tlab-trading-toolkit
Version:
A trading toolkit for building advanced trading bots on the GDAX platform
77 lines (76 loc) • 3.44 kB
TypeScript
/// <reference types="bintrees" />
/***************************************************************************************************************************
* @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. *
***************************************************************************************************************************/
import { RBTree } from 'bintrees';
import { OrderPool } from './BookBuilder';
import { BigJS } from './types';
export interface Orderbook {
readonly numAsks: number;
readonly numBids: number;
readonly bidsTotal: BigJS;
readonly asksTotal: BigJS;
sequence: number;
state(): OrderbookState;
}
export interface RemoteOrderbook {
getNumAsks(): Promise<number>;
getNumBids(): Promise<number>;
getBidsTotal(): Promise<BigJS>;
getAsksTotal(): Promise<BigJS>;
getSequence(): Promise<number>;
state(): Promise<OrderbookState>;
}
export interface PriceComparable {
price: BigJS;
}
export interface PriceLevel extends PriceComparable {
totalSize: BigJS;
}
export interface PriceLevelWithOrders extends PriceLevel {
orders: Level3Order[];
}
export declare function PriceLevelFactory(price: number, size: number, side: string): PriceLevelWithOrders;
export declare function PriceTreeFactory<T extends PriceComparable>(): RBTree<T>;
/**
* BasicOrder only contains aggregated information about an order: price, side and size
*/
export interface BasicOrder {
price: BigJS;
size: BigJS;
side: string;
}
export interface Level3Order extends BasicOrder {
id: string;
}
export interface LiveOrder extends Level3Order {
time: Date;
productId: string;
status: string;
extra: any;
}
/**
* Useful only as part of an array, the cumulative sum of the size and value of this level are included
*/
export interface CumulativePriceLevel extends PriceLevelWithOrders {
value: BigJS;
cumSize: BigJS;
cumValue: BigJS;
}
export interface OrderbookState {
sequence: number;
sourceSequence?: number;
asks: PriceLevelWithOrders[];
bids: PriceLevelWithOrders[];
orderPool: OrderPool;
}