https://github.com/valamidev/orderbook-analysis
[NPM] Univariate analysis for Market Depth Order Book
https://github.com/valamidev/orderbook-analysis
Last synced: about 2 months ago
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[NPM] Univariate analysis for Market Depth Order Book
- Host: GitHub
- URL: https://github.com/valamidev/orderbook-analysis
- Owner: valamidev
- License: mit
- Created: 2020-04-05T09:39:00.000Z (over 6 years ago)
- Default Branch: master
- Last Pushed: 2023-01-05T20:19:31.000Z (over 3 years ago)
- Last Synced: 2025-08-26T03:03:23.413Z (12 months ago)
- Language: TypeScript
- Homepage: https://www.npmjs.com/package/orderbook-analysis
- Size: 1.37 MB
- Stars: 14
- Watchers: 3
- Forks: 4
- Open Issues: 7
-
Metadata Files:
- Readme: README.md
- License: LICENSE
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README
# orderbook-analysis
Technical / Univariate analysis for Market Depth Order Books
#### Getting started:
```
npm install orderbook-analysis
```
#### Example:
```
import { OBA } from 'orderbook-analysis';
const OrderBookBTC = {
"lastUpdateId": 3150560149,
"bids": [
["7203.00000000", "6.62726500"],
["7202.98000000", "1.74510600"],
["7201.01000000", "0.25000000"]
],
"asks": [
["7203.31000000", "0.72261700"],
["7203.32000000", "5.88952000"],
["7203.80000000", "0.08302900"]
]
}
const decimals = 2;
const orderBook = new OBA(OrderBookBTC, decimals);
// Syntax for call methods
console.log(orderBook.calc('spread')); // 0.31
console.log(orderBook.calc('wallsByAsks')); // [{ amount: 5.88952, price: 7203.32, total: 42424.0972064 }]
console.log(orderBook.calc('wallsByBids')); // [{ amount: 11.533638, price: 7200, total: 83042.1936 }]
// Syntax for call methods with arguments
console.log(orderBook.calc('peaksByAsks',10));
console.log(orderBook.calc('peaksByBids',10));
```
#### Available methods and optional arguments:
```
'spread'
'depthByPercent' // range: number(float) between 0 - 1.00
'wallsByAsks'
'wallsByBids'
'peaksByAsks' // radius: number(integer)
'peaksByBids' // radius: number(integer)
'medianByAllPrice'
'medianByAsksPrice'
'medianByBidsPrice'
'medianByAsksTotal'
'medianByAllTotal'
'medianByBidsTotal'
'quartilesByAllPrice'
'quartilesByAsksPrice'
'quartilesByBidsPrice'
'varianceByAllPrice'
'varianceByAsksPrice'
'varianceByBidsPrice'
'linearRegressionByAll'
'linearRegressionByAsks'
'linearRegressionByBids'
'skewnessByAsksPrice'
'skewnessByBidsPrice'
'skewnessByAllPrice'
'kurtosisByAsksPrice'
'kurtosisByBidsPrice'
'kurtosisByAllPrice';
```