nodejs-order-book 9.0.0 → 9.1.1

package/README.md

@@ -387,6 +387,7 @@ A `snapshot` represents the state of the order book at a specific point in time.
 
  - `asks`: List of ask orders, each with a `price` and a list of associated `orders`.
  - `bids`: List of bid orders, each with a `price` and a list of associated `orders`.
+ - `stopBook`: an object with `bids` and `asks` properties related to every `StopOrder` in the orderbook.
  - `ts`: A timestamp indicating when the snapshot was taken, in Unix timestamp format.
  - `lastOp`: The id of the last operation included in the snapshot
 
@@ -405,7 +406,7 @@ await saveLog(order.log)
 // ... after some time take a snapshot of the order book and save it on the database
 
 const snapshot = ob.snapshot()
-await saveSnapshot(snapshot)
+await saveSnapshot(JSON.stringify(snapshot))
 
 // If you want you can safely remove all logs preceding the `lastOp` id of the snapshot, and continue to save each subsequent log to the database
 await removePreviousLogs(snapshot.lastOp)
@@ -414,7 +415,7 @@ await removePreviousLogs(snapshot.lastOp)
 const logs = await getLogs()
 const snapshot = await getSnapshot()
 
-const ob = new OrderBook({ snapshot, journal: log, enableJournaling: true })
+const ob = new OrderBook({ snapshot: JSON.parse(snapshot), journal: log, enableJournaling: true })
 ```
 
 ### Journal Logs

package/dist/cjs/orderbook.js

@@ -252,7 +252,8 @@ var OrderBook = /** @class */ (function () {
             _this.asks.priceTree().forEach(function (price, orders) {
                 asks.push({ price: price, orders: orders.toArray().map(function (o) { return o.toObject(); }) });
             });
-            return { bids: bids, asks: asks, ts: Date.now(), lastOp: _this._lastOp };
+            var stopBook = _this.stopBook.snapshot();
+            return { bids: bids, asks: asks, stopBook: stopBook, ts: Date.now(), lastOp: _this._lastOp };
         };
         this._market = function (options, incomingResponse) {
             var response = incomingResponse !== null && incomingResponse !== void 0 ? incomingResponse : _this.validateMarketOrder(options);
@@ -355,25 +356,50 @@ var OrderBook = /** @class */ (function () {
             return response;
         };
         this.restoreSnapshot = function (snapshot) {
+            var _a, _b, _c, _d;
             _this._lastOp = snapshot.lastOp;
-            for (var _i = 0, _a = snapshot.bids; _i < _a.length; _i++) {
-                var level = _a[_i];
-                for (var _b = 0, _c = level.orders; _b < _c.length; _b++) {
-                    var order = _c[_b];
+            for (var _i = 0, _e = snapshot.bids; _i < _e.length; _i++) {
+                var level = _e[_i];
+                for (var _f = 0, _g = level.orders; _f < _g.length; _f++) {
+                    var order = _g[_f];
                     var newOrder = order_1.OrderFactory.createOrder(order);
                     _this.orders[newOrder.id] = newOrder;
                     _this.bids.append(newOrder);
                 }
             }
-            for (var _d = 0, _e = snapshot.asks; _d < _e.length; _d++) {
-                var level = _e[_d];
-                for (var _f = 0, _g = level.orders; _f < _g.length; _f++) {
-                    var order = _g[_f];
+            for (var _h = 0, _j = snapshot.asks; _h < _j.length; _h++) {
+                var level = _j[_h];
+                for (var _k = 0, _l = level.orders; _k < _l.length; _k++) {
+                    var order = _l[_k];
                     var newOrder = order_1.OrderFactory.createOrder(order);
                     _this.orders[newOrder.id] = newOrder;
                     _this.asks.append(newOrder);
                 }
             }
+            if (((_b = (_a = snapshot.stopBook) === null || _a === void 0 ? void 0 : _a.bids) === null || _b === void 0 ? void 0 : _b.length) > 0) {
+                for (var _m = 0, _o = snapshot.stopBook.bids; _m < _o.length; _m++) {
+                    var level = _o[_m];
+                    for (var _p = 0, _q = level.orders; _p < _q.length; _p++) {
