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author | Leonid Logvinov <logvinov.leon@gmail.com> | 2019-01-09 19:02:25 +0800 |
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committer | Leonid Logvinov <logvinov.leon@gmail.com> | 2019-01-09 19:02:25 +0800 |
commit | ea14913b412e78ff458bdfba47182f7363e776e5 (patch) | |
tree | 3ee220bfbbd9923b5e1adc36ee51f9b5d39ad640 /packages/pipeline/src/parsers/oasis_orders/index.ts | |
parent | 5868c91cfb54cfa9177572b201d88d1168bf5b06 (diff) | |
parent | 5dd55491b86bf8577405e37d0f2d668aa1273b10 (diff) | |
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Merge development
Diffstat (limited to 'packages/pipeline/src/parsers/oasis_orders/index.ts')
-rw-r--r-- | packages/pipeline/src/parsers/oasis_orders/index.ts | 71 |
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 new file mode 100644 index 000000000..b71fb65b9 --- /dev/null +++ b/packages/pipeline/src/parsers/oasis_orders/index.ts @@ -0,0 +1,71 @@ +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', OrderType.Bid), oasisOrderbook)); + const aggregatedAsks = aggregateOrders(R.filter(R.propEq('act', OrderType.Ask), oasisOrderbook)); + const parsedBids = aggregatedBids.map(order => + parseOasisOrder(oasisMarket, observedTimestamp, OrderType.Bid, source, order), + ); + const parsedAsks = aggregatedAsks.map(order => + parseOasisOrder(oasisMarket, observedTimestamp, OrderType.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; +} |