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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;
}
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