feat: add orderdbook example using websocket

Author: 2hyunbin

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();