Order Flow

1<!doctype html>2<html lang="en">3<head>4<meta charset="utf-8">5<meta name="viewport" content="width=device-width,initial-scale=1">6<title>Order flow — order book view</title>7<style>8  html, body { margin: 0; height: 100%; background: #0b0e14; overflow: hidden; }9  canvas { display: block; width: 100%; height: 100%; }10  #status { position: fixed; left: 8px; bottom: 6px; font: 600 10px ui-monospace, Menlo, monospace;11            color: #cbd5e1; background: rgba(15,23,42,.85); border: 1px solid rgba(148,163,184,.3);12            border-radius: 4px; padding: 2px 6px; pointer-events: none; }13  #status i { display: inline-block; width: 6px; height: 6px; border-radius: 50%; margin-right: 5px; background: #f59e0b; }14</style>15</head>16<body>17<canvas id="c"></canvas>18<div id="status"><i></i>connecting…</div>19<script>20// ─── Canvas + palette ───────────────────────────────────────────────────────21const C = document.getElementById('c'), X = C.getContext('2d');22let W = 0, H = 0;23function fit() {24  const r = C.getBoundingClientRect(), d = Math.min(devicePixelRatio || 1, 2);25  W = r.width; H = r.height; C.width = W * d; C.height = H * d; X.setTransform(d, 0, 0, d, 0, 0);26}27addEventListener('resize', fit); fit();28const BID = '#0ecb81', ASK = '#f6465d', GRID = 'rgba(148,163,184,.16)';29const TEXT = '#e2e8f0', MUTED = '#64748b', ACCENT = '#8b5cf6', WARN = '#f59e0b';3031// ─── Feed settings ──────────────────────────────────────────────────────────32// Real-time Binance spot book. Change SYMBOL / GROUP for another market33// (e.g. 'ETHUSDT' with GROUP 0.1). If the exchange cannot be reached the page34// falls back to a synthetic book and says so in the status badge.35const SYMBOL = 'BTCUSDT';36const GROUP = 1;            // aggregation step (price bucket)37const LEVELS = 30;          // levels per side after grouping38const TICK = GROUP;         // views size cells / buckets by the grouped step3940// ─── Real-time Binance book: REST snapshot + 100ms diff stream ──────────────41// Binance's documented procedure: buffer the diff stream, fetch a snapshot,42// drop events with u <= lastUpdateId, then apply in order; a gap43// (U != previous u + 1) means resnapshot. qty 0 deletes a level.44const live = { bids: new Map(), asks: new Map(), lastU: 0, lastE: 0, synced: false, buffer: [], ok: false, ups: [] };45const prints = [];46let source = 'connecting';47const statusEl = document.getElementById('status');48function setStatus(text, color) { statusEl.innerHTML = '<i style="background:' + color + '"></i>' + text; }4950function applyDiff(e) {51  for (const [p, q] of e.b) { const v = +q; v === 0 ? live.bids.delete(+p) : live.bids.set(+p, v); }52  for (const [p, q] of e.a) { const v = +q; v === 0 ? live.asks.delete(+p) : live.asks.set(+p, v); }53  live.lastU = e.u; live.lastE = e.E;54  const now = Date.now(); live.ups.push(now); while (now - live.ups[0] > 1000) live.ups.shift();55}56async function resnapshot() {57  live.synced = false;58  const r = await fetch('https://api.binance.com/api/v3/depth?symbol=' + SYMBOL + '&limit=1000');59  if (!r.ok) throw new Error('HTTP ' + r.status);60  const s = await r.json();61  live.bids = new Map(s.bids.map(([p, q]) => [+p, +q]));62  live.asks = new Map(s.asks.map(([p, q]) => [+p, +q]));63  live.lastU = s.lastUpdateId;64  const pending = live.buffer.filter(e => e.u > s.lastUpdateId); live.buffer = [];65  let first = true;66  for (const e of pending) {67    if (first && !