+                        var order = _q[_p];
+                        // @ts-expect-error // TODO fix types
+                        var newOrder = order_1.OrderFactory.createOrder(order);
+                        // @ts-expect-error // TODO fix types
+                        _this.stopBook.add(newOrder);
+                    }
+                }
+            }
+            if (((_d = (_c = snapshot.stopBook) === null || _c === void 0 ? void 0 : _c.asks) === null || _d === void 0 ? void 0 : _d.length) > 0) {
+                for (var _r = 0, _s = snapshot.stopBook.asks; _r < _s.length; _r++) {
+                    var level = _s[_r];
+                    for (var _t = 0, _u = level.orders; _t < _u.length; _t++) {
+                        var order = _u[_t];
+                        // @ts-expect-error // TODO fix types
+                        var newOrder = order_1.OrderFactory.createOrder(order);
+                        // @ts-expect-error // TODO fix types
+                        _this.stopBook.add(newOrder);
+                    }
+                }
+            }
         };
         /**
          * Remove an existing order with given ID from the order book

package/dist/cjs/stopbook.js

@@ -57,6 +57,17 @@ var StopBook = /** @class */ (function () {
             }
             return response;
         };
+        this.snapshot = function () {
+            var bids = [];
+            var asks = [];
+            _this.bids.priceTree().forEach(function (price, orders) {
+                bids.push({ price: price, orders: orders.toArray().map(function (o) { return o.toObject(); }) });
+            });
+            _this.asks.priceTree().forEach(function (price, orders) {
+                asks.push({ price: price, orders: orders.toArray().map(function (o) { return o.toObject(); }) });
+            });
+            return { bids: bids, asks: asks };
+        };
         this.bids = new stopside_1.StopSide(types_1.Side.BUY);
         this.asks = new stopside_1.StopSide(types_1.Side.SELL);
     }

package/dist/cjs/stopqueue.js

@@ -44,6 +44,9 @@ var StopQueue = /** @class */ (function () {
             }
             return deletedOrder;
         };
+        this.toArray = function () {
+            return _this._orders.toArray();
+        };
         this._price = price;
         this._orders = new denque_1.default();
     }

package/dist/cjs/stopside.js

@@ -65,6 +65,9 @@ var StopSide = /** @class */ (function () {
             upperBound);
             return queues;
         };
+        this.priceTree = function () {
+            return _this._priceTree;
+        };
         var compare = side === types_1.Side.SELL
             ? function (a, b) { return a - b; }
             : function (a, b) { return b - a; };

package/dist/esm/orderbook.js

@@ -249,7 +249,8 @@ var OrderBook = /** @class */ (function () {
             _this.asks.priceTree().forEach(function (price, orders) {
                 asks.push({ price: price, orders: orders.toArray().map(function (o) { return o.toObject(); }) });
             });
-            return { bids: bids, asks: asks, ts: Date.now(), lastOp: _this._lastOp };
+            var stopBook = _this.stopBook.snapshot();
+            return { bids: bids, asks: asks, stopBook: stopBook, ts: Date.now(), lastOp: _this._lastOp };
         };
         this._market = function (options, incomingResponse) {
             var response = incomingResponse !== null && incomingResponse !== void 0 ? incomingResponse : _this.validateMarketOrder(options);
@@ -352,25 +353,50 @@ var OrderBook = /** @class */ (function () {
             return response;
         };
         this.restoreSnapshot = function (snapshot) {
+            var _a, _b, _c, _d;
             _this._lastOp = snapshot.lastOp;
-            for (var _i = 0, _a = snapshot.bids; _i < _a.length; _i++) {
-                var level = _a[_i];
-                for (var _b = 0, _c = level.orders; _b < _c.length; _b++) {
-                    var order = _c[_b];
+            for (var _i = 0, _e = snapshot.bids; _i < _e.length; _i++) {
+                var level = _e[_i];
