@fuzefinance/orderbook-bignumber/dist/esm/stopside.js

Node.js Lmit Order Book for high-frequency trading (HFT).

/* node:coverage ignore next - Don't know why first and last line of each file count as uncovered */
import BigNumber from "bignumber.js";
import createRBTree from "functional-red-black-tree";
import { CustomError, ERROR } from "./errors";
import { StopQueue } from "./stopqueue";
import { Side } from "./types";
var StopSide = /** @class */ (function () {
    function StopSide(side) {
        var _this = this;
        this._prices = {};
        // appends order to definite price level
        this.append = function (order) {
            var price = order.stopPrice;
            var strPrice = price.toString();
            if (_this._prices[strPrice] === undefined) {
                var priceQueue = new StopQueue(price);
                _this._prices[strPrice] = priceQueue;
                _this._priceTree = _this._priceTree.insert(price, priceQueue);
            }
            return _this._prices[strPrice].append(order);
        };
        // removes order from definite price level
        this.remove = function (id, stopPrice) {
            var strPrice = stopPrice.toString();
            if (_this._prices[strPrice] === undefined) {
                throw CustomError(ERROR.INVALID_PRICE_LEVEL);
            }
            var deletedOrder = _this._prices[strPrice].remove(id);
            if (_this._prices[strPrice].len() === 0) {
                delete _this._prices[strPrice];
                _this._priceTree = _this._priceTree.remove(stopPrice);
            }
            return deletedOrder;
        };
        this.removePriceLevel = function (priceLevel) {
            delete _this._prices[priceLevel.toString()];
            _this._priceTree = _this._priceTree.remove(priceLevel);
        };
        // Get orders queue between two price levels
        this.between = function (priceBefore, marketPrice) {
            var queues = [];
            var lowerBound = priceBefore;
            var upperBound = marketPrice;
            var highest = BigNumber.max(priceBefore, marketPrice);
            var lowest = BigNumber.min(priceBefore, marketPrice);
            if (_this._side === Side.BUY) {
                lowerBound = highest;
                upperBound = lowest.minus(1);
            }
            else {
                lowerBound = lowest;
                upperBound = highest.plus(1);
            }
            _this._priceTree.forEach(function (price, queue) {
                if ((_this._side === Side.BUY && price.isGreaterThanOrEqualTo(lowest)) ||
                    (_this._side === Side.SELL && price.isLessThanOrEqualTo(highest))) {
                    queues.push(queue);
                }
            }, lowerBound, // Inclusive
            upperBound);
            return queues;
        };
        this.priceTree = function () {
            return _this._priceTree;
        };
        var compare = side === Side.SELL
            ? function (a, b) { return a.minus(b).toNumber(); }
            : function (a, b) { return b.minus(a).toNumber(); };
        this._priceTree = createRBTree(compare);
        this._side = side;
    }
    return StopSide;
}());
export { StopSide };