btc-api-node 1.12.7

package/lib/models/order_book.js

@@ -0,0 +1,214 @@
+'use strict'
+
+const { EventEmitter } = require('events')
+
+/**
+ * High level OB model to automatically integrate WS updates & maintain sort
+ */
+class OrderBook extends EventEmitter {
+  /**
+   * Initializes the order book with an existing snapshot (array form)
+   *
+   * @param {Array[]} snapshot
+   */
+  constructor (snapshot = []) {
+    super()
+
+    if (snapshot && snapshot.length > 0) {
+      this.updateFromSnapshot(snapshot)
+    } else {
+      this.bids = []
+      this.asks = []
+    }
+  }
+
+  updateFromSnapshot (snapshot) {
+    this.bids = []
+    this.asks = []
+
+    for (let i = 0; i < snapshot.length; i++) {
+      if (snapshot[i][2] < 0) {
+        this.asks.push(snapshot[i])
+      } else {
+        this.bids.push(snapshot[i])
+      }
+    }
+
+    // snapshots may not be sorted
+    this.bids.sort((a, b) => b[0] - a[0])
+    this.asks.sort((a, b) => a[0] - b[0])
+  }
+
+  /**
+   * Integrate an update packet; emits an 'update' event on success
+   *
+   * @param {Array} entry
+   * @return {boolean} success - false if entry doesn't match OB
+   */
+  updateWith (entry) {
+    const [price, count, amount] = entry
+    const side = amount < 0 ? this.asks : this.bids
+    let insertIndex = -1
+
+    for (let i = 0; i < side.length; i++) {
+      if (insertIndex === -1 && (
+        (amount > 0 && price > side[i][0]) ||
+        (amount < 0 && price < side[i][0])
+      )) {
+        insertIndex = i
+      }
+
+      if (side[i][0] === price) {
+        if (count === 0) {        // remove
+          side.splice(i, 1)
+        } else {
+          side[i] = entry         // update
+        }
+
+        this.emit('update', entry)
+        return true
+      }
+    }
+
+    // remove unkown
+    if (count === 0) {
+      this.emit('error', new Error(
+        `can't remove unknown price level: ${JSON.stringify(entry)}`
+      ))
+
+      return false
+    }
+
+    // add
+    if (insertIndex === -1) {
+      side.push(entry)
+    } else {
+      side.splice(insertIndex, 0, entry)
+    }
+
+    this.emit('update', entry)
+    return true
+  }
+
+  /**
+   * @return {number} price
+   */
+  midPrice () {
+    return (this.asks[0][0] + this.bids[0][0]) / 2
+  }
+
+  /**
+   * @return {number} spread - top bid/ask difference
+   */
+  spread () {
+    return this.asks[0][0] - this.bids[0][0]
+  }
+
+  /**
+   * @return {number} amount - total buy-side volume
+   */
+  bidAmount () {
+    let amount = 0
+
+    for (let i = 0; i < this.bids.length; i++) {
+      amount += this.bids[i][2]
+    }
+
+    return amount
+  }
+
+  /**
+   * @return {number} amount - total sell-side volume
+   */
+  askAmount () {
+    let amount = 0
+
+    for (let i = 0; i < this.asks.length; i++) {
+      amount += this.asks[i][2]
+    }
+
+    return Math.abs(amount)
+  }
+
+  /**
+   * @param {number} price
+   * @return {Object} entry - unserialized, null if not found
+   */
+  getEntry (price) {
+    const side = this.asks.length > 0 // pick a side w/ incomplete data
+      ? price >= this.asks[0][0] ? this.asks : this.bids
+      : price <= this.bids[0][0] ? this.bids : this.asks
+
+    for (let i = 0; i < side.length; i++) {
+      if (price === side[i][0]) {
+        return OrderBook.unserialize(side[i])
+      }
+    }
+
+    return null
+  }
+
+  /**
+   * Modifies an array-format OB in place with an update entry. Sort is not
+   * gauranteed!
+   *
+   * @param {number[][]} ob
+   * @param {number[]} entry
+   * @return {boolean} success - false if entry doesn't match OB
+   */
+  static updateArrayOBWith (ob, entry) {
+    const [price, count] = entry
+    let insertIndex = -1
+
+    for (let i = 0; i < ob.length; i++) {
+      if (price > ob[i][0] && insertIndex === -1) insertIndex = i
+
+      if (ob[i][0] === price) {
+        if (count === 0) {
+          ob.splice(i, 1) // remove existing
+        } else {
+          ob[i] = entry   // update existing
+        }
+
+        return true
+      }
+    }
+
+    // remove unkown
+    if (count === 0) return false
+
+    // add
+    if (insertIndex === -1) {
+      ob.push(entry)
+    } else {
+      ob.splice(insertIndex, 0, entry)
+    }
+
+    return true
+  }
+
+  /**
+   * Converts an array order book entry or snapshot to an object, with 'price',
+   * 'count', and 'amount' keys on entries
+   *
+   * @param {number[]|number[][]} arr
+   * @return {Object} ob - either a map w/ bids & asks, or single entry object
+   */
+  static unserialize (arr) {
+    if (Array.isArray(arr[0])) {
+      const entries = arr.map(e => OrderBook.unserialize(e))
+      const bids = entries.filter(e => e.amount > 0)
+      const asks = entries.filter(e => e.amount < 0)
+
+      return { bids, asks }
+    }
+
+    return {
+      price: arr[0],
+      count: arr[1],
+      amount: arr[2]
+    }
+  }
+}
+
+module.exports = OrderBook