+                for (var _f = 0, _g = level.orders; _f < _g.length; _f++) {
+                    var order = _g[_f];
                     var newOrder = OrderFactory.createOrder(order);
                     _this.orders[newOrder.id] = newOrder;
                     _this.bids.append(newOrder);
                 }
             }
-            for (var _d = 0, _e = snapshot.asks; _d < _e.length; _d++) {
-                var level = _e[_d];
-                for (var _f = 0, _g = level.orders; _f < _g.length; _f++) {
-                    var order = _g[_f];
+            for (var _h = 0, _j = snapshot.asks; _h < _j.length; _h++) {
+                var level = _j[_h];
+                for (var _k = 0, _l = level.orders; _k < _l.length; _k++) {
+                    var order = _l[_k];
                     var newOrder = OrderFactory.createOrder(order);
                     _this.orders[newOrder.id] = newOrder;
                     _this.asks.append(newOrder);
                 }
             }
+            if (((_b = (_a = snapshot.stopBook) === null || _a === void 0 ? void 0 : _a.bids) === null || _b === void 0 ? void 0 : _b.length) > 0) {
+                for (var _m = 0, _o = snapshot.stopBook.bids; _m < _o.length; _m++) {
+                    var level = _o[_m];
+                    for (var _p = 0, _q = level.orders; _p < _q.length; _p++) {
+                        var order = _q[_p];
+                        // @ts-expect-error // TODO fix types
+                        var newOrder = OrderFactory.createOrder(order);
+                        // @ts-expect-error // TODO fix types
+                        _this.stopBook.add(newOrder);
+                    }
+                }
+            }
+            if (((_d = (_c = snapshot.stopBook) === null || _c === void 0 ? void 0 : _c.asks) === null || _d === void 0 ? void 0 : _d.length) > 0) {
+                for (var _r = 0, _s = snapshot.stopBook.asks; _r < _s.length; _r++) {
+                    var level = _s[_r];
+                    for (var _t = 0, _u = level.orders; _t < _u.length; _t++) {
+                        var order = _u[_t];
+                        // @ts-expect-error // TODO fix types
+                        var newOrder = OrderFactory.createOrder(order);
+                        // @ts-expect-error // TODO fix types
+                        _this.stopBook.add(newOrder);
+                    }
+                }
+            }
         };
         /**
          * Remove an existing order with given ID from the order book

package/dist/esm/stopbook.js

@@ -54,6 +54,17 @@ var StopBook = /** @class */ (function () {
             }
             return response;
         };
+        this.snapshot = function () {
+            var bids = [];
+            var asks = [];
+            _this.bids.priceTree().forEach(function (price, orders) {
+                bids.push({ price: price, orders: orders.toArray().map(function (o) { return o.toObject(); }) });
+            });
+            _this.asks.priceTree().forEach(function (price, orders) {
+                asks.push({ price: price, orders: orders.toArray().map(function (o) { return o.toObject(); }) });
+            });
+            return { bids: bids, asks: asks };
+        };
         this.bids = new StopSide(Side.BUY);
         this.asks = new StopSide(Side.SELL);
     }

package/dist/esm/stopqueue.js

@@ -38,6 +38,9 @@ var StopQueue = /** @class */ (function () {
             }
             return deletedOrder;
         };
+        this.toArray = function () {
+            return _this._orders.toArray();
+        };
         this._price = price;
         this._orders = new Denque();
     }

package/dist/esm/stopside.js

@@ -59,6 +59,9 @@ var StopSide = /** @class */ (function () {
             upperBound);
             return queues;
         };
+        this.priceTree = function () {
+            return _this._priceTree;
+        };
         var compare = side === Side.SELL
             ? function (a, b) { return a - b; }
             : function (a, b) { return b - a; };

package/dist/types/stopbook.d.ts

@@ -1,5 +1,5 @@
