nodejs-order-book 9.1.1 → 10.0.0

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Files changed (6) hide show
  1. package/README.md +41 -12
  2. package/dist/cjs/orderbook.js +2 -16
  3. package/dist/esm/orderbook.js +2 -16
  4. package/dist/types/orderbook.d.ts +1 -3
  5. package/dist/types/types.d.ts +0 -5
  6. package/package.json +1 -1
package/README.md CHANGED
@@ -19,7 +19,7 @@ Ultra-fast Node.js Order Book written in TypeScript </br> for high-frequency tra
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  - [Features](#features)
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  - [Installation](#installation)
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  - [Usage](#usage)
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- - [Experimental Conditional Orders](#conditional-orders-)
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+ - [Conditional Orders](#conditional-orders)
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  - [About Primary Functions](#about-primary-functions)
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  - [Create order `createOrder()`](#create-order)
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  - [Create Limit order `limit()`](#create-limit-order)
@@ -48,7 +48,7 @@ Ultra-fast Node.js Order Book written in TypeScript </br> for high-frequency tra
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  - Standard price-time priority
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  - Supports both market and limit orders
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  - Supports `post-only` limit order <img src="https://img.shields.io/badge/New-green" alt="New">
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- - Supports conditional orders [**Stop Limit, Stop Market and OCO**](#conditional-orders-) <img src="https://img.shields.io/badge/New-green" alt="New"> <img src="https://img.shields.io/badge/Experimental-blue" alt="Experimental">
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+ - Supports conditional orders [**Stop Limit, Stop Market and OCO**](#conditional-orders) <img src="https://img.shields.io/badge/New-green" alt="New">
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  - Supports time in force GTC, FOK and IOC <img src="https://img.shields.io/badge/New-green" alt="New">
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  - Supports order cancelling
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  - Supports order price and/or size updating <img src="https://img.shields.io/badge/New-green" alt="New">
@@ -102,20 +102,49 @@ ob.modify(orderID: string, { side: 'buy' | 'sell', size: number, price: number }
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  ob.cancel(orderID: string)
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  ```
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- ### Conditional Orders ![Experimental](https://img.shields.io/badge/Experimental-blue)
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- The version `v6.1.0` introduced support for Conditional Orders `Stop Market`, `Stop Limit` and `OCO`. Even though the test coverage for these new features is at 100%, they are not yet considered stable because they have not been tested with real-world scenarios. For this reason, if you want to use conditional orders, you need to instantiate the order book with the `experimentalConditionalOrders` option set to `true`.
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+ ### Conditional Orders
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+ Currently `Stop Market`, `Stop Limit` and `OCO` orders are supported.
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  ```js
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  import { OrderBook } from 'nodejs-order-book'
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- const ob = new OrderBook({ experimentalConditionalOrders: true })
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-
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- ob.createOrder({ type: 'stop_limit' | 'stop_market' | 'oco', side: 'buy' | 'sell', size: number, price?: number, id?: string, stopPrice?: number, timeInForce?: 'GTC' | 'FOK' | 'IOC', stopLimitTimeInForce?: 'GTC' | 'FOK' | 'IOC' })
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-
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- ob.stopLimit({ id: string, side: 'buy' | 'sell', size: number, price: number, stopPrice: number, timeInForce?: 'GTC' | 'FOK' | 'IOC' })
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-
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- ob.stopMarket({ side: 'buy' | 'sell', size: number, stopPrice: number })
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+ const ob = new OrderBook()
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- ob.oco({ id: string, side: 'buy' | 'sell', size: number, price: number, stopPrice: number, stopLimitPrice: number, timeInForce?: 'GTC' | 'FOK' | 'IOC', stopLimitTimeInForce?: 'GTC' | 'FOK' | 'IOC' })
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+ ob.createOrder({
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+ type: 'stop_limit' | 'stop_market' | 'oco',
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+ side: 'buy' | 'sell',
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+ size: number,
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+ price?: number,
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+ id?: string,
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+ stopPrice?: number,
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+ timeInForce?: 'GTC' | 'FOK' | 'IOC',
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+ stopLimitTimeInForce?: 'GTC' | 'FOK' | 'IOC'
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+ })
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+
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+ ob.stopLimit({
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+ id: string,
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+ side: 'buy' | 'sell',
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+ size: number,
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+ price: number,
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+ stopPrice: number,
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+ timeInForce?: 'GTC' | 'FOK' | 'IOC'
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+ })
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+
