BitMEX Order Book

The fastest order book implementation for the BitMEX WebSocket API.

• Fast & unthrottled price updates from L2 table.
• Automatically calculates cumulative prices.
• Reuse an existing WebSocket connection.
• Built-in heartbeats functionality.
• Easy to use.

Install

yarn add bitmex-orderbook

Or you can use npm install.

Example

const OrderBook = require("bitmex-orderbook");

await OrderBook.open("XBTH18", {
  onUpdate(orderBook) {
    // Top 10 ask prices.
    const bestAskPrices = orderBook.getAskPrices(10);
    
    // Top 5 bid prices, skipping the first 2.
    const [thirdBestBid] = orderBook.getBidprices(5, 2); 
    
    thirdBestBid.side; // "Buy"
    thirdBestBid.price; // 17341.5
    thirdBestBid.size; // 400
    thirdBestBid.cumulative; // 57 + 372 + 400
    thirdBestBid.timestamp; // Date()
  },
});

Documentation

OrderBook.open(symbol, options = {}): Promise<OrderBook>

• symbol : String - The instrument symbol. Required.
• options.table : String - The order book table to subscribe to. Default: orderBookL2, the fastest table on BitMEX.
• options.depth : Integer - Number of entries to remember for each side bid and ask. The worst prices are evicted. Default: 20.
• options.cumulative : Boolean - Calculate cumulative sizes automatically at tiny processing cost. Default: true, it's very useful.
• options.onUpdate : Function(OrderBook) - A function that is invoked whenever the prices are updated.
• options.socket : WebSocket - An existing BitMEX WebSocket connection. If left empty a new WebSocket connection will be opened, and stored in orderBook._client.socket.
• options.testmode : Boolean - Connect to the BitMEX test environment. Only used if options.socket is empty. Default: false.
• options.heartbeat : Integer - Milliseconds between WebSocket connection pings. Default: 15000.
• options.endpoint : String - Specifies the wss:// address for a new WebSocket connection. Only used if options.socket is empty. Default: wss://www.bitmex.com/realtime.

Returns a Promise that resolves when the connection is opened.

orderBook.getAskPrices(count, skip = 0) : OrderBookEntry

• count: Integer - Max number of prices to return. Sorted by best price first. Default: options.depth.

• skip: Integer - Number of best prices to skip. This is useful with highly volatile markets. Default: 0.

orderBook.getBidPrices(count, skip = 0) : OrderBookEntry

Same as orderBook.getAskPrices(). Sorted by best price first.

License

BSD 3-Clause license. Copyright © 2018 Rick Wong.