@deeptick/client 0.1.1 → 0.2.0

package/README.md

@@ -1,225 +1,19 @@
 # DeepTick TypeScript SDK
 
-> `npm install @deeptick/client`
+```ts
+import { CachedClient } from "@deeptick/client";
 
-The TypeScript SDK provides three layers of access to DeepTick market data:
-
-1. **CachedClient** — Download daily Parquet/CSV archives with local disk caching
-2. **DeepTickStream** — Real-time WebSocket streaming with typed callbacks
-3. **DeepTickFeed** — Unified live/replay feed (backtest code = production code)
-4. **Types & Derive** — Full type definitions and client-side derived computations
-
-## Quick Start
-
-```typescript
-import { CachedClient } from '@deeptick/client/cache';
-
-const client = new CachedClient("https://api.deeptick.com");
-
-// Load BTC trades for a date range (cached after first download)
-const batches = await client.loadTrades(
-  "binance_futures",
-  "BTCUSDT",
-  "2026-05-01",
-  "2026-05-02"
-);
-console.log(`Loaded ${batches.length} daily files.`);
-console.log(client.getStats());
-```
-
-## Streaming (Real-Time)
-
-```typescript
-import { DeepTickStream } from '@deeptick/client/streaming';
-
-const stream = new DeepTickStream({
-  url: "wss://api.deeptick.com/v1/stream?api_key=dtk_your_key"
-});
-
-// Typed callbacks for each data type
-stream.onTrade((exchange, symbol, trade) => {
-  console.log(`[${exchange}] ${symbol}: ${trade.price} x ${trade.amount}`);
-});
-
-stream.onBookTicker((exchange, symbol, ticker) => {
-  console.log(`[${exchange}] ${symbol}: ${ticker.bid_price}/${ticker.ask_price}`);
-});
-
-stream.onDerivativeTicker((exchange, symbol, data) => {
-  console.log(`[${exchange}] ${symbol} funding: ${data.funding_rate}`);
-});
-
-// Connect and subscribe
-await stream.connect();
-await stream.subscribe([
-  "binance_futures.trades.BTCUSDT",
-  "*.book_ticker.*",
-  "*.derivative_ticker.*",
-]);
-
-// Measure latency
-const latency = await stream.ping();
-console.log(`Round-trip: ${latency}ms`);
-```
-
-### Global Callback
-
-```typescript
-stream.onData((exchange, symbol, data) => {
-  // Receives ALL data types
-  console.log(exchange, symbol, data);
-});
-```
-
-## Replay (Historical Tick-by-Tick)
-
-```typescript
-import { DeepTickFeed } from '@deeptick/client/feed';
-
-const feed = DeepTickFeed.replay(
-  "wss://api.deeptick.com/v1/replay/ws",
-  {
-    apiKey: "dtk_your_key",
-    sources: [
-      "binance_futures:trades:BTCUSDT",
-      "binance_futures:book_l2_delta:BTCUSDT",
-    ],
-    from: "2026-05-01",
-    to: "2026-05-02",
-    speed: 0, // max speed
-  }
-);
-
-feed.onData((topic, data) => console.log(topic, data));
-feed.onReplayEnd((stats) => {
-  console.log(`Replay complete: ${stats.totalEvents} events in ${stats.durationS}s`);
-});
-
-await feed.connect();
+const client = new CachedClient("dtk_your_key", "https://deeptick.dev");
+const trades = await client.loadTrades("lighter", "BTC-USD", "2026-07-08", "2026-07-08");
 ```
 
-### Auto Mode (Replay → Live)
+`loadTrades` returns daily Parquet payloads as `Uint8Array` values. Use an Arrow
+or Parquet reader of your choice to decode them.
 
-```typescript
-const feed = DeepTickFeed.auto(
-  "wss://api.deeptick.com",
-  {
-    apiKey: "dtk_your_key",
-    sources: ["hyperliquid:trades:BTC"],
-    from: "2026-05-01", // replay from here, then switch to live
-  }
-);
+Surface:
 
-feed.onData((topic, data) => process(data)); // same handler!
