perf: refactor market and limit journaling

fasenderos · Aug 31, 2024 · 9fc263a · 9fc263a
1 parent 2833a0f
commit 9fc263a
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Showing 3 changed files with 49 additions and 45 deletions.
diff --git a/src/orderbook.ts b/src/orderbook.ts
@@ -133,7 +133,16 @@ export class OrderBook {
 	 * @returns An object with the result of the processed order or an error. See {@link IProcessOrder} for the returned data structure
 	 */
 	public market(options: MarketOrderOptions): IProcessOrder {
-		return this._market(options);
+		const response = this._market(options);
+		if (this.enableJournaling && response.err === null) {
+			response.log = {
+				opId: ++this._lastOp,
+				ts: Date.now(),
+				op: "m",
+				o: { side: options.side, size: options.size },
+			};
+		}
+		return response;
 	}
 
 	/**
@@ -167,7 +176,23 @@ export class OrderBook {
 	 * @returns An object with the result of the processed order or an error. See {@link IProcessOrder} for the returned data structure
 	 */
 	public limit(options: LimitOrderOptions): IProcessOrder {
-		return this._limit(options);
+		const response = this._limit(options);
+		if (this.enableJournaling && response.err === null) {
+			response.log = {
+				opId: ++this._lastOp,
+				ts: Date.now(),
+				op: "l",
+				o: {
+					side: options.side,
+					id: options.id,
+					size: options.size,
+					price: options.price,
+					postOnly: options.postOnly ?? false,
+					timeInForce: options.timeInForce ?? TimeInForce.GTC,
+				},
+			};
+		}
+		return response;
 	}
 
 	/**
@@ -383,7 +408,7 @@ export class OrderBook {
 		incomingResponse?: IProcessOrder,
 	): IProcessOrder => {
 		const response = incomingResponse ?? this.validateMarketOrder(options);
-		if (response.err != null) return response;
+		if (response.err !== null) return response;
 
 		let quantityToTrade = options.size;
 		let iter: () => OrderQueue | undefined;
@@ -410,14 +435,6 @@ export class OrderBook {
 
 		this.executeConditionalOrder(options.side, priceBefore, response);
 
-		if (this.enableJournaling) {
-			response.log = {
-				opId: ++this._lastOp,
-				ts: Date.now(),
-				op: "m",
-				o: { side: options.side, size: options.size },
-			};
-		}
 		return response;
 	};
 
@@ -426,8 +443,8 @@ export class OrderBook {
 		incomingResponse?: IProcessOrder,
 	): IProcessOrder => {
 		const response = incomingResponse ?? this.validateLimitOrder(options);
-		if (response.err != null) return response;
-		const order = this.createLimitOrder(
+		if (response.err !== null) return response;
+		this.createLimitOrder(
 			response,
 			options.side,
 			options.id,
@@ -437,28 +454,14 @@ export class OrderBook {
 			options.timeInForce ?? TimeInForce.GTC,
 			options.ocoStopPrice,
 		);
-		if (this.enableJournaling && order != null) {
-			response.log = {
-				opId: ++this._lastOp,
-				ts: Date.now(),
-				op: "l",
-				o: {
-					side: order.side,
-					id: order.id,
-					size: order.size,
-					price: order.price,
-					timeInForce: order.timeInForce,
-				},
-			};
-		}
 		return response;
 	};
 
 	private readonly _stopMarket = (
 		options: StopMarketOrderOptions,
 	): IProcessOrder => {
 		const response = this.validateMarketOrder(options);
-		if (response.err != null) return response;
+		if (response.err !== null) return response;
 		const stopMarket = OrderFactory.createOrder({
 			...options,
 			type: OrderType.STOP_MARKET,
@@ -470,7 +473,7 @@ export class OrderBook {
 		options: StopLimitOrderOptions,
 	): IProcessOrder => {
 		const response = this.validateLimitOrder(options);
-		if (response.err != null) return response;
+		if (response.err !== null) return response;
 		const stopLimit = OrderFactory.createOrder({
 			...options,
 			type: OrderType.STOP_LIMIT,
@@ -482,7 +485,7 @@ export class OrderBook {
 	private readonly _oco = (options: OCOOrderOptions): IProcessOrder => {
 		const response = this.validateLimitOrder(options);
 		/* node:coverage ignore next - Already validated with limit test */
-		if (response.err != null) return response;
+		if (response.err !== null) return response;
 		if (this.validateOCOOrder(options)) {
 			// We use the same ID for Stop Limit and Limit Order, since
 			// we check only on limit order for duplicated ids
@@ -498,7 +501,7 @@ export class OrderBook {
 				response,
 			);
 			/* node:coverage ignore next - Already validated with limit test */
-			if (response.err != null) return response;
+			if (response.err !== null) return response;
 
 			const stopLimit = OrderFactory.createOrder({
 				type: OrderType.STOP_LIMIT,

diff --git a/src/types.ts b/src/types.ts
@@ -211,20 +211,10 @@ export interface CancelOrderOptions {
 	orderID: string;
 }
 
-/**
- * Represents a cancel order operation.
- */
-export interface ICancelOrder {
-	order: LimitOrder;
-	stopOrder?: StopOrder;
-	/** Optional log related to the order cancellation. */
-	log?: CancelOrderJournalLog;
-}
-
 /**
  * Represents a log entry for a market order operation.
  */
-export interface MarketOrderJournalLog {
+interface MarketOrderJournalLog {
 	/** Incremental ID of the operation */
 	opId: number;
 	/** Timestamp of the operation. */
@@ -238,7 +228,7 @@ export interface MarketOrderJournalLog {
 /**
  * Represents a log entry for a limit order operation.
  */
-export interface LimitOrderJournalLog {
+interface LimitOrderJournalLog {
 	/** Incremental ID of the operation */
 	opId: number;
 	/** Timestamp of the operation. */
@@ -252,7 +242,7 @@ export interface LimitOrderJournalLog {
 /**
  * Represents a log entry for an order modification operation.
  */
-export interface ModifyOrderJournalLog {
+interface ModifyOrderJournalLog {
 	/** Incremental ID of the operation */
 	opId: number;
 	/** Timestamp of the operation. */
@@ -266,7 +256,7 @@ export interface ModifyOrderJournalLog {
 /**
  * Represents a log entry for an order cancellation operation.
  */
-export interface CancelOrderJournalLog {
+interface CancelOrderJournalLog {
 	/** Incremental ID of the operation */
 	opId: number;
 	/** Timestamp of the operation. */
@@ -293,6 +283,16 @@ export type CreateOrderOptions =
 	| ({ type: OrderType.STOP_LIMIT } & StopLimitOrderOptions)
 	| ({ type: OrderType.OCO } & OCOOrderOptions);
 
+/**
+ * Represents a cancel order operation.
+ */
+export interface ICancelOrder {
+	order: LimitOrder;
+	stopOrder?: StopOrder;
+	/** Optional log related to the order cancellation. */
+	log?: CancelOrderJournalLog;
+}
+
 /**
  * Options for configuring the order book.
  */

diff --git a/test/orderbook.test.ts b/test/orderbook.test.ts
@@ -1208,6 +1208,7 @@ void test("orderbook enableJournaling option", () => {
 			id: "first-order",
 			size: 50,
 			price: 100,
+			postOnly: false,
 			timeInForce: TimeInForce.GTC,
 		});
 	}