Merge pull request #422 from fasenderos/maker-taker

Add takerQty and makerQty Properties to Orders, Replacing isMaker Flag

## Breaking Changes
- The `isMaker` property has been removed from the limit order object.
- New properties `takerQty` and `makerQty` have been added to the limit order objecct.

Author: fasenderos

src/order.ts

@@ -18,13 +18,11 @@ abstract class BaseOrder {
   readonly _id: string
   readonly _side: Side
   _size: number
-  readonly _origSize: number
   _time: number
   constructor (options: OrderOptions) {
     this._id = options.id ?? randomUUID()
     this._side = options.side
     this._size = options.size
-    this._origSize = options.origSize ?? options.size
     this._time = options.time ?? Date.now()
   }
 
@@ -48,11 +46,6 @@ abstract class BaseOrder {
     this._size = size
   }
 
-  // Getter for the original size of the order
-  get origSize (): number {
-    return this._origSize
-  }
-
   // Getter for order timestamp
   get time (): number {
     return this._time
@@ -72,18 +65,22 @@ abstract class BaseOrder {
 }
 export class LimitOrder extends BaseOrder {
   private readonly _type: OrderType.LIMIT
+  readonly _origSize: number
   private _price: number
   private readonly _timeInForce: TimeInForce
-  private readonly _isMaker: boolean
+  private readonly _makerQty: number
+  private readonly _takerQty: number
   private readonly _postOnly: boolean
   // Refers to the linked Stop Limit order stopPrice
   private readonly _ocoStopPrice?: number
   constructor (options: InternalLimitOrderOptions) {
     super(options)
     this._type = options.type
+    this._origSize = options.origSize
     this._price = options.price
     this._timeInForce = options.timeInForce
-    this._isMaker = options.isMaker
+    this._makerQty = options.makerQty
+    this._takerQty = options.takerQty
     this._postOnly = options.postOnly ?? false
     this._ocoStopPrice = options.ocoStopPrice
   }
@@ -113,9 +110,19 @@ export class LimitOrder extends BaseOrder {
     return this._postOnly
   }
 
-  // Getter for order isMaker
-  get isMaker (): boolean {
-    return this._isMaker
+  // Getter for the original size of the order
+  get origSize (): number {
+    return this._origSize
+  }
+
+  // Getter for order makerQty
+  get makerQty (): number {
+    return this._makerQty
+  }
+
+  // Getter for order takerQty
+  get takerQty (): number {
+    return this._takerQty
   }
 
   get ocoStopPrice (): number | undefined {
@@ -131,7 +138,8 @@ export class LimitOrder extends BaseOrder {
     price: ${this._price}
     time: ${this._time}
     timeInForce: ${this._timeInForce}
-    isMaker: ${this._isMaker as unknown as string}`
+    makerQty: ${this._makerQty}
+    takerQty: ${this._takerQty}`
 
   toJSON = (): string => JSON.stringify(this.toObject())
 
@@ -144,7 +152,8 @@ export class LimitOrder extends BaseOrder {
     price: this._price,
     time: this._time,
     timeInForce: this._timeInForce,
-    isMaker: this._isMaker
+    makerQty: this._makerQty,
+    takerQty: this._takerQty
   })
 }
 
@@ -172,7 +181,6 @@ export class StopMarketOrder extends BaseOrder {
     type: ${this.type}
     side: ${this._side}
     size: ${this._size}
-    origSize: ${this._origSize}
     stopPrice: ${this._stopPrice}
     time: ${this._time}`
 
@@ -183,7 +191,6 @@ export class StopMarketOrder extends BaseOrder {
     type: this.type,
     side: this._side,
     size: this._size,
-    origSize: this._origSize,
     stopPrice: this._stopPrice,
     time: this._time
   })
@@ -194,7 +201,6 @@ export class StopLimitOrder extends BaseOrder {
   private _price: number
   private readonly _stopPrice: number
   private readonly _timeInForce: TimeInForce
-  private readonly _isMaker: boolean
   // It's true when there is a linked Limit Order
   private readonly _isOCO: boolean
   constructor (options: InternalStopLimitOrderOptions) {
@@ -203,7 +209,6 @@ export class StopLimitOrder extends BaseOrder {
     this._price = options.price
     this._stopPrice = options.stopPrice
     this._timeInForce = options.timeInForce
-    this._isMaker = options.isMaker
     this._isOCO = options.isOCO ?? false
   }
 
@@ -232,11 +237,6 @@ export class StopLimitOrder extends BaseOrder {
     return this._timeInForce
   }
 
-  // Getter for order isMaker
-  get isMaker (): boolean {
-    return this._isMaker
-  }
-
   // Getter for order isOCO
   get isOCO (): boolean {
     return this._isOCO
@@ -247,12 +247,10 @@ export class StopLimitOrder extends BaseOrder {
     type: ${this.type}
     side: ${this._side}
     size: ${this._size}
-    origSize: ${this._origSize}
     price: ${this._price}
     stopPrice: ${this._stopPrice}
     timeInForce: ${this._timeInForce}
-    time: ${this._time}
-    isMaker: ${this._isMaker as unknown as string}`
+    time: ${this._time}`
 
   toJSON = (): string => JSON.stringify(this.toObject())
 
