nodejs-order-book

import { type OrderBookError } from "./errors"; import { type CreateOrderOptions, type ICancelOrder, type ILimitOrder, type IProcessOrder, type LimitOrderOptions, type MarketOrderOptions, type OCOOrderOptions, type OrderBookOptions, type OrderUpdatePrice, type OrderUpdateSize, Side, type Snapshot, type StopLimitOrderOptions, type StopMarketOrderOptions } from "./types"; export declare class OrderBook { private orders; private _lastOp; private _marketPrice; private readonly bids; private readonly asks; private readonly enableJournaling; private readonly stopBook; /** * Creates an instance of OrderBook. * @param {OrderBookOptions} [options={}] - Options for configuring the order book. * @param {JournalLog} [options.snapshot] - The orderbook snapshot will be restored before processing any journal logs, if any. * @param {JournalLog} [options.journal] - Array of journal logs (optional). * @param {boolean} [options.enableJournaling=false] - Flag to enable journaling. Default to false */ constructor({ snapshot, journal, enableJournaling, }?: OrderBookOptions); get marketPrice(): number; get lastOp(): number; /** * Create new order. See {@link CreateOrderOptions} for details. * * @param options * @param options.type - `limit` | `market` | 'stop_limit' | 'stop_market' | 'oco' * @param options.side - `sell` or `buy` * @param options.size - How much of currency you want to trade in units of base currency * @param options.price - The price at which the order is to be fullfilled, in units of the quote currency. Param only for limit order * @param options.orderID - Unique order ID. Param only for limit order * @param options.postOnly - Can be used with 'limit' order and when it's `true` the order will be rejected if immediately matches and trades as a taker. Default is `false` * @param options.stopPrice - The price at which the order will be triggered. Used with `stop_limit` and `stop_market` order. * @param options.stopLimitPrice - The price at which the order will be triggered. Used with `stop_limit` and `stop_market` order. * @param options.timeInForce - Time-in-force supported are: `GTC` (default), `FOK`, `IOC`. Param only for limit order * @param options.stopLimitTimeInForce - Time-in-force supported are: `GTC` (default), `FOK`, `IOC`. Param only for limit order * @returns An object with the result of the processed order or an error. See {@link IProcessOrder} for the returned data structure */ createOrder(options: CreateOrderOptions): IProcessOrder; /** * Create a market order. See {@link MarketOrderOptions} for details. * * @param options * @param options.side - `sell` or `buy` * @param options.size - How much of currency you want to trade in units of base currency * @returns An object with the result of the processed order or an error. See {@link IProcessOrder} for the returned data structure */ market(options: MarketOrderOptions): IProcessOrder; /** * Create a stop market order. See {@link StopMarketOrderOptions} for details. * * @param options * @param options.side - `sell` or `buy` * @param options.size - How much of currency you want to trade in units of base currency * @param options.stopPrice - The price at which the order will be triggered. * @returns An object with the result of the processed order or an error. See {@link IProcessOrder} for the returned data structure */ stopMarket: (options: StopMarketOrderOptions) => IProcessOrder; /** * Create a limit order. See {@link LimitOrderOptions} for details. * * @param options * @param options.side - `sell` or `buy` * @param options.id - Unique order ID * @param options.size - How much of currency you want to trade in units of base currency * @param options.price - The price at which the order is to be fullfilled, in units of the quote currency * @param options.postOnly - When `true` the order will be rejected if immediately matches and trades as a taker. Default is `false` * @param options.timeInForce - Time-in-force type supported are: GTC, FOK, IOC. Default is GTC * @returns An object with the result of the processed order or an error. See {@link IProcessOrder} for the returned data structure */ limit(options: LimitOrderOptions): IProcessOrder; /** * Create a stop limit order. See {@link StopLimitOrderOptions} for details. * * @param options * @param options.side - `sell` or `buy` * @param options.id - Unique order ID * @param options.size - How much of currency you want to trade in units of base