fix: bug with market depth patch parsing

huskly · Sep 12, 2023 · 46deecd · 46deecd
1 parent 90741cd
commit 46deecd
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Showing 4 changed files with 57 additions and 24 deletions.
diff --git a/package.json b/package.json
@@ -1,6 +1,6 @@
 {
   "name": "tda-wsjson-client",
-  "version": "0.7.0",
+  "version": "0.7.1",
   "description": "WebSocket client for the TD Ameritrade wsjson API",
   "main": "dist/web.bundle.js",
   "types": "dist/web.d.ts",

diff --git a/src/client/services/marketDepthMessageHandler.ts b/src/client/services/marketDepthMessageHandler.ts
@@ -5,11 +5,14 @@ import { RawPayloadRequest, RawPayloadResponse } from "../tdaWsJsonTypes";
 import { ApiService } from "./apiService";
 
 type MarketDepthQuote = {
-  name: string;
+  name?: string;
   price?: number;
-  size: number;
+  size?: number;
+  index?: number;
 };
 
+type MarketDepthPatch = { op: string; path: string; value?: any };
+
 export type RawPayloadMarketDepthResponse = {
   askQuotes: MarketDepthQuote[];
   bidQuotes: MarketDepthQuote[];
@@ -53,7 +56,7 @@ export default class MarketDepthMessageHandler
   }
 
   private parsePatchResponse(
-    patches?: { op: string; path: string; value?: any }[]
+    patches?: MarketDepthPatch[]
   ): MarketDepthResponse | null {
     const patch = patches?.[0];
     if (patch?.op === "replace" && patch?.path === "") {
@@ -66,17 +69,12 @@ export default class MarketDepthMessageHandler
     const askQuotes: MarketDepthQuote[] = [];
     patches
       ?.filter(({ op }) => op === "replace")
-      .forEach(({ path, value }) => {
-        const pathParts = path.split("/");
-        const name = pathParts[2];
-        const prop = pathParts[3];
-        if (prop === "size") {
-          const size = value;
-          if (path.includes("bidQuotes")) {
-            bidQuotes.push({ name, size });
-          } else if (path.includes("askQuotes")) {
-            askQuotes.push({ name, size });
-          }
+      .forEach((patch) => {
+        const quote = parseQuote(patch);
+        if (patch.path.includes("bidQuotes")) {
+          bidQuotes.push(quote);
+        } else if (patch.path.includes("askQuotes")) {
+          askQuotes.push(quote);
         } else {
           console.warn("Don't know how to handle market depth patch", patch);
         }
@@ -86,3 +84,29 @@ export default class MarketDepthMessageHandler
 
   service: ApiService = "market_depth";
 }
+
+function parseQuote(patch: MarketDepthPatch): MarketDepthQuote {
+  const { path, value } = patch;
+  const pathParts = path.split("/");
+  const index = +pathParts[2];
+  const prop = pathParts[3];
+  const quote: MarketDepthQuote = { index };
+  switch (prop) {
+    case "size": {
+      quote.size = value;
+      break;
+    }
+    case "price": {
+      quote.price = value;
+      break;
+    }
+    case "name": {
+      quote.name = value;
+      break;
+    }
+    default:
+      console.warn("Don't know how to handle market depth patch", patch);
+      break;
+  }
+  return quote;
+}
diff --git a/src/example/marketDepthStateUpdater.ts b/src/example/marketDepthStateUpdater.ts
@@ -1,6 +1,8 @@
 import { MarketDepthResponse } from "../client/services/marketDepthMessageHandler";
 
-type MarketDepthQuote = { [name: string]: { price: number; size: number } };
+type MarketDepthQuote = {
+  [name: string]: { price?: number; size?: number; name?: string };
+};
 
 export default class MarketDepthStateUpdater {
   readonly askQuotes: MarketDepthQuote = {};
@@ -10,18 +12,24 @@ export default class MarketDepthStateUpdater {
 
   handleMessage(message: MarketDepthResponse) {
     const { askQuotes, bidQuotes } = message;
-    askQuotes.forEach(({ name, price, size }) => {
-      if (price) {
-        this.askQuotes[name] = { price, size };
+    askQuotes.forEach(({ index, name, price, size }, i) => {
+      if (index !== undefined) {
+        const quote = this.askQuotes[index];
+        if (price !== undefined) quote.price = price;
+        if (name !== undefined) quote.name = name;
+        if (size !== undefined) quote.size = size;
       } else {
-        this.askQuotes[name].size = size;
+        this.askQuotes[i] = { price, size, name };
       }
     });
-    bidQuotes.forEach(({ name, price, size }) => {
-      if (price) {
-        this.bidQuotes[name] = { price, size };
+    bidQuotes.forEach(({ index, name, price, size }, i) => {
+      if (index !== undefined) {
+        const quote = this.bidQuotes[index];
+        if (price !== undefined) quote.price = price;
+        if (name !== undefined) quote.name = name;
+        if (size !== undefined) quote.size = size;
       } else {
-        this.bidQuotes[name].size = size;
+        this.bidQuotes[i] = { price, size, name };
       }
     });
   }

diff --git a/src/example/testApp.ts b/src/example/testApp.ts
@@ -142,6 +142,7 @@ class TestApp {
     const stateUpdater = new MarketDepthStateUpdater();
     logger(` --- marketDepth() requesting market depth for ${symbol} ---`);
     for await (const message of this.client.marketDepth(symbol)) {
+      logger("message %O", message);
       stateUpdater.handleMessage(message);
       logger("ask quotes: %O", stateUpdater.askQuotes);
       logger("bid quotes: %O", stateUpdater.bidQuotes);