tardis-dev/src/orderbook.ts

Convenient access to tick-level historical and real-time cryptocurrency market data via Node.js

import { RBTree } from 'bintrees'
import { BookChange, BookPriceLevel, Writeable } from './types'

export type OnLevelRemovedCB = (
  bookChange: BookChange,
  bestBidBeforeRemoval: BookPriceLevel | undefined,
  bestBidAfterRemoval: BookPriceLevel | undefined,
  bestAskBeforeRemoval: BookPriceLevel | undefined,
  bestAskAfterRemoval: BookPriceLevel | undefined
) => void

export class OrderBook {
  private readonly _bids = new RBTree<BookPriceLevel>((nodeA, nodeB) => nodeB.price - nodeA.price)
  private readonly _asks = new RBTree<BookPriceLevel>((nodeA, nodeB) => nodeA.price - nodeB.price)
  private readonly _removeCrossedLevels: boolean | undefined
  private readonly _onCrossedLevelRemoved: OnLevelRemovedCB | undefined

  private _receivedInitialSnapshot = false

  constructor({
    removeCrossedLevels,
    onCrossedLevelRemoved
  }: { removeCrossedLevels?: boolean; onCrossedLevelRemoved?: OnLevelRemovedCB } = {}) {
    this._removeCrossedLevels = removeCrossedLevels
    this._onCrossedLevelRemoved = onCrossedLevelRemoved
  }

  public update(bookChange: BookChange) {
    // clear everything up, when snapshot received so we don't have stale levels by accident
    if (bookChange.isSnapshot) {
      this._bids.clear()
      this._asks.clear()
      this._receivedInitialSnapshot = true
    }
    // process updates as long as we've received initial snapshot, otherwise ignore such messages
    if (this._receivedInitialSnapshot) {
      applyPriceLevelChanges(this._asks, bookChange.asks)
      applyPriceLevelChanges(this._bids, bookChange.bids)
    }

    if (this._removeCrossedLevels) {
      this._removeCrossedLevelsIfNeeded(bookChange)
    }
  }

  public bestBid() {
    const result = this.bids().next()

    if (result.done === false) {
      return result.value
    }
    return undefined
  }

  public bestAsk() {
    const result = this.asks().next()

    if (result.done === false) {
      return result.value
    }
    return undefined
  }

  private _removeCrossedLevelsIfNeeded(bookChange: BookChange) {
    let bestBid = this.bestBid()
    let bestAsk = this.bestAsk()
    let bookIsCrossed = bestBid !== undefined && bestAsk !== undefined && bestBid.price >= bestAsk.price
    // if after update we have crossed order book (best bid >= best ask)
    // it most likely means that exchange has not published delete message for the other side of the book
    // more info:
    // https://www.reddit.com/r/KrakenSupport/comments/d1a4nx/websocket_orderbook_receiving_wrong_bid_price_for/
    // https://www.reddit.com/r/BitMEX/comments/8lbj9e/bidask_ledger_weirdness/
    // https://twitter.com/coinarb/status/931260529993170944

    if (bookIsCrossed) {
      // decide from which side of the book we should remove level so book isn't crossed anymore
      // if current book update updated "best ask" it means we should remove "best bid" as exchange hasn't provided book change update
      // that deletes it, and vice versa for for "best bids"

      const shouldRemoveBestBid = bookChange.asks.some((s) => s.price === bestAsk!.price)

      while (bookIsCrossed) {
        if (shouldRemoveBestBid) {
          this._removeBestBid()
        } else {
          this._removeBestAsk()
        }

        const newBestBid = this.bestBid()
        const newBestAsk = this.bestAsk()
        if (this._onCrossedLevelRemoved !== undefined) {
          this._onCrossedLevelRemoved(bookChange, bestBid, newBestBid, bestAsk, newBestAsk)
        }

        bestBid = newBestBid
        bestAsk = newBestAsk
        bookIsCrossed = bestBid !== undefined && bestAsk !== undefined && bestBid.price >= bestAsk.price
      }
    }
  }

  private _removeBestAsk() {
    const bestAsk = this.bestAsk()

    if (bestAsk !== undefined) {
      applyPriceLevelChanges(this._asks, [
        {
          price: bestAsk.price,
          amount: 0
        }
      ])
    }
  }

  private _removeBestBid() {
    const bestBid = this.bestBid()

    if (bestBid !== undefined) {
      applyPriceLevelChanges(this._bids, [
        {
          price: bestBid.price,
          amount: 0
        }
      ])
    }
  }

  public *bids(): IterableIterator<BookPriceLevel> {
    const iterator = this._bids.iterator()
    let level = iterator.next()

    while (level !== null) {
      yield level
      level = iterator.next()
    }
  }

  public *asks(): IterableIterator<BookPriceLevel> {
    const iterator = this._asks.iterator()
    let level = iterator.next()

    while (level !== null) {
      yield level
      level = iterator.next()
    }
  }
}

function applyPriceLevelChanges(tree: RBTree<BookPriceLevel>, priceLevelChanges: BookPriceLevel[]) {
  for (const priceLevel of priceLevelChanges) {
    const node = tree.find(priceLevel) as Writeable<BookPriceLevel>
    const nodeExists = node !== null
    const levelShouldBeRemoved = priceLevel.amount === 0

    if (nodeExists && levelShouldBeRemoved) {
      tree.remove(priceLevel)
    } else if (nodeExists) {
      node.amount = priceLevel.amount
    } else if (levelShouldBeRemoved === false) {
      tree.insert({ ...priceLevel })
    }
  }
}