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 = amount; tokenOrder.quoteAssetSymbol = paradexMarket.quoteToken; tokenOrder.quoteAssetAddress = paradexMarket.quoteTokenAddress as string; tokenOrder.quoteVolume = price.times(amount); return tokenOrder; }