nodegdax/app.js

var bs = require('binarysearch');
var Gdax = require('gdax');


var orderBook = {
    bids: {},
    asks: {}
};


var wsGdax = new Gdax.WebsocketClient(
    ['BTC-EUR'], 
    'wss://ws-feed.gdax.com',
    null,
    {channels: ['level2', 'heartbeat']}
);


function array_keys(input) {
	var output = new Array();
	var counter = 0;
	for (i in input) {
		output[counter++] = i;
	} 
	return output; 
}
	

wsGdax.on('message', function(data) {
    if(data.type === 'snapshot') {
        // save snapshot on orderBook object
        for(var i=0; i<data.bids.length; i++) {
            var bid = data.bids[i];
            orderBook.bids[bid[0]] = bid[1];
        }
        for(var i=0; i<data.asks.length; i++) {
            var ask = data.asks[i];
            orderBook.asks[ask[0]] = ask[1];
        }
        return;
    }

    if(data.type === 'l2update') {
        // apply the changes
        var changes = data.changes;
        for(var i=0; i<changes.length; i++) {
            var change = changes[i];
            if(change[0] === 'buy') {
                if(change[2] === '0') {
                    delete orderBook.bids[change[1]];
                } else {
					pos = bs.closest(array_keys(orderBook.bids), change[2]);
					tmp = new array();
					tmp[change[1]] = change[2];
					
					orderBook.bids = orderBook.bids.splice(pos, 0, tmp);
					console.log(orderBook.bids);
					
					delete tmp;
                    //orderBook.bids[change[1]] = change[2];
                }
            } else if (change[0] === 'sell') {
                if(change[2] === '0') {
                    delete orderBook.asks[change[1]];
                } else {
                    orderBook.asks[change[1]] = change[2];
                }
            }
        }
        
        // crate arrays then sort
        var bids = [];
        var asks = [];
        for(var price in orderBook.bids) {
            bids.push([parseFloat(price), parseFloat(orderBook.bids[price])]);
        }
        for(var price in orderBook.asks) {
            asks.push([parseFloat(price), parseFloat(orderBook.asks[price])]);
        }
        
        // sort asc
        asks.sort(function (a, b) {
            return a[0] - b[0];
        });

        // sort desc
        bids.sort(function (a, b) {
            return b[0] - a[0];
        });
        
        if( asks[0][0] < bids[0][0] ) {
            console.log('order book out of sync', asks[0], bids[0]);
        }
        return;
    }
});

wsGdax.on('close', function(data) {
    console.log('wsGdax closed:', data);
});

wsGdax.on('error', function(data) {
    console.log('wsGdax error:', data);
});

wsGdax.on('open', function() {
    console.log('wsGdax opened');
});