119 lines
2.6 KiB
TypeScript
119 lines
2.6 KiB
TypeScript
import { defineSchema, register, s } from '../../plugin/index.ts';
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import type { Codec } from '../../plugin/index.ts';
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export const TickerSchema = defineSchema('BenchTicker', (s) => ({
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symbol: s.str,
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last: s.f64,
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bid: s.f64,
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ask: s.f64,
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volume: s.f64,
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}));
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export const OrderSchema = defineSchema('BenchOrder', (s) => ({
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id: s.u53,
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account: s.u53,
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symbol: s.str,
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side: s.enum(['buy', 'sell'] as const),
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type: s.enum(['limit', 'market', 'stop', 'stop_limit'] as const),
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price: s.f64,
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qty: s.f64,
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filledQty: s.f64,
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ts: s.u53,
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flags: s.bitset(['ioc', 'post_only', 'reduce_only'] as const),
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}));
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export const LevelSchema = defineSchema('BenchLevel', (s) => ({
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p: s.f64,
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q: s.f64,
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}));
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export const BookSchema = defineSchema('BenchBook', (s) => ({
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symbol: s.str,
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ts: s.u53,
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bids: s.array(LevelSchema),
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asks: s.array(LevelSchema),
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}));
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export interface Ticker {
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symbol: string;
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last: number;
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bid: number;
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ask: number;
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volume: number;
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}
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export interface Order {
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id: number;
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account: number;
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symbol: string;
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side: 'buy' | 'sell';
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type: 'limit' | 'market' | 'stop' | 'stop_limit';
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price: number;
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qty: number;
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filledQty: number;
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ts: number;
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flags: { ioc: boolean; post_only: boolean; reduce_only: boolean };
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}
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export interface Level {
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p: number;
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q: number;
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}
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export interface Book {
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symbol: string;
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ts: number;
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bids: Level[];
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asks: Level[];
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}
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export function buildTicker(): Ticker {
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return {
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symbol: 'BTC-USD',
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last: 67891.23,
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bid: 67890.5,
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ask: 67892.0,
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volume: 1234567.89,
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};
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}
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export function buildOrder(): Order {
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return {
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id: 9876543210,
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account: 12345678,
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symbol: 'BTC-USD',
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side: 'buy',
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type: 'limit',
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price: 67500.5,
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qty: 0.125,
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filledQty: 0,
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ts: 1716100000123,
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flags: { ioc: false, post_only: true, reduce_only: false },
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};
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}
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export function buildBook(depth: number): Book {
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const bids: Level[] = new Array(depth);
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const asks: Level[] = new Array(depth);
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for (let i = 0; i < depth; i++) {
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bids[i] = { p: 67890 - i * 0.5, q: 0.1 + (i % 100) * 0.01 };
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asks[i] = { p: 67891 + i * 0.5, q: 0.1 + (i % 100) * 0.01 };
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}
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return { symbol: 'BTC-USD', ts: 1716100000123, bids, asks };
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}
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export interface Codecs {
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ticker: Codec<Ticker>;
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order: Codec<Order>;
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level: Codec<Level>;
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book: Codec<Book>;
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}
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export function registerAll(): Codecs {
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const ticker = register<Ticker>(TickerSchema);
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const order = register<Order>(OrderSchema);
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const level = register<Level>(LevelSchema);
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const book = register<Book>(BookSchema);
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return { ticker, order, level, book };
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}
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