bfx-market-data-mcast-udp.js

bfx-market-data-mcast-udp.js

const dgram = require('dgram')
const UInt64BE = require('int64-buffer').Uint64BE
const BN = require('bignumber.js')
const _ = require('lodash')
const process = require('process')

const PORT = 30000
const MULTICAST_ADDR = '233.255.255.255'

const nBN = v => {
  return new BN(v)
}

const socket = dgram.createSocket({ type: 'udp4', reuseAddr: true })
socket.bind(PORT)

const BOOKS = {}

socket.on('message', function(m, rinfo) {
  const type = m.readUInt8(0)
  const len = m.readUInt8(1)

  if (type >= 20 && type < 30) {
    const [seq, sym] = [
      (new UInt64BE(m.slice(2, 10))).toNumber(),
      m.readUInt32BE(10)
    ]

    if (type >= 24 && type <= 25) {
      const [active, oid, price, amount, sign] = [
        m.readUInt8(14),
        (new UInt64BE(m.slice(15, 23))).toString(),
        nBN((new UInt64BE(m.slice(23, 31))).toString()).div(100000000).toNumber(),
        nBN((new UInt64BE(m.slice(31, 39))).toString()).div(100000000).toNumber(),
        m.readUInt8(39)
      ]

      if (!BOOKS[sym]) {
        return
      }

      const book = BOOKS[sym]

      if (active) {
        book[oid] = {
          id: oid,
          price: price,
          amount: amount * (sign > 0 ? -1 : 1)
        }
      } else {
        delete book[oid]
      }
    } else if (type === 21) {
      BOOKS[sym] = {}
      console.log('BOOK SNAP SYNC INIT', sym, seq)
    } else if (type === 22) {
      console.log('BOOK SNAP SYNC FINISH', sym)
    }
  } else if (type === 35) {
  }
})

setInterval(() => {
  _.each([1], sym => {
    if (!BOOKS[sym]) {
      return
    }
    _.each(['bid', 'ask'], side => {
      console.log(side, _.filter(_.values(BOOKS[sym]), e => {
        return side === 'bid' ? e.amount >= 0 : e.amount < 0
      }).sort((a, b) => {
        return side === 'bid' ? b.price - a.price : a.price - b.price
      }).slice(0, 5))
    })
  })
}, 1000)