-feed.onModeChange((from, to) => {
-  console.log(`Switched from ${from} to ${to}`);
-});
-
-await feed.connect();
-```
-
-## Derived Data (Computed On-the-Fly)
-
-```typescript
-import { CachedClient } from '@deeptick/client/cache';
-import { derive, unpackLevels } from '@deeptick/client/types';
-import type {
-  TradeRecord,
-  BookDeltaRecord,
-  BBORecord,
-  CandleRecord,
-  BookSnapshot,
-  ImbalanceRecord,
-  VolumeProfileBucket,
-} from '@deeptick/client/types';
-
-const client = new CachedClient("https://api.deeptick.com");
-
-// ── BBO from L2 deltas ──────────────────────────────────────────────
-const deltas = await client.loadBookDeltas("binance_futures", "BTCUSDT", "2026-05-01");
-const bbo: BBORecord[] = derive.bbo(deltas);
-console.log(`BBO rows: ${bbo.length}`);
-
-// ── Candles at any interval ─────────────────────────────────────────
-const trades = await client.loadTrades("binance_futures", "BTCUSDT", "2026-05-01");
-const candles1m: CandleRecord[] = derive.candles(trades, { intervalMs: 60_000 });
-const candles5m: CandleRecord[] = derive.candles(trades, { intervalMs: 300_000 });
-
-// ── Book snapshots (20 levels every 1 min) ──────────────────────────
-const snapshots: BookSnapshot[] = derive.bookSnapshots(deltas, {
-  depth: 20,
-  intervalMs: 60_000,
-});
-
-// ── Volume profile ──────────────────────────────────────────────────
-const profile: VolumeProfileBucket[] = derive.volumeProfile(trades, {
-  numBuckets: 100,
-});
-
-// ── Order book imbalance ────────────────────────────────────────────
-const imbalance: ImbalanceRecord[] = derive.bookImbalance(deltas, {
-  depth: 5,
-  intervalMs: 1000,
-});
-
-// ── Cross-exchange funding spread ───────────────────────────────────
-const hlFunding = await client.loadFunding("hyperliquid", "BTC", "2026-05-01");
-const bnFunding = await client.loadFunding("binance_futures", "BTCUSDT", "2026-05-01");
-const fundingCross = derive.fundingCross(
-  { hyperliquid: hlFunding, binance_futures: bnFunding },
-  { intervalMs: 3_600_000 }
-);
-
-// ── Cross-exchange basis ────────────────────────────────────────────
-const hlTrades = await client.loadTrades("hyperliquid", "BTC", "2026-05-01");
-const bnTrades = await client.loadTrades("binance_futures", "BTCUSDT", "2026-05-01");
-const basis = derive.crossExchangeBasis(
-  { hyperliquid: hlTrades, binance_futures: bnTrades },
-  { intervalMs: 1000 }
-);
-
-// ── Unpack binary book levels ───────────────────────────────────────
-const packed = new Uint8Array(/* from parquet column */);
-const levels: [number, number][] = unpackLevels(packed);
-// levels = [[price1, size1], [price2, size2], ...]
