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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;
}
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