perf(sdk-go): cache order book price conversions

packages/sdk-go/websocket/orderbook/book.go

@@ -36,9 +36,14 @@ type OrderBook struct {
 
 const maxCachedPriceLength = 128
 
+type cachedPriceValue struct {
+	decimal types.Decimal
+	val     float64
+}
+
 type decimalCache struct {
 	mu     sync.RWMutex
-	values map[string]types.Decimal
+	values map[string]cachedPriceValue
 }
 
 // NewOrderBook creates a new empty OrderBook for a symbol.
@@ -47,7 +52,7 @@ func NewOrderBook(symbol string) *OrderBook {
 		symbol:     symbol,
 		bids:       make([]PriceLevel, 0, 128),
 		asks:       make([]PriceLevel, 0, 128),
-		priceCache: decimalCache{values: make(map[string]types.Decimal)},
+		priceCache: decimalCache{values: make(map[string]cachedPriceValue)},
 	}
 }
 
@@ -127,7 +132,7 @@ func parseLevels(raw [][]string, allowZeroAmount bool, cache *decimalCache) ([]P
 }
 
 func parseLevel(priceStr, amountStr string, allowZeroAmount bool, cache *decimalCache) (PriceLevel, error) {
-	price, err := cachedPrice(cache, priceStr)
+	price, priceVal, err := cachedPrice(cache, priceStr)
 	if err != nil || !price.IsPositive() {
 		return PriceLevel{}, fmt.Errorf("price %q must be positive decimal", priceStr)
 	}
@@ -138,36 +143,42 @@ func parseLevel(priceStr, amountStr string, allowZeroAmount bool, cache *decimal
 	return PriceLevel{
 		Price:     priceStr,
 		Amount:    amountStr,
-		val:       price.Float64(),
+		val:       priceVal,
 		decimal:   price,
 		amountDec: amount,
 	}, nil
 }
 
-func cachedPrice(cache *decimalCache, raw string) (types.Decimal, error) {
+func cachedPrice(cache *decimalCache, raw string) (types.Decimal, float64, error) {
 	key := strings.TrimSpace(raw)
 	if cache != nil && len(key) <= maxCachedPriceLength {
 		cache.mu.RLock()
-		price, ok := cache.values[key]
+		cached, ok := cache.values[key]
 		cache.mu.RUnlock()
 		if ok {
-			return price, nil
+			return cached.decimal, cached.val, nil
 		}
 	}
 
 	price, err := types.ParseDecimal(raw)
 	if err != nil {
-		return types.Decimal{}, err
+		return types.Decimal{}, 0, err
 	}
+	priceVal := price.Float64()
+
 	if cache != nil && len(key) <= maxCachedPriceLength {
 		cache.mu.Lock()
 		if len(cache.values) >= 4096 {
 			clear(cache.values)
 		}
-		cache.values[key] = price
+		cache.values[key] = cachedPriceValue{
+			decimal: price,
+			val:     priceVal,
+		}
 		cache.mu.Unlock()
 	}
-	return price, nil
+
+	return price, priceVal, nil
 }
 
 // ApplyDiff atomically applies a batch of bid and ask level updates and updates the sequence ID under a single lock.

packages/sdk-go/websocket/orderbook/book_test.go

@@ -820,3 +820,77 @@ func TestLiveOrderBook_BBOListenerUnregister(t *testing.T) {
 	default:
 	}
 }
+
+func TestOrderBook_PriceCachePreservesFloatMetrics(t *testing.T) {
+	book := NewOrderBook("BTCUSD")
+
+	if err := book.ApplySnapshot(
+		1,
+		[][]string{{"65000.00", "1"}},
+		[][]string{{"65100.00", "1"}},
+	); err != nil {
+		t.Fatalf("ApplySnapshot failed: %v", err)
+	}
+
+	wantSpread, ok := book.Spread()
+	if !ok {
+		t.Fatal("expected spread")
+	}
+	wantMid, ok := book.Mid()
+	if !ok {
+		t.Fatal("expected mid")
+	}
+
+	// Repeated updates hit the price cache. Cached float values must remain
+	// identical to those produced when the prices were first parsed.
+	for i := 0; i < 100; i++ {
+		if err := book.ApplyLevel(true, "65000.00", "2"); err != nil {
+			t.Fatalf("ApplyLevel bid failed: %v", err)
+		}
+		if err := book.ApplyLevel(false, "65100.00", "2"); err != nil {
+			t.Fatalf("ApplyLevel ask failed: %v", err)
+		}
+
+		gotSpread, ok := book.Spread()
+		if !ok || gotSpread != wantSpread {
+			t.Fatalf("Spread = %v, %v; want %v, true", gotSpread, ok, wantSpread)
+		}
+		gotMid, ok := book.Mid()
+		if !ok || gotMid != wantMid {
+			t.Fatalf("Mid = %v, %v; want %v, true", gotMid, ok, wantMid)
+		}
+	}
+}
+
+func TestOrderBook_PriceCachePreservesExactPriceIdentity(t *testing.T) {
+	book := NewOrderBook("BTCUSD")
+
+	if err := book.ApplySnapshot(
+		1,
+		[][]string{
+			{"10000000000000000.01", "1"},
+			{"10000000000000000.02", "2"},
+		},
+		[][]string{{"10000000000000000.03", "1"}},
+	); err != nil {
+		t.Fatalf("ApplySnapshot failed: %v", err)
+	}
+
+	for i := 0; i < 100; i++ {
+		if err := book.ApplyLevel(true, "10000000000000000.01", "3"); err != nil {
+			t.Fatalf("ApplyLevel failed: %v", err)
+		}
+	}
+
+	bids := book.Bids(10)
+	if len(bids) != 2 {
+		t.Fatalf("got %d bids, want 2", len(bids))
+	}
+	if bids[0].Price != "10000000000000000.02" ||
+		bids[1].Price != "10000000000000000.01" {
+		t.Fatalf("cached prices changed exact ordering: %+v", bids)
+	}
+	if bids[1].Amount != "3" {
+		t.Fatalf("cached update changed wrong level: %+v", bids)
+	}
+}