orderbooks/lib/OrderBooksStore.js

In-memory state stores and handlers for caching multiple exchange:symbol orderbook states

"use strict";
Object.defineProperty(exports, "__esModule", { value: true });
exports.OrderBooksStore = void 0;
const OrderBook_1 = require("./OrderBook");
/**
 * Store for multi-symbol orderbooks, grouped into one book (OrderBook) per symbol
 *
 * `ExtraStateType` is optional extra state you may want to store with each orderbook level, completely optional. Inject a union type if desired.
 * @class OrderBooksStore
 */
class OrderBooksStore {
    constructor(options) {
        this.books = {};
        this.books = {};
        this.traceLog = (options === null || options === void 0 ? void 0 : options.traceLog) === true;
        this.shouldCheckTimestamp = (options === null || options === void 0 ? void 0 : options.checkTimestamps) === true;
        this.maxDepth = (options === null || options === void 0 ? void 0 : options.maxDepth) || 250;
    }
    /**
     * Get the current orderbook store for a symbol. Automatically initialised (empty), if none exists yet.
     * @param {string} symbol
     * @returns {OrderBook} created for symbol if not already tracked
     */
    getBook(symbol) {
        if (this.books[symbol]) {
            return this.books[symbol];
        }
        this.books[symbol] = new OrderBook_1.OrderBook(symbol, {
            checkTimestamps: this.shouldCheckTimestamp,
            maxDepth: this.maxDepth,
        });
        return this.books[symbol];
    }
    /**
     * @public Store/replace existing orderbook state in-memory
     *
     * @param {string} symbol
     * @param {Array} data current orderbook snapshot represented as array, where each child element is a level in the orderbook
     * @param {number} timestamp
     * @returns {OrderBook} store instance that handled this event
     */
    handleSnapshot(symbol, data, timestamp = Date.now()) {
        if (this.traceLog) {
            console.log('handleSnapshot ', symbol, timestamp);
        }
        return this.getBook(symbol).handleSnapshot(data, timestamp);
    }
    /**
     * @public Update existing orderbook state in-memory
     *
     * @param {string} symbol
     * @param {Array} deleteLevels - array with levels to delete
     * @param {Array} updateLevels - array with levels to update
     * @param {Array} insertLevels - array with levels to insert
     * @param {number} timestamp
     * @returns {OrderBook} store instance that handled this event
     */
    handleDelta(symbol, deleteLevels, updateLevels, insertLevels, timestamp = Date.now()) {
        if (this.traceLog) {
            console.log('handleDelta ', symbol, timestamp);
        }
        return this.getBook(symbol).handleDelta(deleteLevels, updateLevels, insertLevels, timestamp);
    }
    /**
     * Calculate expected slippage for a market order of a given size for a specific symbol
     * @param {string} symbol - The trading symbol
     * @param {number} orderSize - The size of the order in base units
     * @param {string} side - 'Buy' or 'Sell' side of the order
     * @returns {{ executionPrice: number, slippagePercent: number, slippageBasisPoints: number } | null} - The expected execution price and slippage
     */
    getEstimatedSlippage(symbol, baseOrderSize, side) {
        return this.getBook(symbol).getEstimatedSlippage(baseOrderSize, side);
    }
}
exports.OrderBooksStore = OrderBooksStore;
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