@ex-master/core - npm Package Compare versions

Comparing version 0.1.11 to 0.1.12

bld/exchange/exchange.d.ts

@@ -33,2 +33,3 @@ import { Decimal } from 'decimal.js';
     pendingUpdatesPriorityScale?: number;
+    parallel?: boolean;
 }
@@ -47,3 +48,4 @@ export declare class Exchange {
     private pendingUpdatesPriorityScale;
-    constructor(client: Client, dashboard: Dashboard, {abortUpdateOnOperationalBalanceChange, pendingUpdatesPriorityScale}?: ExchangeOptions);
+    private parallel;
+    constructor(client: Client, dashboard: Dashboard, {abortUpdateOnOperationalBalanceChange, pendingUpdatesPriorityScale, parallel}?: ExchangeOptions);
     readonly activeOrders: ActiveOrder[];
@@ -63,2 +65,6 @@ readonly markets: Market[];
     private _updateOrders(descriptors, updateMark);
+    private freeAndOrder(descriptor, nextUpdates);
+    private isBalanceSufficient({market, type, price, size});
+    private freeMoney(key, target, updates);
+    private freeStock(key, target, updates);
     private order({label, market, type, price, size, priority});
@@ -65,0 +71,0 @@ private cancelOrder({id, label, market});

bld/exchange/exchange.js

@@ -12,3 +12,3 @@ "use strict";
 class Exchange {
-    constructor(client, dashboard, { abortUpdateOnOperationalBalanceChange = true, pendingUpdatesPriorityScale = 2, } = {}) {
+    constructor(client, dashboard, { abortUpdateOnOperationalBalanceChange = true, pendingUpdatesPriorityScale = 2, parallel = false, } = {}) {
         this.client = client;
@@ -31,2 +31,3 @@ this.dashboard = dashboard;
         this.pendingUpdatesPriorityScale = pendingUpdatesPriorityScale;
+        this.parallel = parallel;
     }
@@ -219,67 +220,88 @@ get activeOrders() {
         ].sort(compareByPriorityAndType);
-        let freeMoney = async (key, target, updates) => {
-            let available;
-            while ((available = this.account.getBalance(key).available).lessThan(target)) {
-                let index = updates.findIndex(({ type, active }) => type === 'bid' && !!active && active.market.money === key);
-                if (index < 0) {
-                    return available;
+        for (let i = 0; i < updates.length; i++) {
+            let { active, descriptor } = updates[i];
+            if (active &&
+                descriptor &&
+                this.parallel &&
+                this.isBalanceSufficient(descriptor)) {
+                let promises = [];
+                if (active) {
+                    promises.push(this.cancelOrder(active));
                 }
-                let update = updates[index];
-                let active = update.active;
-                await this.cancelOrder(active);
-                update.active = undefined;
+                promises.push(this.freeAndOrder(descriptor, updates.slice(i + 1)));
+                await Promise.all(promises);
             }
-            return target;
-        };
-        let freeStock = async (key, target, updates) => {
-            let available;
-            while ((available = this.account.getBalance(key).available).lessThan(target)) {
-                let index = updates.findIndex(({ type, active }) => type === 'ask' && !!active && active.market.stock === key);
-                if (index < 0) {
-                    return available;
+            else {
+                if (active) {
+                    await this.cancelOrder(active);
                 }
-                let update = updates[index];
-                let active = update.active;
-                await this.cancelOrder(active);
-                update.active = undefined;
+                if (descriptor) {
+                    await this.freeAndOrder(descriptor, updates.slice(i + 1));
+                }
             }
-            return target;
-        };
-        for (let i = 0; i < updates.length; i++) {
-            let { type, active, descriptor } = updates[i];
-            if (active) {
-                await this.cancelOrder(active);
+            if (updateMark !== this.activeUpdateMark) {
+                return;
             }
-            if (descriptor) {
-                let { market, label, price, size } = descriptor;
-                let originalSize = size;
-                if (type === 'bid') {
-                    let value = price.mul(size);
-                    let available = await freeMoney(market.money, value, updates.slice(i + 1));
-                    if (available.lessThan(value)) {
-                        size = this.ensureSizePrecision(market, available.dividedBy(price));
-                    }
-                }
-                else {
-                    let available = await freeStock(market.stock, size, updates.slice(i + 1));
-                    if (available.lessThan(size)) {
-                        size = this.ensureSizePrecision(market, available);
-                    }
-                }
-                if (size.isZero() || size.lessThan(this.getMinOrderSize(market))) {
-                    this.dashboard.info(type === 'bid'
-                        ? `insufficient money, skipping order "${label}" ${price} * ${originalSize}.`
-                        : `insufficient stock, skipping order "${label}" ${price} * ${originalSize}.`);
-                    continue;
-                }
-                await this.order({
-                    ...descriptor,
-                    size,
-                });
-                if (updateMark !== this.activeUpdateMark) {
-                    return;
-                }
+        }
+    }
+    async freeAndOrder(descriptor, nextUpdates) {
+        let { type, market, label, price, size } = descriptor;
+        let originalSize = size;
+        if (type === 'bid') {
+            let value = price.mul(size);
+            let available = await this.freeMoney(market.money, value, nextUpdates);
+            if (available.lessThan(value)) {
+                size = this.ensureSizePrecision(market, available.dividedBy(price));
             }
         }
+        else {
+            let available = await this.freeStock(market.stock, size, nextUpdates);
+            if (available.lessThan(size)) {
+                size = this.ensureSizePrecision(market, available);
+            }
+        }
+        if (size.isZero() || size.lessThan(this.getMinOrderSize(market))) {
+            this.dashboard.info(type === 'bid'
+                ? `insufficient money, skipping order "${label}" ${price} * ${originalSize}.`
+                : `insufficient stock, skipping order "${label}" ${price} * ${originalSize}.`);
+            return;
+        }
+        await this.order({
+            ...descriptor,
+            size,
+        });
     }
+    isBalanceSufficient({ market, type, price, size, }) {
+        let target = type === 'ask' ? size : price.mul(size);
+        let key = type === 'ask' ? market.stock : market.money;
+        return this.account.getBalance(key).available.greaterThanOrEqualTo(target);
+    }
+    async freeMoney(key, target, updates) {
+        let available;
+        while ((available = this.account.getBalance(key).available).lessThan(target)) {
+            let index = updates.findIndex(({ type, active }) => type === 'bid' && !!active && active.market.money === key);
+            if (index < 0) {
+                return available;
+            }
+            let update = updates[index];
+            let active = update.active;
+            await this.cancelOrder(active);
+            update.active = undefined;
+        }
+        return target;
+    }
+    async freeStock(key, target, updates) {
+        let available;
+        while ((available = this.account.getBalance(key).available).lessThan(target)) {
+            let index = updates.findIndex(({ type, active }) => type === 'ask' && !!active && active.market.stock === key);
+            if (index < 0) {
+                return available;
+            }
+            let update = updates[index];
+            let active = update.active;
+            await this.cancelOrder(active);
+            update.active = undefined;
+        }
+        return target;
+    }
     async order({ label, market, type, price, size, priority, }) {
@@ -286,0 +308,0 @@ this.dashboard.info(`[${stringifyMarket(market)}] create order "${label}" ${price} * ${size}`);

package.json

 {
   "name": "@ex-master/core",
-  "version": "0.1.11",
+  "version": "0.1.12",
   "main": "bld/index.js",
@@ -5,0 +5,0 @@ "types": "bld/index.d.ts",

No alert changes

Improved metrics

Total package byte prevSize

34074

increased by2.64%

Lines of code

801

increased by3.62%

No dependency changes