trade-data-generator

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Generate realistic real-time market data for trading UIs — equity, forex and crypto. Emits tick, candle, orderbook and market status events via EventEmitter.

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monupareeklg/trade-data-generator

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<!doctype html> <html lang="en"> <head> <title>Code coverage report for core/orderBook.js</title> <meta charset="utf-8" /> <link rel="stylesheet" href="../prettify.css" /> <link rel="stylesheet" href="../base.css" /> <link rel="shortcut icon" type="image/x-icon" href="../favicon.png" /> <meta name="viewport" content="width=device-width, initial-scale=1" /> <style type='text/css'> .coverage-summary .sorter { background-image: url(../sort-arrow-sprite.png); } </style> </head> <body> <div class='wrapper'> <div class='pad1'> <h1><a href="../index.html">All files</a> / <a href="index.html">core</a> orderBook.js</h1> <div class='clearfix'> <div class='fl pad1y space-right2'> 100% Statements 49/49 </div> <div class='fl pad1y space-right2'> 68.42% Branches 13/19 </div> <div class='fl pad1y space-right2'> 100% Functions 9/9 </div> <div class='fl pad1y space-right2'> 100% Lines 48/48 </div> </div> Press n or j to go to the next uncovered block, b, p or k for the previous block. <template id="filterTemplate"> <div class="quiet"> Filter: <input type="search" id="fileSearch"> </div> </template> </div> <div class='status-line high'></div> <pre><table class="coverage"> <tr><td class="line-count quiet"><a name='L1'></a><a href='#L1'>1</a> <a name='L2'></a><a href='#L2'>2</a> <a name='L3'></a><a href='#L3'>3</a> <a name='L4'></a><a href='#L4'>4</a> <a name='L5'></a><a href='#L5'>5</a> <a name='L6'></a><a href='#L6'>6</a> <a name='L7'></a><a href='#L7'>7</a> <a name='L8'></a><a href='#L8'>8</a> <a name='L9'></a><a href='#L9'>9</a> <a name='L10'></a><a href='#L10'>10</a> <a name='L11'></a><a href='#L11'>11</a> <a name='L12'></a><a href='#L12'>12</a> <a name='L13'></a><a href='#L13'>13</a> <a name='L14'></a><a href='#L14'>14</a> <a name='L15'></a><a href='#L15'>15</a> <a name='L16'></a><a href='#L16'>16</a> <a name='L17'></a><a href='#L17'>17</a> <a name='L18'></a><a href='#L18'>18</a> <a name='L19'></a><a href='#L19'>19</a> <a name='L20'></a><a href='#L20'>20</a> <a 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29x                 125x     125x 125x   125x 125x   125x 125x   125x                     74x 1x     73x 73x 73x       73x 73x   73x 73x   73x             6x                             250x 250x   250x   2490x           2490x   2490x               250x                   146x   146x 1460x         1460x 1460x 1460x 1460x   1460x                             2490x       2490x 2490x 2490x   2490x             4544x       1x  </td><td class="text"><pre class="prettyprint lang-js">/** * orderBook.js * * Generates realistic bid/ask order book depth * around the current market price. * * Features: * - Configurable depth levels * - Realistic volume distribution (more volume near mid price) * - Price levels use correct tick size * - Best bid always < best ask (no crossed book) * - Randomized but stable between ticks */   "use strict";   class OrderBook { /** * @param {Object} config * @param {number} config.depth - Number of levels each side (default: 10) * @param {number} config.tickSize - Minimum price increment (e.g. 0.01) * @param {number} config.precision - Decimal places for price * @param {Object} config.volume - { min, max } volume per level * @param {number} config.spreadPct - Spread as % of price (default: 0.001 = 0.1%) */ constructor(config = {}) { this.depth = config.depth ?? 10; this.tickSize = config.tickSize ?? 0.01; this.precision = config.precision ?? 2; this.volume = config.volume ?? { min: 100, max: 5000 }; this.spreadPct = config.spreadPct ?? 