@deeptick/client 0.1.1 → 0.2.0

package/dist/types.js

@@ -1,152 +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'));
- */
-// ─── Derived Data Functions ─────────────────────────────────────────
-// All functions are pure: raw data in → derived data out. Nothing stored.
-export var derive;
-(function (derive) {
-    /**
-     * Derive BBO time series from L2 book deltas.
-     * Replays delta stream maintaining full book state.
-     */
-    function bbo(deltas) {
-        const bids = new Map();
-        const asks = new Map();
-        const result = [];
-        for (const d of deltas) {
-            const bidsRaw = unpackLevels(d.bids_packed);
-            const asksRaw = unpackLevels(d.asks_packed);
-            if (d.is_snapshot) {
-                bids.clear();
-                asks.clear();
-                for (const [p, s] of bidsRaw) {
-                    if (s > 0)
-                        bids.set(p, s);
-                }
-                for (const [p, s] of asksRaw) {
-                    if (s > 0)
-                        asks.set(p, s);
-                }
-            }
-            else {
-                for (const [p, s] of bidsRaw) {
-                    if (s > 0) {
-                        bids.set(p, s);
-                    }
-                    else {
-                        bids.delete(p);
-                    }
-                }
-                for (const [p, s] of asksRaw) {
-                    if (s > 0) {
-                        asks.set(p, s);
-                    }
-                    else {
-                        asks.delete(p);
-                    }
-                }
-            }
-            if (bids.size > 0 && asks.size > 0) {
-                let bestBidPx = -Infinity;
-                let bestBidSz = 0;
-                for (const [p, s] of bids.entries()) {
-                    if (p > bestBidPx) {
-                        bestBidPx = p;
-                        bestBidSz = s;
-                    }
-                }
-                let bestAskPx = Infinity;
-                let bestAskSz = 0;
-                for (const [p, s] of asks.entries()) {
-                    if (p < bestAskPx) {
-                        bestAskPx = p;
-                        bestAskSz = s;
-                    }
-                }
-                if (bestBidPx !== -Infinity && bestAskPx !== Infinity) {
-                    result.push({
-                        timestamp: d.timestamp,
-                        local_timestamp: d.local_timestamp,
-                        bid_price: bestBidPx,
-                        bid_amount: bestBidSz,
-                        ask_price: bestAskPx,
-                        ask_amount: bestAskSz,
-                    });
-                }
-            }
-        }
-        return result;
-    }
-    derive.bbo = bbo;
-    /**
-     * 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, options) {
-        throw new Error("Not implemented yet. Feel free to contribute!");
-    }
-    derive.bookSnapshots = bookSnapshots;
-    /**
-     * Derive OHLCV candles from trades at any interval.
-     * Includes VWAP and buy/sell volume split.
-     */
-    function candles(trades, options) {
-        throw new Error("Not implemented yet. Feel free to contribute!");
-    }
-    derive.candles = candles;
-    /**
-     * Derive volume profile from trades.
-     * @param priceBucketSize - auto-calculated if not provided
-     */
-    function volumeProfile(trades, options) {
-        throw new Error("Not implemented yet. Feel free to contribute!");
-    }
-    derive.volumeProfile = volumeProfile;
-    /**
-     * Derive order book imbalance from L2 deltas.
-     * imbalance = (bid_vol - ask_vol) / (bid_vol + ask_vol) at top N levels
-     */
-    function bookImbalance(deltas, options) {
-        throw new Error("Not implemented yet. Feel free to contribute!");
-    }
-    derive.bookImbalance = bookImbalance;
-    /**
-     * Derive cross-exchange funding rate spreads.
-     * Takes funding data from multiple exchanges for same underlying.
-     */
-    function fundingCross(fundingByExchange, options) {
-        throw new Error("Not implemented yet. Feel free to contribute!");
-    }
-    derive.fundingCross = fundingCross;
-    /**
-     * Derive cross-exchange basis (price spread in bps).
-     */
-    function crossExchangeBasis(tradesByExchange, options) {
-        throw new Error("Not implemented yet. Feel free to contribute!");
-    }
-    derive.crossExchangeBasis = crossExchangeBasis;
-})(derive || (derive = {}));
-// ─── Utility: Unpack binary-packed book levels ──────────────────────
-export function unpackLevels(packed) {
-    const view = new DataView(packed.buffer, packed.byteOffset, packed.byteLength);
-    const pairs = [];
-    for (let i = 0; i < packed.byteLength; i += 16) {
-        pairs.push([view.getFloat64(i, true), view.getFloat64(i + 8, true)]);
-    }
-    return pairs;
-}
-//# sourceMappingURL=types.js.map

