109 lines
2.7 KiB
JavaScript
109 lines
2.7 KiB
JavaScript
var bs = require('binarysearch');
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var Gdax = require('gdax');
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var orderBook = {
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bids: {},
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asks: {}
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};
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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 = new Array();
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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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orderBook.bids[bid[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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orderBook.asks[ask[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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delete orderBook.bids[change[1]];
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} else {
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pos = bs.closest(array_keys(orderBook.bids), change[1]);
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tmp = new array();
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tmp[change[1]] = change[2];
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orderBook.bids = orderBook.bids.splice(pos, 0, tmp);
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console.log(orderBook.bids);
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delete tmp;
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//orderBook.bids[change[1]] = 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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delete orderBook.asks[change[1]];
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} else {
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orderBook.asks[change[1]] = change[2];
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}
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}
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}
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// crate arrays then sort
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var bids = [];
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var asks = [];
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for(var price in orderBook.bids) {
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bids.push([parseFloat(price), parseFloat(orderBook.bids[price])]);
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}
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for(var price in orderBook.asks) {
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asks.push([parseFloat(price), parseFloat(orderBook.asks[price])]);
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}
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// sort asc
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asks.sort(function (a, b) {
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return a[0] - b[0];
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});
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// sort desc
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bids.sort(function (a, b) {
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return b[0] - a[0];
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});
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if( asks[0][0] < bids[0][0] ) {
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console.log('order book out of sync', asks[0], bids[0]);
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}
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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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