1 files changed, 71 insertions, 0 deletions
diff --git a/packages/pipeline/src/parsers/oasis_orders/index.ts b/packages/pipeline/src/parsers/oasis_orders/index.ts
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index 000000000..13997f31b
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+++ b/packages/pipeline/src/parsers/oasis_orders/index.ts
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+import { BigNumber } from '@0x/utils';
+import * as R from 'ramda';
+
+import { aggregateOrders } from '../utils';
+
+import { OasisMarket, OasisOrder } from '../../data_sources/oasis';
+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 according to price point,
+ * 3) Builds TokenOrder entity with other information attached.
+ * @param oasisOrderbook A raw orderbook that we pull from the Oasis API.
+ * @param oasisMarket An object containing market data also directly from the 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 'oasis'.
+ */
+export function parseOasisOrders(
+    oasisOrderbook: OasisOrder[],
+    oasisMarket: OasisMarket,
+    observedTimestamp: number,
+    source: string,
+): TokenOrder[] {
+    const aggregatedBids = aggregateOrders(R.filter(R.propEq('act', 'bid'), oasisOrderbook));
+    const aggregatedAsks = aggregateOrders(R.filter(R.propEq('act', 'ask'), oasisOrderbook));
+    const parsedBids = aggregatedBids.map(order =>
+        parseOasisOrder(oasisMarket, observedTimestamp, 'bid', source, order),
+    );
+    const parsedAsks = aggregatedAsks.map(order =>
+        parseOasisOrder(oasisMarket, observedTimestamp, 'ask', source, order),
+    );
+    return parsedBids.concat(parsedAsks);
+}
+
+/**
+ * Parse a single aggregated Oasis order to form a tokenOrder entity
+ * which can be saved into the database.
+ * @param oasisMarket 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 oasisOrder A <price, amount> tuple which we will convert to volume-basis.
+ */
+export function parseOasisOrder(
+    oasisMarket: OasisMarket,
+    observedTimestamp: number,
+    orderType: OrderType,
+    source: string,
+    oasisOrder: [string, BigNumber],
+): TokenOrder {
+    const tokenOrder = new TokenOrder();
+    const price = new BigNumber(oasisOrder[0]);
+    const amount = oasisOrder[1];
+
+    tokenOrder.source = source;
+    tokenOrder.observedTimestamp = observedTimestamp;
+    tokenOrder.orderType = orderType;
+    tokenOrder.price = price;
+
+    tokenOrder.baseAssetSymbol = oasisMarket.base;
+    tokenOrder.baseAssetAddress = null; // Oasis doesn't provide address information
+    tokenOrder.baseVolume = amount;
+
+    tokenOrder.quoteAssetSymbol = oasisMarket.quote;
+    tokenOrder.quoteAssetAddress = null; // Oasis doesn't provide address information
+    tokenOrder.quoteVolume = price.times(amount);
+    return tokenOrder;
+}