-```
-
-## Type Definitions
-
-```typescript
-// Wire protocol types for streaming
-interface StreamTrade {
-  exchange: string; symbol: string;
-  timestamp: number; local_timestamp: number;
-  trade_id: string; price: number; amount: number;
-  side: 'buy' | 'sell';
-}
-
-interface StreamBookTicker {
-  exchange: string; symbol: string;
-  timestamp: number; local_timestamp: number;
-  bid_price: number; bid_amount: number;
-  ask_price: number; ask_amount: number;
-}
-
-interface StreamDerivativeTicker {
-  exchange: string; symbol: string;
-  timestamp: number; local_timestamp: number;
-  funding_rate: number | null;
-  predicted_funding_rate: number | null;
-  open_interest: number | null;
-  last_price: number | null;
-  mark_price: number | null;
-  index_price: number | null;
-}
-```
-
-## Architecture
-
-```
-client-ts/src/
-├── types.ts       # Type definitions + derive namespace (BBO, candles, snapshots)
-├── cache.ts       # CachedClient — HTTP download + disk cache
-├── streaming.ts   # DeepTickStream — real-time WebSocket (Node + Browser)
-└── feed.ts        # DeepTickFeed — unified live/replay feed
-```
+- `new DeepTickClient(apiKey, baseUrl)`
+- `loadTrades(exchange, symbol, start, end)` and `load_trades(...)`
+- `download(exchange, dataType, symbol, date, dest?)`
+- `entitlements()` and `catalog(exchange?)`
+- `CachedClient` adds local Parquet payload caching under `~/.deeptick/cache`

package/dist/index.d.ts

@@ -1,24 +1,59 @@
-/**
- * @deeptick/client — TypeScript SDK for DeepTick market data
- *
- * Three layers:
- *   1. CachedClient  — Download + cache daily archives
- *   2. DeepTickStream — Real-time WebSocket streaming
- *   3. DeepTickFeed   — Unified live/replay feed
- *   4. derive         — Client-side derived computations
- *
- * Usage:
- *   import { DeepTickStream } from '@deeptick/client';
- *   import { CachedClient } from '@deeptick/client/cache';
- *   import { DeepTickFeed } from '@deeptick/client/feed';
- *   import { derive } from '@deeptick/client/types';
- */
-export { DeepTickStream } from './streaming.js';
-export type { StreamFrame, StreamTrade, StreamBookTicker, StreamBookDelta, StreamDerivativeTicker, DataCallback, DeepTickStreamOptions, } from './streaming.js';
-export { DeepTickFeed, FeedMode } from './feed.js';
-export type { FeedOptions, FeedStats } from './feed.js';
-export { CachedClient } from './cache.js';
-export type { CacheStats } from './cache.js';
-export { derive, unpackLevels } from './types.js';
-export type { TradeRecord, BookDeltaRecord, BBORecord, CandleRecord, BookSnapshot, VolumeProfileBucket, ImbalanceRecord, FundingCrossRecord, } from './types.js';
+export declare const DEFAULT_BASE_URL = "https://deeptick.dev";
+export type DataFormat = "parquet" | "csv";
+export type JsonObject = Record<string, unknown>;
+export type FetchLike = (input: string, init?: RequestInit) => Promise<Response>;
+export interface ClientOptions {
+    fetch?: FetchLike;
+    timeoutMs?: number;
+}
+export interface DownloadOptions {
+    columns?: string[];
+    format?: DataFormat;
+}
+export interface CacheStats {
+    cacheDir: string;
+    cacheHits: number;
+    cacheMisses: number;
+    hitRatePct: number;
+    bytesDownloaded: number;
+    bytesFromCache: number;
+}
+export interface CachedClientOptions extends ClientOptions {
+    cacheDir?: string;
+    maxConcurrency?: number;
+}
+export declare class DeepTickError extends Error {
+    readonly status: number;
+    constructor(status: number, message: string);
+}
+export declare class DeepTickClient {
+    readonly apiKey: string;
+    readonly baseUrl: string;
+    protected readonly fetchImpl: FetchLike;
+    protected readonly timeoutMs: number;
+    constructor(apiKey?: string, baseUrl?: string, options?: ClientOptions);
+    entitlements(): Promise<JsonObject>;
+    catalog(exchange?: string): Promise<JsonObject>;
+    download(exchange: string, dataType: string, symbol: string, date: string | Date, dest?: string, options?: DownloadOptions): Promise<Uint8Array>;
