tardis-dev computing order book imbalance ratio for BitMEX XBTUSD
const { streamNormalized, normalizeBookChanges, compute, computeBookSnapshots } = require('tardis-dev')
class OrderBookImbalanceRatioComputable {
constructor() {
this.sourceDataTypes = ['book_snapshot']
}
*compute(bookSnapshot) {
let bidsAmount = 0
let asksAmount = 0
for (let i = 0; i < bookSnapshot.depth; i++) {
bidsAmount += bookSnapshot.bids[i].amount
asksAmount += bookSnapshot.asks[i].amount
}
const asksToBidsRatio = asksAmount / bidsAmount
yield {
type: 'book_imbalance',
symbol: bookSnapshot.symbol,
exchange: bookSnapshot.exchange,
asksToBidsRatio,
timestamp: bookSnapshot.timestamp,
localTimestamp: bookSnapshot.localTimestamp
}
}
}
const computeOrderBookImbalanceRatio = () => new OrderBookImbalanceRatioComputable()
const bitmexMessages = streamNormalized(
{
exchange: 'bitmex',
symbols: ['XBTUSD']
},
normalizeBookChanges
)
const messagesWithComputedData = compute(
bitmexMessages,
computeBookSnapshots({ depth: 5, interval: 2 * 1000 }),
computeOrderBookImbalanceRatio
)
async function run() {
for await (const message of messagesWithComputedData) {
if (message.type === 'book_imbalance') {
console.log(message)
}
}
}
run()
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