feat: add crossed orderbook resolving example using websocket

v4-client-js/examples/websocket_orderbook_example.ts

@@ -0,0 +1,252 @@
+import { Network } from '../src/clients/constants';
+import { SocketClient } from '../src/clients/socket-client';
+
+function test(): void {
+    let orderBookBidList: [number, number, number][] = [];
+    let orderBookAskList: [number, 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;
+                    const parsingData = JSON.parse(jsonString);
+                    const messageId = parsingData.message_id;
+                    const orderBookDataList = parsingData.contents;
+
+                    if (orderBookDataList instanceof Array) {
+                        // common orderBook data;
+                        [orderBookBidList, orderBookAskList] = updateOrderBook(
+                            orderBookDataList,
+                            orderBookBidList,
+                            orderBookAskList,
+                            messageId,
+                        );
+
+                        // sort
+                        orderBookBidList = sortByNthElementDesc(
+                            orderBookBidList,
+                            0,
+                        );
+                        orderBookAskList = sortByNthElementAsc(
+                            orderBookAskList,
+                            0,
+                        );
+
+                        // resolving crossed orderBook
+                        if (
+                            orderBookBidList &&
+                            orderBookAskList &&
+                            orderBookBidList.length > 0 &&
+                            orderBookAskList.length > 0 &&
+                            orderBookBidList[0][0] >= orderBookAskList[0][0]
+                        ) {
+                            [orderBookBidList, orderBookAskList] =
+                                resolveCrossedOrderBook(
+                                    orderBookBidList,
+                                    orderBookAskList,
+                                );
+                        }
+
+                        printOrderBook(orderBookBidList, orderBookAskList);
+
+                        if (orderBookBidList.length > 300) {
+                            orderBookBidList.splice(50);
+                        }
+
+                        if (orderBookAskList.length > 300) {
+                            orderBookAskList.splice(50);
+                        }
+                    } else if (
+                        orderBookDataList !== null &&
+                        orderBookDataList !== undefined
+                    ) {
+                        // initial OrderBook data
+                        setInitialOrderBook(
+                            orderBookDataList,
+                            orderBookBidList,
+                            orderBookAskList,
+                            messageId,
+                        );
+                    }
+                }
+            } catch (e) {
+                console.error('Error parsing JSON message:', e);
+            }
+        },
+        (event) => {
+            console.error('Encountered error:', event.message);
+        },
+    );
+
+    mySocket.connect();
+}
+
+const sortByNthElementAsc = (arr: [number, number, number][], n: number): [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, number][], n: number): [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, number][],
+    orderBookAskList: [number, number, number][],
+): void => {
+    // print
+    console.log(`OrderBook for ETH-USD:`);
+    console.log(`Price     Qty`);
+    for (let i = 4; i > -1; i--) {
+        const priceStr = String(orderBookAskList[i][0]);
+        const spaces = createSpaces(10 - priceStr.length);
+        console.log(`${priceStr}${spaces}${orderBookAskList[i][1]}`);
+    }
+    console.log('---------------------');
+    for (let i = 0; i < 5; i++) {
+        const priceStr = String(orderBookBidList[i][0]);
+        const spaces = createSpaces(10 - priceStr.length);
+        console.log(`${priceStr}${spaces}${orderBookBidList[i][1]}`);
+    }
+    console.log('');
+};
+
+function createSpaces(count: number): string {
+    if(count <= 0 ){
+        return "";
+    }
+
+    let spaces = "";
+    for (let i = 0; i < count; i++) {
+        spaces += " ";
+    }
+    return spaces;
+}
+
+const resolveCrossedOrderBook = (
+    orderBookBidList: [number, number, number][],
+    orderBookAskList: [number, number, number][],
+): [[number, number, number][], [number, number, number][]] => {
