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app.js

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+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');
+});