@orderly.network/hooks 0.0.92 → 0.0.94

package/dist/index.js

@@ -666,6 +666,14 @@ var reduceItems = (depth, level, data, asks = false) => {
       } else {
         priceKey = new utils.Decimal(Math.floor(price / depth)).mul(depth).toNumber();
       }
+      if (depth < 1 && depth > 0) {
+        const priceStr = price.toString();
+        const index = priceStr.indexOf(".");
+        const decimal = priceStr.slice(index + 1);
+        const decimalDepth = depth.toString().slice(2).length;
+        const decimalStr = decimal.slice(0, ramda.min(decimal.length, decimalDepth));
+        priceKey = new utils.Decimal(priceStr.slice(0, index) + "." + decimalStr).toNumber();
+      }
       if (prices.has(priceKey)) {
         const item = prices.get(priceKey);
         const itemPrice = new utils.Decimal(item[1]).add(quantity).toNumber();
@@ -686,48 +694,66 @@ var reduceItems = (depth, level, data, asks = false) => {
   return result;
 };
 var reduceOrderbook = (depth, level, data) => {
-  const asks = reduceItems(depth, level, data.asks, true).reverse();
-  const bids = reduceItems(depth, level, data.bids);
+  let asks = reduceItems(depth, level, data.asks, true);
+  let bids = reduceItems(depth, level, data.bids);
+  if (asks.length !== 0 && bids.length !== 0 && asks[0][0] <= bids[0][0]) {
+    if (asks.length === 1) {
+      const [price, qty, newQuantity] = asks[0];
+      asks.shift();
+      asks.push([price + (depth === void 0 ? 0 : depth), qty, newQuantity]);
+    } else {
+      const [bidPrice] = bids[0];
+      while (asks.length > 0) {
+        const [askPrice, askQty, newQuantity] = asks[0];
+        if (askPrice <= bidPrice) {
+          asks.shift();
+          for (let index = 0; index < asks.length; index++) {
+            if (index === 0) {
+              asks[index][1] += askQty;
+            }
+            asks[index][2] += newQuantity;
+          }
+        } else {
+          break;
+        }
+      }
+    }
+  }
+  asks = asks.reverse();
   return {
     asks: asks.length < level ? paddingFn(level - asks.length).concat(asks) : asks,
     bids: bids.length < level ? bids.concat(paddingFn(level - bids.length)) : bids
   };
 };
-var mergeOrderbook = (data, update) => {
-  const asks = [...data.asks];
-  const bids = [...data.bids];
-  update.asks.forEach((element) => {
-    for (let index = 0; index < asks.length; index++) {
-      if (element[1] === 0) {
-        if (element[0] === asks[index][0]) {
-          asks.splice(index, 1);
-          break;
-        }
-      } else if (element[0] === asks[index][0]) {
-        asks[index] = element;
-        break;
-      } else if (element[0] < asks[index][0]) {
-        asks.splice(index, 0, element);
-        break;
-      }
-    }
-  });
-  update.bids.forEach((element) => {
-    for (let index = 0; index < bids.length; index++) {
-      if (element[1] === 0) {
-        if (element[0] === bids[index][0]) {
-          bids.splice(index, 1);
-          break;
+var mergeItems = (data, update) => {
+  if (data.length === 0)
+    return update;
+  data = data.filter(([price]) => !isNaN(price));
+  while (update.length > 0) {
+    const item = update.shift();
+    if (item) {
+      const [price, quantity] = item;
+      const index = data.findIndex(([p], index2) => p === price);
+      if (index === -1) {
+        if (quantity === 0)
+          continue;
+        data.push(item);
+      } else {
+        if (quantity === 0) {
+          data.splice(index, 1);
+        } else {
+          data[index] = item;
         }
-      } else if (element[0] === bids[index][0]) {
-        bids[index] = element;
-        break;
-      } else if (element[0] > bids[index][0]) {
-        bids.splice(index, 0, element);
-        break;
       }
     }
-  });
+  }
+  return data;
+};
+var mergeOrderbook = (data, update) => {
+  let asks = [...data.asks];
+  let bids = [...data.bids];
+  asks = mergeItems(asks, update.asks).sort(asksSortFn);
+  bids = mergeItems(bids, update.bids).sort(bidsSortFn);
   return {
     asks,
     bids
@@ -771,14 +797,12 @@ var useOrderbookStream = (symbol, initial = INIT_DATA, options) => {
           if (ignore)
             return;
           if (!!message) {
-            let bids = message.bids.sort(bidsSortFn);
-            bids = bids.filter((item) => !isNaN(item[0]));
-            bids = bids.filter((item) => item[1] > 0);
-            let asks = message.asks.sort(asksSortFn);
-            asks = asks.filter((item) => !isNaN(item[0]));
-            asks = asks.filter((item) => item[1] > 0);
+            let bids = [...message.bids.sort(bidsSortFn)];
+            bids = bids.filter((item) => !isNaN(item[0]) && item[1] > 0);
+            let asks = [...message.asks.sort(asksSortFn)];
+            asks = asks.filter((item) => !isNaN(item[0]) && item[1] > 0);
             setRequestData({ bids, asks });
-            setData({ bids, asks });
+            setData({ bids: [...bids], asks: [...asks] });
           }
           setIsLoading(false);
         }
@@ -838,7 +862,10 @@ var useOrderbookStream = (symbol, initial = INIT_DATA, options) => {
   React2.useEffect(() => {
     prevMiddlePrice.current = middlePrice;
   }, [middlePrice]);
-  const reducedData = reduceOrderbook(depth, level, data);
+  const reducedData = reduceOrderbook(depth, level, {
+    asks: [...data.asks],
+    bids: [...data.bids]
+  });
   return [
     {
       asks: reducedData.asks.slice(-level),