nodejs-order-book 8.0.1 → 8.1.0

package/README.md

@@ -13,6 +13,34 @@ Ultra-fast Node.js Order Book written in TypeScript for high-frequency trading (
 
 :star: Star me on GitHub — it motivates me a lot!
 
+## Table of Contents
+
+- [Features](#features)
+- [Installation](#installation)
+- [Usage](#usage)
+- [Experimental Conditional Orders](#conditional-orders-)
+- [About Primary Functions](#about-primary-functions)
+  - [Create order `createOrder()`](#create-order)
+  - [Create Limit order `limit()`](#create-limit-order)
+  - [Create Market order `market()`](#create-market-order)
+  - [Create Stop Limit order `stopLimit()`](#create-stop-limit-order)
+  - [Create Stop Market order `stopMarket()`](#create-stop-market-order)
+  - [Create OCO (One-Cancels-the-Other) order `oco()`](#create-oco-one-cancels-the-other-order)
+  - [Modify an existing order `modifiy()`](#modify-an-existing-order)
+  - [Cancel order `cancel()`](#cancel-order)
+- [Order Book Options](#order-book-options)
+  - [Snapshot](#snapshot)
+  - [Journal Logs](#journal-logs)
+  - [Enable Journaling](#enable-journaling)
+- [Development](#development)
+  - [Build](#build)
+  - [Testing](#testing)
+  - [Coverage](#coverage)
+  - [Benchmarking](#benchmarking)
+- [Contributing](#contributing)
+- [Donation](#donation)
+- [License](#license)
+
 ## Features
 
 - Standard price-time priority
@@ -348,7 +376,7 @@ bids: 90  -> 5      90  -> 5
       80  -> 1      80  -> 1
 ```
 
-## Options
+## Order Book Options
 
 The orderbook can be initialized with the following options by passing them to the constructor:
 

package/dist/cjs/orderbook.js

@@ -47,7 +47,16 @@ var OrderBook = /** @class */ (function () {
             /* node:coverage ignore next 4 - We don't need test for this */
             if (!_this.experimentalConditionalOrders)
                 throw new Error("In order to use conditional orders you need to instantiate the order book with the `experimentalConditionalOrders` option set to true");
-            return _this._stopMarket(options);
+            var response = _this._stopMarket(options);
+            if (_this.enableJournaling && response.err === null) {
+                response.log = {
+                    opId: ++_this._lastOp,
+                    ts: Date.now(),
+                    op: "sm",
+                    o: options,
+                };
+            }
+            return response;
         };
         /**
          * Create a stop limit order. See {@link StopLimitOrderOptions} for details.
@@ -65,7 +74,16 @@ var OrderBook = /** @class */ (function () {
             /* node:coverage ignore next 4 - We don't need test for this */
             if (!_this.experimentalConditionalOrders)
                 throw new Error("In order to use conditional orders you need to instantiate the order book with the `experimentalConditionalOrders` option set to true");
-            return _this._stopLimit(options);
+            var response = _this._stopLimit(options);
+            if (_this.enableJournaling && response.err === null) {
+                response.log = {
+                    opId: ++_this._lastOp,
+                    ts: Date.now(),
+                    op: "sl",
+                    o: options,
+                };
+            }
+            return response;
         };
         /**
          * Create an OCO (One-Cancels-the-Other) order.