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+ ob.stopMarket({
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+ side: 'buy' | 'sell',
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+ size: number,
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+ stopPrice: number
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+ })
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+
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+ ob.oco({
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+ id: string,
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+ side: 'buy' | 'sell',
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+ size: number,
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+ price: number,
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+ stopPrice: number,
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+ stopLimitPrice: number,
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+ timeInForce?: 'GTC' | 'FOK' | 'IOC',
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+ stopLimitTimeInForce?: 'GTC' | 'FOK' | 'IOC'
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+ })
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  ```
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  ## About primary functions
package/dist/cjs/orderbook.js CHANGED
@@ -26,10 +26,9 @@ var OrderBook = /** @class */ (function () {
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  * @param {JournalLog} [options.snapshot] - The orderbook snapshot will be restored before processing any journal logs, if any.
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  * @param {JournalLog} [options.journal] - Array of journal logs (optional).
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  * @param {boolean} [options.enableJournaling=false] - Flag to enable journaling. Default to false
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- * @param {boolean} [options.experimentalConditionalOrders=false] - Flag to enable experimental Conditional Order (Stop Market, Stop Limit and OCO orders). Default to false
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  */
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  function OrderBook(_a) {
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- var _b = _a === void 0 ? {} : _a, snapshot = _b.snapshot, journal = _b.journal, _c = _b.enableJournaling, enableJournaling = _c === void 0 ? false : _c, _d = _b.experimentalConditionalOrders, experimentalConditionalOrders = _d === void 0 ? false : _d;
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+ var _b = _a === void 0 ? {} : _a, snapshot = _b.snapshot, journal = _b.journal, _c = _b.enableJournaling, enableJournaling = _c === void 0 ? false : _c;
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  var _this = this;
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  this.orders = {};
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  this._lastOp = 0;
@@ -44,9 +43,6 @@ var OrderBook = /** @class */ (function () {
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  * @returns An object with the result of the processed order or an error. See {@link IProcessOrder} for the returned data structure
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  */
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  this.stopMarket = function (options) {
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- /* node:coverage ignore next 4 - We don't need test for this */
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- if (!_this.experimentalConditionalOrders)
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- throw new Error("In order to use conditional orders you need to instantiate the order book with the `experimentalConditionalOrders` option set to true");
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  var response = _this._stopMarket(options);
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  if (_this.enableJournaling && response.err === null) {
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  response.log = {
@@ -71,9 +67,6 @@ var OrderBook = /** @class */ (function () {
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  * @returns An object with the result of the processed order or an error. See {@link IProcessOrder} for the returned data structure
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  */
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  this.stopLimit = function (options) {
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- /* node:coverage ignore next 4 - We don't need test for this */
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- if (!_this.experimentalConditionalOrders)
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- throw new Error("In order to use conditional orders you need to instantiate the order book with the `experimentalConditionalOrders` option set to true");
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  var response = _this._stopLimit(options);
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  if (_this.enableJournaling && response.err === null) {
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  response.log = {
@@ -109,9 +102,6 @@ var OrderBook = /** @class */ (function () {
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  * @returns An object with the result of the processed order or an error. See {@link IProcessOrder} for the returned data structure
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  */
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  this.oco = function (options) {
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- /* node:coverage ignore next 4 - We don't need test for this */
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- if (!_this.experimentalConditionalOrders)
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- throw new Error("In order to use conditional orders you need to instantiate the order book with the `experimentalConditionalOrders` option set to true");
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  var response = _this._oco(options);
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  if (_this.enableJournaling && response.err === null) {
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  response.log = {
@@ -532,8 +522,6 @@ var OrderBook = /** @class */ (function () {
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  return order;
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  };
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  this.executeConditionalOrder = function (side, priceBefore, response) {
