ccxws/dist/src/orderbooks/L3PointStore.js

Websocket client for 37 cryptocurrency exchanges

"use strict";
Object.defineProperty(exports, "__esModule", { value: true });
exports.L3PointStore = void 0;
const L2Point_1 = require("./L2Point");
class L3PointStore {
    constructor() {
        this.points = new Map();
    }
    get(orderId) {
        return this.points.get(orderId);
    }
    set(point) {
        this.points.set(point.orderId, point);
    }
    delete(orderId) {
        this.points.delete(orderId);
    }
    has(orderId) {
        return this.points.has(orderId);
    }
    clear() {
        this.points.clear();
    }
    snapshot(depth, dir) {
        let sorter;
        switch (dir) {
            case "asc":
                sorter = sortAsc;
                break;
            case "desc":
                sorter = sortDesc;
                break;
            default:
                throw new Error("Unknown sorter");
        }
        return Array.from(aggByPrice(this.points).values()).sort(sorter).slice(0, depth);
    }
}
exports.L3PointStore = L3PointStore;
function aggByPrice(map) {
    // Aggregate the values into price points
    const aggMap = new Map();
    for (const point of map.values()) {
        const price = Number(point.price);
        const size = Number(point.size);
        // If we don't have this price point in the aggregate then we create
        // a new price point with empty values.
        if (!aggMap.has(price)) {
            aggMap.set(price, new L2Point_1.L2Point(price, 0, 0));
        }
        // Obtain the price point from the aggregation
        const aggPoint = aggMap.get(price);
        // Update the size
        aggPoint.size += size;
    }
    return aggMap;
}
function sortAsc(a, b) {
    return a.price - b.price;
}
function sortDesc(a, b) {
    return b.price - a.price;
}
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