Run results for: removeOwnOrdersFromBook performance using strings vs using numbers

Run details:

User agent: Mozilla/5.0 (Macintosh; Intel Mac OS X 10_15_5) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/84.0.4147.105 Safari/537.36

Browser: Chrome 84

Operating system: Mac OS X 10.15.5

Device Platform: Desktop

Date tested: 3 years ago

Test name	Executions per second
removeOwnOrdersFromBook using string orderBook and string orders	31.4 Ops/sec
removeOwnOrdersFromBook using numeric orderBook and numeric orders	1367.3 Ops/sec

Script Preparation code:

var fictStringOrderBook = {
  market: 'XRP-EUR',
  timestamp: Date.now(),
  nonceCW: 0,
  source: 'REST',
  bids: [
    ['0.18399', '3052.423937'],
    ['0.18381', '3222.189522'],
    ['0.1838', '1913.507669'],
    ['0.18377', '3289.219013'],
    ['0.18373', '2019.409876']
  ],
  asks: [
    ['0.184', '1534.998073'],
    ['0.18403', '2633.829475'],
    ['0.18412', '2452.407282'],
    ['0.18416', '2430.626048'],
    ['0.1842', '2043.582177']
  ]
}

var fictNumericOrderBook = {
  market: 'XRP-EUR',
  timestamp: Date.now(),
  nonceCW: 0,
  source: 'REST',
  bids: [
    [0.18399, 3052.423937],
    [0.18381, 3222.189522],
    [0.1838, 1913.507669],
    [0.18377, 3289.219013],
    [0.18373, 2019.409876]
  ],
  asks: [
    [0.184, 1534.998073],
    [0.18403, 2633.829475],
    [0.18412, 2452.407282],
    [0.18416, 2430.626048],
    [0.1842, 2043.582177]
  ]
}

var fictBaseMarketMakerOrder = {
  market: 'XRP-EUR',
  created: +new Date('2020-01-01T00:00:01.1Z'),
  updated: +new Date('2020-01-01T00:00:01.1Z'),
  status: 'new',
  orderType: 'limit',
  onHold: '0',
  onHoldCurrency: 'EUR',
  filledAmount: '0',
  filledAmountQuote: '0',
  feePaid: '0',
  feeCurrency: 'EUR',
  fills: [],
  selfTradePrevention: 'cancelNewest',
  visible: true,
  timeInForce: 'GTC',
  postOnly: true
}
      
var ownStringOrders = {
      bid: [
        {
          order: {
            ...fictBaseMarketMakerOrder,
            orderId: 'd1ff48b1-914e-4d5a-850c-f9d97c734aac',
            side: 'buy',
            amount: '312.507669',
            amountRemaining: '312.507669',
            price: '0.18381'
          },
          expectedAmountOld: null,
          expectedAmount: 312.507669,
          doNotChangeUntil: Date.now()
        }
      ],
      ask: [
        {
          order: {
            ...fictBaseMarketMakerOrder,
            orderId: '0865c62d-56e8-44f9-b929-38f79d51956f',
            side: 'sell',
            amount: '1534.998073',
            amountRemaining: '1534.998073',
            price: '0.184'
          },
          expectedAmountOld: null,
          expectedAmount: 1534.998073,
          doNotChangeUntil: Date.now()
        }
      ]
}

var ownNumericOrders = {
      bid: [
        {
          order: {
            ...fictBaseMarketMakerOrder,
            orderId: 'd1ff48b1-914e-4d5a-850c-f9d97c734aac',
            side: 'buy',
            amount: 312.507669,
            amountRemaining: 312.507669,
            price: 0.18381
          },
          expectedAmountOld: null,
          expectedAmount: 312.507669,
          doNotChangeUntil: Date.now()
        }
      ],
      ask: [
        {
          order: {
            ...fictBaseMarketMakerOrder,
            orderId: '0865c62d-56e8-44f9-b929-38f79d51956f',
            side: 'sell',
            amount: 1534.998073,
            amountRemaining: 1534.998073,
            price: 0.184
          },
          expectedAmountOld: null,
          expectedAmount: 1534.998073,
          doNotChangeUntil: Date.now()
        }
      ]
}
      
function round(number, decimals = 0) {
  const power = 10 ** decimals
  return Math.round(number * power) / power
}
      
function n(value, decimals = 11) {
	return round(Number(value), decimals) || 0
}

function s(value) {
  return (typeof value === 'number' ? numberToString(value) : `${value}`)
}

/**
 * Convert number to string, with possibility to define decimal precision.
 * When supplying a number >= 1e+21, the scientific notation is returned as a string.
 */
function numberToString(n, decimals) {
  return n < 1e-6 // JS scientific notation kicks in for numbers >= 1e+21 or < 1e-6.
    ? n.toFixed(decimals).replace(/\.?0+$/, '') // Remove trailing zeros.
    : `${n}`
}

function toQuantityString(amount) {
  return s(n(amount))
}

function removeOwnOrdersFromStringBook(book, ownOrders) { 
  	return {
  	bids: removeOwnOrdersFromBookStringSide(book.bids, ownOrders.bid),
  	asks: removeOwnOrdersFromBookStringSide(book.asks, ownOrders.ask)
	}
}

function removeOwnOrdersFromNumericBook(book, ownOrders) {
  return {
  bids: removeOwnOrdersFromBookNumericSide(book.bids, ownOrders.bid),
  asks: removeOwnOrdersFromBookNumericSide(book.asks, ownOrders.ask)
	}
}

function removeOwnOrdersFromBookStringSide(bookSide, ownOrdersForSide) {
  return bookSide.reduce(function(acc, currentLevel) {
    const [curPriceString, curQuantityString] = currentLevel
    const curPrice = n(curPriceString)
    const curQuantity = n(curQuantityString)

    const totalOwnOrderQuantityForPrice = ownOrdersForSide.reduce(
      function(acc, { order }) {
        return order && curPrice === n(order.price) ? acc + n(order.amountRemaining) : acc
      },
      0
    )

    const remainingQuantity = curQuantity - totalOwnOrderQuantityForPrice

    if (remainingQuantity > 0) {
      acc.push([curPriceString, toQuantityString(remainingQuantity)])
    }

    return acc
  }, [])
}

function removeOwnOrdersFromBookNumericSide(bookSide, ownOrdersForSide) {
  return bookSide.reduce(function(acc, currentLevel) {
    const [curPrice, curQuantity] = currentLevel

    const totalOwnOrderQuantityForPrice = ownOrdersForSide.reduce(
      	function(acc, { order }) {
        	return order && curPrice === order.price ? acc + order.amountRemaining : acc
		},
      0
    )

    const remainingQuantity = curQuantity - totalOwnOrderQuantityForPrice

    if (remainingQuantity > 0) {
      acc.push([curPrice, remainingQuantity])
    }

    return acc
  }, [])
}

Tests:

removeOwnOrdersFromBook using string orderBook and string orders
for (var i = 0; i < 1000; i++) { removeOwnOrdersFromStringBook(fictStringOrderBook, ownStringOrders) }
removeOwnOrdersFromBook using numeric orderBook and numeric orders
for (var i = 0; i < 1000; i++) { removeOwnOrdersFromNumericBook(fictNumericOrderBook, ownNumericOrders) }

Run results for: removeOwnOrdersFromBook performance using strings vs using numbers

removeOwnOrdersFromBook using string orderBook and string orders

removeOwnOrdersFromBook using numeric orderBook and numeric orders