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Parity Order Book

This package implements limit order book reconstruction.

Class: Market

This class represents an order book reconstruction.

new Market()

  • Returns Market

Create an order book reconstruction.

market.onupdate

  • Function

An event listener to be called when an order book is updated. The listener receives an UpdateEvent.

market.ontrade

  • Function

An event listener to be called when a trade takes place. The listener receives a TradeEvent.

market.open(instrument)

  • instrument Number|String
  • Returns OrderBook

Open an order book.

market.find(orderId)

  • orderId Number|String
  • Returns Order or undefined

Find an order.

market.add(instrument, orderId, side, price, size)

  • instrument Number|String
  • orderId Number|String
  • side "B"|"S"
  • price Number
  • size Number

Add an order to an order book.

An update event is triggered.

If the order book for the instrument is closed or the order identifier is known, do nothing.

market.modify(orderId, size)

  • orderId Number|String
  • size Number

Modify an order in the order book. The order will retain its time priority. If the new size is zero, the order is deleted from the order book.

An update event is triggered.

If the order identifier is unknown, do nothing.

market.execute(orderId, quantity[, price])

  • orderId Number|String
  • quantity Number
  • price Number

Execute a quantity of an order in an order book. If the remaining quantity reaches zero, the order is deleted from the order book.

A trade event and an update event are triggered.

If the order identifier is unknown, do nothing.

market.cancel(orderId, quantity)

  • orderId Number|String
  • quantity Number

Cancel a quantity of an order in an order book. If the remaining quantity reaches zero, the order is deleted from the order book.

An update event is triggered.

If the order identifier is unknown, do nothing.

market.delete(orderId)

  • orderId Number|String

Delete an order from an order book.

An update event is triggered.

If the order identifier is unknown, do nothing.

Class: OrderBook

This class represents an order book.

book.instrument

  • Number|String

The instrument.

book.bestBid()

  • Returns PriceLevel or undefined

Get the best bid level.

book.bestAsk()

  • Returns PriceLevel or undefined

Get the best ask level.

book.bids()

  • Returns Iterator

Get the bid levels as a sequence of PriceLevel instances.

book.asks()

  • Returns Iterator

Get the ask levels as a sequence of PriceLevel instances.

Class: Order

This class represents an order.

order.book

  • OrderBook

The order book.

order.price

  • Number

The order price.

order.side

  • "B"|"S"

The order side.

order.remainingQuantity

  • Number

The remaining quantity.

Class: PriceLevel

This class represents a price level.

level.price

  • Number

The price.

level.size

  • Number

The size.

Class: UpdateEvent

This class represents an order book update.

event.book

  • OrderBook

The order book.

event.bbo

  • Boolean

True if the best bid and offer (BBO) has changed, otherwise false.

Class: TradeEvent

This class represents a trade that has taken place.

event.book

  • OrderBook

The order book.

event.side

  • "B"|"S"

The side of the incoming order.

event.price

  • Number

The trade price.

event.size

  • Number

The trade size.