tlab-trading-toolkit
Version:
A trading toolkit for building advanced trading bots on the GDAX platform
39 lines (38 loc) • 2.32 kB
JavaScript
"use strict";
/***************************************************************************************************************************
* @license *
* Copyright 2017 Coinbase, Inc. *
* *
* Licensed under the Apache License, Version 2.0 (the "License"); you may not use this file except in compliance *
* with the License. You may obtain a copy of the License at *
* *
* http://www.apache.org/licenses/LICENSE-2.0 *
* *
* Unless required by applicable law or agreed to in writing, software distributed under the License is distributed on *
* an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the *
* License for the specific language governing permissions and limitations under the License. *
***************************************************************************************************************************/
Object.defineProperty(exports, "__esModule", { value: true });
const bintrees_1 = require("bintrees");
const types_1 = require("./types");
function PriceLevelFactory(price, size, side) {
const p = types_1.Big(price);
const s = types_1.Big(size);
return {
price: p,
totalSize: s,
orders: [{
id: p.toString(),
price: p,
size: s,
side: side
}]
};
}
exports.PriceLevelFactory = PriceLevelFactory;
function PriceTreeFactory() {
return new bintrees_1.RBTree((a, b) => {
return a.price.cmp(b.price);
});
}
exports.PriceTreeFactory = PriceTreeFactory;