@@ -94,7 +112,16 @@ var OrderBook = /** @class */ (function () {
             /* node:coverage ignore next 4 - We don't need test for this */
             if (!_this.experimentalConditionalOrders)
                 throw new Error("In order to use conditional orders you need to instantiate the order book with the `experimentalConditionalOrders` option set to true");
-            return _this._oco(options);
+            var response = _this._oco(options);
+            if (_this.enableJournaling && response.err === null) {
+                response.log = {
+                    opId: ++_this._lastOp,
+                    ts: Date.now(),
+                    op: "oco",
+                    o: options,
+                };
+            }
+            return response;
         };
         /**
          * Modify an existing order with given ID. When an order is modified by price or quantity,
@@ -228,7 +255,7 @@ var OrderBook = /** @class */ (function () {
         };
         this._market = function (options, incomingResponse) {
             var response = incomingResponse !== null && incomingResponse !== void 0 ? incomingResponse : _this.validateMarketOrder(options);
-            if (response.err != null)
+            if (response.err !== null)
                 return response;
             var quantityToTrade = options.size;
             var iter;
@@ -253,41 +280,19 @@ var OrderBook = /** @class */ (function () {
             }
             response.quantityLeft = quantityToTrade;
             _this.executeConditionalOrder(options.side, priceBefore, response);
-            if (_this.enableJournaling) {
-                response.log = {
-                    opId: ++_this._lastOp,
-                    ts: Date.now(),
-                    op: "m",
-                    o: { side: options.side, size: options.size },
-                };
-            }
             return response;
         };
         this._limit = function (options, incomingResponse) {
             var _a, _b;
             var response = incomingResponse !== null && incomingResponse !== void 0 ? incomingResponse : _this.validateLimitOrder(options);
-            if (response.err != null)
+            if (response.err !== null)
                 return response;
-            var order = _this.createLimitOrder(response, options.side, options.id, options.size, options.price, (_a = options.postOnly) !== null && _a !== void 0 ? _a : false, (_b = options.timeInForce) !== null && _b !== void 0 ? _b : types_1.TimeInForce.GTC, options.ocoStopPrice);
-            if (_this.enableJournaling && order != null) {
-                response.log = {
-                    opId: ++_this._lastOp,
-                    ts: Date.now(),
-                    op: "l",
-                    o: {
-                        side: order.side,
-                        id: order.id,
-                        size: order.size,
-                        price: order.price,
-                        timeInForce: order.timeInForce,
-                    },
-                };
-            }
+            _this.createLimitOrder(response, options.side, options.id, options.size, options.price, (_a = options.postOnly) !== null && _a !== void 0 ? _a : false, (_b = options.timeInForce) !== null && _b !== void 0 ? _b : types_1.TimeInForce.GTC, options.ocoStopPrice);
             return response;
         };
         this._stopMarket = function (options) {
             var response = _this.validateMarketOrder(options);
-            if (response.err != null)
+            if (response.err !== null)
                 return response;
             var stopMarket = order_1.OrderFactory.createOrder(__assign(__assign({}, options), { type: types_1.OrderType.STOP_MARKET }));
             return _this._stopOrder(stopMarket, response);
@@ -295,7 +300,7 @@ var OrderBook = /** @class */ (function () {
         this._stopLimit = function (options) {
             var _a;
             var response = _this.validateLimitOrder(options);
-            if (response.err != null)
+            if (response.err !== null)
                 return response;
             var stopLimit = order_1.OrderFactory.createOrder(__assign(__assign({}, options), { type: types_1.OrderType.STOP_LIMIT, timeInForce: (_a = options.timeInForce) !== null && _a !== void 0 ? _a : types_1.TimeInForce.GTC }));
             return _this._stopOrder(stopLimit, response);
@@ -304,7 +309,7 @@ var OrderBook = /** @class */ (function () {
             var _a;
             var response = _this.validateLimitOrder(options);
             /* node:coverage ignore next - Already validated with limit test */
-            if (response.err != null)
+            if (response.err !== null)
                 return response;
             if (_this.validateOCOOrder(options)) {
                 // We use the same ID for Stop Limit and Limit Order, since
@@ -318,7 +323,7 @@ var OrderBook = /** @class */ (function () {
                     ocoStopPrice: options.stopPrice,
                 }, response);
                 /* node:coverage ignore next - Already validated with limit test */
-                if (response.err != null)
+                if (response.err !== null)
                     return response;
                 var stopLimit = order_1.OrderFactory.createOrder({
                     type: types_1.OrderType.STOP_LIMIT,
@@ -546,21 +551,48 @@ var OrderBook = /** @class */ (function () {
