Package Exports
- orderbooks
- orderbooks/lib/index.js
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Readme
OrderBooks Store 
A minimal set of utilities for handling orderbook snapshots and delta updates, with bybit examples.
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Documentation
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- Check out my examples:
Project Contributions
Contributions are very welcome, I will review any incoming pull requests. See the issues tab for todo items.
Features
- Handle snapshot and delta orderbook events.
- Track multiple symbol orderbooks.
- Easily access best bid/ask prices.
- Conveniently access the difference between the best bid and ask prices, with the spread represented in basis point units.
- Easily keep orderbook depth trimmed to max depth.
- Tiny module with 0 external dependencies.
Installation
npm install -save orderbooksUsage
Tracking
- Import books store & level
const { OrderBooksStore, OrderBookLevel } = require('orderbooks');- Create instance of orderbooks store, to store multiple order books for a broker
// all options are optional
const options = {
// output traces on any events sent handled by book
traceLog: true,
// check current timestamp > last timestamp, else deny processing event
checkTimestamps: false,
// max size of orderbook (e.g 50 == 25 bids & 25 asks). Defaults to 250.
maxDepth: 50,
};
const OrderBooks = new OrderBooksStore(options);- Feed snapshot and delta updates into OrderBooks.handle() methods.
Examples
See the ./samples/ folder for more.
Real Example - Binance
Real Example - Bybit
- Import modules
- Prepare OrderBooks store instance
- Connect to OrderBooks websockets
- Map event properties to expected key:value pairs
- Feed mapped snapshot and delta events into OrderBooks.handle() methods
Example output with print() calls to output book state to console:
---------- BTCUSD ask:bid 9240:9239.5 & spread: 0.01%
┌─────────┬──────────┬────────┬────────┬─────────┐
│ (index) │ symbol │ price │ side │ qty │
├─────────┼──────────┼────────┼────────┼─────────┤
│ 0 │ 'BTCUSD' │ 9252 │ 'Sell' │ 132623 │
│ 1 │ 'BTCUSD' │ 9251.5 │ 'Sell' │ 82221 │
│ 2 │ 'BTCUSD' │ 9251 │ 'Sell' │ 34974 │
│ 3 │ 'BTCUSD' │ 9250.5 │ 'Sell' │ 12842 │
│ 4 │ 'BTCUSD' │ 9250 │ 'Sell' │ 550687 │
│ 5 │ 'BTCUSD' │ 9249.5 │ 'Sell' │ 63371 │
│ 6 │ 'BTCUSD' │ 9249 │ 'Sell' │ 200127 │
│ 7 │ 'BTCUSD' │ 9248.5 │ 'Sell' │ 129099 │
│ 8 │ 'BTCUSD' │ 9248 │ 'Sell' │ 209061 │
│ 9 │ 'BTCUSD' │ 9247.5 │ 'Sell' │ 30722 │
│ 10 │ 'BTCUSD' │ 9247 │ 'Sell' │ 165469 │
│ 11 │ 'BTCUSD' │ 9246.5 │ 'Sell' │ 97780 │
│ 12 │ 'BTCUSD' │ 9246 │ 'Sell' │ 95342 │
