diff options
Diffstat (limited to 'packages/pipeline/src/parsers/ddex_orders')
-rw-r--r-- | packages/pipeline/src/parsers/ddex_orders/index.ts | 77 |
1 files changed, 77 insertions, 0 deletions
diff --git a/packages/pipeline/src/parsers/ddex_orders/index.ts b/packages/pipeline/src/parsers/ddex_orders/index.ts new file mode 100644 index 000000000..81132e8f0 --- /dev/null +++ b/packages/pipeline/src/parsers/ddex_orders/index.ts @@ -0,0 +1,77 @@ +import { BigNumber } from '@0x/utils'; +import * as R from 'ramda'; + +import { DdexMarket, DdexOrder, 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, 'bid', source, order)); + const parsedAsks = aggregatedAsks.map(order => parseDdexOrder(ddexMarket, observedTimestamp, 'ask', source, order)); + return parsedBids.concat(parsedAsks); +} + +/** + * Aggregates orders by price point for consistency with other exchanges. + * Querying the Ddex API at level 3 setting returns a breakdown of + * individual orders at each price point. Other exchanges only give total amount + * at each price point. Returns an array of <price, amount> tuples. + * @param ddexOrders A list of Ddex orders awaiting aggregation. + */ +export function aggregateOrders(ddexOrders: DdexOrder[]): Array<[string, BigNumber]> { + const sumAmount = (acc: BigNumber, order: DdexOrder): BigNumber => acc.plus(order.amount); + const aggregatedPricePoints = R.reduceBy(sumAmount, new BigNumber(0), R.prop('price'), ddexOrders); + return Object.entries(aggregatedPricePoints); +} + +/** + * 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; + + tokenOrder.baseAssetSymbol = ddexMarket.baseToken; + tokenOrder.baseAssetAddress = ddexMarket.baseTokenAddress; + tokenOrder.baseVolume = price.times(amount); + + tokenOrder.quoteAssetSymbol = ddexMarket.quoteToken; + tokenOrder.quoteAssetAddress = ddexMarket.quoteTokenAddress; + tokenOrder.quoteVolume = amount; + return tokenOrder; +} |