+    loadTrades(exchange: string, symbol: string, start: string | Date, end?: string | Date, options?: DownloadOptions): Promise<Uint8Array[]>;
+    load_trades(exchange: string, symbol: string, start: string | Date, end?: string | Date, options?: DownloadOptions): Promise<Uint8Array[]>;
+    load(dataType: string, exchange: string, symbol: string, start: string | Date, end?: string | Date, options?: DownloadOptions): Promise<Uint8Array[]>;
+    protected json(path: string, params?: Record<string, string>): Promise<JsonObject>;
+    protected bytes(path: string, params?: Record<string, string>): Promise<Uint8Array>;
+    protected request(path: string, params?: Record<string, string>): Promise<Response>;
+    protected headers(): HeadersInit;
+}
+export declare class CachedClient extends DeepTickClient {
+    readonly cacheDir: string;
+    readonly maxConcurrency: number;
+    cacheHits: number;
+    cacheMisses: number;
+    bytesDownloaded: number;
+    bytesFromCache: number;
+    constructor(apiKey?: string, baseUrl?: string, options?: CachedClientOptions);
+    load(dataType: string, exchange: string, symbol: string, start: string | Date, end?: string | Date, options?: DownloadOptions): Promise<Uint8Array[]>;
+    getStats(): CacheStats;
+    clearCache(): Promise<void>;
+    private downloadCached;
+}
 //# sourceMappingURL=index.d.ts.map

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package/dist/index.js

@@ -1,21 +1,251 @@
-/**
- * @deeptick/client — TypeScript SDK for DeepTick market data
- *
- * Three layers:
- *   1. CachedClient  — Download + cache daily archives
- *   2. DeepTickStream — Real-time WebSocket streaming
- *   3. DeepTickFeed   — Unified live/replay feed
- *   4. derive         — Client-side derived computations
- *
- * Usage:
- *   import { DeepTickStream } from '@deeptick/client';
- *   import { CachedClient } from '@deeptick/client/cache';
- *   import { DeepTickFeed } from '@deeptick/client/feed';
- *   import { derive } from '@deeptick/client/types';
- */
-// Re-export everything
-export { DeepTickStream } from './streaming.js';
-export { DeepTickFeed, FeedMode } from './feed.js';
-export { CachedClient } from './cache.js';
-export { derive, unpackLevels } from './types.js';
+import { createHash } from "node:crypto";
+import { mkdir, readFile, rm, stat, writeFile } from "node:fs/promises";
+import { homedir } from "node:os";
+import { dirname, join } from "node:path";
+export const DEFAULT_BASE_URL = "https://deeptick.dev";
+const USER_AGENT = "deeptick-typescript/0.1.0";
+export class DeepTickError extends Error {
+    constructor(status, message) {
+        super(`DeepTick API returned HTTP ${status}: ${message}`);
+        this.name = "DeepTickError";
+        this.status = status;
+    }
+}
+export class DeepTickClient {
+    constructor(apiKey = process.env.DEEPTICK_API_KEY ?? "", baseUrl = DEFAULT_BASE_URL, options = {}) {
+        this.apiKey = apiKey;
+        this.baseUrl = normalizeBaseUrl(baseUrl);
+        this.fetchImpl = options.fetch ?? globalThis.fetch.bind(globalThis);
+        this.timeoutMs = options.timeoutMs ?? 120_000;
+    }
+    async entitlements() {
+        return this.json("/v1/entitlements");
+    }
+    async catalog(exchange) {
+        const params = exchange ? { exchange } : undefined;
+        return this.json("/v1/catalog", params);
+    }
+    async download(exchange, dataType, symbol, date, dest, options = {}) {
+        const body = await this.bytes(dataPath(exchange, dataType, symbol, date), dataParams(options));
+        if (dest) {
+            await mkdir(dirname(dest), { recursive: true });
+            await writeFile(dest, body);
+        }
+        return body;
+    }
+    async loadTrades(exchange, symbol, start, end, options = {}) {
+        return this.load("trades", exchange, symbol, start, end, options);
+    }
+    async load_trades(exchange, symbol, start, end, options = {}) {