                         if (side == null || size == null) {
                             throw (0, errors_1.CustomError)(errors_1.ERROR.INVALID_JOURNAL_LOG);
                         }
-                        _this.market({ side: side, size: size });
+                        _this.market(log.o);
                         break;
                     }
                     case "l": {
-                        var _b = log.o, side = _b.side, id = _b.id, size = _b.size, price = _b.price, timeInForce = _b.timeInForce;
+                        var _b = log.o, side = _b.side, id = _b.id, size = _b.size, price = _b.price;
                         if (side == null || id == null || size == null || price == null) {
                             throw (0, errors_1.CustomError)(errors_1.ERROR.INVALID_JOURNAL_LOG);
                         }
-                        _this.limit({
-                            side: side,
-                            id: id,
-                            size: size,
-                            price: price,
-                            timeInForce: timeInForce,
-                        });
+                        _this.limit(log.o);
+                        break;
+                    }
+                    case "sm": {
+                        var _c = log.o, side = _c.side, size = _c.size, stopPrice = _c.stopPrice;
+                        if (side == null || size == null || stopPrice == null) {
+                            throw (0, errors_1.CustomError)(errors_1.ERROR.INVALID_JOURNAL_LOG);
+                        }
+                        _this.stopMarket(log.o);
+                        break;
+                    }
+                    case "sl": {
+                        var _d = log.o, side = _d.side, id = _d.id, size = _d.size, price = _d.price, stopPrice = _d.stopPrice;
+                        if (side == null ||
+                            id == null ||
+                            size == null ||
+                            price == null ||
+                            stopPrice == null) {
+                            throw (0, errors_1.CustomError)(errors_1.ERROR.INVALID_JOURNAL_LOG);
+                        }
+                        _this.stopLimit(log.o);
+                        break;
+                    }
+                    case "oco": {
+                        var _e = log.o, side = _e.side, id = _e.id, size = _e.size, price = _e.price, stopPrice = _e.stopPrice, stopLimitPrice = _e.stopLimitPrice;
+                        if (side == null ||
+                            id == null ||
+                            size == null ||
+                            price == null ||
+                            stopPrice == null ||
+                            stopLimitPrice == null) {
+                            throw (0, errors_1.CustomError)(errors_1.ERROR.INVALID_JOURNAL_LOG);
+                        }
+                        _this.oco(log.o);
                         break;
                     }
                     case "d":
@@ -751,40 +783,23 @@ var OrderBook = /** @class */ (function () {
         enumerable: false,
         configurable: true
     });
-    OrderBook.prototype.createOrder = function (typeOrOptions, side, size, price, orderID, timeInForce, stopPrice, stopLimitPrice, stopLimitTimeInForce, postOnly) {
-        if (timeInForce === void 0) { timeInForce = types_1.TimeInForce.GTC; }
-        if (stopLimitTimeInForce === void 0) { stopLimitTimeInForce = types_1.TimeInForce.GTC; }
-        var options;
-        // We don't want to test the deprecated signature.
-        /* node:coverage disable */
-        if (typeof typeOrOptions === "string" &&
-            side !== undefined &&
-            size !== undefined) {
-            options = {
-                type: typeOrOptions,
-                side: side,
-                size: size,
-                // @ts-expect-error
-                price: price,
-                id: orderID,
-                timeInForce: timeInForce,
-                // @ts-expect-error
-                stopPrice: stopPrice,
-                // @ts-expect-error
-                stopLimitPrice: stopLimitPrice,
-                stopLimitTimeInForce: stopLimitTimeInForce,
-                postOnly: postOnly,
-            };
-            /* node:coverage enable */
-        }
-        else if (typeof typeOrOptions === "object") {
-            options = typeOrOptions;
-            /* node:coverage disable */
-        }
-        else {
-            throw new Error("Invalid arguments.");
-        }
-        /* node:coverage enable */
+    /**
+     * Create new order. See {@link CreateOrderOptions} for details.
+     *
+     * @param options
+     * @param options.type - `limit` | `market` | 'stop_limit' | 'stop_market' | 'oco'
+     * @param options.side - `sell` or `buy`
+     * @param options.size - How much of currency you want to trade in units of base currency
+     * @param options.price - The price at which the order is to be fullfilled, in units of the quote currency. Param only for limit order
+     * @param options.orderID - Unique order ID. Param only for limit order
+     * @param options.postOnly - Can be used with 'limit' order and when it's `true` the order will be rejected if immediately matches and trades as a taker. Default is `false`
+     * @param options.stopPrice - The price at which the order will be triggered. Used with `stop_limit` and `stop_market` order.
