nodejs-order-book/dist/esm/stopbook.js

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

import { StopSide } from "./stopside";
import { OrderType, Side } from "./types";
var StopBook = /** @class */ (function () {
    function StopBook() {
        var _this = this;
        this.add = function (order) {
            var stopSide = order.side === Side.BUY ? _this.bids : _this.asks;
            stopSide.append(order);
        };
        this.remove = function (side, id, stopPrice) {
            var stopSide = side === Side.BUY ? _this.bids : _this.asks;
            return stopSide.remove(id, stopPrice);
        };
        this.removePriceLevel = function (side, priceLevel) {
            var stopSide = side === Side.BUY ? _this.bids : _this.asks;
            stopSide.removePriceLevel(priceLevel);
        };
        this.getConditionalOrders = function (side, priceBefore, marketPrice) {
            var stopSide = side === Side.BUY ? _this.bids : _this.asks;
            return stopSide.between(priceBefore, marketPrice);
        };
        /**
         * Stop-Limit Order:
         *    Buy: marketPrice < stopPrice <= price
         *    Sell: marketPrice > stopPrice >= price
         * Stop-Market Order:
         *    Buy: marketPrice < stopPrice
         *    Sell: marketPrice > stopPrice
         */
        this.validConditionalOrder = function (marketPrice, order) {
            var response = false;
            var type = order.type, side = order.side, stopPrice = order.stopPrice;
            if (type === OrderType.STOP_LIMIT) {
                // Buy: marketPrice < stopPrice <= price
                if (side === Side.BUY &&
                    marketPrice < stopPrice &&
                    stopPrice <= order.price) {
                    response = true;
                }
                // Sell: marketPrice > stopPrice >= price
                if (side === Side.SELL &&
                    marketPrice > stopPrice &&
                    stopPrice >= order.price) {
                    response = true;
                }
            }
            else {
                // Buy: marketPrice < stopPrice
                if (side === Side.BUY && marketPrice < stopPrice)
                    response = true;
                // Sell: marketPrice > stopPrice
                if (side === Side.SELL && marketPrice > stopPrice)
                    response = true;
            }
            return response;
        };
        this.snapshot = function () {
            var bids = [];
            var asks = [];
            _this.bids.priceTree().forEach(function (price, orders) {
                bids.push({ price: price, orders: orders.toArray().map(function (o) { return o.toObject(); }) });
            });
            _this.asks.priceTree().forEach(function (price, orders) {
                asks.push({ price: price, orders: orders.toArray().map(function (o) { return o.toObject(); }) });
            });
            return { bids: bids, asks: asks };
        };
        this.bids = new StopSide(Side.BUY);
        this.asks = new StopSide(Side.SELL);
    }
    return StopBook;
}());
export { StopBook };