@deeptick/client 0.1.1 → 0.2.0

package/dist/streaming.d.ts

@@ -1,179 +0,0 @@
-/**
- * DeepTick TypeScript Client — Real-time Streaming
- *
- * Connects to the DeepTick WebSocket endpoint and delivers live market data.
- * Works in both Node.js (via `ws` package) and browser environments.
- *
- * Install:
- *   npm install @deeptick/client    # includes streaming
- *   # Node.js also needs: npm install ws
- *
- * Usage:
- *   import { DeepTickStream } from '@deeptick/client';
- *
- *   const stream = new DeepTickStream('wss://deeptick.lacertalabs.xyz/v1/stream');
- *
- *   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}`);
- *   });
- *
- *   await stream.connect();
- *   await stream.subscribe(['hyperliquid.trades.BTC', '*.book_ticker.*']);
- */
-/** Wire protocol frame from server */
-export interface StreamFrame {
-    type: 'data' | 'heartbeat' | 'welcome' | 'subscribed' | 'unsubscribed' | 'pong' | 'error';
-    topic?: string;
-    data?: Record<string, any>;
-    ts?: number;
-    connection_id?: string;
-    channels?: string[];
-    message?: string;
-    client_ts?: number;
-}
-/** Trade data from stream */
-export interface StreamTrade {
-    exchange: string;
-    symbol: string;
-    timestamp: number;
-    local_timestamp: number;
-    trade_id: string;
-    price: number;
-    amount: number;
-    side: 'buy' | 'sell';
-    data_type: 'trades';
-}
-/** Native top-of-book ticker data from stream */
-export interface StreamBookTicker {
-    exchange: string;
-    symbol: string;
-    timestamp: number;
-    local_timestamp: number;
-    bid_price: number;
-    bid_amount: number;
-    ask_price: number;
-    ask_amount: number;
-    data_type: 'book_ticker';
-}
-/** Book delta data from stream */
-export interface StreamBookDelta {
-    exchange: string;
-    symbol: string;
-    timestamp: number;
-    local_timestamp: number;
-    is_snapshot: boolean;
-    bids_packed: string;
-    asks_packed: string;
-    data_type: 'book_l2_delta';
-}
-/** Derivative ticker data from stream */
-export interface StreamDerivativeTicker {
-    exchange: string;
-    symbol: string;
-    timestamp: number;
-    local_timestamp: number;
-    funding_timestamp: number | null;
-    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;
-    data_type: 'derivative_ticker';
-}
-/** Callback signature for data handlers */
-export type DataCallback<T = Record<string, any>> = (exchange: string, symbol: string, data: T) => void;
-/** Streaming client options */
-export interface DeepTickStreamOptions {
-    /** WebSocket URL (default: wss://deeptick.lacertalabs.xyz/v1/stream) */
-    url?: string;
-    /** Auto-reconnect on disconnect (default: true) */
-    reconnect?: boolean;
-    /** Initial reconnect delay in ms (default: 1000) */
-    reconnectDelay?: number;
-    /** Max reconnect delay in ms (default: 30000) */
-    reconnectMaxDelay?: number;
-    /** Max queued messages before dropping (default: 10000) */
-    maxQueueSize?: number;
-}