+     * @param options.stopLimitPrice - The price at which the order will be triggered. Used with `stop_limit` and `stop_market` order.
+     * @param options.timeInForce - Time-in-force supported are: `GTC` (default), `FOK`, `IOC`. Param only for limit order
+     * @param options.stopLimitTimeInForce - Time-in-force supported are: `GTC` (default), `FOK`, `IOC`. Param only for limit order
+     * @returns An object with the result of the processed order or an error. See {@link IProcessOrder} for the returned data structure
+     */
+    OrderBook.prototype.createOrder = function (options) {
         switch (options.type) {
             case types_1.OrderType.MARKET:
                 return this.market(options);
@@ -807,43 +822,49 @@ var OrderBook = /** @class */ (function () {
                 };
         }
     };
-    OrderBook.prototype.market = function (sideOrOptions, size) {
-        // We don't want to test the deprecated signature.
-        /* node:coverage disable */
-        if (typeof sideOrOptions === "string" && size !== undefined) {
-            return this._market({ side: sideOrOptions, size: size });
-            /* node:coverage enable */
-        }
-        if (typeof sideOrOptions === "object") {
-            return this._market(sideOrOptions);
-            /* node:coverage disable */
+    /**
+     * Create a market order. See {@link MarketOrderOptions} for details.
+     *
+     * @param options
+     * @param options.side - `sell` or `buy`
+     * @param options.size - How much of currency you want to trade in units of base currency
+     * @returns An object with the result of the processed order or an error. See {@link IProcessOrder} for the returned data structure
+     */
+    OrderBook.prototype.market = function (options) {
+        var response = this._market(options);
+        if (this.enableJournaling && response.err === null) {
+            response.log = {
+                opId: ++this._lastOp,
+                ts: Date.now(),
+                op: "m",
+                o: options,
+            };
         }
-        throw new Error("Invalid arguments.");
-        /* node:coverage enable */
+        return response;
     };
-    OrderBook.prototype.limit = function (sideOrOptions, orderID, size, price, timeInForce) {
-        if (timeInForce === void 0) { timeInForce = types_1.TimeInForce.GTC; }
-        // We don't want to test the deprecated signature.
-        /* node:coverage disable */
-        if (typeof sideOrOptions === "string" &&
-            orderID !== undefined &&
-            size !== undefined &&
-            price !== undefined) {
-            return this._limit({
-                id: orderID,
-                side: sideOrOptions,
-                size: size,
-                price: price,
-                timeInForce: timeInForce,
-            });
-            /* node:coverage enable */
-        }
-        if (typeof sideOrOptions === "object") {
-            return this._limit(sideOrOptions);
-            /* node:coverage disable */
+    /**
+     * Create a limit order. See {@link LimitOrderOptions} for details.
+     *
+     * @param options
+     * @param options.side - `sell` or `buy`
+     * @param options.id - Unique order ID
+     * @param options.size - How much of currency you want to trade in units of base currency
+     * @param options.price - The price at which the order is to be fullfilled, in units of the quote currency
+     * @param options.postOnly - When `true` the order will be rejected if immediately matches and trades as a taker. Default is `false`
+     * @param options.timeInForce - Time-in-force type supported are: GTC, FOK, IOC. Default is GTC
+     * @returns An object with the result of the processed order or an error. See {@link IProcessOrder} for the returned data structure
+     */
+    OrderBook.prototype.limit = function (options) {
+        var response = this._limit(options);
+        if (this.enableJournaling && response.err === null) {
+            response.log = {
+                opId: ++this._lastOp,
+                ts: Date.now(),
+                op: "l",
+                o: options,
+            };
         }
-        throw new Error("Invalid arguments.");
-        /* node:coverage enable */
+        return response;
     };
     return OrderBook;
 }());