(e.U <= live.lastU + 1 && e.u >= live.lastU + 1)) continue;68    first = false; applyDiff(e);69  }70  live.synced = true; live.ok = true; source = 'live';71}72// Snapshot failures fall back to the synthetic book and keep retrying; the page73// switches back to live as soon as a snapshot lands.74function trySnapshot() {75  resnapshot().catch(() => { fallback(); setTimeout(trySnapshot, 5000); });76}77function connect() {78  const s = SYMBOL.toLowerCase();79  let ws;80  try { ws = new WebSocket('wss://stream.binance.com:9443/stream?streams=' + s + '@depth@100ms/' + s + '@aggTrade'); }81  catch (e) { fallback(); return; }82  ws.onopen = () => trySnapshot();83  ws.onmessage = m => {84    const { stream, data } = JSON.parse(m.data);85    if (stream.endsWith('@aggTrade')) {86      // m = buyer is maker → the aggressor sold87      prints.push({ t: data.T, side: data.m ? 'sell' : 'buy', qty: +data.q, price: +data.p });88      if (prints.length > 400) prints.shift();89      return;90    }91    if (!live.synced) { live.buffer.push(data); if (live.buffer.length > 600) live.buffer.shift(); return; }92    if (data.u <= live.lastU) return;93    if (data.U > live.lastU + 1) { live.buffer = [data]; trySnapshot(); return; }94    applyDiff(data);95  };96  ws.onerror = () => { if (!live.ok) fallback(); };97  ws.onclose = () => { live.synced = false; setTimeout(connect, live.ok ? 2000 : 8000); };98}99setTimeout(() => { if (!live.ok) fallback(); }, 15000);100connect();101102// ─── Synthetic fallback (same shape as the live book) ───────────────────────103let center = 76500;104const base = { bid: [], ask: [] };105for (let i = 0; i < LEVELS; i++) { base.bid.push(0.4 + i * 0.5 + Math.random() * 3); base.ask.push(0.4 + i * 0.5 + Math.random() * 3); }106function fallback() {107  if (source === 'synthetic' || live.ok) return;108  source = 'synthetic';109  setStatus('SYNTHETIC · live feed unreachable, retrying', '#94a3b8');110}111function tickSynthetic() {112  if (Math.random() < 0.35) center += (Math.random() < 0.5 ? -1 : 1) * GROUP;113  for (const s of ['bid', 'ask']) for (let i = 0; i < LEVELS; i++) {114    let q = base[s][i] * (0.92 + Math.random() * 0.16);115    if (Math.random() < 0.003) q *= 5;116    if (q > 40) q *= 0.7;117    base[s][i] = q;118  }119  if (Math.random() < 0.6) {120    const side = Math.random() < 0.5 ? 'buy' : 'sell';121    prints.push({ t: Date.now(), side, qty: +(Math.random() ** 3 * 8 + 0.01).toFixed(3), price: side === 'buy' ? center + GROUP : center });122    if (prints.length > 400) prints.shift();123  }124}125function tick() { if (source === 'synthetic') tickSynthetic(); }126127// ─── Snapshot: group raw levels into LEVELS buckets per side ────────────────128let prev = new Map();129const r8 = v => Math.round(v * 1e8) / 1e8;130function group(map, side) {131  const out = new Map();132  for (const [p, q] of map) {133    const k = r8((side === 'bid' ? Math.floor(p / GROUP + 1e-9) : Math.ceil(p / GROUP - 1e-9)) * GROUP);134    out.set(k, (out.get(k) || 0) + q);135  }136  return [...out.entries()].sort((a, b) => (side === 'bid' ? b[0] - a[0] : a[0] - b[0])).slice(0, LEVELS);137}138function rawSynthetic(side) {139  const out = [];140  for (let i = 0; i < LEVELS; i++) {141    if ((i === 7 || i === 13) && Math.random() < 0.45) continue;     // two flickering levels142    out.push([side === 'bid' ? center - i * GROUP : center + GROUP + i * GROUP, base[side][i]]);143  }144  return out;145}146function snapshot() {147  let rb, ra;148  if (source === 'live') {149    if (!live.synced) return null;150    rb = group(live.bids, 'bid'); ra = group(live.asks, 'ask');151    setStatus('LIVE · Binance ' + SYMBOL + ' · ' + live.ups.length + ' upd/s · ' + Math.max(0, Date.now() - live.lastE) + 