0.001;   // Internal state — small random shifts each tick // makes the book feel alive without full regeneration this._lastBids = []; this._lastAsks = []; }   /** * Generate full order book snapshot around current price * @param {number} price - Current mid price * @returns {{ bids: Array, asks: Array }} */ generate(price) { const halfSpread = this._round(price * this.spreadPct * 0.5);   // Best bid is below mid, best ask is above mid const bestBid = this._round(price - halfSpread); const bestAsk = this._round(price + halfSpread);   const bids = this._generateSide("bid", bestBid); const asks = this._generateSide("ask", bestAsk);   this._lastBids = bids; this._lastAsks = asks;   return { bids, asks }; }   /** * Update existing book with small random changes * More efficient than full regeneration every tick * @param {number} price - Current mid price * @returns {{ bids: Array, asks: Array }} */ update(price) { // Full regenerate if no existing book if (!this._lastBids.length || !this._lastAsks.length) { return this.generate(price); }   const halfSpread = this._round(price * this.spreadPct * 0.5); const bestBid = this._round(price - halfSpread); const bestAsk = this._round(price + halfSpread);   // Regenerate prices from new best bid/ask // but randomize volumes slightly for realism const bids = this._updateSide("bid", bestBid, this._lastBids); const asks = this._updateSide("ask", bestAsk, this._lastAsks);   this._lastBids = bids; this._lastAsks = asks;   return { bids, asks }; }   /** * Get current book without updating */ getSnapshot() { return { bids: this._lastBids, asks: this._lastAsks, }; }   // ── Private helpers ──────────────────────── //   /** * Generate one side of the order book * @param {'bid'|'ask'} side * @param {number} bestPrice - Best price on this side * @returns {Array} levels sorted best to worst */ _generateSide(side, bestPrice) { const levels = []; const isBid = side === "bid";   for (let i = 0; i < this.depth; i++) { // Price moves away from mid for each level const levelPrice = isBid ? this._round(bestPrice - i * this.tickSize) : this._round(bestPrice + i * this.tickSize);   // Volume distribution — more volume near mid price // Level 0 (best) has most volume, tapers off deeper const volume = this._generateLevelVolume(i);   levels.push({ price: levelPrice, volume, side, level: i, // 0 = best price }); }   return levels; }   /** * Update one side — keeps prices fresh, slightly randomizes volumes * @param {'bid'|'ask'} side * @param {number} bestPrice * @param {Array} previousLevels */ _updateSide(side, bestPrice, previousLevels) { const isBid = side === "bid";   return previousLevels.map((level, i) => { const levelPrice = isBid ? this._round(bestPrice - i * this.tickSize) : this._round(bestPrice + i * this.tickSize);   // Slightly shift volume ±10% for realism const shift = 1 + (Math.random() - 0.5) * 0.2; const newVolume = Math.round(level.volume * shift); const { min, max } = this.volume; const clampedVol = Math.max(min, Math.min(max, newVolume));   return { price: levelPrice, volume: clampedVol, side, level: i, }; }); }   /** * Generate volume for a specific depth level * Levels closer to mid (lower index) get more volume * @param {number} levelIndex - 0 is best price */ _generateLevelVolume(levelIndex) { const { min, max } = this.volume;   // Taper factor — level 0 gets full range // level 9 gets ~30% of range const taper = Math.max(0.3, 1 - levelIndex * 0.07); const range = (max - min) * taper; const volume = Math.round(min + Math.random() * range);   return Math.max(min, Math.min(max, volume)); }   /** * Round to configured precision */ _round(value) { return parseFloat(value.toFixed(this.precision)); } }   module.exports = { OrderBook };  </pre></td></tr></table></pre> <div class='push'></div> </div> <div class='footer quiet pad2 space-top1 center small'> Code coverage generated by <a href="https://istanbul.js.org/" target="_blank" rel="noopener noreferrer">istanbul</a> at 2026-05-11T10:10:11.461Z </div> <script src="../prettify.js"></script> <script> window.onload = function () { prettyPrint(); }; </script> <script src="../sorter.js"></script> <script src="../block-navigation.js"></script> </body> </html>