│ 13 │ 'BTCUSD' │ 9245.5 │ 'Sell' │ 41319 │
│ 14 │ 'BTCUSD' │ 9245 │ 'Sell' │ 227242 │
│ 15 │ 'BTCUSD' │ 9244.5 │ 'Sell' │ 167586 │
│ 16 │ 'BTCUSD' │ 9244 │ 'Sell' │ 237029 │
│ 17 │ 'BTCUSD' │ 9243.5 │ 'Sell' │ 103426 │
│ 18 │ 'BTCUSD' │ 9243 │ 'Sell' │ 126357 │
│ 19 │ 'BTCUSD' │ 9242.5 │ 'Sell' │ 165034 │
│ 20 │ 'BTCUSD' │ 9242 │ 'Sell' │ 264286 │
│ 21 │ 'BTCUSD' │ 9241.5 │ 'Sell' │ 261200 │
│ 22 │ 'BTCUSD' │ 9241 │ 'Sell' │ 233533 │
│ 23 │ 'BTCUSD' │ 9240.5 │ 'Sell' │ 399512 │
│ 24 │ 'BTCUSD' │ 9240 │ 'Sell' │ 1397987 │
│ 25 │ 'BTCUSD' │ 9239.5 │ 'Buy' │ 1132 │
│ 26 │ 'BTCUSD' │ 9239 │ 'Buy' │ 234214 │
│ 27 │ 'BTCUSD' │ 9238.5 │ 'Buy' │ 58320 │
│ 28 │ 'BTCUSD' │ 9238 │ 'Buy' │ 17094 │
│ 29 │ 'BTCUSD' │ 9237.5 │ 'Buy' │ 50980 │
│ 30 │ 'BTCUSD' │ 9237 │ 'Buy' │ 13449 │
│ 31 │ 'BTCUSD' │ 9236.5 │ 'Buy' │ 2608 │
│ 32 │ 'BTCUSD' │ 9236 │ 'Buy' │ 53742 │
│ 33 │ 'BTCUSD' │ 9235.5 │ 'Buy' │ 106681 │
│ 34 │ 'BTCUSD' │ 9235 │ 'Buy' │ 48653 │
│ 35 │ 'BTCUSD' │ 9234.5 │ 'Buy' │ 76188 │
│ 36 │ 'BTCUSD' │ 9234 │ 'Buy' │ 215664 │
│ 37 │ 'BTCUSD' │ 9233.5 │ 'Buy' │ 169265 │
│ 38 │ 'BTCUSD' │ 9233 │ 'Buy' │ 30296 │
│ 39 │ 'BTCUSD' │ 9232.5 │ 'Buy' │ 196676 │
│ 40 │ 'BTCUSD' │ 9232 │ 'Buy' │ 82840 │
│ 41 │ 'BTCUSD' │ 9231.5 │ 'Buy' │ 105854 │
│ 42 │ 'BTCUSD' │ 9231 │ 'Buy' │ 1671 │
│ 43 │ 'BTCUSD' │ 9230.5 │ 'Buy' │ 25909 │
│ 44 │ 'BTCUSD' │ 9230 │ 'Buy' │ 146198 │
│ 45 │ 'BTCUSD' │ 9229.5 │ 'Buy' │ 95941 │
│ 46 │ 'BTCUSD' │ 9229 │ 'Buy' │ 61212 │
│ 47 │ 'BTCUSD' │ 9228.5 │ 'Buy' │ 76966 │
│ 48 │ 'BTCUSD' │ 9228 │ 'Buy' │ 93996 │
│ 49 │ 'BTCUSD' │ 9227.5 │ 'Buy' │ 44058 │
└─────────┴──────────┴────────┴────────┴─────────┘Accessing State
Access orderbook state using the OrderBooksStore.
const btcOrderBook = OrderBooks.getBook('BTCUSD');
// Get an array dump of the current orderbook state (similar to what you see on exchange websites)
const btcOrderBookState = btcOrderBook.getBookState();
console.log('Current book state: ', JSON.stringify(btcOrderBookState));
const bestBid = btcOrderBook.getBestBid();
// bestBid = 9239.5
const secondBestBid = btcOrderBook.getBestBid(1);
// secondBestBid = 9239
const bestAsk = btcOrderBook.getBestAsk();
// bestAsk = 9040
const secondBestAsk = btcOrderBook.getBestAsk(1);
// secondBestAsk = 9040.5
const currentSpread = btcORderBook.getSpreadPercent();
// currentSpread = 0.01Utility Methods
The following ultity methods are exposed for each book:
const btcOrderBook = OrderBooks.getBook('BTCUSD');
// console.log current orderbook state
btcOrderBook.print();
// clear current orderbook to free memory
btcOrderBook.reset();Contributions & Thanks
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