+        return this.loadTrades(exchange, symbol, start, end, options);
+    }
+    async load(dataType, exchange, symbol, start, end, options = {}) {
+        const out = [];
+        for (const day of dateRange(start, end)) {
+            try {
+                out.push(await this.download(exchange, dataType, symbol, day, undefined, options));
+            }
+            catch (error) {
+                if (error instanceof DeepTickError && error.status === 404) {
+                    continue;
+                }
+                throw error;
+            }
+        }
+        return out;
+    }
+    async json(path, params) {
+        const response = await this.request(path, params);
+        if (!response.ok) {
+            throw await toDeepTickError(response);
+        }
+        const value = (await response.json());
+        if (value === null || typeof value !== "object" || Array.isArray(value)) {
+            throw new Error(`Expected object response from ${path}`);
+        }
+        return value;
+    }
+    async bytes(path, params) {
+        const response = await this.request(path, params);
+        if (!response.ok) {
+            throw await toDeepTickError(response);
+        }
+        return Buffer.from(await response.arrayBuffer());
+    }
+    async request(path, params) {
+        const controller = new AbortController();
+        const timeout = setTimeout(() => controller.abort(), this.timeoutMs);
+        try {
+            return await this.fetchImpl(urlWithParams(`${this.baseUrl}${path}`, params), {
+                headers: this.headers(),
+                signal: controller.signal,
+            });
+        }
+        finally {
+            clearTimeout(timeout);
+        }
+    }
+    headers() {
+        const headers = { "User-Agent": USER_AGENT };
+        if (this.apiKey) {
+            headers["X-API-Key"] = this.apiKey;
+        }
+        return headers;
+    }
+}
+export class CachedClient extends DeepTickClient {
+    constructor(apiKey = process.env.DEEPTICK_API_KEY ?? "", baseUrl = DEFAULT_BASE_URL, options = {}) {
+        super(resolveCachedClientArgs(apiKey, baseUrl).apiKey, resolveCachedClientArgs(apiKey, baseUrl).baseUrl, options);
+        this.cacheHits = 0;
+        this.cacheMisses = 0;
+        this.bytesDownloaded = 0;
+        this.bytesFromCache = 0;
+        this.cacheDir = options.cacheDir ?? join(homedir(), ".deeptick", "cache");
+        this.maxConcurrency = options.maxConcurrency ?? 8;
+    }
+    async load(dataType, exchange, symbol, start, end, options = {}) {
+        const days = dateRange(start, end);
+        const results = [];
+        for (let offset = 0; offset < days.length; offset += this.maxConcurrency) {
+            const batch = days.slice(offset, offset + this.maxConcurrency);
+            const downloaded = await Promise.all(batch.map(async (day) => {
+                try {
+                    return await this.downloadCached(exchange, dataType, symbol, day, options);
+                }
+                catch (error) {
+                    if (error instanceof DeepTickError && error.status === 404) {
+                        return undefined;
+                    }
+                    throw error;
+                }
+            }));
+            for (const item of downloaded) {
+                if (item) {
+                    results.push(item);
+                }
+            }
+        }
+        return results;
+    }
+    getStats() {
+        const requests = this.cacheHits + this.cacheMisses;
+        return {
+            cacheDir: this.cacheDir,
+            cacheHits: this.cacheHits,
+            cacheMisses: this.cacheMisses,
+            hitRatePct: requests === 0 ? 0 : Math.round((this.cacheHits / requests) * 1000) / 10,
+            bytesDownloaded: this.bytesDownloaded,
+            bytesFromCache: this.bytesFromCache,
+        };
+    }
+    async clearCache() {
+        await rm(this.cacheDir, { recursive: true, force: true });