-export declare class DeepTickStream {
-    private url;
-    private reconnect;
-    private reconnectDelay;
-    private reconnectMaxDelay;
-    private currentDelay;
-    private maxQueueSize;
-    private ws;
-    private connected;
-    private stopped;
-    private channels;
-    private connectionId;
-    private tradeCallbacks;
-    private bookTickerCallbacks;
-    private bookDeltaCallbacks;
-    private derivativeTickerCallbacks;
-    private liquidationCallbacks;
-    private globalCallbacks;
-    private connectCallbacks;
-    private disconnectCallbacks;
-    private errorCallbacks;
-    messagesReceived: number;
-    reconnectCount: number;
-    lastMessageTime: number;
-    private pendingSubscribe;
-    private pendingConnect;
-    constructor(urlOrOptions?: string | DeepTickStreamOptions);
-    /** Register callback for trade data */
-    onTrade(cb: DataCallback<StreamTrade>): this;
-    /** Register callback for native top-of-book ticker data */
-    onBookTicker(cb: DataCallback<StreamBookTicker>): this;
-    /** Deprecated alias for onBookTicker. */
-    onBBO(cb: DataCallback<StreamBookTicker>): this;
-    /** Register callback for book delta data */
-    onBookDelta(cb: DataCallback<StreamBookDelta>): this;
-    /** Register callback for derivative ticker data */
-    onDerivativeTicker(cb: DataCallback<StreamDerivativeTicker>): this;
-    /** Deprecated alias for onDerivativeTicker. */
-    onFunding(cb: DataCallback<StreamDerivativeTicker>): this;
-    /** Deprecated alias for onDerivativeTicker. */
-    onOpenInterest(cb: DataCallback<StreamDerivativeTicker>): this;
-    /** Register callback for liquidation data */
-    onLiquidation(cb: DataCallback): this;
-    /** Register callback for ALL data types */
-    onData(cb: DataCallback): this;
-    /** Register callback for connection events */
-    onConnect(cb: () => void): this;
-    /** Register callback for disconnection events */
-    onDisconnect(cb: (reason: string) => void): this;
-    /** Register callback for errors */
-    onError(cb: (error: Error) => void): this;
-    /** Connect to the DeepTick streaming endpoint */
-    connect(): Promise<void>;
-    /** Disconnect from the streaming endpoint */
-    disconnect(): void;
-    /** Subscribe to data channels */
-    subscribe(channels: string[]): Promise<void>;
-    /** Unsubscribe from specific channels */
-    unsubscribe(channels: string[]): void;
-    /** Send ping and measure round-trip latency (ms) */
-    ping(): Promise<number>;
-    /** Get streaming client statistics */
-    getStats(): {
-        connected: boolean;
-        connectionId: string | null;
-        url: string;
-        channels: string[];
-        messagesReceived: number;
-        reconnectCount: number;
-        lastMessageAgeMs: number;
-    };
-    private handleMessage;
-    private dispatchData;
-    private scheduleReconnect;
-}
-export type { TradeRecord, BBORecord, BookDeltaRecord, CandleRecord } from './types.js';
-//# sourceMappingURL=streaming.d.ts.map

