npm package discovery and stats viewer.

Discover Tips

  • General search

    [free text search, go nuts!]

  • Package details

    pkg:[package-name]

  • User packages

    @[username]

Sponsor

Optimize Toolset

I’ve always been into building performant and accessible sites, but lately I’ve been taking it extremely seriously. So much so that I’ve been building a tool to help me optimize and monitor the sites that I build to make sure that I’m making an attempt to offer the best experience to those who visit them. If you’re into performant, accessible and SEO friendly sites, you might like it too! You can check it out at Optimize Toolset.

About

Hi, 👋, I’m Ryan Hefner  and I built this site for me, and you! The goal of this site was to provide an easy way for me to check the stats on my npm packages, both for prioritizing issues and updates, and to give me a little kick in the pants to keep up on stuff.

As I was building it, I realized that I was actually using the tool to build the tool, and figured I might as well put this out there and hopefully others will find it to be a fast and useful way to search and browse npm packages as I have.

If you’re interested in other things I’m working on, follow me on Twitter or check out the open source projects I’ve been publishing on GitHub.

I am also working on a Twitter bot for this site to tweet the most popular, newest, random packages from npm. Please follow that account now and it will start sending out packages soon–ish.

Open Software & Tools

This site wouldn’t be possible without the immense generosity and tireless efforts from the people who make contributions to the world and share their work via open source initiatives. Thank you 🙏

© 2024 – Pkg Stats / Ryan Hefner

@moeinrahimi/hft-limit-order-book

v4.1.0

Published

Node.js Lmit Order Book for high-frequency trading (HFT).

Downloads

43

Readme

Initially ported from Go orderbook, this order book has been enhanced with new features

hft-limit-order-book

:star: Star me on GitHub — it motivates me a lot!

Ultra-fast matching engine written in TypeScript

Features

  • Standard price-time priority
  • Supports both market and limit orders
  • Supports time in force GTC, FOK and IOC
  • Supports order cancelling
  • Supports order price and/or size updating
  • High performance (above 300k trades per second)

Machine: ASUS ExpertBook, 11th Gen Intel(R) Core(TM) i7-1165G7, 2.80Ghz, 16GB RAM, Node.js v18.4.0.

Installation

Install with npm:

npm install hft-limit-order-book --save

Install with yarn:

yarn add hft-limit-order-book

Usage

To start using order book you need to import OrderBook and create new instance:

import { OrderBook } from 'hft-limit-order-book';

const lob = new OrderBook();

Then you'll be able to use next primary functions:

lob.createOrder(type: 'limit' | 'market', side: 'buy' | 'sell', size: number, price: number, orderID: string)

lob.limit(side: 'buy' | 'sell', orderID: string, size: number, price: number);

lob.market(side: 'buy' | 'sell', size: number);

lob.modify(orderID: string, { side: 'buy' | 'sell', size: number, price: number });

lob.cancel(orderID: string);

About primary functions

To add an order to the order book you can call the general createOrder() function or calling the underlying limit() or market() functions

Create Order

// Create a limit order
createOrder('limit', side: 'buy' | 'sell', size: number, price: number, orderID: string, timeInForce?: 'GTC' | 'FOK' | 'IOC');

// Create a market order
createOrder('market', side: 'buy' | 'sell', size: number);

Create Limit Order

/**
 * Create a limit order
 *
 * @param side - `sell` or `buy`
 * @param orderID - Unique order ID
 * @param size - How much of currency you want to trade in units of base currency
 * @param price - The price at which the order is to be fullfilled, in units of the quote currency
 * @param timeInForce - Time-in-force type supported are: GTC, FOK, IOC
 * @returns An object with the result of the processed order or an error
 */
limit(side: 'buy' | 'sell', orderID: string, size: number, price: number, timeInForce?: 'GTC' | 'FOK' | 'IOC');

For example:

limit("sell", "uniqueID", 55, 100);

asks: 110 -> 5      110 -> 5
      100 -> 1      100 -> 56
--------------  ->  --------------
bids: 90  -> 5      90  -> 5
      80  -> 1      80  -> 1

done    - null
partial - null
limit("buy", "uniqueID", 7, 120);

asks: 110 -> 5
      100 -> 1
--------------  ->  --------------
bids: 90  -> 5      120 -> 1
      80  -> 1      90  -> 5
                    80  -> 1

done    - 2 (or more orders)
partial - uniqueID order
limit("buy", "uniqueID", 3, 120);

asks: 110 -> 5
      100 -> 1      110 -> 3
--------------  ->  --------------
bids: 90  -> 5      90  -> 5
      80  -> 1      80  -> 1

done    - 1 order with 100 price, (may be also few orders with 110 price) + uniqueID order
partial - 1 order with price 110

