87ffa5d7ab
* Implements the TokenOrderbookSnapshot Table * Scripts, Data Sources and Entities to pull Ddex and Paradex API data.
78 lines
3.2 KiB
TypeScript
78 lines
3.2 KiB
TypeScript
import { BigNumber } from '@0x/utils';
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import * as R from 'ramda';
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import { DdexMarket, DdexOrder, DdexOrderbook } from '../../data_sources/ddex';
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import { TokenOrderbookSnapshot as TokenOrder } from '../../entities';
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import { OrderType } from '../../types';
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/**
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* Marque function of this file.
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* 1) Takes in orders from an orderbook,
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* other information attached.
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* @param ddexOrderbook A raw orderbook that we pull from the Ddex API.
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* @param ddexMarket An object containing market data also directly from the API.
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* @param observedTimestamp Time at which the orders for the market were pulled.
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* @param source The exchange where these orders are placed. In this case 'ddex'.
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*/
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export function parseDdexOrders(
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ddexOrderbook: DdexOrderbook,
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ddexMarket: DdexMarket,
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observedTimestamp: number,
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source: string,
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): TokenOrder[] {
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const aggregatedBids = aggregateOrders(ddexOrderbook.bids);
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const aggregatedAsks = aggregateOrders(ddexOrderbook.asks);
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const parsedBids = aggregatedBids.map(order => parseDdexOrder(ddexMarket, observedTimestamp, 'bid', source, order));
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const parsedAsks = aggregatedAsks.map(order => parseDdexOrder(ddexMarket, observedTimestamp, 'ask', source, order));
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return parsedBids.concat(parsedAsks);
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}
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/**
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* Aggregates orders by price point for consistency with other exchanges.
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* Querying the Ddex API at level 3 setting returns a breakdown of
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* individual orders at each price point. Other exchanges only give total amount
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* at each price point. Returns an array of <price, amount> tuples.
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* @param ddexOrders A list of Ddex orders awaiting aggregation.
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*/
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export function aggregateOrders(ddexOrders: DdexOrder[]): Array<[string, BigNumber]> {
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const sumAmount = (acc: BigNumber, order: DdexOrder): BigNumber => acc.plus(order.amount);
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const aggregatedPricePoints = R.reduceBy(sumAmount, new BigNumber(0), R.prop('price'), ddexOrders);
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return Object.entries(aggregatedPricePoints);
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}
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/**
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* Parse a single aggregated Ddex order in order to form a tokenOrder entity
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* which can be saved into the database.
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* @param ddexMarket An object containing information about the market where these
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* trades have been placed.
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* @param observedTimestamp The time when the API response returned back to us.
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* @param orderType 'bid' or 'ask' enum.
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* @param source Exchange where these orders were placed.
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* @param ddexOrder A <price, amount> tuple which we will convert to volume-basis.
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*/
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export function parseDdexOrder(
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ddexMarket: DdexMarket,
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observedTimestamp: number,
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orderType: OrderType,
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source: string,
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ddexOrder: [string, BigNumber],
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): TokenOrder {
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const tokenOrder = new TokenOrder();
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const price = new BigNumber(ddexOrder[0]);
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const amount = ddexOrder[1];
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tokenOrder.source = source;
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tokenOrder.observedTimestamp = observedTimestamp;
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tokenOrder.orderType = orderType;
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tokenOrder.price = price;
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tokenOrder.baseAssetSymbol = ddexMarket.baseToken;
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tokenOrder.baseAssetAddress = ddexMarket.baseTokenAddress;
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tokenOrder.baseVolume = price.times(amount);
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tokenOrder.quoteAssetSymbol = ddexMarket.quoteToken;
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tokenOrder.quoteAssetAddress = ddexMarket.quoteTokenAddress;
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tokenOrder.quoteVolume = amount;
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return tokenOrder;
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}
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