Liquid order book goes out of sync

[nudabagana]

Exchange Happens with Liquid exchange.

Subscription type Order book (l2update).

Describe the bug Liquid order book goes out of sync (old orders not being deleted).

To Reproduce code sandbox here: https://codesandbox.io/s/node-js-04ccj?file=/src/index.js

[bmancini55]

Liquid order books are best described as a hybrid snapshot-update stream. Each update is a one sided snapshot (bid or ask) that contains the top 40 values on that side. So instead of doing insert/update/delete for each item based on price points, you need to do a complete replacement of one side of the book with the data in the update message.

[bmancini55]

If I get some time today I'll port over a order book implementation for it.

[bmancini55]

I pushed a prototype to master: https://github.com/altangent/ccxws/blob/master/src/orderbooks/LiquidOrderBook.js

Some sample code to use this orderbook:

const ccxws = require("ccxws");
const LiquidOrderBook = require("ccxws/src/orderbooks/LiquidOrderBook");

const client = new ccxws.liquid();
const market = { id: "btceur", base: "BTC", quote: "EUR" };
const ob = new LiquidOrderBook();

client.subscribeLevel2Updates(market);
client.on("l2update", update => {
  ob.update(update);
  printSnap(ob.snapshot(10));
});

function printSnap(snap) {
  const now = Date.now();
  const printNow = (side, point) => printPoint(now, side, point);

  try {
    console.clear();
    for (const ask of snap.asks.reverse()) {
      printNow("A", ask);
    }
    console.log("~");
    for (const bid of snap.bids) {
      printNow("B", bid);
    }
  } catch (ex) {
    console.error(ex);
  }
}

function printPoint(now, side, point) {
  const price = point.price;
  const size = point.size;
  const secs = secsAgo(now, point.timestamp).toFixed(2);
  console.log(`${side} ${price} ${size} ${secs}s ago`);
}

function secsAgo(now, start) {
  return (now - start) / 1000;
}