tardis-dev - npm Package Compare versions

Comparing version 10.0.0 to 10.0.1

dist/mappers/bitmex.js

@@ -74,16 +74,42 @@ "use strict";
                 if (item.price !== undefined) {
-                    // store the mapping from id to price level if price is specified
-                    this._idToPriceLevelMap.set(item.id, item.price);
+                    // store mapping from id to price level and side if price is specified
+                    // as update and delete messages do not contain that info
+                    this._idToPriceLevelMap.set(item.id, {
+                        price: item.price,
+                        side: item.side
+                    });
                 }
-                const price = this._idToPriceLevelMap.get(item.id);
-                const amount = item.size || 0; // delete messages do not contain size specified
-                // if we still don't have a price it means that there was an update before partial message - let's skip it
-                if (price === undefined) {
+                const cachedItemInfo = this._idToPriceLevelMap.get(item.id);
+                // if we still don't have a price info it means that there was an update before partial message - let's skip it
+                if (cachedItemInfo === undefined) {
                     continue;
                 }
-                if (item.side === 'Buy') {
-                    bids.push({ price, amount });
+                const amount = item.size || 0; // delete messages do not contain size field
+                const { price, side } = cachedItemInfo;
+                // if updated level has the same side as cached level simply add it to proper array according to it's side
+                if (side === item.side) {
+                    if (item.side === 'Buy') {
+                        bids.push({ price, amount });
+                    }
+                    else {
+                        asks.push({ price, amount });
+                    }
                 }
                 else {
-                    asks.push({ price, amount });
+                    // sometimes it happens that updated level (action=update) has changed side instead of being deleted from one side (action=delete)
+                    // and then added on the opposite side (action=insert)
+                    // in such case we need to remove the level from oposite side of the book and add new level
+                    if (item.side === 'Buy') {
+                        bids.push({ price, amount });
+                        asks.push({ price, amount: 0 });
+                    }
+                    else {
+                        bids.push({ price, amount: 0 });
+                        asks.push({ price, amount });
+                    }
+                    // update cached info as side has changed
+                    this._idToPriceLevelMap.set(item.id, {
+                        price,
+                        side: item.side
+                    });
                 }
@@ -90,0 +116,0 @@ }

package.json

 {
   "name": "tardis-dev",
-  "version": "10.0.0",
+  "version": "10.0.1",
   "engines": {
@@ -5,0 +5,0 @@ "node": ">=12"

src/mappers/bitmex.ts

@@ -38,3 +38,9 @@ import { BookChange, BookPriceLevel, DerivativeTicker, FilterForExchange, Trade } from '../types'
 export class BitmexBookChangeMapper implements Mapper<'bitmex', BookChange> {
-  private readonly _idToPriceLevelMap: Map<number, number> = new Map()
+  private readonly _idToPriceLevelMap: Map<
+    number,
+    {
+      price: number
+      side: 'Buy' | 'Sell'
+    }
+  > = new Map()
 
@@ -86,16 +92,44 @@ canHandle(message: BitmexDataMessage) {
         if (item.price !== undefined) {
-          // store the mapping from id to price level if price is specified
-          this._idToPriceLevelMap.set(item.id, item.price)
+          // store mapping from id to price level and side if price is specified
+          // as update and delete messages do not contain that info
+          this._idToPriceLevelMap.set(item.id, {
+            price: item.price,
+            side: item.side
+          })
         }
-        const price = this._idToPriceLevelMap.get(item.id)
-        const amount = item.size || 0 // delete messages do not contain size specified
-        // if we still don't have a price it means that there was an update before partial message - let's skip it
-        if (price === undefined) {
+
+        const cachedItemInfo = this._idToPriceLevelMap.get(item.id)
+        // if we still don't have a price info it means that there was an update before partial message - let's skip it
+        if (cachedItemInfo === undefined) {
           continue
         }
 
-        if (item.side === 'Buy') {
-          bids.push({ price, amount })
+        const amount = item.size || 0 // delete messages do not contain size field
+
+        const { price, side } = cachedItemInfo
+
+        // if updated level has the same side as cached level simply add it to proper array according to it's side
+        if (side === item.side) {
+          if (item.side === 'Buy') {
+            bids.push({ price, amount })
+          } else {
+            asks.push({ price, amount })
+          }
         } else {
-          asks.push({ price, amount })
+          // sometimes it happens that updated level (action=update) has changed side instead of being deleted from one side (action=delete)
+          // and then added on the opposite side (action=insert)
+          // in such case we need to remove the level from oposite side of the book and add new level
+          if (item.side === 'Buy') {
+            bids.push({ price, amount })
+            asks.push({ price, amount: 0 })
+          } else {
+            bids.push({ price, amount: 0 })
+            asks.push({ price, amount })
+          }
+
+          // update cached info as side has changed
+          this._idToPriceLevelMap.set(item.id, {
+            price,
+            side: item.side
+          })
         }
@@ -102,0 +136,0 @@ }

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increased by0.51%

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increased by6.35%

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