OrderBooks Store

A minimal set of utilities for handling orderbook snapshots and delta updates, with bybit examples.

Contributions & Thanks

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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.
Easily access spread percent between bid/ask price.
Easily keep orderbook depth trimmed to max depth.
Tiny module with 0 external dependencies.

Installation

npm install -save orderbooks

Usage

Tracking

Import books store & level

const { OrderBooksStore, OrderBookLevel } = require('orderbooks');

Create instance of orderbooks store, to store multiple order books for a broker `javascript // 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/](./samples/) folder for more.

### Real Example - Binance
See [./samples/binance.js](./samples/binance.js)

### 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

See [./samples/bybit.js](./samples/bybit.js)

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.

```javascript
const btcOrderBook = OrderBooks.getBook('BTCUSD');

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 = 0.01

Utility 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();

Package detail

crypto-orderbooks

readme