Smart Order Routing Market Data

{
  "type": "subscribe",
  "channels": [
    {
      "type": "market_data",
      "params": {
        "market": "BTCUSD"
      }
    }
  ]
}

{
  "type": "subscribe",
  "channels": [
    {
      "type": "market_data",
      "params": { "market": "BTCUSD" },
      "success": true
    }
  ]
}

{
  "type": "subscribe",
  "channels": [
    {
      "type": "market_data",
      "params": { "market": "BADBAD" },
      "success": false,
      "error": "UNKNOWN_CHANNEL_PARAMS_CONFIGURATION"
    }
  ]
}

{
  "channel": "market_data",
  "payload": {
    "market": "BTCUSD",
    "type": "SNAPSHOT",
    "time": "2024-01-15T10:30:00.123456789Z",
    "bids": [
      {
        "price": "50000.00",
        "amount": "1.5"
      },
      {
        "price": "49999.50",
        "amount": "2.0"
      }
    ],
    "asks": [
      {
        "price": "50100.00",
        "amount": "2.0"
      },
      {
        "price": "50101.00",
        "amount": "1.5"
      }
    ]
  }
}

{
  "channel": "market_data",
  "payload": {
    "market": "BTCUSD",
    "type": "UPDATE",
    "time": "2024-01-15T10:30:01.456789012Z",
    "bids": [
      {
        "price": "50000.00",
        "amount": "0"
      }
    ],
    "asks": [
      {
        "price": "50100.50",
        "amount": "3.5"
      }
    ]
  }
}

class OrderBook {
  constructor() {
    this.bids = new Map();
    this.asks = new Map();
    this.updateBuffer = [];
    this.snapshotTime = null;
  }

  handleMessage(message) {
    if (message.payload.type === 'SNAPSHOT') {
      this.processSnapshot(message.payload);
    } else if (message.payload.type === 'UPDATE') {
      if (!this.snapshotTime) {
        // Buffer updates until snapshot arrives
        this.updateBuffer.push(message.payload);
      } else {
        this.processUpdate(message.payload);
      }
    }
  }

  processSnapshot(snapshot) {
    // Clear and rebuild order book
    this.bids.clear();
    this.asks.clear();
    this.snapshotTime = snapshot.time;

    // Load snapshot data
    snapshot.bids.forEach(level => {
      this.bids.set(level.price, level.amount);
    });
    snapshot.asks.forEach(level => {
      this.asks.set(level.price, level.amount);
    });

    // Apply buffered updates after snapshot time
    this.updateBuffer
      .filter(update => update.time > this.snapshotTime)
      .forEach(update => this.processUpdate(update));
    
    this.updateBuffer = [];
  }

  processUpdate(update) {
    // Process bid updates
    if (update.bids) {
      update.bids.forEach(level => {
        if (level.amount === "0") {
          this.bids.delete(level.price);
        } else {
          this.bids.set(level.price, level.amount);
        }
      });
    }

    // Process ask updates
    if (update.asks) {
      update.asks.forEach(level => {
        if (level.amount === "0") {
          this.asks.delete(level.price);
        } else {
          this.asks.set(level.price, level.amount);
        }
      });
    }
  }
}

{
  "type": "unsubscribe",
  "channels": [
    {
      "type": "market_data",
      "params": {
        "market": "BTCUSD"
      }
    }
  ]
}