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steam lesen und orderbook kopieren funktioniert

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eazy 2018-03-24 18:31:38 +01:00
parent d3ab345761
commit 022602002a
1 changed files with 36 additions and 42 deletions
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74
app.js
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@ -2,10 +2,14 @@ var bs = require('binarysearch');
var Gdax = require('gdax'); var Gdax = require('gdax');
var orderBook = { var orderBook = [];
bids: {}, orderBook['bids'] = [];
asks: {} orderBook['bids']['price'] = [];
}; orderBook['bids']['size'] = [];
orderBook['asks'] = [];
orderBook['asks']['price'] = [];
orderBook['asks']['size'] = [];
var wsGdax = new Gdax.WebsocketClient( var wsGdax = new Gdax.WebsocketClient(
@ -17,7 +21,7 @@ var wsGdax = new Gdax.WebsocketClient(
function array_keys(input) { function array_keys(input) {
var output = new Array(); var output = [];
var counter = 0; var counter = 0;
for (i in input) { for (i in input) {
output[counter++] = i; output[counter++] = i;
@ -31,12 +35,21 @@ wsGdax.on('message', function(data) {
// save snapshot on orderBook object // save snapshot on orderBook object
for(var i=0; i<data.bids.length; i++) { for(var i=0; i<data.bids.length; i++) {
var bid = data.bids[i]; var bid = data.bids[i];
orderBook.bids[bid[0]] = bid[1]; pos = bs.closest(orderBook['bids']['price'], bid[0]);
orderBook['bids']['price'].splice(pos, 0, bid[0]);
orderBook['bids']['size'].splice(pos, 0, bid[1]);
} }
for(var i=0; i<data.asks.length; i++) { for(var i=0; i<data.asks.length; i++) {
var ask = data.asks[i]; var ask = data.asks[i];
orderBook.asks[ask[0]] = ask[1]; pos = bs.closest(orderBook['asks']['price'], ask[0]);
orderBook['asks']['price'].splice(pos, 0, ask[0]);
orderBook['asks']['size'].splice(pos, 0, ask[1]);
} }
return; return;
} }
@ -47,50 +60,31 @@ wsGdax.on('message', function(data) {
var change = changes[i]; var change = changes[i];
if(change[0] === 'buy') { if(change[0] === 'buy') {
if(change[2] === '0') { if(change[2] === '0') {
delete orderBook.bids[change[1]]; pos = bs.closest(orderBook['bids']['price'], change[1]);
orderBook['bids']['price'].splice(pos, 1);
orderBook['bids']['size'].splice(pos, 1);
} else { } else {
pos = bs.closest(array_keys(orderBook.bids), change[1]); pos = bs.closest(orderBook['bids']['price'], change[1]);
tmp = new array();
tmp[change[1]] = change[2];
orderBook.bids = orderBook.bids.splice(pos, 0, tmp); orderBook['bids']['price'].splice(pos, 0, change[1]);
console.log(orderBook.bids); orderBook['bids']['size'].splice(pos, 0, change[2]);
delete tmp;
//orderBook.bids[change[1]] = change[2];
} }
} else if (change[0] === 'sell') { } else if (change[0] === 'sell') {
if(change[2] === '0') { if(change[2] === '0') {
delete orderBook.asks[change[1]]; pos = bs.closest(orderBook['asks']['price'], change[1]);
orderBook['asks']['price'].splice(pos, 1);
orderBook['asks']['size'].splice(pos, 1);
} else { } else {
orderBook.asks[change[1]] = change[2]; pos = bs.closest(orderBook['asks']['price'], change[1]);
orderBook['asks']['price'].splice(pos, 0, change[1]);
orderBook['asks']['size'].splice(pos, 0, change[2]);
} }
} }
} }
// crate arrays then sort console.log("bids " + orderBook['bids']['size'].length + "/" + orderBook['bids']['price'].length + " = " + orderBook['bids']['price'].slice(-1) + " -------- " + "asks " + orderBook['asks']['size'].length + "/" + orderBook['asks']['price'].length + " = " + orderBook['asks']['price'].slice(-1));
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; return;
} }
}); });