package/lib/models/position.js

@@ -0,0 +1,43 @@
+'use strict'
+
+const Model = require('../model')
+
+class Position extends Model {
+  serialize () {
+    return [
+      this.symbol,
+      this.status,
+      this.amount,
+      this.basePrice,
+      this.marginFunding,
+      this.marginFundingType,
+      this.pl,
+      this.plPerc,
+      this.liquidationPrice,
+      this.leverage
+    ]
+  }
+
+  static unserialize (arr) {
+    return {
+      symbol: arr[0],
+      status: arr[1],
+      amount: arr[2],
+      basePrice: arr[3],
+      marginFunding: arr[4],
+      marginFundingType: arr[5],
+      pl: arr[6],
+      plPerc: arr[7],
+      liquidationPrice: arr[8],
+      leverage: arr[9]
+    }
+  }
+}
+
+Position.status = {}
+const statuses = ['ACTIVE', 'CLOSED']
+statuses.forEach((s) => {
+  Position.status[s] = s
+})
+
+module.exports = Position

package/lib/models/tick.js

@@ -0,0 +1,83 @@
+'use strict'
+
+const Model = require('../model')
+
+class Tick extends Model {
+  serialize () {
+    if (!this.symbol) return []
+
+    if (this.symbol[0] === 't') {
+      return [
+        this.symbol,
+        this.bid,
+        this.bidSize,
+        this.ask,
+        this.askSize,
+        this.dailyChange,
+        this.dailyChangePerc,
+        this.lastPrice,
+        this.volume,
+        this.high,
+        this.low
+      ]
+    } else {
+      return [
+        this.symbol,
+        this.frr,
+        this.bid,
+        this.bidSize,
+        this.bidPeriod,
+        this.ask,
+        this.askSize,
+        this.askPeriod,
+        this.dailyChange,
+        this.dailyChangePerc,
+        this.lastPrice,
+        this.volume,
+        this.high,
+        this.low
+      ]
+    }
+  }
+
+  static unserialize (arr) {
+    if (Array.isArray(arr[0])) {
+      return arr.map(tick => Tick.unserialize(tick))
+    } else if (!arr[0]) { // no symbol
+      return null
+    } else if (arr[0][0] === 't') {
+      return {
+        symbol: arr[0],
+        bid: arr[1],
+        bidSize: arr[2],
+        ask: arr[3],
+        askSize: arr[4],
+        dailyChange: arr[5],
+        dailyChangePerc: arr[6],
+        lastPrice: arr[7],
+        volume: arr[8],
+        high: arr[9],
+        low: arr[10]
+      }
+    }
+
+    return {
+      symbol: arr[0],
+      frr: arr[1],
+      bid: arr[2],
+      bidSize: arr[3],
+      bidPeriod: arr[4],
+      ask: arr[5],
+      askSize: arr[6],
+      askPeriod: arr[7],
+      dailyChange: arr[8],
+      dailyChangePerc: arr[9],
+      lastPrice: arr[10],
+      volume: arr[11],
+      high: arr[12],
+      low: arr[13]
+    }
+  }
+}
+
+module.exports = Tick

package/lib/models/trade.js

@@ -0,0 +1,43 @@
+'use strict'
+
+const Model = require('../model')
+
+class Trade extends Model {
+  serialize () {
+    return [
+      this.id,
+      this.pair,
+      this.mtsCreate,
+      this.orderID,
+      this.execAmount,
+      this.execPrice,
+      this.orderType,
+      this.orderPrice,
+      this.maker ? 1 : 0,
+      this.fee,
+      this.feeCurrency
+    ]
+  }
+
+  static unserialize (arr) {
+    if (Array.isArray(arr[0])) {
+      return arr.map(trade => Trade.unserialize(trade))
+    }
+
+    return {
+      id: arr[0],
+      pair: arr[1],
+      mtsCreate: arr[2],
+      orderID: arr[3],
+      execAmount: arr[4],
+      execPrice: arr[5],
+      orderType: arr[6],
+      orderPrice: arr[7],
+      maker: arr[8] === 1,
+      fee: arr[9],
+      feeCurrency: arr[10]
+    }
+  }
+}
+
+module.exports = Trade

package/lib/models/trade_tick.js

@@ -0,0 +1,29 @@
+'use strict'
+
+const Model = require('../model')
+
+class TradeTick extends Model {
+  serialize () {
+    return [
+      this.id,
+      this.mts,
+      this.amount,
+      this.price
+    ]
+  }
+
+  static unserialize (arr) {
+    if (Array.isArray(arr[0])) {
+      return arr.map(trade => TradeTick.unserialize(trade))
+    }
+
+    return {
+      id: arr[0],
+      mts: arr[1],
+      amount: arr[2],
+      price: arr[3]
+    }
+  }
+}
+
+module.exports = TradeTick

package/lib/models/wallet.js

@@ -0,0 +1,34 @@
+'use strict'
+
+const Model = require('../model')
+
+class Wallet extends Model {
+  serialize () {
+    return [
+      this.type,
+      this.currency,
+      this.balance,
+      this.unsettledInterest,
+      this.balanceAvailable
+    ]
+  }
+
+  static unserialize (arr) {
+    return {
+      type: arr[0],
+      currency: arr[1],
+      balance: arr[2],
+      unsettledInterest: arr[3],
+      balanceAvailable: arr[4]
+    }
+  }
+}
+
+Wallet.type = {}
+const types = ['exchange', 'margin', 'funding']
+
+types.forEach((t) => {
+  Wallet.type[t.toUpperCase()] = t
+})
+
+module.exports = Wallet