@melonproject/ea-bitfinex/abstract/orderbook/observe.js

Integration for the Bitfinex API.

"use strict";
var __importStar = (this && this.__importStar) || function (mod) {
    if (mod && mod.__esModule) return mod;
    var result = {};
    if (mod != null) for (var k in mod) if (Object.hasOwnProperty.call(mod, k)) result[k] = mod[k];
    result["default"] = mod;
    return result;
};
Object.defineProperty(exports, "__esModule", { value: true });
const Rx = __importStar(require("rxjs"));
const book_1 = require("../../api/public/websocket/book");
const operators_1 = require("rxjs/operators");
const defaults = {
    length: 25,
};
exports.observe = options => new Rx.Observable(subscriber => {
    const state = {
        base: options.base,
        quote: options.quote,
        asks: [],
        bids: [],
    };
    const opts = Object.assign(Object.assign({}, defaults), (options.length && { length: options.length }));
    const messages$ = book_1.watchAssetPair(`${options.base}/${options.quote}`, opts).pipe(operators_1.share());
    const updates$ = messages$.pipe(operators_1.filter(message => !Array.isArray(message)));
    const snapshots$ = messages$.pipe(operators_1.filter(message => Array.isArray(message)));
    const updates = updates$.subscribe((event) => {
        const volume = event.count.isZero() ? event.count : event.amount.abs();
        const value = {
            price: event.price,
            volume,
        };
        const bids = event.amount.isPositive() ? [value] : [];
        const asks = event.amount.isNegative() ? [value] : [];
        state.asks = asks
            .reduce((carry, current) => {
            // Temporarily remove the updated price level from the state.
            const out = carry.filter(item => !item.price.isEqualTo(current.price));
            // Only (re-)add the price level if it's not zero.
            return current.volume.isZero() ? out : out.concat(current);
        }, state.asks)
            .sort((a, b) => a.price.comparedTo(b.price))
            .slice(0, options.length);
        state.bids = bids
            .reduce((carry, current) => {
            // Temporarily remove the updated price level from the state.
            const out = carry.filter(item => !item.price.isEqualTo(current.price));
            // Only (re-)add the price level if it's not zero.
            return current.volume.isZero() ? out : out.concat(current);
        }, state.bids)
            .sort((a, b) => b.price.comparedTo(a.price))
            .slice(0, options.length);
        subscriber.next({
            quote: state.quote,
            base: state.base,
            asks: state.asks.slice(),
            bids: state.bids.slice(),
        });
    });
    const snapshots = snapshots$.subscribe((event) => {
        state.bids = event
            .filter(item => item.amount.isPositive())
            .map(item => ({
            price: item.price,
            volume: item.amount,
        }))
            .slice(0, opts.length);
        state.asks = event
            .filter(item => item.amount.isNegative())
            .map(item => ({
            price: item.price,
            volume: item.amount.abs(),
        }))
            .slice(0, opts.length);
        subscriber.next({
            quote: state.quote,
            base: state.base,
            asks: state.asks.slice(),
            bids: state.bids.slice(),
        });
    });
    return () => {
        updates.unsubscribe();
        snapshots.unsubscribe();
    };
});