OrderBooks Store

A minimal set of utilities for handling orderbook snapshots and delta updates, with bybit examples.

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Documentation

TSDoc Documentation (generated using typedoc via npm module)

Related projects

Check out my related projects:

Try my connectors:
- binance
- bybit-api
- okx-api
- bitget-api
- ftx-api
Try my misc utilities:
- orderbooks
Check out my examples:
- awesome-crypto-examples

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Project Contributions

Contributions are very welcome, I will review any incoming pull requests. See the issues tab for todo items.

Features

Handle snapshot and delta orderbook events.
Track multiple symbol orderbooks.
Easily access best bid/ask prices.
Conveniently access the difference between the best bid and ask prices, with the spread represented in basis point units.
Easily keep orderbook depth trimmed to max depth.
Tiny module with 0 external dependencies.

Installation

npm install -save orderbooks

Usage

Tracking

Import books store & level

const { OrderBooksStore, OrderBookLevel } = require('orderbooks');

Create instance of orderbooks store, to store multiple order books for a broker

// all options are optional
const options = {
  // output traces on any events sent handled by book
  traceLog: true,

  // check current timestamp > last timestamp, else deny processing event
  checkTimestamps: false,

  // max size of orderbook (e.g 50 == 25 bids & 25 asks). Defaults to 250.
  maxDepth: 50,
};

const OrderBooks = new OrderBooksStore(options);

Feed snapshot and delta updates into OrderBooks.handle() methods.

Examples

See the ./samples/ folder for more.

Real Example - Binance

See ./samples/binance.ts

Real Example - Bybit

Import modules
Prepare OrderBooks store instance
Connect to OrderBooks websockets
Map event properties to expected key:value pairs
Feed mapped snapshot and delta events into OrderBooks.handle() methods

See ./samples/bybit.ts

Example output with print() calls to output book state to console:

---------- BTCUSD ask:bid 9240:9239.5 & spread: 0.01%
┌─────────┬──────────┬────────┬────────┬─────────┐
│ (index) │  symbol  │ price  │  side  │   qty   │
├─────────┼──────────┼────────┼────────┼─────────┤
│    0    │ 'BTCUSD' │  9252  │ 'Sell' │ 132623  │
│    1    │ 'BTCUSD' │ 9251.5 │ 'Sell' │  82221  │
│    2    │ 'BTCUSD' │  9251  │ 'Sell' │  34974  │
│    3    │ 'BTCUSD' │ 9250.5 │ 'Sell' │  12842  │
│    4    │ 'BTCUSD' │  9250  │ 'Sell' │ 550687  │
│    5    │ 'BTCUSD' │ 9249.5 │ 'Sell' │  63371  │
│    6    │ 'BTCUSD' │  9249  │ 'Sell' │ 200127  │
│    7    │ 'BTCUSD' │ 9248.5 │ 'Sell' │ 129099  │
│    8    │ 'BTCUSD' │  9248  │ 'Sell' │ 209061  │
│    9    │ 'BTCUSD' │ 9247.5 │ 'Sell' │  30722  │
│   10    │ 'BTCUSD' │  9247  │ 'Sell' │ 165469  │
│   11    │ 'BTCUSD' │ 9246.5 │ 'Sell' │  97780  │
│   12    │ 'BTCUSD' │  9246  │ 'Sell' │  95342  │
│   13    │ 'BTCUSD' │ 9245.5 │ 'Sell' │  41319  │
│   14    │ 'BTCUSD' │  9245  │ 'Sell' │ 227242  │
│   15    │ 'BTCUSD' │ 9244.5 │ 'Sell' │ 167586  │
│   16    │ 'BTCUSD' │  9244  │ 'Sell' │ 237029  │
│   17    │ 'BTCUSD' │ 9243.5 │ 'Sell' │ 103426  │
│   18    │ 'BTCUSD' │  9243  │ 'Sell' │ 126357  │
│   19    │ 'BTCUSD' │ 9242.5 │ 'Sell' │ 165034  │
│   20    │ 'BTCUSD' │  9242  │ 'Sell' │ 264286  │
│   21    │ 'BTCUSD' │ 9241.5 │ 'Sell' │ 261200  │
│   22    │ 'BTCUSD' │  9241  │ 'Sell' │ 233533  │
│   23    │ 'BTCUSD' │ 9240.5 │ 'Sell' │ 399512  │
│   24    │ 'BTCUSD' │  9240  │ 'Sell' │ 1397987 │
│   25    │ 'BTCUSD' │ 9239.5 │ 'Buy'  │  1132   │
│   26    │ 'BTCUSD' │  9239  │ 'Buy'  │ 234214  │
│   27    │ 'BTCUSD' │ 9238.5 │ 'Buy'  │  58320  │
│   28    │ 'BTCUSD' │  9238  │ 'Buy'  │  17094  │
│   29    │ 'BTCUSD' │ 9237.5 │ 'Buy'  │  50980  │
│   30    │ 'BTCUSD' │  9237  │ 'Buy'  │  13449  │
│   31    │ 'BTCUSD' │ 9236.5 │ 'Buy'  │  2608   │
│   32    │ 'BTCUSD' │  9236  │ 'Buy'  │  53742  │
│   33    │ 'BTCUSD' │ 9235.5 │ 'Buy'  │ 106681  │
│   34    │ 'BTCUSD' │  9235  │ 'Buy'  │  48653  │
│   35    │ 'BTCUSD' │ 9234.5 │ 'Buy'  │  76188  │
│   36    │ 'BTCUSD' │  9234  │ 'Buy'  │ 215664  │
│   37    │ 'BTCUSD' │ 9233.5 │ 'Buy'  │ 169265  │
│   38    │ 'BTCUSD' │  9233  │ 'Buy'  │  30296  │
│   39    │ 'BTCUSD' │ 9232.5 │ 'Buy'  │ 196676  │
│   40    │ 'BTCUSD' │  9232  │ 'Buy'  │  82840  │
│   41    │ 'BTCUSD' │ 9231.5 │ 'Buy'  │ 105854  │
│   42    │ 'BTCUSD' │  9231  │ 'Buy'  │  1671   │
│   43    │ 'BTCUSD' │ 9230.5 │ 'Buy'  │  25909  │
│   44    │ 'BTCUSD' │  9230  │ 'Buy'  │ 146198  │
│   45    │ 'BTCUSD' │ 9229.5 │ 'Buy'  │  95941  │
│   46    │ 'BTCUSD' │  9229  │ 'Buy'  │  61212  │
│   47    │ 'BTCUSD' │ 9228.5 │ 'Buy'  │  76966  │
│   48    │ 'BTCUSD' │  9228  │ 'Buy'  │  93996  │
│   49    │ 'BTCUSD' │ 9227.5 │ 'Buy'  │  44058  │
└─────────┴──────────┴────────┴────────┴─────────┘

Accessing State

Access orderbook state using the OrderBooksStore.

const btcOrderBook = OrderBooks.getBook('BTCUSD');

// Get an array dump of the current orderbook state (similar to what you see on exchange websites)
const btcOrderBookState = btcOrderBook.getBookState();
console.log('Current book state: ', JSON.stringify(btcOrderBookState));

const bestBid = btcOrderBook.getBestBid();
// bestBid = 9239.5

const secondBestBid = btcOrderBook.getBestBid(1);
// secondBestBid = 9239

const bestAsk = btcOrderBook.getBestAsk();
// bestAsk = 9040

const secondBestAsk = btcOrderBook.getBestAsk(1);
// secondBestAsk = 9040.5

const currentSpread = btcORderBook.getSpreadPercent();
// currentSpread = 0.01

Utility Methods

The following ultity methods are exposed for each book:

const btcOrderBook = OrderBooks.getBook('BTCUSD');

// console.log current orderbook state
btcOrderBook.print();

// clear current orderbook to free memory
btcOrderBook.reset();

tiagosiebler/orderbooks