Create Market Order

/**
 * Create a market order
 *
 * @param side - `sell` or `buy`
 * @param size - How much of currency you want to trade in units of base currency
 * @returns An object with the result of the processed order or an error
 */
market(side: 'buy' | 'sell', size: number);

For example:

market('sell', 6);

asks: 110 -> 5      110 -> 5
      100 -> 1      100 -> 1
--------------  ->  --------------
bids: 90  -> 5      80 -> 1
      80  -> 2

done         - 2 (or more orders)
partial      - 1 order with price 80
quantityLeft - 0
market('buy', 10);

asks: 110 -> 5
      100 -> 1
--------------  ->  --------------
bids: 90  -> 5      90  -> 5
      80  -> 1      80  -> 1

done         - 2 (or more orders)
partial      - null
quantityLeft - 4

Modify an existing order

/**
 * Modify an existing order with given ID. When an order is modified by price or quantity,
 * it will be deemed as a new entry. Under the price-time-priority algorithm, orders are
 * prioritized according to their order price and order time. Hence, the latest orders
 * will be placed at the back of the matching order queue.
 *
 * @param orderID - The ID of the order to be modified
 * @param orderUpdate - An object with the modified size and/or price of an order. The shape of the object is `{size, price}`.
 * @returns An object with the result of the processed order or an error
 */
modify(orderID: string, { size: number, price: number });

For example:

limit("sell", "uniqueID", 55, 100);

asks: 110 -> 5      110 -> 5
      100 -> 1      100 -> 56
--------------  ->  --------------
bids: 90  -> 5      90  -> 5
      80  -> 1      80  -> 1

// Modify the size from 55 to 65
modify("uniqueID", { size: 65 })

asks: 110 -> 5      110 -> 5
      100 -> 56     100 -> 66
--------------  ->  --------------
bids: 90  -> 5      90  -> 5
      80  -> 1      80  -> 1


// Modify the price from 100 to 110
modify("uniqueID", { price: 110 })

asks: 110 -> 5      110 -> 70
      100 -> 66     100 -> 1
--------------  ->  --------------
bids: 90  -> 5      90  -> 5
      80  -> 1      80  -> 1

Cancel Order

/**
 * Remove an existing order with given ID from the order book
 *
 * @param orderID - The ID of the order to be removed
 * @returns The removed order if exists or `undefined`
 */
cancel(orderID: string);

For example:

cancel("myUniqueID-Sell-1-with-100")

asks: 110 -> 5
      100 -> 1      110 -> 5
--------------  ->  --------------
bids: 90  -> 5      90  -> 5
      80  -> 1      80  -> 1

Development

Build

Build production (distribution) files in your dist folder:

npm run build

Testing

To run all the unit-test

npm run test

Coverage

Run testing coverage

npm run test:cov

Benchmarking

Before running benchmark, make sure to have built the source code with npm run build first

npm run bench

Contributing

I would greatly appreciate any contributions to make this project better. Please make sure to follow the below guidelines before getting your hands dirty.

  1. Fork the repository
  2. Create your branch (git checkout -b my-branch)
  3. Commit any changes to your branch
  4. Push your changes to your remote branch
  5. Open a pull request

Donation

If this project help you reduce time to develop, you can give me a cup of coffee 🍵 :)

  • USDT (TRC20): TXArNxsq2Ee8Jvsk45PudVio52Joiq1yEe
  • BTC: 1GYDVSAQNgG7MFhV5bk15XJy3qoE4NFenp
  • BTC (BEP20): 0xf673ee099be8129ec05e2f549d96ebea24ac5d97
  • ETH (ERC20): 0xf673ee099be8129ec05e2f549d96ebea24ac5d97
  • BNB (BEP20): 0xf673ee099be8129ec05e2f549d96ebea24ac5d97

License

Copyright Andrea Fassina, Licensed under MIT.