+    while (orderBookBidList[0][0] >= orderBookAskList[0][0]) {
+        if (orderBookBidList[0][2] < orderBookAskList[0][2]) {
+            orderBookBidList.shift();
+        } else if (orderBookBidList[0][2] > orderBookAskList[0][2]) {
+            orderBookAskList.shift();
+        } else {
+            if (orderBookBidList[0][1] > orderBookAskList[0][1]) {
+                orderBookBidList[0][1] -= orderBookAskList[0][1];
+                orderBookAskList.shift();
+            } else if (orderBookBidList[0][1] < orderBookAskList[0][1]) {
+                orderBookAskList[0][1] -= orderBookBidList[0][1];
+                orderBookBidList.shift();
+            } else {
+                orderBookAskList.shift();
+                orderBookBidList.shift();
+            }
+        }
+    }
+
+    return [orderBookBidList, orderBookAskList];
+};
+const setInitialOrderBook = (
+    orderBookDataList: { bids: []; asks: [] },
+    orderBookBidList: [number, number, number][],
+    orderBookAskList: [number, number, number][],
+    messageId: number,
+): void => {
+    orderBookDataList.bids.forEach((item: { price: string; size: string }) => {
+        orderBookBidList.push([Number(item.price), Number(item.size), messageId]);
+    });
+
+    orderBookDataList.asks.forEach((item: { price: string; size: string }) => {
+        orderBookAskList.push([Number(item.price), Number(item.size), messageId]);
+    });
+};
+
+const updateOrderBook = (
+    orderBookDataList: { bids: [[]]; asks: [[]] }[],
+    orderBookBidList: [number, number, number][],
+    orderBookAskList: [number, number, number][],
+    messageId: number,
+): [[number, number, number][], [number, number, number][]] => {
+    orderBookDataList.forEach((entry: { bids: [[]]; asks: [[]] }) => {
+        if (entry.bids !== null && entry.bids !== undefined) {
+            const flattened = entry.bids.reduce((acc: any[], val: any[]) => acc.concat(val), []);
+            const entryBidPrice = Number(flattened[0]);
+            const entryBidSize = Number(flattened[1]);
+
+            // remove prices with zero Qty
+            if (entryBidSize === 0) {
+                for (let i = orderBookBidList.length - 1; i >= 0; i--) {
+                    if (orderBookBidList[i][0] === entryBidPrice) {
+                        orderBookBidList.splice(i, 1);
+                    }
+                }
+            } else {
+                // The price that already exists in the order book is modified only Qty
+                if (
+                    orderBookBidList.some((innerArray) => innerArray[0] === entryBidPrice)
+                ) {
+                    orderBookBidList.forEach((item, index) => {
+                        if (item[0] === entryBidPrice) {
+                            orderBookBidList[index][1] = entryBidSize;
+                            orderBookBidList[index][2] = messageId;
+                        }
+                    });
+                } else {
+                    // Add new data to order book
+                    orderBookBidList.push([entryBidPrice, entryBidSize, messageId]);
+                }
+            }
+        }
+        if (entry.asks !== null && entry.asks !== undefined) {
+            const flattened = entry.asks.reduce((acc: any[], val: any[]) => acc.concat(val), []);
+            const entryAskPrice = Number(flattened[0]);
+            const entryAskSize = Number(flattened[1]);
+
+            if (entryAskSize === 0) {
+                // remove prices with zero Qty
+                for (let i = orderBookAskList.length - 1; i >= 0; i--) {
+                    if (orderBookAskList[i][0] === entryAskPrice) {
+                        orderBookAskList.splice(i, 1);
+                    }
+                }
+            } else {
+                // The price that already exists in the order book is modified only Qty
+                if (
+                    orderBookAskList.some((innerArray) => innerArray[0] === entryAskPrice)
+                ) {
+                    orderBookAskList.forEach((item, index) => {
+                        if (item[0] === entryAskPrice) {
+                            orderBookAskList[index][1] = entryAskSize;
+                            orderBookAskList[index][2] = messageId;
+                        }
+                    });
+                } else {
+                    // Add new data to order book
+                    orderBookAskList.push([entryAskPrice, entryAskSize, messageId]);
+                }
+            }
+        }
+    });
+
+    return [orderBookBidList, orderBookAskList];
+};
+
+test();