1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
|
import { BigNumber } from '@0x/utils';
import { ParadexMarket, ParadexOrder, ParadexOrderbookResponse } from '../../data_sources/paradex';
import { TokenOrderbookSnapshot as TokenOrder } from '../../entities';
import { OrderType } from '../../types';
/**
* Marque function of this file.
* 1) Takes in orders from an orderbook (orders are already aggregated by price point),
* 2) For each aggregated order, forms a TokenOrder entity with market data and
* other information attached.
* @param paradexOrderbookResponse An orderbook response from the Paradex API.
* @param paradexMarket 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 'paradex'.
*/
export function parseParadexOrders(
paradexOrderbookResponse: ParadexOrderbookResponse,
paradexMarket: ParadexMarket,
observedTimestamp: number,
source: string,
): TokenOrder[] {
const parsedBids = paradexOrderbookResponse.bids.map(order =>
parseParadexOrder(paradexMarket, observedTimestamp, 'bid', source, order),
);
const parsedAsks = paradexOrderbookResponse.asks.map(order =>
parseParadexOrder(paradexMarket, observedTimestamp, 'ask', source, order),
);
return parsedBids.concat(parsedAsks);
}
/**
* Parse a single aggregated Ddex order in order to form a tokenOrder entity
* which can be saved into the database.
* @param paradexMarket An object containing information about the market where these
* orders 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 paradexOrder A ParadexOrder object; basically price, amount tuple.
*/
export function parseParadexOrder(
paradexMarket: ParadexMarket,
observedTimestamp: number,
orderType: OrderType,
source: string,
paradexOrder: ParadexOrder,
): TokenOrder {
const tokenOrder = new TokenOrder();
const price = new BigNumber(paradexOrder.price);
const amount = new BigNumber(paradexOrder.amount);
tokenOrder.source = source;
tokenOrder.observedTimestamp = observedTimestamp;
tokenOrder.orderType = orderType;
tokenOrder.price = price;
tokenOrder.baseAssetSymbol = paradexMarket.baseToken;
tokenOrder.baseAssetAddress = paradexMarket.baseTokenAddress as string;
tokenOrder.baseVolume = price.times(amount);
tokenOrder.quoteAssetSymbol = paradexMarket.quoteToken;
tokenOrder.quoteAssetAddress = paradexMarket.quoteTokenAddress as string;
tokenOrder.quoteVolume = amount;
return tokenOrder;
}
|
