulk?>(null);
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}
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protected override OrderBookLevelBulk[] ConvertData(object data)
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{
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return data is OrderBookLevelBulk bulk
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? new[] { bulk }
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: Array.Empty<OrderBookLevelBulk>();
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}
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protected override bool TryConvertData(object data, out OrderBookLevelBulk? bulk)
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{
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bulk = data as OrderBookLevelBulk;
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return bulk != null;
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}
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protected override OrderBookLevelBulk[] ConvertData(object[] data)
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{
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if (data.Length == 0)
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return Array.Empty<OrderBookLevelBulk>();
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if (data.Length == 1 && data[0] is OrderBookLevelBulk single)
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return new[] { single };
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var result = new OrderBookLevelBulk[data.Length];
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var count = 0;
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foreach (var item in data)
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{
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if (item is OrderBookLevelBulk bulk)
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result[count++] = bulk;
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}
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if (count == result.Length)
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return result;
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Array.Resize(ref result, count);
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return result;
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}
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}

‎benchmarks/Crypto.Websocket.Extensions.Benchmarks/Crypto.Websocket.Extensions.Benchmarks.csproj‎

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<Project Sdk="Microsoft.NET.Sdk">
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<PropertyGroup>
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<OutputType>Exe</OutputType>
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<TargetFramework>net10.0</TargetFramework>
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<Nullable>enable</Nullable>
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<ImplicitUsings>enable</ImplicitUsings>
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<IsPackable>false</IsPackable>
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</PropertyGroup>
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<ItemGroup>
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<PackageReference Include="BenchmarkDotNet" Version="0.15.8" />
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</ItemGroup>
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<ItemGroup>
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<ProjectReference Include="..\..\src\Crypto.Websocket.Extensions.Core\Crypto.Websocket.Extensions.Core.csproj" />
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</ItemGroup>
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</Project>

‎benchmarks/Crypto.Websocket.Extensions.Benchmarks/OrderBookBenchmarkData.cs‎

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using Crypto.Websocket.Extensions.Core.Models;
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using Crypto.Websocket.Extensions.Core.OrderBooks;
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using Crypto.Websocket.Extensions.Core.OrderBooks.Models;
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using Crypto.Websocket.Extensions.Core.Utils;
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namespace Crypto.Websocket.Extensions.Benchmarks;
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internal static class OrderBookBenchmarkData
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{
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public const string Pair = "BTC/USD";
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public const int LevelsPerSide = 500;
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public const int DiffCount = 1000;
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public static readonly string PairClean = CryptoPairsHelper.Clean(Pair);
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public static readonly OrderBookLevelBulk Snapshot = CreateSnapshot(PairClean, LevelsPerSide);
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public static readonly OrderBookLevelBulk[] Diffs = CreateDiffs(PairClean, DiffCount, LevelsPerSide, LevelsPerSide);
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private static OrderBookLevelBulk CreateSnapshot(string pair, int count)
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{
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var levels = new OrderBookLevel[count * 2];
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var index = 0;
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for (var i = 0; i < count; i++)
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levels[index++] = CreateLevel(pair, i, count * 2 + i, CryptoOrderSide.Bid);
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for (var i = count * 2; i > count; i--)
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levels[index++] = CreateLevel(pair, i, count * 4 + i, CryptoOrderSide.Ask);
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return new OrderBookLevelBulk(OrderBookAction.Insert, levels, CryptoOrderBookType.L2);
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}
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private static OrderBookLevelBulk[] CreateDiffs(string pair, int iterations, int maxBidPrice, int maxAskCount)
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{
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var bulks = new OrderBookLevelBulk[iterations];
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for (var i = 0; i < iterations; i++)
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{
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var levels = new[]
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{
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i % 10 == 0
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? CreateLevel(pair, (i % maxBidPrice) + 0.4, i + 50, CryptoOrderSide.Bid)
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: CreateLevel(pair, i % maxBidPrice, i + 50, CryptoOrderSide.Bid),
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i % 10 == 0
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? CreateLevel(pair, (Math.Max(i - 55, 1) % maxBidPrice) + 0.4, i + 600, CryptoOrderSide.Bid)
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: CreateLevel(pair, Math.Max(i - 55, 1) % maxBidPrice, i + 600, CryptoOrderSide.Bid),
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i % 10 == 0
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? CreateLevel(pair, maxBidPrice + (i % maxAskCount) + 0.4, i + 400, CryptoOrderSide.Ask)
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: CreateLevel(pair, maxBidPrice + (i % maxAskCount), i + 400, CryptoOrderSide.Ask),
48+
i % 10 == 0
49+
? CreateLevel(pair, maxBidPrice + (Math.Min(i + 55, maxAskCount) % maxAskCount) + 0.4, i + 3000, CryptoOrderSide.Ask)
50+
: CreateLevel(pair, maxBidPrice + (Math.Min(i + 55, maxAskCount) % maxAskCount), i + 3000, CryptoOrderSide.Ask)
51+
};
52+
53+
var action = i % 10 == 0 ? OrderBookAction.Insert : OrderBookAction.Update;
54+
bulks[i] = new OrderBookLevelBulk(action, levels, CryptoOrderBookType.L2);
55+
}
56+
57+
return bulks;
58+
}
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60+
private static OrderBookLevel CreateLevel(string pair, double? price, double? amount, CryptoOrderSide side)
61+
{
62+
return new OrderBookLevel(
63+
$"{price}-{(side == CryptoOrderSide.Bid ? "bid" : "ask")}",
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side,
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price,
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amount,
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3,
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pair);
69+
}
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}

