Order books¶

OrderBook¶

L2 order book.

const book = new lrvx.OrderBook(tickSize);
book.applySnapshot(bidPrices, bidQtys, askPrices, askQtys);

Method	Returns	Description
`applySnapshot(bp, bq, ap, aq)`	`void`	Full snapshot (Float64Arrays)
`applyDelta(bp, bq, ap, aq)`	`void`	Incremental update
`bestBid()`	`number \\| null`	Best bid price
`bestAsk()`	`number \\| null`	Best ask price
`mid()`	`number \\| null`	Mid price
`spread()`	`number \\| null`	Bid-ask spread
`getBids(n)`	`[price, qty][]`	Top N bid levels
`getAsks(n)`	`[price, qty][]`	Top N ask levels
`isCrossed()`	`boolean`	True if book is crossed
`clear()`	`void`	Clear all levels

tickSize must be positive; the constructor throws a RangeError otherwise. The smallest representable tick is 1e-8, since prices are fixed-point with a scale of 1e8. The book covers 8192 consecutive ticks centred on the market and re-anchors that window as a delta feed walks the price away from the last snapshot. See The order book's tick window.

L3Book¶

Order-level book with individual order tracking.

const book = new lrvx.L3Book();
book.addOrder(orderId, price, qty, 'buy');

Method	Returns	Description
`addOrder(orderId, price, qty, side)`	`number`	0 on success
`removeOrder(orderId)`	`number`	0 on success
`modifyOrder(orderId, newQty)`	`number`	0 on success
`bestBid()`	`number \\| null`	Best bid price
`bestAsk()`	`number \\| null`	Best ask price
`bidAtPrice(price)`	`number`	Total bid quantity at price
`askAtPrice(price)`	`number`	Total ask quantity at price

CompositeBookMatrix¶

Aggregates books across multiple exchanges per symbol.

const matrix = new lrvx.CompositeBookMatrix();
matrix.applySnapshot(exchangeId, symbol, bidPrices, bidQtys, askPrices, askQtys, recvNs);

Method	Returns	Description
`applySnapshot(exchange, symbol, bp, bq, ap, aq, recvNs?)`	`void`	Full snapshot for one exchange's side of the symbol (Float64Arrays)
`applyDelta(exchange, symbol, bp, bq, ap, aq, recvNs?)`	`void`	Incremental update for one exchange's side; an absent side (empty arrays) is left untouched, not cleared
`bestBid(symbol)`	`{ price, qty } \\| null`	Best bid across exchanges
`bestAsk(symbol)`	`{ price, qty } \\| null`	Best ask across exchanges
`hasArbitrage(symbol)`	`boolean`	True if arbitrage opportunity exists
`markStale(exchange, symbol)`	`void`	Mark exchange data as stale
`checkStaleness(nowNs, thresholdNs)`	`void`	Evict stale data

applySnapshot replaces both sides of that exchange's top-of-book wholesale, including clearing a side that arrives as an empty array. applyDelta only touches the side(s) actually present in the call -- a side passed as an empty array is left exactly as it was, not zeroed. recvNs defaults to 0 and feeds checkStaleness's staleness clock; pass the actual receive timestamp if you use staleness eviction. Codon (CompositeBook.apply_snapshot / apply_delta) and the embedded QuickJS CompositeBook class (see the QuickJS reference) have the same two methods.