fasenderos / hft-limit-order-book Goto Github PK

First of all, thanks for your great work!

Created orders have no indication of who created them. It follows that I, as a trader, can buy from myself or sell to myself. It seems to me that this is not entirely logical.

I think it would be great to add a Trader ID for each order and just skip orders with the same Trader ID in the matching process.

how do I stop self buy sell orders not match

Hello, please help me with this scenario
Pair Matic/USD
wallet balance of user1 is 10 USD
wallet balance of user2 is 5 USD

User1 want to sell 10 Matic at price of 1 USD
User2 place a MARKET order to buy 10 Matic but he use has balance of 5 USD.

How to stop this order and process according to wallet balance

This flag is very important for correct fees post-calculation.

Hii, I am a beginner in blockchain & trading. I want to create an order book ui like this:-

This is Binance order ui

I found some data in your library functions

console.log('bids', book.bids);
console.log('asks', book.asks);
console.log('depth', book.depth());

please anyone guide me how i create and manage this.

Do you have any plans to implement these types?

If the order has a FOK, then it is not quite an error when it isn't fulfilled, it is simply a canceled order.

I have an idea: to add another property to the response, canceled orders, where are placed those orders that were canceled for several reasons:

• FOK and IOC
• OCO orders
• canceled by user's decision

Let's discuss?

When a user makes a market order to buy some symbol, the exchange as a balance controller needs to freeze the user's money. But the market order does not have a price, and of course I do not know what amount to freeze.

In many systems, I noticed a good solution to this issue: for market buy orders, they accept the quantity in the quote currency (BTC/USD as base/quote, so they received quantity in USD), which allows me to correctly calculate the order book and freeze the excess money on the balance sheet.

Question: maybe you have some other solution or you can explain how to freeze money correctly if it is specified in the base currency.

For context: let's say I use your orderbook using asynchronous queues (kafka or nats). If I don't know what money to freeze, the user will have the option of double spending. On another side, I can check result and cancel market order but there are already fulfilled limit orders which are deleted from orderbook.

Thanks!

Since the OrderSide already has its own volume value, it would be good to first check whether the volume is in principle sufficient for the order.
I think it will speed up the check a bit.

Example:

  buyOrderCanBeFilled(orderSide: OrderSide, size: number, price: number) {

    // THIS IS PRE-CHECK
    if (orderSide.volume() < size) {
      return false
    }

    let cumulativeSize = 0
    orderSide.priceTree().forEach((_key, priceLevel) => {
      if (price >= priceLevel.price() && cumulativeSize < size) {
        cumulativeSize += priceLevel.volume()
      } else {
        return true // break the loop
      }
    })
    return cumulativeSize >= size
  }

Describe the bug

Hi,
After a user modifies an order price, the updated order should be matched with other orders in the book.

To Reproduce

limit("sell", "id1", 1, 200);
limit("buy", "id2", 1, 100);
modify("id2", { side: "buy", size: 1, price: 200})

Result:
asks: 200 -> 1
--------------  
bids: 200 -> 1

Expected behavior

Empty order book

I need to some guidance for how i use this library with Database like that: mongoDb, MySQL

Describe the bug

Matching a sell to multiple buys does not produced the right results.

To Reproduce

lob.createOrder("limit", "buy", 100, 1.2, "A0");
lob.createOrder("limit", "buy", 100, 1.2, "A1");
console.log(lob.orders, "sell", lob.asks.toString(),"buy", lob.bids.toString() )
//sell buy
//1.2 -> 200
lob.createOrder("limit", "sell", 309, 1.2, "B0");
console.log(lob.orders, "sell", lob.asks.toString(),"buy", lob.bids.toString() )
//sell buy
//1.2 -> -9

Expected behavior

Should output this in the asks
//sell
//1.2 -> 109

Do you have any plans to implement these TIF types?