GDAX L2 Orderbook

Synopsis

GDAX L2 Orderbook is a module to generate a basic Level2 orderbook for any product traded on the Coinbase Pro cryptocurrency exchange. Users can install the package, instantiate the Orderbook and start it up. It is event driven so a change event will fire whenever a change is made on with the bid side or the ask side. There is also a simple logger to see the best bid and best ask at any time interval needed (in ms).

Code Example

Installation and instantiation is very easy to get started. Here is a basic usage example:

const Orderbook = require('gdax-l2-orderbook');

const product = 'ETH-USD';
const sandbox = false // Connect to the production exchange.  Defaults to true
const orderbook = new Orderbook({product, sandbox});
orderbook.start();

orderbook.on('change', book => {
  console.log(book.bids.value, book.asks.value);
  // Since the bids and asks are linked lists, the "value" property
  // at the top of the linked list will be the best bid / ask.  If 
  // you want to seek further into the orderbook you will need
  // to traverse the linked list by following the "next" property
  // i.e. book.bids.next.next.next.next.next.value (etc).  Use 
  // your favorite recursive traversal method.

  // The "value" property will return a [price, size] tuple as
  // seen in the below example console.log:

/*
[ '147.27000000', '3.57' ] [ '147.28000000', '4.03' ]
[ '147.27000000', '3.57' ] [ '147.28000000', '4.03' ]
[ '147.27000000', '3.57' ] [ '147.28000000', '4.03' ]
[ '147.27000000', '3.57' ] [ '147.28000000', '4.03' ]
[ '147.27000000', '3.57' ] [ '147.28000000', '2.69908921' ]
[ '147.27000000', '3.57' ] [ '147.28000000', '2.69908921' ]
[ '147.27000000', '3.57' ] [ '147.28000000', '2.69908921' ]
*/

orderbook.log(1000); // Module will console.log out best ask and
                     // best bid every 1sec (1000ms)

Motivation

As a hobbyist cryptocurrency trader I needed a reliable but simple module that could enable me to keep track of my limit orders relative to the orderbook. I did not see a need to mirror the Level 3 book so this implementation seemed to do nicely. I believe that this module can help other hobbyist/professional crypto traders who are using Coinbase Pro with automation-based trading tools

Installation

Installation into a Node project is as simple as:

npm i gdax-l2-orderbook --save

Recommend Node.js v.10 and above.

API Reference

See code example above.

Tests

You can run unit test using npm test command. It will run a Jest test suite.

Contributors

Contributors are welcome to send pull requests on the project. Please write a short synopsis of any enhancements or defect fixing is being proposed in the PR.

License

This software is made public by way of the ISC (Internet Software Consortium). No warranties are given and software is made available "as-is."