Merge pull request #347 from fasenderos/remove-bignumber

deps: removed bignumber.js for size

package.json

@@ -41,7 +41,6 @@
     "prepare": "husky install"
   },
   "dependencies": {
-    "bignumber.js": "^9.1.1",
     "denque": "2.1.0",
     "functional-red-black-tree": "1.0.1"
   },

src/order.ts

@@ -1,4 +1,3 @@
-import BigNumber from 'bignumber.js'
 import { Side } from './side'
 
 interface IOrder {
@@ -27,14 +26,14 @@ export enum TimeInForce {
 export class Order {
   private readonly _id: string
   private readonly _side: Side
-  private _size: BigNumber
+  private _size: number
   private _price: number
   private _time: number
   private readonly _isMaker: boolean
   constructor (
     orderId: string,
     side: Side,
-    size: BigNumber,
+    size: number,
     price: number,
     time?: number,
     isMaker?: boolean
@@ -68,12 +67,12 @@ export class Order {
   }
 
   // Getter for order size
-  get size (): BigNumber {
+  get size (): number {
     return this._size
   }
 
   // Setter for order size
-  set size (size: BigNumber) {
+  set size (size: number) {
     this._size = size
   }
 
@@ -106,7 +105,7 @@ export class Order {
   toJSON = (): string => JSON.stringify({
     id: this._id,
     side: this._side,
-    size: this._size.toNumber(),
+    size: this._size,
     price: this._price,
     time: this._time,
     isMaker: this._isMaker
@@ -116,7 +115,7 @@ export class Order {
   toObject = (): IOrder => ({
     id: this._id,
     side: this._side,
-    size: this._size.toNumber(),
+    size: this._size,
     price: this._price,
     time: this._time,
     isMaker: this._isMaker

src/orderbook.ts

@@ -1,4 +1,3 @@
-import BigNumber from 'bignumber.js'
 import { ERROR, CustomError } from './errors'
 import { Order, OrderType, OrderUpdatePrice, OrderUpdateSize, TimeInForce } from './order'
 import { OrderQueue } from './orderqueue'
@@ -226,7 +225,7 @@ export class OrderBook {
       const order = new Order(
         orderID,
         side,
-        new BigNumber(quantityToTrade),
+        quantityToTrade,
         price,
         Date.now(),
         true
@@ -241,9 +240,8 @@ export class OrderBook {
       let totalPrice = 0
 
       response.done.forEach((order: Order) => {
-        const ordrSize: number = order.size.toNumber()
-        totalQuantity += ordrSize
-        totalPrice += order.price * ordrSize
+        totalQuantity += order.size
+        totalPrice += order.price * order.size
       })
       if (response.partialQuantityProcessed > 0 && response.partial !== null) {
         totalQuantity += response.partialQuantityProcessed
@@ -255,7 +253,7 @@ export class OrderBook {
         new Order(
           orderID,
           side,
-          new BigNumber(size),
+          size,
           totalPrice / totalQuantity,
           Date.now()
         )
@@ -300,7 +298,7 @@ export class OrderBook {
           const result = this.limit(
             order.side,
             order.id,
-            orderUpdate.size ?? order.size.toNumber(),
+            orderUpdate.size ?? order.size,
             newPrice
           )
           updatedOrder = result.partial?.id === order.id ? result.partial : result.done[result.done.length - 1]
@@ -312,7 +310,7 @@ export class OrderBook {
         }
       } else if (
         orderUpdate.size !== undefined &&
-        orderUpdate.size !== order.size.toNumber()
+        orderUpdate.size !== order.size
       ) {
         // Quantity changed. Price is the same.
         const newSize = orderUpdate.size
@@ -336,7 +334,7 @@ export class OrderBook {
           const result = this.limit(
             order.side,
             order.id,
-            orderUpdate.size ?? order.size.toNumber(),
+            orderUpdate.size ?? order.size,
             newPrice
           )
           updatedOrder = result.partial?.id === order.id ? result.partial : result.done[result.done.length - 1]
@@ -348,7 +346,7 @@ export class OrderBook {
         }
       } else if (
         orderUpdate.size !== undefined &&
-        orderUpdate.size !== order.size.toNumber()
+        orderUpdate.size !== order.size
       ) {
         // Quantity changed. Price is the same.
         const newSize = orderUpdate.size
@@ -392,10 +390,10 @@ export class OrderBook {
     const asks: Array<[number, number]> = []
     const bids: Array<[number, number]> = []
     this.asks.priceTree().forEach((levelPrice: number, level: OrderQueue) => {
-      asks.push([levelPrice, level.volume().toNumber()])
+      asks.push([levelPrice, level.volume()])
     })
     this.bids.priceTree().forEach((levelPrice: number, level: OrderQueue) => {
-      bids.push([levelPrice, level.volume().toNumber()])
+      bids.push([levelPrice, level.volume()])
     })
     return [asks, bids]
   }
@@ -431,7 +429,7 @@ export class OrderBook {
     }
 