 import type { StopQueue } from "./stopqueue";
-import { Side, type StopOrder } from "./types";
+import { type IStopOrder, Side, type StopOrder } from "./types";
 export declare class StopBook {
     private readonly bids;
     private readonly asks;
@@ -17,4 +17,14 @@ export declare class StopBook {
      *    Sell: marketPrice > stopPrice
      */
     validConditionalOrder: (marketPrice: number, order: StopOrder) => boolean;
+    snapshot: () => {
+        bids: {
+            price: number;
+            orders: IStopOrder[];
+        }[];
+        asks: {
+            price: number;
+            orders: IStopOrder[];
+        }[];
+    };
 }

package/dist/types/stopqueue.d.ts

@@ -9,4 +9,5 @@ export declare class StopQueue {
     removeFromHead: () => StopOrder | undefined;
     append: (order: StopOrder) => StopOrder;
     remove: (id: string) => StopOrder | undefined;
+    toArray: () => StopOrder[];
 }

package/dist/types/stopside.d.ts

@@ -1,3 +1,4 @@
+import createRBTree from "functional-red-black-tree";
 import { StopQueue } from "./stopqueue";
 import { Side, type StopOrder } from "./types";
 export declare class StopSide {
@@ -9,4 +10,5 @@ export declare class StopSide {
     remove: (id: string, stopPrice: number) => StopOrder | undefined;
     removePriceLevel: (priceLevel: number) => void;
     between: (priceBefore: number, marketPrice: number) => StopQueue[];
+    priceTree: () => createRBTree.Tree<number, StopQueue>;
 }

package/dist/types/types.d.ts

@@ -357,6 +357,16 @@ export interface Snapshot {
         /** List of orders associated with this price */
         orders: ILimitOrder[];
     }>;
+    stopBook: {
+        asks: Array<{
+            price: number;
+            orders: IStopOrder[];
+        }>;
+        bids: Array<{
+            price: number;
+            orders: IStopOrder[];
+        }>;
+    };
     /** Unix timestamp representing when the snapshot was taken */
     ts: number;
     /** The id of the last operation inserted in the orderbook */

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "nodejs-order-book",
-  "version": "9.0.0",
+  "version": "9.1.1",
   "description": "Node.js Lmit Order Book for high-frequency trading (HFT).",
   "author": "Andrea Fassina <fasenderos@gmail.com>",
   "license": "MIT",
@@ -14,15 +14,13 @@
   },
   "main": "dist/cjs/index.js",
   "module": "dist/esm/index.js",
-  "umd:main": "dist/umd/index.js",
   "types": "dist/types/index.d.js",
   "scripts": {
     "addscope": "node tools/packagejson name @fasenderos/nodejs-order-book",
     "bench": "node benchmarks/benchmark_lob.js",
-    "build": "npm run build:cjs && npm run build:esm && npm run build:umd && npm run build:types",
+    "build": "npm run build:cjs && npm run build:esm && npm run build:types",
     "build:cjs": "node tools/cleanup cjs && tsc -p config/tsconfig.cjs.json",
     "build:esm": "node tools/cleanup esm && tsc -p config/tsconfig.esm.json",
-    "build:umd": "node tools/cleanup umd && webpack --config config/webpack.config.js",
     "build:types": "node tools/cleanup types && tsc -p config/tsconfig.types.json",
     "clean": "node tools/cleanup",
     "lint": "biome check ./src ./test",
@@ -46,26 +44,20 @@
     "functional-red-black-tree": "1.0.1"
   },
   "devDependencies": {
-    "@biomejs/biome": "^1.8.3",
+    "@biomejs/biome": "^2.1.2",
     "@commitlint/cli": "^19.3.0",
     "@commitlint/config-conventional": "^19.2.2",
-    "@release-it/conventional-changelog": "^9.0.1",
+    "@release-it/conventional-changelog": "^10.0.0",
     "@types/functional-red-black-tree": "^1.0.6",
     "c8": "^10.1.2",
-    "crypto-browserify": "^3.12.0",
     "gaussian": "^1.0.0",
     "husky": "^9.1.1",
     "nanobench": "^3.0.0",
     "pinst": "^3.0.0",
-    "release-it": "^17.0.3",
-    "stream-browserify": "^3.0.0",
-    "ts-loader": "^9.0.0",
+    "release-it": "^19.0.2",
     "ts-node": "^10.0.0",
     "tsx": "^4.16.5",
-    "typescript": "^5.0.0",
-    "vm-browserify": "^1.1.2",
-    "webpack": "^5.0.0",
-    "webpack-cli": "^5.0.0"
+    "typescript": "^5.0.0"
   },
   "publishConfig": {
     "access": "public"