@@ -261,12 +259,10 @@ export class StopLimitOrder extends BaseOrder {
     type: this.type,
     side: this._side,
     size: this._size,
-    origSize: this._origSize,
     price: this._price,
     stopPrice: this._stopPrice,
     timeInForce: this._timeInForce,
-    time: this._time,
-    isMaker: this._isMaker
+    time: this._time
   })
 }
 

src/orderbook.ts

@@ -616,7 +616,6 @@ export class OrderBook {
     const stopLimit = OrderFactory.createOrder({
       ...options,
       type: OrderType.STOP_LIMIT,
-      isMaker: true,
       timeInForce: options.timeInForce ?? TimeInForce.GTC
     })
     return this._stopOrder(stopLimit, response)
@@ -650,7 +649,6 @@ export class OrderBook {
         size: options.size,
         price: options.stopLimitPrice,
         stopPrice: options.stopPrice,
-        isMaker: true,
         timeInForce: options.stopLimitTimeInForce ?? TimeInForce.GTC,
         isOCO: true
       })
@@ -797,17 +795,21 @@ export class OrderBook {
     this.executeConditionalOrder(side, priceBefore, response)
 
     let order: LimitOrder
+    const takerQty = size - quantityToTrade
+    const makerQty = quantityToTrade
     if (quantityToTrade > 0) {
       order = OrderFactory.createOrder({
         type: OrderType.LIMIT,
         id: orderID,
         side,
         size: quantityToTrade,
+        origSize: size,
         price,
         time: Date.now(),
         timeInForce,
         postOnly,
-        isMaker: quantityToTrade === size,
+        takerQty,
+        makerQty,
         ...(ocoStopPrice !== undefined ? { ocoStopPrice } : {})
       })
       if (response.done.length > 0) {
@@ -834,11 +836,13 @@ export class OrderBook {
         type: OrderType.LIMIT,
         side,
         size,
+        origSize: size,
         price: totalPrice / totalQuantity,
         time: Date.now(),
         timeInForce,
         postOnly,
-        isMaker: false
+        takerQty,
+        makerQty
       })
       response.done.push(order)
     }
@@ -995,16 +999,8 @@ export class OrderBook {
         if (headOrder !== undefined) {
           if (response.quantityLeft < headOrder.size) {
             response.partial = OrderFactory.createOrder({
-              type: OrderType.LIMIT,
-              id: headOrder.id,
-              side: headOrder.side,
-              size: headOrder.size - response.quantityLeft,
-              origSize: headOrder.origSize,
-              price: headOrder.price,
-              time: headOrder.time,
-              timeInForce: headOrder.timeInForce,
-              postOnly: headOrder.postOnly,
-              isMaker: true
+              ...headOrder.toObject(),
+              size: headOrder.size - response.quantityLeft
             })
             this.orders[headOrder.id] = response.partial
             response.partialQuantityProcessed = response.quantityLeft

src/orderside.ts

@@ -92,16 +92,10 @@ export class OrderSide {
   ): LimitOrder => {
     this.remove(oldOrder)
     const newOrder = OrderFactory.createOrder({
-      id: oldOrder.id,
-      type: oldOrder.type,
-      side: oldOrder.side,
+      ...oldOrder.toObject(),
       size: orderUpdate.size !== undefined ? orderUpdate.size : oldOrder.size,
-      origSize: oldOrder.origSize,
       price: orderUpdate.price,
-      time: Date.now(),
-      timeInForce: oldOrder.timeInForce,
-      postOnly: oldOrder.postOnly,
-      isMaker: oldOrder.isMaker
+      time: Date.now()
     })
     this.append(newOrder)
     return newOrder

src/types.ts

@@ -26,7 +26,6 @@ interface BaseOrderOptions {
 interface InternalBaseOrderOptions extends BaseOrderOptions {
   type: OrderType
   time?: number
-  origSize?: number
 }
 /**
  * Specific options for a market order.
@@ -50,10 +49,12 @@ interface ILimitOrderOptions extends InternalBaseOrderOptions {
   id: string
   price: number
   timeInForce: TimeInForce
-  isMaker: boolean
 }
 export interface InternalLimitOrderOptions extends ILimitOrderOptions {
   type: OrderType.LIMIT
+  origSize: number
+  makerQty: number
+  takerQty: number
   postOnly?: boolean
   ocoStopPrice?: number
 }
@@ -107,14 +108,15 @@ export interface IMarketOrder {
  */
 export interface ILimitOrder {
   id: string
-  type: OrderType
+  type: OrderType.LIMIT
   side: Side
   size: number
   origSize: number
   price: number
   time: number
   timeInForce: TimeInForce
-  isMaker: boolean
+  takerQty: number
+  makerQty: number
 }
 
 /**
@@ -125,7 +127,6 @@ export interface IStopMarketOrder {
   type: OrderType
   side: Side
   size: number
-  origSize: number
   stopPrice: number
   time: number
 }
@@ -138,12 +139,10 @@ export interface IStopLimitOrder {
   type: OrderType
   side: Side
   size: number
-  origSize: number
   price: number
   stopPrice: number
   timeInForce: TimeInForce
   time: number
-  isMaker: boolean
 }
 
 /**