+        await mkdir(this.cacheDir, { recursive: true });
+    }
+    async downloadCached(exchange, dataType, symbol, date, options) {
+        const cacheFile = cachePath(this.cacheDir, exchange, dataType, symbol, date, options.columns);
+        try {
+            const cached = await readFile(cacheFile);
+            this.cacheHits += 1;
+            this.bytesFromCache += (await stat(cacheFile)).size;
+            return cached;
+        }
+        catch {
+            this.cacheMisses += 1;
+        }
+        const body = await this.download(exchange, dataType, symbol, date, undefined, options);
+        await mkdir(dirname(cacheFile), { recursive: true });
+        await writeFile(cacheFile, body);
+        this.bytesDownloaded += body.byteLength;
+        return body;
+    }
+}
+function normalizeBaseUrl(baseUrl) {
+    let value = (baseUrl || DEFAULT_BASE_URL).replace(/\/+$/, "");
+    if (value.endsWith("/v1")) {
+        value = value.slice(0, -3);
+    }
+    return value.replace(/\/+$/, "");
+}
+function looksLikeUrl(value) {
+    return value.startsWith("http://") || value.startsWith("https://");
+}
+function resolveCachedClientArgs(apiKey, baseUrl) {
+    if (looksLikeUrl(apiKey)) {
+        if (baseUrl === DEFAULT_BASE_URL) {
+            return { apiKey: process.env.DEEPTICK_API_KEY ?? "", baseUrl: apiKey };
+        }
+        return { apiKey: baseUrl, baseUrl: apiKey };
+    }
+    return { apiKey, baseUrl };
+}
+function dataPath(exchange, dataType, symbol, date) {
+    return [
+        "/v1/data",
+        encodeURIComponent(exchange),
+        encodeURIComponent(dataType),
+        encodeURIComponent(symbol),
+        encodeURIComponent(toDateString(date)),
+    ].join("/");
+}
+function dataParams(options) {
+    const params = { format: options.format ?? "parquet" };
+    if (options.columns && options.columns.length > 0) {
+        params.columns = options.columns.join(",");
+    }
+    return params;
+}
+function cachePath(cacheDir, exchange, dataType, symbol, date, columns) {
+    const safeSymbol = symbol.replace(/[/:]/g, "-");
+    const suffix = columns && columns.length > 0
+        ? `_${createHash("md5").update([...columns].sort().join(",")).digest("hex").slice(0, 8)}`
+        : "";
+    return join(cacheDir, exchange, dataType, safeSymbol, `${date}${suffix}.parquet`);
+}
+function dateRange(start, end) {
+    const first = asUtcDate(start);
+    const last = asUtcDate(end ?? start);
+    if (last.getTime() < first.getTime()) {
+        throw new Error("end date must be on or after start date");
+    }
+    const days = [];
+    const current = new Date(first);
+    while (current.getTime() <= last.getTime()) {
+        days.push(current.toISOString().slice(0, 10));
+        current.setUTCDate(current.getUTCDate() + 1);
+    }
+    return days;
+}
+function asUtcDate(value) {
+    if (value instanceof Date) {
+        return new Date(Date.UTC(value.getUTCFullYear(), value.getUTCMonth(), value.getUTCDate()));
+    }
+    if (!/^\d{4}-\d{2}-\d{2}$/.test(value)) {
+        throw new Error(`expected date as YYYY-MM-DD, got ${value}`);
+    }
+    return new Date(`${value}T00:00:00.000Z`);
+}
+function toDateString(value) {
+    return asUtcDate(value).toISOString().slice(0, 10);
+}
+function urlWithParams(url, params) {
+    const out = new URL(url);
+    for (const [key, value] of Object.entries(params ?? {})) {
+        out.searchParams.set(key, value);
+    }
+    return out.toString();
+}
+async function toDeepTickError(response) {
+    let message = response.statusText;
+    try {
+        const text = await response.text();
+        if (text) {
+            message = text.slice(0, 500);
+        }
+    }
+    catch {
+        // Keep the status text if the body has already been consumed.
+    }
+    return new DeepTickError(response.status, message);
+}
 //# sourceMappingURL=index.js.map

package/dist/index.js.map

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