package/dist/streaming.d.ts.map

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package/dist/streaming.js

@@ -1,318 +0,0 @@
-/**
- * DeepTick TypeScript Client — Real-time Streaming
- *
- * Connects to the DeepTick WebSocket endpoint and delivers live market data.
- * Works in both Node.js (via `ws` package) and browser environments.
- *
- * Install:
- *   npm install @deeptick/client    # includes streaming
- *   # Node.js also needs: npm install ws
- *
- * Usage:
- *   import { DeepTickStream } from '@deeptick/client';
- *
- *   const stream = new DeepTickStream('wss://deeptick.lacertalabs.xyz/v1/stream');
- *
- *   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}`);
- *   });
- *
- *   await stream.connect();
- *   await stream.subscribe(['hyperliquid.trades.BTC', '*.book_ticker.*']);
- */
-// ─── Streaming Client ───────────────────────────────────────────────
-export class DeepTickStream {
-    url;
-    reconnect;
-    reconnectDelay;
-    reconnectMaxDelay;
-    currentDelay;
-    maxQueueSize;
-    ws = null;
-    connected = false;
-    stopped = false;
-    channels = [];
-    connectionId = null;
-    // Callbacks by data type
-    tradeCallbacks = [];
-    bookTickerCallbacks = [];
-    bookDeltaCallbacks = [];
-    derivativeTickerCallbacks = [];
-    liquidationCallbacks = [];
-    globalCallbacks = [];
-    // Event callbacks
-    connectCallbacks = [];
-    disconnectCallbacks = [];
-    errorCallbacks = [];
-    // Metrics
-    messagesReceived = 0;
-    reconnectCount = 0;
-    lastMessageTime = 0;
-    // Pending resolve for subscribe/connect
-    pendingSubscribe = null;
-    pendingConnect = null;
-    constructor(urlOrOptions) {
-        const opts = typeof urlOrOptions === 'string' ? { url: urlOrOptions } : urlOrOptions ?? {};
-        this.url = opts.url ?? 'wss://deeptick.lacertalabs.xyz/v1/stream';
-        this.reconnect = opts.reconnect ?? true;
-        this.reconnectDelay = opts.reconnectDelay ?? 1000;
-        this.reconnectMaxDelay = opts.reconnectMaxDelay ?? 30_000;
-        this.currentDelay = this.reconnectDelay;
-        this.maxQueueSize = opts.maxQueueSize ?? 10_000;
-    }
-    // ─── Callback Registration ──────────────────────────────────────
-    /** Register callback for trade data */
-    onTrade(cb) {
-        this.tradeCallbacks.push(cb);
-        return this;
-    }
-    /** Register callback for native top-of-book ticker data */
-    onBookTicker(cb) {
-        this.bookTickerCallbacks.push(cb);
-        return this;
-    }
-    /** Deprecated alias for onBookTicker. */
-    onBBO(cb) {
-        return this.onBookTicker(cb);
-    }
-    /** Register callback for book delta data */
-    onBookDelta(cb) {
-        this.bookDeltaCallbacks.push(cb);
-        return this;
-    }
-    /** Register callback for derivative ticker data */
-    onDerivativeTicker(cb) {
-        this.derivativeTickerCallbacks.push(cb);
-        return this;
-    }
-    /** Deprecated alias for onDerivativeTicker. */
-    onFunding(cb) {
-        return this.onDerivativeTicker(cb);
-    }
-    /** Deprecated alias for onDerivativeTicker. */
-    onOpenInterest(cb) {
-        return this.onDerivativeTicker(cb);
-    }
-    /** Register callback for liquidation data */
-    onLiquidation(cb) {
-        this.liquidationCallbacks.push(cb);
-        return this;
-    }
-    /** Register callback for ALL data types */
-    onData(cb) {
-        this.globalCallbacks.push(cb);
-        return this;
-    }
-    /** Register callback for connection events */
-    onConnect(cb) {
-        this.connectCallbacks.push(cb);
-        return this;
-    }
-    /** Register callback for disconnection events */
-    onDisconnect(cb) {
-        this.disconnectCallbacks.push(cb);
-        return this;
-    }
-    /** Register callback for errors */
-    onError(cb) {
-        this.errorCallbacks.push(cb);
-        return this;
-    }
-    // ─── Connection Management ──────────────────────────────────────
-    /** Connect to the DeepTick streaming endpoint */
-    async connect() {
-        this.stopped = false;
-        return new Promise((resolve, reject) => {
-            try {
-                // Use browser WebSocket or Node.js ws
-                this.ws = new WebSocket(this.url);
-                this.ws.onopen = () => {
-                    // Wait for welcome message before resolving
-                    this.pendingConnect = resolve;
-                };
-                this.ws.onmessage = (event) => {
-                    this.handleMessage(event.data);
-                };
-                this.ws.onclose = (event) => {
-                    const reason = event.reason || `code ${event.code}`;
-                    this.connected = false;
-                    this.disconnectCallbacks.forEach(cb => cb(reason));
-                    if (this.reconnect && !this.stopped) {
-                        this.scheduleReconnect();
-                    }
-                };
-                this.ws.onerror = (event) => {
-                    const error = new Error('WebSocket error');
-                    this.errorCallbacks.forEach(cb => cb(error));
-                    if (!this.connected) {
-                        reject(error);
-                    }
-                };
-            }
-            catch (err) {
-                reject(err);
-            }
-        });
-    }
-    /** Disconnect from the streaming endpoint */
-    disconnect() {
-        this.stopped = true;
-        this.connected = false;
-        if (this.ws) {
-            this.ws.close();
