1197 improve depth chart price level data handling (#1198)

* refactor: extract parseLevel and updateLevels into new file

* test: add unit tests

* Expand unit test

libs/market-depth/src/lib/depth-chart-utils.spec.ts

@@ -0,0 +1,83 @@
+import { parseLevel, updateLevels } from './depth-chart-utils';
+
+describe('parseLevel', () => {
+  it('should parse valid raw price levels', () => {
+    expect(parseLevel({ price: '132', volume: '4567' })).toEqual({
+      price: 132,
+      volume: 4567,
+    });
+  });
+
+  it('should parse valid raw price levels with non-zero decimal places', () => {
+    expect(parseLevel({ price: '132', volume: '4567' }, 2, 4)).toEqual({
+      price: 1.32,
+      volume: 0.4567,
+    });
+  });
+});
+
+describe('updateLevels', () => {
+  it('should update by adding price levels', () => {
+    const priceLevels = [
+      { price: 1.28, volume: 100 },
+      { price: 1.35, volume: 200 },
+    ];
+
+    const updates = [
+      { price: '132', volume: '200' },
+      { price: '131', volume: '150' },
+    ];
+
+    expect(updateLevels(priceLevels, updates, 2, 0)).toEqual([
+      { price: 1.28, volume: 100 },
+      { price: 1.31, volume: 150 },
+      { price: 1.32, volume: 200 },
+      { price: 1.35, volume: 200 },
+    ]);
+  });
+
+  it('should update by updating price levels', () => {
+    const priceLevels = [
+      { price: 1.28, volume: 100 },
+      { price: 1.3, volume: 200 },
+      { price: 1.35, volume: 300 },
+    ];
+    const updates = [{ price: '135', volume: '200' }];
+
+    expect(updateLevels(priceLevels, updates, 2, 0)).toEqual([
+      { price: 1.28, volume: 100 },
+      { price: 1.3, volume: 200 },
+      { price: 1.35, volume: 200 },
+    ]);
+  });
+
+  it('should update by removing price levels', () => {
+    const priceLevels = [
+      { price: 1.28, volume: 100 },
+      { price: 1.3, volume: 200 },
+      { price: 1.35, volume: 300 },
+    ];
+
+    const updates = [{ price: '130', volume: '0' }];
+
+    expect(updateLevels(priceLevels, updates, 2, 0)).toEqual([
+      { price: 1.28, volume: 100 },
+      { price: 1.35, volume: 300 },
+    ]);
+  });
+
+  it('should update by adding price levels in reverse order', () => {
+    const priceLevels = [
+      { price: 1.35, volume: 200 },
+      { price: 1.28, volume: 100 },
+    ];
+
+    const updates = [{ price: '132', volume: '200' }];
+
+    expect(updateLevels(priceLevels, updates, 2, 0, true)).toEqual([
+      { price: 1.35, volume: 200 },
+      { price: 1.32, volume: 200 },
+      { price: 1.28, volume: 100 },
+    ]);
+  });
+});

