t002_liveOrderbook.ts

/***************************************************************************************************************************
 * @license                                                                                                                *
 * Copyright 2017 Coinbase, Inc.                                                                                           *
 *                                                                                                                         *
 * Licensed under the Apache License, Version 2.0 (the "License"); you may not use this file except in compliance          *
 * with the License. You may obtain a copy of the License at                                                               *
 *                                                                                                                         *
 * http://www.apache.org/licenses/LICENSE-2.0                                                                              *
 *                                                                                                                         *
 * Unless required by applicable law or agreed to in writing, software distributed under the License is distributed on     *
 * an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the                      *
 * License for the specific language governing permissions and limitations under the License.                              *
 ***************************************************************************************************************************/

import * as CBPTT from 'coinbase-pro-trading-toolkit';
import { CoinbaseProFeed } from "coinbase-pro-trading-toolkit/build/src/exchanges";
import { LiveBookConfig, LiveOrderbook, SkippedMessageEvent, TradeMessage } from "coinbase-pro-trading-toolkit/build/src/core";
import { Ticker } from "coinbase-pro-trading-toolkit/build/src/exchanges/PublicExchangeAPI";
import { CumulativePriceLevel } from "coinbase-pro-trading-toolkit/build/src/lib";

const product = 'LTC-USD';
const logger = CBPTT.utils.ConsoleLoggerFactory({ level: 'debug' });
const printOrderbook = CBPTT.utils.printOrderbook;
const printTicker = CBPTT.utils.printTicker;
/*
 Simple demo that sets up a live order book and then periodically prints some stats to the console.
 */

let tradeVolume: number = 0;

CBPTT.Factories.CoinbasePro.FeedFactory(logger, [product]).then((feed: CoinbaseProFeed) => {
// Configure the live book object
    const config: LiveBookConfig = {
        product: product,
        logger: logger
    };
    const book = new LiveOrderbook(config);
    book.on('LiveOrderbook.snapshot', () => {
        logger.log('info', 'Snapshot received by LiveOrderbook Demo');
        setInterval(() => {
            console.log(printOrderbook(book, 10));
            printOrderbookStats(book);
            logger.log('info', `Cumulative trade volume: ${tradeVolume.toFixed(4)}`);
        }, 5000);
    });
    book.on('LiveOrderbook.ticker', (ticker: Ticker) => {
        console.log(printTicker(ticker));
    });
    book.on('LiveOrderbook.trade', (trade: TradeMessage) => {
        tradeVolume += +(trade.size);
    });
    book.on('LiveOrderbook.skippedMessage', (details: SkippedMessageEvent) => {
        // On Coinbase Pro, this event should never be emitted, but we put it here for completeness
        console.log('SKIPPED MESSAGE', details);
        console.log('Reconnecting to feed');
        feed.reconnect(0);
    });
    book.on('end', () => {
        console.log('Orderbook closed');
    });
    book.on('error', (err) => {
        console.log('Livebook errored: ', err);
        feed.pipe(book);
    });
    feed.pipe(book);
});

function printOrderbookStats(book: LiveOrderbook) {
    console.log(`Number of bids:       \t${book.numBids}\tasks: ${book.numAsks}`);
    console.log(`Total ${book.baseCurrency} liquidity: \t${book.bidsTotal.toFixed(3)}\tasks: ${book.asksTotal.toFixed(3)}`);
    let orders: CumulativePriceLevel[] = book.ordersForValue('buy', 100, false);
    console.log(`Cost of buying 100 ${book.baseCurrency}: ${orders[orders.length - 1].cumValue.toFixed(2)} ${book.quoteCurrency}`);
    orders = book.ordersForValue('sell', 1000, true);
    console.log(`Need to sell ${orders[orders.length - 1].cumSize.toFixed(3)} ${book.baseCurrency} to get 1000 ${book.quoteCurrency}`);
}