Class OrderBook<ExtraStateType>

constructor

• new OrderBook<ExtraStateType>(symbol, options?): OrderBook<ExtraStateType>

• Type Parameters

  • ExtraStateType = unknown

  Parameters

  • symbol: string

  • options: OrderBookOptions = {}

  Returns OrderBook<ExtraStateType>

book

lastUpdateTimestamp

maxDepth

shouldCheckTimestamps

symbol

checkTimestamp

• checkTimestamp(timestamp): undefined | false

• throw error if current timestamp is older than last updated timestamp

  Parameters

  • timestamp: number

  Returns undefined | false

getBestAsk

• getBestAsk(offset?): null | number

• get lowest sell order

  Parameters

  • Optional offset: number = 0

    offset from array centre (should be positive)

  Returns null | number

  lowest seller price

getBestBid

• getBestBid(offset?): null | number

• get highest buy order price

  Parameters

  • Optional offset: number = 0

    offset from array centre (should be positive)

  Returns null | number

  highest buyer price

getBookState

• getBookState(): OrderBookLevelState<ExtraStateType>[]

• Returns a cloned copy of the current orderbook state

  Returns OrderBookLevelState<ExtraStateType>[]

getSpreadBasisPoints

• getSpreadBasisPoints(n?): null | number

• get current bid/ask spread in basis points

  Parameters

  • Optional n: number = 0

    offset from centre of book

  Returns null | number

  spread between best bid & ask in basis points

getSpreadPercent

• getSpreadPercent(n?): null | number

• get current bid/ask spread percentage

  Parameters

  • Optional n: number = 0

    offset from centre of book

  Returns null | number

  percentage spread between best bid & ask

handleDelta

• handleDelta(deleteDelta?, upsertDelta?, insertDelta?, timestamp?): this

• Process orderbook delta change, either deleting, updating or inserting level data into the existing book. Price is used on each level to find existing index in tracked book state.

  Parameters

  • Optional deleteDelta: OrderBookLevelState<unknown>[] = []

    levels to delete

  • Optional upsertDelta: OrderBookLevelState<unknown>[] = []

    levels to update (will automatically insert if level does not exist)

  • Optional insertDelta: OrderBookLevelState<unknown>[] = []

    levels to insert

  • timestamp: number = ...

  Returns this

handleSnapshot

• handleSnapshot(data, timestamp?): this

• Process orderbook snapshot, replacing existing book in memory

  Parameters

  • data: OrderBookLevelState<ExtraStateType>[]

    current orderbook snapshot represented as array, where each child element is a level in the orderbook

  • timestamp: number = ...

  Returns this

print

• print(): OrderBook<ExtraStateType>

• dump orderbook state to console

  Returns OrderBook<ExtraStateType>

reset

• reset(): OrderBook<ExtraStateType>

• empty current orderbook store to free memory

  Returns OrderBook<ExtraStateType>