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feat: add websocket orderbook example #265

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feat: add websocket orderbook example #265

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198 changes: 198 additions & 0 deletions v4-client-js/examples/websocket_orderbook_example.ts
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Original file line number Diff line number Diff line change
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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();