86 lines
1.9 KiB
TypeScript
86 lines
1.9 KiB
TypeScript
import { OrderbookL2 } from 'types'
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export const calculateLimitPriceForMarketOrder = (
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orderBook: OrderbookL2,
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size: number,
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side: 'buy' | 'sell',
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): number => {
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const orders = side === 'buy' ? orderBook.asks : orderBook.bids
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let acc = 0
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let selectedOrder
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const orderSize = size
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for (const order of orders) {
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acc += order[1]
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if (acc >= orderSize) {
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selectedOrder = order
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break
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}
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}
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if (!selectedOrder) {
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throw new Error(
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'Unable to place market order for this order size. Please retry.',
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)
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}
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if (side === 'buy') {
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return selectedOrder[0] * 1.05
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} else {
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return selectedOrder[0] * 0.95
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}
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}
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export const calculateEstPriceForBaseSize = (
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orderBook: OrderbookL2,
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size: number,
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side: 'buy' | 'sell',
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): number => {
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const orders = side === 'buy' ? orderBook.asks : orderBook.bids
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let acc = 0
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let selectedOrder
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const orderSize = size
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for (const order of orders) {
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acc += order[1]
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if (acc >= orderSize) {
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selectedOrder = order
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break
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}
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}
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if (!selectedOrder) {
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throw new Error('Unable to calculate market order. Please retry.')
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}
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if (side === 'buy') {
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return selectedOrder[0]
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} else {
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return selectedOrder[0]
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}
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}
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export const calculateSlippage = (
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orderBook: OrderbookL2,
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size: number,
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side: 'buy' | 'sell',
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markPrice: number,
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): number => {
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const bb = orderBook?.bids?.length > 0 && Number(orderBook.bids[0][0])
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const ba = orderBook?.asks?.length > 0 && Number(orderBook.asks[0][0])
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const referencePrice = bb && ba ? (bb + ba) / 2 : markPrice
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if (Number(size)) {
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const estimatedPrice = calculateEstPriceForBaseSize(
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orderBook,
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Number(size),
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side,
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)
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const slippageAbs =
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Number(size) > 0 ? Math.abs(estimatedPrice - referencePrice) : 0
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const slippageRel = (slippageAbs / referencePrice) * 100
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return slippageRel
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}
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return 0
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}
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