Orderbook Synchronizer

This package allow you to keep update your Orderbook snapshot from a given Websocket source of Orders.

Features:

• Orderbook size limit available to avoid overgrow
• Lightweight / No dependency
• Handle Bid/Ask overlaps, best Ask always higher or equal with best Bids

Orderbook output sample(.getOrderBook()):

{
      asks: [
        [8000, 1.9869372781826433],
        [8001, 0.6590219188159661],
        [8002, 1.0430790809329253],
        [8003, 0.1279416255016304],
        [8004, 1.3397780002928084],
        [8005, 1.8250517469118535],
      ],
      bids: [
        [6020, 1.5764351751676466],
        [6019, 1.9678679870588733],
        [6018, 1.7349295266546774],
        [6017, 1.0087743314824977],
        [6016, 0.0942339070977258],
      ]
}

Imports:

import {OrderBookStore} from 'orderbook-synchronizer'; // Multiple OrderBooks in a single class
import {Orderbook} from 'orderbook-synchronizer'; // Single OrderBook

Available methods(OrderBookStore):

Constructor:

const OrderBooks = new OrderBookStore(1000); // Set memory limit / maximum length of Ask/Bid array

updateOrderBook:

OrderBooks.updateOrderBook('BTC/USD', asks: Order[], bids: Order[]); // Create/Update Orderbook

hasOrderBook:

OrderBooks.hasOrderBook('BTC/USD'); // return boolean if Orderbook exist

getOrderBook:

OrderBooks.getOrderBook('BTC/USD'); // return Orderbook | undefined depends on Orderbook exist

getSymbolList:

OrderBooks.getSymbolList(); // return all Orderbook keys in array ['BTC/USD']

Available methods(Orderbook):

Constructor:

const SingleOrderBook = new Orderbook(1000); // Set memory limit / maximum length of Ask/Bid array

getOrderBook:

SingleOrderBook.getOrderBook(); // return Orderbook

updateOrderBook:

SingleOrderBook.updateOrderBook(asks: Order[], bids: Order[]); // Update Orderbook

Original inspiration source:

• https://gist.github.com/hitbtc-com/fc738c1b926d9d7aa7e3bd5247f792a1