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- if (!_this.experimentalConditionalOrders)
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- return;
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  var pendingOrders = _this.stopBook.getConditionalOrders(side, priceBefore, _this._marketPrice);
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  if (pendingOrders.length > 0) {
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  var toBeExecuted_1 = [];
@@ -697,8 +685,7 @@ var OrderBook = /** @class */ (function () {
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  }
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  }
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  // Remove linked OCO Stop Order if any
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- if (_this.experimentalConditionalOrders &&
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- headOrder.ocoStopPrice !== undefined) {
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+ if (headOrder.ocoStopPrice !== undefined) {
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  _this.stopBook.remove(headOrder.side, headOrder.id, headOrder.ocoStopPrice);
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  }
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  _this._marketPrice = headOrder.price;
@@ -783,7 +770,6 @@ var OrderBook = /** @class */ (function () {
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  this.asks = new orderside_1.OrderSide(types_1.Side.SELL);
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  this.enableJournaling = enableJournaling;
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  this.stopBook = new stopbook_1.StopBook();
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- this.experimentalConditionalOrders = experimentalConditionalOrders;
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  // First restore from orderbook snapshot
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  if (snapshot != null) {
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  this.restoreSnapshot(snapshot);
package/dist/esm/orderbook.js CHANGED
@@ -23,10 +23,9 @@ var OrderBook = /** @class */ (function () {
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  * @param {JournalLog} [options.snapshot] - The orderbook snapshot will be restored before processing any journal logs, if any.
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  * @param {JournalLog} [options.journal] - Array of journal logs (optional).
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  * @param {boolean} [options.enableJournaling=false] - Flag to enable journaling. Default to false
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- * @param {boolean} [options.experimentalConditionalOrders=false] - Flag to enable experimental Conditional Order (Stop Market, Stop Limit and OCO orders). Default to false
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  */
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  function OrderBook(_a) {
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- var _b = _a === void 0 ? {} : _a, snapshot = _b.snapshot, journal = _b.journal, _c = _b.enableJournaling, enableJournaling = _c === void 0 ? false : _c, _d = _b.experimentalConditionalOrders, experimentalConditionalOrders = _d === void 0 ? false : _d;
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+ var _b = _a === void 0 ? {} : _a, snapshot = _b.snapshot, journal = _b.journal, _c = _b.enableJournaling, enableJournaling = _c === void 0 ? false : _c;
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  var _this = this;
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  this.orders = {};
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  this._lastOp = 0;
@@ -41,9 +40,6 @@ var OrderBook = /** @class */ (function () {
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  * @returns An object with the result of the processed order or an error. See {@link IProcessOrder} for the returned data structure
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  */
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  this.stopMarket = function (options) {
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- /* node:coverage ignore next 4 - We don't need test for this */
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- if (!_this.experimentalConditionalOrders)
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- throw new Error("In order to use conditional orders you need to instantiate the order book with the `experimentalConditionalOrders` option set to true");
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  var response = _this._stopMarket(options);
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  if (_this.enableJournaling && response.err === null) {
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  response.log = {
@@ -68,9 +64,6 @@ var OrderBook = /** @class */ (function () {
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  * @returns An object with the result of the processed order or an error. See {@link IProcessOrder} for the returned data structure
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  */
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  this.stopLimit = function (options) {
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- /* node:coverage ignore next 4 - We don't need test for this */
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- if (!_this.experimentalConditionalOrders)
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- throw new Error("In order to use conditional orders you need to instantiate the order book with the `experimentalConditionalOrders` option set to true");
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  var response = _this._stopLimit(options);
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  if (_this.enableJournaling && response.err === null) {
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  response.log = {
@@ -106,9 +99,6 @@ var OrderBook = /** @class */ (function () {
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  * @returns An object with the result of the processed order or an error. See {@link IProcessOrder} for the returned data structure
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  */
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  this.oco = function (options) {
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- /* node:coverage ignore next 4 - We don't need test for this */