'ms', '#22c55e');152  } else if (source === 'synthetic') {153    rb = rawSynthetic('bid'); ra = rawSynthetic('ask');154  } else return null;155  if (!rb.length || !ra.length) return null;156  const build = (levels, s) => {157    let tot = 0, notl = 0;158    return levels.map(([price, q]) => {159      const key = s + price;160      tot += q; notl += q * price;161      return { price, qty: q, total: tot, notional: q * price, cumNotional: notl,162               delta: prev.has(key) ? q - prev.get(key) : q, isNew: !prev.has(key) };163    });164  };165  const bids = build(rb, 'bid'), asks = build(ra, 'ask');166  const next = new Map();167  bids.forEach(l => next.set('bid' + l.price, l.qty));168  asks.forEach(l => next.set('ask' + l.price, l.qty));169  prev = next;170  const all = [...bids, ...asks], avg = all.reduce((s, l) => s + l.qty, 0) / all.length;171  all.forEach(l => { l.isWall = l.qty > avg * 3; });172  return { bids, asks, bestBid: bids[0].price, bestAsk: asks[0].price,173           mid: (bids[0].price + asks[0].price) / 2, t: Date.now(), prints };174}175176// ─── Helpers ────────────────────────────────────────────────────────────────177function txt(s, x, y, a = 'left', c = TEXT) { X.fillStyle = c; X.textAlign = a; X.textBaseline = 'middle'; X.fillText(s, x, y); }178function fmt(v, d = 2) { return Math.abs(v) >= 1e4 ? v.toLocaleString('en-US', { minimumFractionDigits: 1, maximumFractionDigits: 1 }) : v.toFixed(d); }179function alpha(hex, a) { return hex + Math.round(Math.max(0, Math.min(1, a)) * 255).toString(16).padStart(2, '0'); }180function clamp(v, a, b) { return Math.max(a, Math.min(b, v)); }181182// ─── View ───────────────────────────────────────────────────────────────────183// Size added (up) and pulled (down) at every level since the last update, over184// a slowly decaying history. Liquidity pulled just before price arrives is the185// classic sign of a fading wall.186const flow = new Map();187function draw(X, W, H, b) {188  for (const f of flow.values()) { f.add *= 0.97; f.pull *= 0.97; }189  const levels = [...[...b.bids].reverse().map(l => [l, 'bid']), ...b.asks.map(l => [l, 'ask'])];190  for (const [l, s] of levels) {191    const k = s + l.price, f = flow.get(k) || { add: 0, pull: 0 };192    if (l.delta > 0) f.add += l.delta; else f.pull -= l.delta; flow.set(k, f);193  }194  const zero = H / 2, half = zero - 14, cw = W / levels.length;195  let m = 1e-9; for (const [l, s] of levels) { const f = flow.get(s + l.price); m = Math.max(m, f.add, f.pull, Math.abs(l.delta)); }196  levels.forEach(([l, s], i) => {197    const col = s === 'bid' ? BID : ASK, f = flow.get(s + l.price), x = i * cw + 1;198    X.fillStyle = alpha(col, 0.25); X.fillRect(x, zero - (f.add / m) * half, cw - 2, (f.add / m) * half);199    X.fillStyle = alpha(MUTED, 0.35); X.fillRect(x, zero, cw - 2, (f.pull / m) * half);200    const len = (Math.abs(l.delta) / m) * half;201    X.fillStyle = l.delta > 0 ? col : alpha(col, 0.55); X.fillRect(x, l.delta > 0 ? zero - len : zero, cw - 2, len);202  });203  X.strokeStyle = GRID; X.beginPath(); X.moveTo(0, zero); X.lineTo(W, zero); X.stroke();204  txt('added ▲', 6, 8); txt('pulled ▼', W - 6, 8, 'right', MUTED);205}206207// ─── Loop: redraw 4× a second (the live book updates every 100ms) ───────────208let last = 0;209(function loop(now) {210  requestAnimationFrame(loop);211  if (now - last < 250) return;212  last = now; tick();213  const b = snapshot();214  if (!b) return;215  X.clearRect(0, 0, W, H);216  X.font = '11px ui-monospace, Menlo, monospace';217  draw(X, W, H, b);218})(0);219</script>220</body>221</html>