import { BigNumber } from '@0x/utils'; import { aggregateOrders } from '../utils'; import { 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, OrderType.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, OrderType.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 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 === 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; }