103 lines
3.0 KiB
JavaScript
103 lines
3.0 KiB
JavaScript
var bs = require('binarysearch');
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var Gdax = require('gdax');
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var orderBook = [];
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orderBook['bids'] = [];
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orderBook['bids']['price'] = [];
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orderBook['bids']['size'] = [];
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orderBook['asks'] = [];
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orderBook['asks']['price'] = [];
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orderBook['asks']['size'] = [];
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var wsGdax = new Gdax.WebsocketClient(
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['BTC-EUR'],
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'wss://ws-feed.gdax.com',
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null,
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{channels: ['level2', 'heartbeat']}
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);
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function array_keys(input) {
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var output = [];
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var counter = 0;
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for (i in input) {
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output[counter++] = i;
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}
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return output;
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}
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wsGdax.on('message', function(data) {
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if(data.type === 'snapshot') {
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// save snapshot on orderBook object
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for(var i=0; i<data.bids.length; i++) {
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var bid = data.bids[i];
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pos = bs.closest(orderBook['bids']['price'], bid[0]);
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orderBook['bids']['price'].splice(pos, 0, bid[0]);
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orderBook['bids']['size'].splice(pos, 0, bid[1]);
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}
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for(var i=0; i<data.asks.length; i++) {
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var ask = data.asks[i];
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pos = bs.closest(orderBook['asks']['price'], ask[0]);
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orderBook['asks']['price'].splice(pos, 0, ask[0]);
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orderBook['asks']['size'].splice(pos, 0, ask[1]);
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}
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return;
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}
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if(data.type === 'l2update') {
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// apply the changes
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var changes = data.changes;
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for(var i=0; i<changes.length; i++) {
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var change = changes[i];
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if(change[0] === 'buy') {
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if(change[2] === '0') {
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pos = bs.closest(orderBook['bids']['price'], change[1]);
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orderBook['bids']['price'].splice(pos, 1);
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orderBook['bids']['size'].splice(pos, 1);
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} else {
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pos = bs.closest(orderBook['bids']['price'], change[1]);
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orderBook['bids']['price'].splice(pos, 0, change[1]);
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orderBook['bids']['size'].splice(pos, 0, change[2]);
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}
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} else if (change[0] === 'sell') {
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if(change[2] === '0') {
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pos = bs.closest(orderBook['asks']['price'], change[1]);
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orderBook['asks']['price'].splice(pos, 1);
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orderBook['asks']['size'].splice(pos, 1);
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} else {
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pos = bs.closest(orderBook['asks']['price'], change[1]);
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orderBook['asks']['price'].splice(pos, 0, change[1]);
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orderBook['asks']['size'].splice(pos, 0, change[2]);
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}
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}
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}
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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));
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return;
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}
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});
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wsGdax.on('close', function(data) {
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console.log('wsGdax closed:', data);
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});
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wsGdax.on('error', function(data) {
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console.log('wsGdax error:', data);
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});
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wsGdax.on('open', function() {
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console.log('wsGdax opened');
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});
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