currency * @param options.price - The price at which the order is to be fullfilled, in units of the quote currency * @param options.stopPrice - The price at which the order will be triggered. * @param options.timeInForce - Time-in-force type supported are: GTC, FOK, IOC. Default is GTC * @returns An object with the result of the processed order or an error. See {@link IProcessOrder} for the returned data structure */ stopLimit: (options: StopLimitOrderOptions) => IProcessOrder; /** * Create an OCO (One-Cancels-the-Other) order. * OCO order combines a `stop_limit` order and a `limit` order, where if stop price * is triggered or limit order is fully or partially fulfilled, the other is canceled. * Both orders have the same `side` and `size`. If you cancel one of the orders, the * entire OCO order pair will be canceled. * * For BUY orders the `stopPrice` must be above the current price and the `price` below the current price * For SELL orders the `stopPrice` must be below the current price and the `price` above the current price * * See {@link OCOOrderOptions} for details. * * @param options * @param options.side - `sell` or `buy` * @param options.id - Unique order ID * @param options.size - How much of currency you want to trade in units of base currency * @param options.price - The price of the `limit` order at which the order is to be fullfilled, in units of the quote currency * @param options.stopPrice - The price at which the `stop_limit` order will be triggered. * @param options.stopLimitPrice - The price of the `stop_limit` order at which the order is to be fullfilled, in units of the quote currency. * @param options.timeInForce - Time-in-force of the `limit` order. Type supported are: GTC, FOK, IOC. Default is GTC * @param options.stopLimitTimeInForce - Time-in-force of the `stop_limit` order. Type supported are: GTC, FOK, IOC. Default is GTC * @returns An object with the result of the processed order or an error. See {@link IProcessOrder} for the returned data structure */ oco: (options: OCOOrderOptions) => IProcessOrder; /** * Modify an existing order with given ID. When an order is modified by price or quantity, * it will be deemed as a new entry. Under the price-time-priority algorithm, orders are * prioritized according to their order price and order time. Hence, the latest orders * will be placed at the back of the matching order queue. * * @param orderID - The ID of the order to be modified * @param orderUpdate - An object with the modified size and/or price of an order. The shape of the object is `{size, price}`. * @returns An object with the result of the processed order or an error */ modify: (orderID: string, orderUpdate: OrderUpdatePrice | OrderUpdateSize) => IProcessOrder; /** * Remove an existing order with given ID from the order book * * @param orderID - The ID of the order to be removed * @returns The removed order if exists or `undefined` */ cancel: (orderID: string) => ICancelOrder | undefined; /** * Get an existing order with the given ID * * @param orderID - The ID of the order to be returned * @returns The order if exists or `undefined` */ order: (orderID: string) => ILimitOrder | undefined; depth: () => [Array<[number, number]>, Array<[number, number]>]; toString: () => string; calculateMarketPrice: (side: Side, size: number) => { price: number; err: null | OrderBookError; }; snapshot: () => Snapshot; private readonly _market; private readonly _limit; private readonly _stopMarket; private readonly _stopLimit; private readonly _oco; private readonly _stopOrder; private readonly restoreSnapshot; /** * Remove an existing order with given ID from the order book * @param orderID The id of the order to be deleted * @param internalDeletion Set to true when the delete comes from internal operations * @returns The removed order if exists or `undefined` */ private readonly _cancelOrder; private readonly getProcessOrderResponse; private readonly createLimitOrder; private readonly executeConditionalOrder; private readonly replayJournal; /** * OCO Order: * Buy: price < marketPrice < stopPrice * Sell: price > marketPrice > stopPrice */ private readonly validateOCOOrder; private readonly greaterThanOrEqual; private readonly lowerThanOrEqual; private readonly processQueue; private readonly canFillOrder; private readonly buyOrderCanBeFilled; private readonly sellOrderCanBeFilled; private readonly validateMarketOrder; private readonly validateLimitOrder; }