-            this.ws = null;
-        }
-    }
-    /** Subscribe to data channels */
-    async subscribe(channels) {
-        this.channels = channels;
-        if (!this.connected || !this.ws) {
-            throw new Error('Not connected. Call connect() first.');
-        }
-        return new Promise((resolve) => {
-            this.pendingSubscribe = resolve;
-            this.ws.send(JSON.stringify({
-                action: 'subscribe',
-                channels,
-            }));
-        });
-    }
-    /** Unsubscribe from specific channels */
-    unsubscribe(channels) {
-        this.channels = this.channels.filter(c => !channels.includes(c));
-        if (this.connected && this.ws) {
-            this.ws.send(JSON.stringify({
-                action: 'unsubscribe',
-                channels,
-            }));
-        }
-    }
-    /** Send ping and measure round-trip latency (ms) */
-    async ping() {
-        if (!this.connected || !this.ws) {
-            throw new Error('Not connected');
-        }
-        const t0 = Date.now();
-        return new Promise((resolve) => {
-            const handler = (event) => {
-                const frame = JSON.parse(event.data);
-                if (frame.type === 'pong') {
-                    this.ws?.removeEventListener('message', handler);
-                    resolve(Date.now() - t0);
-                }
-            };
-            this.ws.addEventListener('message', handler);
-            this.ws.send(JSON.stringify({
-                action: 'ping',
-                ts: t0 * 1_000_000, // ns
-            }));
-        });
-    }
-    /** Get streaming client statistics */
-    getStats() {
-        return {
-            connected: this.connected,
-            connectionId: this.connectionId,
-            url: this.url,
-            channels: this.channels,
-            messagesReceived: this.messagesReceived,
-            reconnectCount: this.reconnectCount,
-            lastMessageAgeMs: this.lastMessageTime > 0
-                ? Date.now() - this.lastMessageTime
-                : -1,
-        };
-    }
-    // ─── Internal ───────────────────────────────────────────────────
-    handleMessage(raw) {
-        let frame;
-        try {
-            frame = JSON.parse(raw);
-        }
-        catch {
-            return;
-        }
-        this.messagesReceived++;
-        this.lastMessageTime = Date.now();
-        switch (frame.type) {
-            case 'welcome':
-                this.connectionId = frame.connection_id ?? null;
-                this.connected = true;
-                this.currentDelay = this.reconnectDelay;
-                this.connectCallbacks.forEach(cb => cb());
-                // Resolve pending connect promise
-                if (this.pendingConnect) {
-                    this.pendingConnect();
-                    this.pendingConnect = null;
-                }
-                // Resubscribe on reconnect
-                if (this.channels.length > 0) {
-                    this.ws?.send(JSON.stringify({
-                        action: 'subscribe',
-                        channels: this.channels,
-                    }));
-                }
-                break;
-            case 'subscribed':
-                if (this.pendingSubscribe) {
-                    this.pendingSubscribe();
-                    this.pendingSubscribe = null;
-                }
-                break;
-            case 'data':
-                this.dispatchData(frame.topic ?? '', frame.data ?? {});
-                break;
-            case 'heartbeat':
-                // Connection alive
-                break;
-            case 'error':
-                const error = new Error(frame.message ?? 'Unknown server error');
-                this.errorCallbacks.forEach(cb => cb(error));
-                break;
-        }
-    }
-    dispatchData(topic, data) {
-        // Parse topic: "exchange.data_type.symbol"
-        const parts = topic.split('.', 3);
-        if (parts.length < 3)
-            return;
-        const [exchange, dataType, symbol] = parts;
-        // Route to type-specific callbacks
-        switch (dataType) {
-            case 'trades':
-                this.tradeCallbacks.forEach(cb => cb(exchange, symbol, data));
-                break;
-            case 'book_ticker':
-                this.bookTickerCallbacks.forEach(cb => cb(exchange, symbol, data));
-                break;
-            case 'book_l2_delta':
-                this.bookDeltaCallbacks.forEach(cb => cb(exchange, symbol, data));
-                break;
-            case 'derivative_ticker':
-                this.derivativeTickerCallbacks.forEach(cb => cb(exchange, symbol, data));
-                break;
-            case 'liquidations':
-                this.liquidationCallbacks.forEach(cb => cb(exchange, symbol, data));
-                break;
-        }
-        // Global callbacks
-        this.globalCallbacks.forEach(cb => cb(exchange, symbol, data));
-    }
-    scheduleReconnect() {
-        this.reconnectCount++;
-        console.log(`[deeptick] Reconnecting in ${this.currentDelay}ms (attempt #${this.reconnectCount})`);
-        setTimeout(async () => {
-            try {
-                await this.connect();
-            }
-            catch {
-                // connect() failed, onclose will fire and trigger another retry
-            }
-        }, this.currentDelay);
-        this.currentDelay = Math.min(this.currentDelay * 2, this.reconnectMaxDelay);
-    }
-}
-//# sourceMappingURL=streaming.js.map

