Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Jump to bottom

feat: add construct orderbook example using websocket #251

Open
wants to merge 1 commit into
base: main
Choose a base branch
from
Open

feat: add construct orderbook example using websocket #251

Changes from all commits
Commits
Show all changes
1 commit
Select commit
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
198 changes: 198 additions & 0 deletions v4-client-js/examples/websocket_orderbook_example.ts
View file
Open in desktop
Original file line number Diff line number Diff line change
@@ -0,0 +1,198 @@
import { Network } from '../src/clients/constants';
import { SocketClient } from '../src/clients/socket-client';

function test(): void {
let orderBookBidList: [number, number][] = [];
let orderBookAskList: [number, number][] = [];

const mySocket = new SocketClient(
Network.mainnet().indexerConfig,
() => {
console.log('socket opened');

mySocket.subscribeToOrderbook('ETH-USD');
},
() => {
console.log('socket closed');
},
(message) => {
try {
if (typeof message.data === 'string') {
const jsonString = message.data as string;
const orderBookDataList = JSON.parse(jsonString).contents;

if (orderBookDataList instanceof Array) {
// common orderBook data;
[orderBookBidList, orderBookAskList] = updateOrderBook(
orderBookDataList,
orderBookBidList,
orderBookAskList,
);

// sort
orderBookBidList = sortByNthElementDesc(orderBookBidList, 0);
orderBookAskList = sortByNthElementAsc(orderBookAskList, 0);

// resolving crossed orderBook
[orderBookBidList, orderBookAskList] = resolveCrossedOrderBook(
orderBookBidList,
orderBookAskList,
);

printOrderBook(orderBookBidList, orderBookAskList);
} else if (orderBookDataList !== null && orderBookDataList !== undefined) {
// initial OrderBook data
setInitialOrderBook(orderBookDataList, orderBookBidList, orderBookAskList);
}
}
} catch (e) {
console.error('Error parsing JSON message:', e);
}
},
(event) => {
console.error('Encountered error:', event.message);
},
);
mySocket.connect();
}

const sortByNthElementAsc = (arr: [number, number][], n: number): [number, number][] => {
return arr.sort((a, b) => {
if (a[n] < b[n]) return -1;
if (a[n] > b[n]) return 1;
return 0;
});
};
const sortByNthElementDesc = (arr: [number, number][], n: number): [number, number][] => {
return arr.sort((a, b) => {
if (a[n] > b[n]) return -1;
if (a[n] < b[n]) return 1;
return 0;
});
};

const printOrderBook = (
orderBookBidList: [number, number][],
orderBookAskList: [number, number][],
): void => {
// print
console.log(`OrderBook for ETH-USD:`);
console.log(`Price Qty`);
for (let i = 4; i > -1; i--) {
console.log(`${String(orderBookAskList[i][0]).padEnd(10, ' ')}${orderBookAskList[i][1]}`);
}
console.log('---------------------');
for (let i = 0; i < 5; i++) {
console.log(`${String(orderBookBidList[i][0]).padEnd(10, ' ')}${orderBookBidList[i][1]}`);
}
console.log('');
};

const resolveCrossedOrderBook = (
orderBookBidList: [number, number][],
orderBookAskList: [number, number][],
): [[number, number][], [number, number][]] => {
const bidList = [...orderBookBidList];
const askList = [...orderBookAskList];

while (bidList[0][0] >= askList[0][0]) {
if (bidList[0][1] > askList[0][1]) {
bidList[0][1] -= askList[0][1];
askList.shift();
} else if (bidList[0][1] < askList[0][1]) {
askList[0][1] -= bidList[0][1];
bidList.shift();
} else {
askList.shift();
bidList.shift();
}
}

return [bidList, askList];
};

const setInitialOrderBook = (
orderBookDataList: { bids: []; asks: [] },
orderBookBidList: [number, number][],
orderBookAskList: [number, number][],
): void => {
orderBookDataList.bids.forEach((item: { price: string; size: string }) => {
orderBookBidList.push([Number(item.price), Number(item.size)]);
});

orderBookDataList.asks.forEach((item: { price: string; size: string }) => {
orderBookAskList.push([Number(item.price), Number(item.size)]);
});
};

const updateOrderBook = (
orderBookDataList: { bids: [[]]; asks: [[]] }[],
orderBookBidList: [number, number][],
orderBookAskList: [number, number][],
): [[number, number][], [number, number][]] => {
let bidList = [...orderBookBidList];
let askList = [...orderBookAskList];

orderBookDataList.forEach((entry: { bids: [[]]; asks: [[]] }) => {
if (entry.bids !== null && entry.bids !== undefined) {
const entryBidPrice = Number(entry.bids.flat()[0]);
const entryBidSize = Number(entry.bids.flat()[1]);

// remove prices with zero Qty
if (entryBidSize === 0) {
bidList.forEach((item, index) => {
if (item[0] === entryBidPrice) {
bidList.splice(index, 1);
}
});
} else {
// The price that already exists in the order book is modified only Qty
if (bidList.some((innerArray) => innerArray[0] === entryBidPrice)) {
bidList = bidList.map((item, index) => {
if (item[0] === entryBidPrice) {
bidList[index][1] = entryBidSize;
return item;
} else {
return item;
}
});
} else {
// Add new data to order book
bidList.push([entryBidPrice, entryBidSize]);
}
}
}
if (entry.asks !== null && entry.asks !== undefined) {
const entryAskPrice = Number(entry.asks.flat()[0]);
const entryAskSize = Number(entry.asks.flat()[1]);

if (entryAskSize === 0) {
// remove prices with zero Qty
askList.forEach((item, index) => {
if (item[0] === entryAskPrice) {
askList.splice(index, 1);
}
});
} else {
// The price that already exists in the order book is modified only Qty
if (askList.some((innerArray) => innerArray[0] === entryAskPrice)) {
askList = askList.map((item, index) => {
if (item[0] === entryAskPrice) {
askList[index][1] = entryAskSize;
return item;
} else {
return item;
}
});
} else {
// Add new data to order book
askList.push([entryAskPrice, entryAskSize]);
}
}
}
});

return [orderBookBidList, orderBookAskList];
};

test();