track idex orderbook snapshots (#1397)

* Track Idex and Oasis Orderbook Snapshots

1 files changed, 77 insertions, 0 deletions

diff --git a/packages/pipeline/src/parsers/idex_orders/index.ts b/packages/pipeline/src/parsers/idex_orders/index.ts
new file mode 100644
index 000000000..dfe27455c
--- /dev/null
+++ b/packages/pipeline/src/parsers/idex_orders/index.ts
@@ -0,0 +1,77 @@
+import { BigNumber } from '@0x/utils';
+
+import { aggregateOrders } from '../utils';
+
+import { IdexOrder, IdexOrderbook, IdexOrderParam } from '../../data_sources/idex';
+import { TokenOrderbookSnapshot as TokenOrder } from '../../entities';
+import { OrderType } from '../../types';
+
+/**
+ * Marque function of this file.
+ * 1) Takes in orders from an orderbook,
+ * 2) Aggregates them by price point,
+ * 3) Parses them into entities which are then saved into the database.
+ * @param idexOrderbook raw orderbook that we pull from the Idex API.
+ * @param observedTimestamp Time at which the orders for the market were pulled.
+ * @param source The exchange where these orders are placed. In this case 'idex'.
+ */
+export function parseIdexOrders(idexOrderbook: IdexOrderbook, observedTimestamp: number, source: string): TokenOrder[] {
+    const aggregatedBids = aggregateOrders(idexOrderbook.bids);
+    // Any of the bid orders' params will work
+    const idexBidOrder = idexOrderbook.bids[0];
+    const parsedBids =
+        aggregatedBids.length > 0
+            ? aggregatedBids.map(order => parseIdexOrder(idexBidOrder.params, observedTimestamp, 'bid', source, order))
+            : [];
+
+    const aggregatedAsks = aggregateOrders(idexOrderbook.asks);
+    // Any of the ask orders' params will work
+    const idexAskOrder = idexOrderbook.asks[0];
+    const parsedAsks =
+        aggregatedAsks.length > 0
+            ? aggregatedAsks.map(order => parseIdexOrder(idexAskOrder.params, observedTimestamp, 'ask', source, order))
+            : [];
+    return parsedBids.concat(parsedAsks);
+}
+
+/**
+ * Parse a single aggregated Idex order in order to form a tokenOrder entity
+ * which can be saved into the database.
+ * @param idexOrderParam An object containing information about the market where these
+ * trades have been placed.
+ * @param observedTimestamp The time when the API response returned back to us.
+ * @param orderType 'bid' or 'ask' enum.
+ * @param source Exchange where these orders were placed.
+ * @param idexOrder A <price, amount> tuple which we will convert to volume-basis.
+ */
+export function parseIdexOrder(
+    idexOrderParam: IdexOrderParam,
+    observedTimestamp: number,
+    orderType: OrderType,
+    source: string,
+    idexOrder: [string, BigNumber],
+): TokenOrder {
+    const tokenOrder = new TokenOrder();
+    const price = new BigNumber(idexOrder[0]);
+    const amount = idexOrder[1];
+
+    tokenOrder.source = source;
+    tokenOrder.observedTimestamp = observedTimestamp;
+    tokenOrder.orderType = orderType;
+    tokenOrder.price = price;
+    tokenOrder.baseVolume = amount;
+    tokenOrder.quoteVolume = price.times(amount);
+
+    if (orderType === 'bid') {
+        tokenOrder.baseAssetSymbol = idexOrderParam.buySymbol;
+        tokenOrder.baseAssetAddress = idexOrderParam.tokenBuy;
+        tokenOrder.quoteAssetSymbol = idexOrderParam.sellSymbol;
+        tokenOrder.quoteAssetAddress = idexOrderParam.tokenSell;
+    } else {
+        tokenOrder.baseAssetSymbol = idexOrderParam.sellSymbol;
+        tokenOrder.baseAssetAddress = idexOrderParam.tokenSell;
+        tokenOrder.quoteAssetSymbol = idexOrderParam.buySymbol;
+        tokenOrder.quoteAssetAddress = idexOrderParam.tokenBuy;
+    }
+    return tokenOrder;
+}