Merge pull request #382 from f3rno/fix-ob-raw-checksum

Fix: OB Checksums (raw price level sorting & number representation)

Author: f3rno

lib/models/order_book.js

@@ -50,15 +50,27 @@ class OrderBook extends EventEmitter {
       const ask = this.asks[i]
 
       if (bid) {
+        const price = raw ? bid[0] : Number(preparePrice(bid[0]))
+
         data.push(
-          raw ? bid[0] : Number(preparePrice(bid[0])), // order ID or price
+          raw
+            ? price
+            : /e/.test(price + '')
+              ? price.toFixed(Math.abs((price + '').split('e')[1]) + 1) // i.e. 1.7e-7 to fixed
+              : price,
           bid[2] // amount
         )
       }
 
       if (ask) {
+        const price = raw ? ask[0] : Number(preparePrice(ask[0]))
+
         data.push(
-          raw ? ask[0] : Number(preparePrice(ask[0])), //
+          raw
+            ? price
+            : /e/.test(price + '')
+              ? price.toFixed(Math.abs((price + '').split('e')[1]) + 1) // i.e. 1.7e-7 to fixed
+              : price,
           ask[2] //
         )
       }
@@ -101,16 +113,28 @@ class OrderBook extends EventEmitter {
         : arr[topAskI + i]
 
       if (bid) {
+        const price = raw ? bid[0] : Number(preparePrice(bid[0]))
+
         data.push(
-          raw ? bid[0] : Number(preparePrice(bid[0])), // order ID or price
+          raw
+            ? bid[0]
+            : /e/.test(price + '')
+              ? price.toFixed(Math.abs((price + '').split('e')[1]) + 1) // i.e. 1.7e-7 to fixed
+              : price, // order ID or price
           bid[2] // amount
         )
       }
 
       if (ask) {
+        const price = raw ? ask[0] : Number(preparePrice(ask[0]))
+
         data.push(
-          raw ? ask[0] : Number(preparePrice(ask[0])), //
-          ask[2] //
+          raw
+            ? ask[0]
+            : /e/.test(price + '')
+              ? price.toFixed(Math.abs((price + '').split('e')[1]) + 1) // i.e. 1.7e-7 to fixed
+              : price,
+          ask[2]
         )
       }
     }
@@ -151,9 +175,11 @@ class OrderBook extends EventEmitter {
     const price = entry[priceI]
     const oID = entry[0] // only for raw books
     const amount = entry[2]
+    const dir = amount < 0 ? -1 : 1
     const side = amount < 0 ? this.asks : this.bids
 
     let insertIndex = -1
+    let pl
 
     // apply insert directly if empty
     if (side.length === 0 && (raw || count > 0)) {
@@ -162,24 +188,17 @@ class OrderBook extends EventEmitter {
       return true
     }
 
+    // Match by price level, or order ID for raw books
     for (let i = 0; i < side.length; i++) {
-      if (insertIndex === -1 && (
-        (amount > 0 && price > side[i][priceI]) ||
-        (amount < 0 && price < side[i][priceI])
-      )) {
-        insertIndex = i // insert index to maintain sort
-      }
-
-      // Match by price level, or order ID for raw books
       if ((!raw && side[i][priceI] === price) || (raw && side[i][0] === oID)) {
         if ((!raw && count === 0) || (raw && price === 0)) {
           side.splice(i, 1) // remove
+          this.emit('update', entry)
+          return true
         } else if (!raw || (raw && price > 0)) {
-          side[i] = entry // update
+          side.splice(i, 1) // remove, add update as new entry below
+          break
         }
-
-        this.emit('update', entry)
-        return true
       }
     }
 
@@ -188,6 +207,21 @@ class OrderBook extends EventEmitter {
       return false
     }
 
+    for (let i = 0; i < side.length; i++) {
+      pl = side[i]
+
+      if (insertIndex === -1 && (
+        (dir === -1 && pl[2] < 0 && price < pl[priceI]) || // by price
+        (dir === -1 && pl[2] < 0 && price === pl[priceI] && (raw && entry[0] < pl[0])) || // by order ID
+        (dir === 1 && pl[2] > 0 && price > pl[priceI]) ||
+        (dir === 1 && pl[2] > 0 && price === pl[priceI] && (raw && entry[0] < pl[0])) ||
+        (dir === 1 && pl[2] < 0)
+      )) {
+        insertIndex = i // insert index to maintain sort
+        break
+      }
+    }
+
     // add
     if (insertIndex === -1) {
       side.push(entry)
@@ -308,8 +342,7 @@ class OrderBook extends EventEmitter {
   }
 
   /**
-   * Modifies an array-format OB in place with an update entry. Sort is not
-   * gauranteed!
+   * Modifies an array-format OB in place with an update entry. Maintains sort
    *
    * @param {number[][]} ob
    * @param {number[]} entry
@@ -319,22 +352,26 @@ class OrderBook extends EventEmitter {
   static updateArrayOBWith (ob, entry, raw = false) {
     const priceI = raw ? 1 : 0
     const price = entry[priceI]
+    const amount = entry[2]
+    const dir = amount < 0 ? -1 : 1
     const count = raw ? -1 : entry[1]
     let insertIndex = -1
+    let pl // price level
 
     for (let i = 0; i < ob.length; i++) {
-      if (price > ob[i][priceI] && insertIndex === -1) {
-        insertIndex = i
-      }
+      pl = ob[i]
 
-      if ((!raw && ob[i][priceI] === price) || (raw && ob[i][0] === entry[0])) {
+      if (
+        (!raw && pl[priceI] === price) ||
+        (raw && pl[0] === entry[0])
+      ) {
         if ((!raw && count === 0) || (raw && price === 0)) {
           ob.splice(i, 1) // remove existing
+          return true
         } else {
-          ob[i] = entry // update existing
+          ob.splice(i, 1) // update; remove & re-insert
+          break
         }
-
-        return true
       }
     }
 
@@ -343,6 +380,23 @@ class OrderBook extends EventEmitter {
       return false
     }
 
+    for (let i = 0; i < ob.length; i++) {
+      pl = ob[i]
+
+      if (insertIndex === -1) {
+        if (
+          (dir === -1 && pl[2] < 0 && price < pl[priceI]) || // by price
+          (dir === -1 && pl[2] < 0 && price === pl[priceI] && (raw && entry[0] < pl[0])) || // by order ID
+          (dir === 1 && pl[2] > 0 && price > pl[priceI]) ||
+          (dir === 1 && pl[2] > 0 && price === pl[priceI] && (raw && entry[0] < pl[0])) ||
+          (dir === 1 && pl[2] < 0)
+        ) {
+          insertIndex = i
+          break
+        }
+      }
+    }
+
     // add
     if (insertIndex === -1) {
       ob.push(entry)