     while (size > 0 && level !== undefined) {
-      const levelVolume = level.volume().toNumber()
+      const levelVolume = level.volume()
       const levelPrice = level.price()
       if (this.greaterThanOrEqual(size, levelVolume)) {
         price += levelPrice * levelVolume
@@ -473,12 +471,11 @@ export class OrderBook {
       while (orderQueue.len() > 0 && response.quantityLeft > 0) {
         const headOrder = orderQueue.head()
         if (headOrder !== undefined) {
-          const headSize = headOrder.size.toNumber()
-          if (response.quantityLeft < headSize) {
+          if (response.quantityLeft < headOrder.size) {
             response.partial = new Order(
               headOrder.id,
               headOrder.side,
-              new BigNumber(headSize - response.quantityLeft),
+              headOrder.size - response.quantityLeft,
               headOrder.price,
               headOrder.time,
               true
@@ -488,7 +485,7 @@ export class OrderBook {
             orderQueue.update(headOrder, response.partial)
             response.quantityLeft = 0
           } else {
-            response.quantityLeft = response.quantityLeft - headSize
+            response.quantityLeft = response.quantityLeft - headOrder.size
             const canceledOrder = this.cancel(headOrder.id)
             if (canceledOrder !== undefined) response.done.push(canceledOrder)
           }
@@ -514,16 +511,14 @@ export class OrderBook {
     size: number,
     price: number
   ): boolean => {
-    const insufficientSideVolume: boolean = orderSide.volume().lt(size)
-    if (insufficientSideVolume) {
+    if (orderSide.volume() < size) {
       return false
     }
 
     let cumulativeSize = 0
     orderSide.priceTree().forEach((_: number, level: OrderQueue) => {
       if (price >= level.price() && cumulativeSize < size) {
-        const volume: number = level.volume().toNumber()
-        cumulativeSize += volume
+        cumulativeSize += level.volume()
       } else {
         return true // break the loop
       }
@@ -536,16 +531,14 @@ export class OrderBook {
     size: number,
     price: number
   ): boolean => {
-    const insufficientSideVolume: boolean = orderSide.volume().lt(size)
-    if (insufficientSideVolume) {
+    if (orderSide.volume() < size) {
       return false
     }
 
     let cumulativeSize = 0
     orderSide.priceTree().forEach((_: number, level: OrderQueue) => {
       if (price <= level.price() && cumulativeSize < size) {
-        const volume: number = level.volume().toNumber()
-        cumulativeSize += volume
+        cumulativeSize += level.volume()
       } else {
         return true // break the loop
       }

src/orderqueue.ts

@@ -1,17 +1,16 @@
-import BigNumber from 'bignumber.js'
 import Denque from 'denque'
 import { Order } from './order'
 
 export class OrderQueue {
   private readonly _price: number
-  private _volume: BigNumber
+  private _volume: number
   private readonly _orders: Denque<Order>
   // { orderID: index } index in denque
   private _ordersMap: { [key: string]: number } = {}
 
   constructor (price: number) {
     this._price = price
-    this._volume = new BigNumber(0)
+    this._volume = 0
     this._orders = new Denque<Order>()
   }
 
@@ -30,7 +29,7 @@ export class OrderQueue {
   }
 
   // returns price level of the queue
-  volume = (): BigNumber => {
+  volume = (): number => {
     return this._volume
   }
 
@@ -46,15 +45,16 @@ export class OrderQueue {
 
   // adds order to tail of the queue
   append = (order: Order): Order => {
-    this._volume = this._volume.plus(order.size)
+    this._volume += order.size
     this._orders.push(order)
     this._ordersMap[order.id] = this._orders.length - 1
     return order
   }
 
   // sets up new order to list value
   update = (oldOrder: Order, newOrder: Order): void => {
-    this._volume = this._volume.minus(oldOrder.size).plus(newOrder.size)
+    this._volume -= oldOrder.size
+    this._volume += newOrder.size
     // Remove old order from head
     this._orders.shift()
     /* eslint-disable @typescript-eslint/no-dynamic-delete */
@@ -66,7 +66,7 @@ export class OrderQueue {
 
   // removes order from the queue
   remove = (order: Order): void => {
-    this._volume = this._volume.minus(order.size)
+    this._volume -= order.size
     const deletedOrderIndex = this._ordersMap[order.id]
     this._orders.removeOne(deletedOrderIndex)
     delete this._ordersMap[order.id]
@@ -79,9 +79,8 @@ export class OrderQueue {
   }
 
   updateOrderSize = (order: Order, size: number): void => {
-    const newSize = new BigNumber(size)
-    this._volume = this._volume.plus(newSize.minus(order.size)) // update volume
-    order.size = newSize
+    this._volume += size - order.size // update volume
+    order.size = size
     order.time = Date.now()
   }
 }