JS Orderbook

This is an implementation of an orderbook in JS (Typescript). It's implemented as follows:

Prices and quantities are multiplied by 1e+8 such that the lowest supported value for either is 0.0000001 which is the equivalent to 1 in the orderbook. This is to avoid floating point arithmetic inaccuracies.
Validation of orders and multiplication out/into doubles should be done outside the orderbook.

The orderbook is structured as:

interface Orderbook {
  bids: RBTree<Level>
  asks: RBTree<Level>
  bestBid: number
  bestAsk: number
  orderCount: number
  ordersById: Map<number, Order>
}

RBTree = red-black binary tree

It would be interesting to experiment with a fixed contiguous array for price levels (though the underlying representation of an array in JS might be a map).

Levels are implemented as:

interface Level {
  orders: Order[]
  side: OrderSide
  price: number
  totalQty: number
}

We treat Order arrays the same way we would deques in the hopes that the JS engine will more optimally perform by only modifying the head and tail of the array.

Todo

Set up integration tests & benchmarks.
On OB creation: symbol, baseCcy, quoteCcy, baseScale(1_000_000), quoteScale(10_000), takerFee, makerFee.
OB Events.
Order types: Immediate-or-Cancel (IOC), Good-till-Cancel (GTC), Fill-or-Kill Budget (FOK-B)
Market orders.
amendOrder (qty only). Could support price+qty for an atomic update but this should be a remove+add internally for fairness.
Load OB data snapshot.
Allow settings changes on the fly.

sekoyo/js-orderbook

JS Orderbook

Todo