ccxws
Version:
Websocket client for 37 cryptocurrency exchanges
60 lines • 1.95 kB
JavaScript
;
Object.defineProperty(exports, "__esModule", { value: true });
exports.LiquidOrderBook = void 0;
const L2Point_1 = require("./L2Point");
/**
* Implementation of the Liquid Order Book that pulls information
* from the Liquid Web Socket feed defined here:
* https://developers.liquid.com/#public-channels
*
* Liquid does not provide timestamps or sequence identifiers with their
* order book stream. The stream acts as a psuedo snapshot stream in
* that each "update" message is actually the top 40 items in one side
* of the book (ask or bid). Therefore, the update processing simply
* replaces one side of the book.
*
* # Example
*
* ```javascript
* const client = new ccxws.liquid();
* const market = { id: "btceur", base: "BTC", quote: "EUR" };
* const ob = new LiquidOrderBook();
*
* client.subscribeLevel2Updates(market);
* client.on("l2update", update => {
* ob.update(update);
* });
* ```
*/
class LiquidOrderBook {
constructor(asks = [], bids = []) {
this.asks = asks;
this.bids = bids;
}
/**
* The update will contain 40 new points for either the ask or bid
* side. The update replaces the appropriate side of the book with
* the new values.
*/
update(update) {
const now = Date.now();
if (update.asks.length) {
this.asks = update.asks.map(p => new L2Point_1.L2Point(Number(p.price), Number(p.size), now));
}
if (update.bids.length) {
this.bids = update.bids.map(p => new L2Point_1.L2Point(Number(p.price), Number(p.size), now));
}
}
/**
* Obtains a snapshot of the best asks and bids according to requested
* depth.
*/
snapshot(depth = 10) {
return {
asks: this.asks.slice(0, depth),
bids: this.bids.slice(0, depth),
};
}
}
exports.LiquidOrderBook = LiquidOrderBook;
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