Merge development

1 files changed, 71 insertions, 0 deletions

diff --git a/packages/pipeline/src/parsers/ddex_orders/index.ts b/packages/pipeline/src/parsers/ddex_orders/index.ts
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index 000000000..eeb9c9d5b
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+++ b/packages/pipeline/src/parsers/ddex_orders/index.ts
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+import { BigNumber } from '@0x/utils';
+
+import { aggregateOrders } from '../utils';
+
+import { DdexMarket, DdexOrderbook } from '../../data_sources/ddex';
+import { TokenOrderbookSnapshot as TokenOrder } from '../../entities';
+import { OrderType } from '../../types';
+
+/**
+ * Marque function of this file.
+ * 1) Takes in orders from an orderbook,
+ * other information attached.
+ * @param ddexOrderbook A raw orderbook that we pull from the Ddex API.
+ * @param ddexMarket 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 'ddex'.
+ */
+export function parseDdexOrders(
+    ddexOrderbook: DdexOrderbook,
+    ddexMarket: DdexMarket,
+    observedTimestamp: number,
+    source: string,
+): TokenOrder[] {
+    const aggregatedBids = aggregateOrders(ddexOrderbook.bids);
+    const aggregatedAsks = aggregateOrders(ddexOrderbook.asks);
+    const parsedBids = aggregatedBids.map(order =>
+        parseDdexOrder(ddexMarket, observedTimestamp, OrderType.Bid, source, order),
+    );
+    const parsedAsks = aggregatedAsks.map(order =>
+        parseDdexOrder(ddexMarket, observedTimestamp, OrderType.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 ddexMarket 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 ddexOrder A <price, amount> tuple which we will convert to volume-basis.
+ */
+export function parseDdexOrder(
+    ddexMarket: DdexMarket,
+    observedTimestamp: number,
+    orderType: OrderType,
+    source: string,
+    ddexOrder: [string, BigNumber],
+): TokenOrder {
+    const tokenOrder = new TokenOrder();
+    const price = new BigNumber(ddexOrder[0]);
+    const amount = ddexOrder[1];
+
+    tokenOrder.source = source;
+    tokenOrder.observedTimestamp = observedTimestamp;
+    tokenOrder.orderType = orderType;
+    tokenOrder.price = price;
+
+    // ddex currently confuses quote and base assets.
+    // We switch them here to maintain our internal consistency.
+    tokenOrder.baseAssetSymbol = ddexMarket.quoteToken;
+    tokenOrder.baseAssetAddress = ddexMarket.quoteTokenAddress;
+    tokenOrder.baseVolume = amount;
+
+    tokenOrder.quoteAssetSymbol = ddexMarket.baseToken;
+    tokenOrder.quoteAssetAddress = ddexMarket.baseTokenAddress;
+    tokenOrder.quoteVolume = price.times(amount);
+    return tokenOrder;
+}