ccxws/src/orderbooks/LiquidOrderBook.ts

Websocket client for 37 cryptocurrency exchanges

import { Level2Update } from "../Level2Update";
import { L2Point } from "./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);
 * });
 * ```
 */
export class LiquidOrderBook {
    public asks: L2Point[];
    public bids: L2Point[];

    constructor(asks: L2Point[] = [], bids: L2Point[] = []) {
        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.
     */
    public update(update: Level2Update) {
        const now = Date.now();
        if (update.asks.length) {
            this.asks = update.asks.map(p => new L2Point(Number(p.price), Number(p.size), now));
        }

        if (update.bids.length) {
            this.bids = update.bids.map(p => new L2Point(Number(p.price), Number(p.size), now));
        }
    }

    /**
     * Obtains a snapshot of the best asks and bids according to requested
     * depth.
     */
    public snapshot(depth: number = 10) {
        return {
            asks: this.asks.slice(0, depth),
            bids: this.bids.slice(0, depth),
        };
    }
}