diff options
Diffstat (limited to 'packages/pipeline/src/parsers/paradex_orders/index.ts')
-rw-r--r-- | packages/pipeline/src/parsers/paradex_orders/index.ts | 66 |
1 files changed, 66 insertions, 0 deletions
diff --git a/packages/pipeline/src/parsers/paradex_orders/index.ts b/packages/pipeline/src/parsers/paradex_orders/index.ts new file mode 100644 index 000000000..7966658a7 --- /dev/null +++ b/packages/pipeline/src/parsers/paradex_orders/index.ts @@ -0,0 +1,66 @@ +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; +} |