package/dist/streaming.js.map

@@ -1 +0,0 @@
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package/dist/types.d.ts

@@ -1,142 +0,0 @@
-/**
- * DeepTick TypeScript Client — Derived Data Computations
- *
- * All derived data types are computed client-side from raw Phase 1 data.
- * Uses Apache Arrow JS for zero-copy Parquet reads.
- *
- * Install: npm install @deeptick/client apache-arrow parquet-wasm
- *
- * Usage:
- *   import { DeepTick, derive } from '@deeptick/client';
- *
- *   const dt = new DeepTick({ dataDir: './data/merged' });
- *   const trades = await dt.loadTrades('hyperliquid', 'BTC', '2026-05-01');
- *   const candles = derive.candles(trades, { intervalMs: 60_000 });
- *   const bbo = derive.bbo(await dt.loadBookDeltas('hyperliquid', 'BTC', '2026-05-01'));
- */
-export interface TradeRecord {
-    timestamp: bigint;
-    local_timestamp: bigint;
-    price: number;
-    amount: number;
-    side: 'buy' | 'sell';
-    trade_id: string;
-}
-export interface BookDeltaRecord {
-    timestamp: bigint;
-    local_timestamp: bigint;
-    is_snapshot: boolean;
-    bids_packed: Uint8Array;
-    asks_packed: Uint8Array;
-    bid_count: number;
-    ask_count: number;
-    sequence: bigint | null;
-}
-export interface BBORecord {
-    timestamp: bigint;
-    local_timestamp: bigint;
-    bid_price: number;
-    bid_amount: number;
-    ask_price: number;
-    ask_amount: number;
-}
-export interface CandleRecord {
-    timestamp: bigint;
-    open: number;
-    high: number;
-    low: number;
-    close: number;
-    volume: number;
-    buy_volume: number;
-    sell_volume: number;
-    trades_count: number;
-    vwap: number;
-}
-export interface BookSnapshot {
-    timestamp: bigint;
-    local_timestamp: bigint;
-    bids: [number, number][];
-    asks: [number, number][];
-    bid_depth: number;
-    ask_depth: number;
-}
-export interface VolumeProfileBucket {
-    price_level: number;
-    volume: number;
-    buy_volume: number;
-    sell_volume: number;
-    trade_count: number;
-}
-export interface ImbalanceRecord {
-    timestamp: bigint;
-    imbalance: number;
-    bid_volume: number;
-    ask_volume: number;
-}
-export interface FundingCrossRecord {
-    timestamp: bigint;
-    rates: Record<string, number>;
-    spreads: Record<string, number>;
-    annualized_spreads: Record<string, number>;
-}
-export declare namespace derive {
-    /**
-     * Derive BBO time series from L2 book deltas.
-     * Replays delta stream maintaining full book state.
-     */
-    function bbo(deltas: BookDeltaRecord[]): BBORecord[];
-    /**
-     * Derive periodic L2 snapshots from delta stream.
-     * @param depth - 20 for standard, 1000 for deep book
-     * @param intervalMs - snapshot interval (default: 60000 = 1 min)
-     */
-    function bookSnapshots(deltas: BookDeltaRecord[], options?: {
-        depth?: number;
-        intervalMs?: number;
-    }): BookSnapshot[];
-    /**
-     * Derive OHLCV candles from trades at any interval.
-     * Includes VWAP and buy/sell volume split.
-     */
-    function candles(trades: TradeRecord[], options?: {
-        intervalMs?: number;
-    }): CandleRecord[];
-    /**
-     * Derive volume profile from trades.
-     * @param priceBucketSize - auto-calculated if not provided
-     */
-    function volumeProfile(trades: TradeRecord[], options?: {
-        priceBucketSize?: number;
-        numBuckets?: number;
-    }): VolumeProfileBucket[];
-    /**
-     * Derive order book imbalance from L2 deltas.
-     * imbalance = (bid_vol - ask_vol) / (bid_vol + ask_vol) at top N levels
-     */
-    function bookImbalance(deltas: BookDeltaRecord[], options?: {
-        depth?: number;
-        intervalMs?: number;
-    }): ImbalanceRecord[];
-    /**
-     * Derive cross-exchange funding rate spreads.
-     * Takes funding data from multiple exchanges for same underlying.
-     */
-    function fundingCross(fundingByExchange: Record<string, {
-        timestamp: bigint;
-        funding_rate: number;
-    }[]>, options?: {
-        intervalMs?: number;
-    }): FundingCrossRecord[];
-    /**
-     * Derive cross-exchange basis (price spread in bps).
-     */
-    function crossExchangeBasis(tradesByExchange: Record<string, TradeRecord[]>, options?: {
-        intervalMs?: number;
-    }): {
-        timestamp: bigint;
-        prices: Record<string, number>;
-        basis_bps: Record<string, number>;
-    }[];
-}
-export declare function unpackLevels(packed: Uint8Array): [number, number][];
-//# sourceMappingURL=types.d.ts.map

package/dist/types.d.ts.map

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