‎benchmarks/Crypto.Websocket.Extensions.Benchmarks/OrderBookProcessingBenchmarks.cs‎

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using BenchmarkDotNet.Attributes;
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using Crypto.Websocket.Extensions.Core.OrderBooks;
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namespace Crypto.Websocket.Extensions.Benchmarks;
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[MemoryDiagnoser]
7+
[ShortRunJob]
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[RankColumn]
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public class OrderBookProcessingBenchmarks
10+
{
11+
[Benchmark(Baseline = true, Description = "OrderBookL2 process diffs", OperationsPerInvoke = OrderBookBenchmarkData.DiffCount)]
12+
public double OrderBookL2_ProcessDiffs()
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{
14+
return ProcessDiffs(createL2: true, subscribeToUpdates: false);
15+
}
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17+
[Benchmark(Description = "OrderBookL2 process diffs with observer", OperationsPerInvoke = OrderBookBenchmarkData.DiffCount)]
18+
public double OrderBookL2_ProcessDiffs_WithObserver()
19+
{
20+
return ProcessDiffs(createL2: true, subscribeToUpdates: true);
21+
}
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[Benchmark(Description = "OrderBook process L2 diffs", OperationsPerInvoke = OrderBookBenchmarkData.DiffCount)]
24+
public double OrderBook_ProcessDiffs()
25+
{
26+
return ProcessDiffs(createL2: false, subscribeToUpdates: false);
27+
}
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[Benchmark(Description = "OrderBook process L2 diffs with observer", OperationsPerInvoke = OrderBookBenchmarkData.DiffCount)]
30+
public double OrderBook_ProcessDiffs_WithObserver()
31+
{
32+
return ProcessDiffs(createL2: false, subscribeToUpdates: true);
33+
}
34+
35+
private static double ProcessDiffs(bool createL2, bool subscribeToUpdates)
36+
{
37+
using var source = new BenchmarkOrderBookSource();
38+
using var orderBook = CreateOrderBook(createL2, source);
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40+
var notifications = 0;
41+
using var subscription = subscribeToUpdates
42+
? orderBook.OrderBookUpdatedStream.Subscribe(_ => notifications++)
43+
: null;
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45+
source.StreamSnapshotRaw(OrderBookBenchmarkData.Snapshot);
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47+
foreach (var bulk in OrderBookBenchmarkData.Diffs)
48+
source.StreamBulk(bulk);
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50+
return orderBook.BidPrice + orderBook.AskPrice + orderBook.BidAmount + orderBook.AskAmount + notifications;
51+
}
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private static ICryptoOrderBook CreateOrderBook(bool createL2, BenchmarkOrderBookSource source)
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{
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ICryptoOrderBook orderBook = createL2
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? new CryptoOrderBookL2(OrderBookBenchmarkData.Pair, source)
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: new CryptoOrderBook(OrderBookBenchmarkData.Pair, source, CryptoOrderBookType.L2);
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orderBook.SnapshotReloadEnabled = false;
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orderBook.ValidityCheckEnabled = false;
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orderBook.NotifyForLevelAndAbove = 0;
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return orderBook;
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}
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}

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