From cd678d9b52414191b0b55a4ea0c50b1868d71323 Mon Sep 17 00:00:00 2001 From: Human Date: Mon, 7 Oct 2024 00:30:23 +0900 Subject: [PATCH] feat: add websocket orderbook example --- .../examples/websocket_orderbook_example.ts | 198 ++++++++++++++++++ 1 file changed, 198 insertions(+) create mode 100644 v4-client-js/examples/websocket_orderbook_example.ts diff --git a/v4-client-js/examples/websocket_orderbook_example.ts b/v4-client-js/examples/websocket_orderbook_example.ts new file mode 100644 index 00000000..1975261d --- /dev/null +++ b/v4-client-js/examples/websocket_orderbook_example.ts @@ -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(); \ No newline at end of file