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- if (!_this.experimentalConditionalOrders)
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- throw new Error("In order to use conditional orders you need to instantiate the order book with the `experimentalConditionalOrders` option set to true");
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  var response = _this._oco(options);
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  if (_this.enableJournaling && response.err === null) {
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  response.log = {
@@ -529,8 +519,6 @@ var OrderBook = /** @class */ (function () {
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  return order;
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  };
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  this.executeConditionalOrder = function (side, priceBefore, response) {
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- if (!_this.experimentalConditionalOrders)
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- return;
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  var pendingOrders = _this.stopBook.getConditionalOrders(side, priceBefore, _this._marketPrice);
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  if (pendingOrders.length > 0) {
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  var toBeExecuted_1 = [];
@@ -694,8 +682,7 @@ var OrderBook = /** @class */ (function () {
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  }
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  }
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  // Remove linked OCO Stop Order if any
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- if (_this.experimentalConditionalOrders &&
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- headOrder.ocoStopPrice !== undefined) {
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+ if (headOrder.ocoStopPrice !== undefined) {
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  _this.stopBook.remove(headOrder.side, headOrder.id, headOrder.ocoStopPrice);
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  }
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  _this._marketPrice = headOrder.price;
@@ -780,7 +767,6 @@ var OrderBook = /** @class */ (function () {
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  this.asks = new OrderSide(Side.SELL);
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  this.enableJournaling = enableJournaling;
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  this.stopBook = new StopBook();
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- this.experimentalConditionalOrders = experimentalConditionalOrders;
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  // First restore from orderbook snapshot
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  if (snapshot != null) {
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  this.restoreSnapshot(snapshot);
package/dist/types/orderbook.d.ts CHANGED
@@ -8,16 +8,14 @@ export declare class OrderBook {
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  private readonly asks;
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  private readonly enableJournaling;
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  private readonly stopBook;
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- private readonly experimentalConditionalOrders;
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  /**
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  * Creates an instance of OrderBook.
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  * @param {OrderBookOptions} [options={}] - Options for configuring the order book.
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  * @param {JournalLog} [options.snapshot] - The orderbook snapshot will be restored before processing any journal logs, if any.
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  * @param {JournalLog} [options.journal] - Array of journal logs (optional).
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  * @param {boolean} [options.enableJournaling=false] - Flag to enable journaling. Default to false
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- * @param {boolean} [options.experimentalConditionalOrders=false] - Flag to enable experimental Conditional Order (Stop Market, Stop Limit and OCO orders). Default to false
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  */
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- constructor({ snapshot, journal, enableJournaling, experimentalConditionalOrders, }?: OrderBookOptions);
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+ constructor({ snapshot, journal, enableJournaling, }?: OrderBookOptions);
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  get marketPrice(): number;
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  get lastOp(): number;
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  /**
package/dist/types/types.d.ts CHANGED
@@ -315,11 +315,6 @@ export interface OrderBookOptions {
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  enableJournaling?: boolean;
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  /** Array of journal logs. */
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  journal?: JournalLog[];
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- /**
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- * Flag to enable experimental Conditional Order (Stop Market, Stop Limit and OCO orders).
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- * Default to false
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- */
322
- experimentalConditionalOrders?: boolean;
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  }
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  /**
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  * Represents an update to the price of an order.
package/package.json CHANGED
@@ -1,6 +1,6 @@
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  {
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  "name": "nodejs-order-book",
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- "version": "9.1.1",
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+ "version": "10.0.0",
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  "description": "Node.js Lmit Order Book for high-frequency trading (HFT).",
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  "author": "Andrea Fassina <fasenderos@gmail.com>",
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  "license": "MIT",