libs/market-depth/src/lib/depth-chart-utils.ts

@@ -0,0 +1,79 @@
+import { addDecimal } from '@vegaprotocol/react-helpers';
+
+interface PriceLevel {
+  price: number;
+  volume: number;
+}
+
+interface RawPriceLevel {
+  price: string;
+  volume: string;
+}
+
+/**
+ * Parse price level strings to numbers
+ *
+ * @param rawPriceLevel Price level represented by string values
+ * @param priceDecimalPlaces Number of decimal places used to interpret price string
+ * @param volumeDecimalPlaces Number of decimal places used to interpret volume string
+ */
+export const parseLevel = (
+  rawPriceLevel: RawPriceLevel,
+  priceDecimalPlaces = 0,
+  volumeDecimalPlaces = 0
+): PriceLevel => ({
+  price: Number(addDecimal(rawPriceLevel.price, priceDecimalPlaces)),
+  volume: Number(addDecimal(rawPriceLevel.volume, volumeDecimalPlaces)),
+});
+
+/**
+ * Apply price level updates to current price levels. This can involve
+ * adding, updating, or removing single price levels.
+ *
+ * @param levels The current price levels
+ * @param updates Price level updates
+ * @param decimalPlaces Number of decimal places used to interpret price string
+ * @param positionDecimalPlaces Number of decimal places used to interpret volume string
+ * @param reverse If true the price levels are in descending price order, otherwise they are in ascending price order
+ */
+export const updateLevels = (
+  levels: PriceLevel[],
+  updates: RawPriceLevel[],
+  decimalPlaces: number,
+  positionDecimalPlaces: number,
+  reverse = false
+) => {
+  updates.forEach((update) => {
+    const updateLevel = parseLevel(
+      update,
+      decimalPlaces,
+      positionDecimalPlaces
+    );
+
+    let index = levels.findIndex(
+      (level) =>
+        Math.abs(level.price - updateLevel.price) < 10 ** -(decimalPlaces + 1)
+    );
+
+    if (index !== -1) {
+      if (update.volume === '0') {
+        levels.splice(index, 1);
+      } else {
+        Object.assign(levels[index], updateLevel);
+      }
+    } else if (update.volume !== '0') {
+      index = levels.findIndex((level) =>
+        reverse
+          ? level.price < updateLevel.price
+          : level.price > updateLevel.price
+      );
+      if (index !== -1) {
+        levels.splice(index, 0, updateLevel);
+      } else {
+        levels.push(updateLevel);
+      }
+    }
+  });
+
+  return levels;
+};

libs/market-depth/src/lib/depth-chart.tsx

@@ -16,74 +16,14 @@ import {
   useState,
   useContext,
 } from 'react';
-import type {
+import type { MarketDepthSubscription_marketDepthUpdate } from './__generated__/MarketDepthSubscription';
-  MarketDepthSubscription_marketDepthUpdate_buy,
-  MarketDepthSubscription_marketDepthUpdate_sell,
-  MarketDepthSubscription_marketDepthUpdate,
-} from './__generated__/MarketDepthSubscription';
-import type {
-  MarketDepth_market_depth_buy,
-  MarketDepth_market_depth_sell,
-} from './__generated__/MarketDepth';
 import type { DepthChartProps } from 'pennant';
+import { parseLevel, updateLevels } from './depth-chart-utils';
 
 interface DepthChartManagerProps {
   marketId: string;
 }
 
-interface PriceLevel {
-  price: number;
-  volume: number;
-}
-
-const parseLevel = (
-  priceLevel: MarketDepth_market_depth_buy | MarketDepth_market_depth_sell,
-  priceDecimalPlaces = 0,
-  volumeDecimalPlaces = 0
-): PriceLevel => ({
-  price: Number(addDecimal(priceLevel.price, priceDecimalPlaces)),
-  volume: Number(addDecimal(priceLevel.volume, volumeDecimalPlaces)),
-});
-
-const updateLevels = (
-  levels: PriceLevel[],
-  updates: (
-    | MarketDepthSubscription_marketDepthUpdate_buy
-    | MarketDepthSubscription_marketDepthUpdate_sell
-  )[],
-  decimalPlaces: number,
-  positionDecimalPlaces: number,
-  reverse = false
-) => {
-  updates.forEach((update) => {
-    const updateLevel = parseLevel(
-      update,
-      decimalPlaces,
-      positionDecimalPlaces
-    );
-    let index = levels.findIndex((level) => level.price === updateLevel.price);
-    if (index !== -1) {
-      if (update.volume === '0') {
-        levels.splice(index, 1);
-      } else {
-        Object.assign(levels[index], updateLevel);
-      }
-    } else if (update.volume !== '0') {
-      index = levels.findIndex((level) =>
-        reverse
-          ? level.price < updateLevel.price
-          : level.price > updateLevel.price
-      );
-      if (index !== -1) {
-        levels.splice(index, 0, updateLevel);
-      } else {
-        levels.push(updateLevel);
-      }
-    }
-  });
-  return levels;
-};
-
 const formatMidPrice = (midPrice: string, decimalPlaces: number) =>
   Number(addDecimal(midPrice, decimalPlaces));