bitmex-orderbook

BitMEX OrderBook

The fastest order book implementation for the BitMEX WebSocket API.

Install

yarn add bitmex-orderbook

Or you can use npm install.

Example

const OrderBook = require("./src/OrderBook");

const main = async () => {
  const orderBookL2 = await OrderBook.open("XBTH18", {
    onUpdate(orderBookL2) {
      // Top 10 ask prices.
      const bestAskPrices = orderBookL2.getAskPrices(10);
      
      // Top 5 bid prices, starting at third best (index: 2).
      const [thirdBestBid] = orderBookL2.getBidprices(5, 2); 
      
      thirdBestBid.side; // "Buy"
      thirdBestBid.price; // 17341.5
      thirdBestBid.size; // 400
      thirdBestBid.cumulative; // 57 + 372 + 400
      thirdBestBid.timestamp; // Date()
    },
  });
};

main();

Documentation

OrderBook.open(symbol, options = {}): Promise

• symbol: String - The instrument symbol. Required.

• options.table: String - The order book table to subscribe to. Default: orderBookL2, the fastest table on BitMEX.

• options.depth: Integer - Number of entries to remember for each side bid and ask. The worst prices are evicted. Default: 20.

• options.cumulative: Boolean - Calculate cumulative sizes automatically (at tiny processing cost). Default: true, it's very useful.

• options.socket: WebSocket - An open BitMEX WebSocket connection. If left empty a new WebSocket connection will be opened, and stored in orderBook._client.socket.

• options.onUpdate: Function(OrderBook) - A function that is invoked whenever the prices are updated.

• options.testmode - Connect to the BitMEX test environment. Only used if options.socket is empty. Default: false.

• options.hearbeat - Milliseconds between WebSocket connection pings. Default: 15000.

• options.endpoint - Specifies the wss:// address for a new WebSocket connection. Only used if options.socket is empty. Default: wss://www.bitmex.com/realtime.

OrderBook.getAskPrices(count, skip = 0) : OrderBookEntry

• count: Integer - Max number of prices to return. Sorted by best price first. Default: options.depth.

• skip: Integer - Number of best prices to skip. This is useful with highly volatile markets. Default: 0.

OrderBook.getBidPrices(count, skip = 0) : OrderBookEntry

Same as getAskPrices. Also sorted by best price first.

License

BSD 3-Clause license. Copyright © 2018 Rick Wong.