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package/src/cache.ts

@@ -1,206 +0,0 @@
-/**
- * DeepTick TypeScript Client — Caching + Parallel Downloads.
- *
- * Disk-based cache for downloaded data so repeat queries are instant.
- * Parallel multi-day fetches via Promise.all.
- *
- * Usage:
- *   import { CachedClient } from '@deeptick/client';
- *
- *   const client = new CachedClient('https://deeptick.lacertalabs.xyz');
- *
- *   // First call: downloads from server, caches locally
- *   const trades = await client.loadTrades('hyperliquid', 'BTC', '2026-05-01', '2026-05-07');
- *
- *   // Second call: instant from disk cache
- *   const trades2 = await client.loadTrades('hyperliquid', 'BTC', '2026-05-01', '2026-05-07');
- */
-
-import * as fs from 'fs';
-import * as path from 'path';
-import * as os from 'os';
-import * as crypto from 'crypto';
-
-export interface CacheStats {
-  cacheDir: string;
-  cacheHits: number;
-  cacheMisses: number;
-  hitRatePct: number;
-  bytesDownloaded: number;
-  bytesFromCache: number;
-}
-
-export class CachedClient {
-  private baseUrl: string;
-  private cacheDir: string;
-  private maxConcurrency: number;
-  private apiKey: string;
-
-  cacheHits = 0;
-  cacheMisses = 0;
-  bytesDownloaded = 0;
-  bytesFromCache = 0;
-
-  constructor(
-    baseUrl: string = 'https://deeptick.lacertalabs.xyz',
-    cacheDir?: string,
-    maxConcurrency: number = 8,
-    apiKey: string = process.env.DEEPTICK_API_KEY ?? '',
-  ) {
-    this.baseUrl = baseUrl.replace(/\/$/, '');
-    this.cacheDir = cacheDir || path.join(os.homedir(), '.deeptick', 'cache');
-    this.maxConcurrency = maxConcurrency;
-    this.apiKey = apiKey;
-    fs.mkdirSync(this.cacheDir, { recursive: true });
-  }
-
-  // ─── Cache Key ────────────────────────────────────────────────────
-
-  private cachePath(
-    exchange: string, dataType: string, symbol: string, date: string,
-    columns?: string[],
-  ): string {
-    const safeSymbol = symbol.replace(/\//g, '-').replace(/:/g, '-');
-    let colHash = '';
-    if (columns && columns.length > 0) {
-      const sorted = [...columns].sort().join(',');
-      colHash = '_' + crypto.createHash('md5').update(sorted).digest('hex').slice(0, 8);
-    }
-    return path.join(
-      this.cacheDir, exchange, dataType, safeSymbol,
-      `${date}${colHash}.bin`,
-    );
-  }
-
-  private isCached(filePath: string): boolean {
-    return fs.existsSync(filePath);
-  }
-
-  // ─── Download ─────────────────────────────────────────────────────
-
-  private async downloadDate(
-    exchange: string, dataType: string, symbol: string, date: string,
-    columns?: string[], format: string = 'csv',
-  ): Promise<string | null> {
-    const cp = this.cachePath(exchange, dataType, symbol, date, columns);
-
-    if (this.isCached(cp)) {
-      this.cacheHits++;
-      this.bytesFromCache += fs.statSync(cp).size;
-      return fs.readFileSync(cp, 'utf-8');
-    }
-
-    this.cacheMisses++;
-
-    let url = `${this.baseUrl}/v1/data/${exchange}/${dataType}/${symbol}/${date}?format=${format}`;
-    if (columns && columns.length > 0) {
-      url += `&columns=${columns.join(',')}`;
-    }
-
-    try {
-      const headers: Record<string, string> = {};
-      if (this.apiKey) {
-        headers['X-API-Key'] = this.apiKey;
-      }
-      const resp = await fetch(url, { headers });
-      if (!resp.ok) {
-        if (resp.status === 404) return null;
-        throw new Error(`HTTP ${resp.status}`);
-      }
-
-      const data = await resp.text();
-      this.bytesDownloaded += Buffer.byteLength(data);
-
-      // Cache to disk
-      const dir = path.dirname(cp);
-      fs.mkdirSync(dir, { recursive: true });
-      fs.writeFileSync(cp, data);
-
-      return data;
-    } catch (err) {
-      console.error(`[cache] Download error for ${exchange}/${dataType}/${symbol}/${date}:`, err);
-      return null;
-    }
-  }
-
-  // ─── Parallel Multi-Day Loader ────────────────────────────────────
-
-  private dateRange(start: string, end: string): string[] {
-    const dates: string[] = [];
-    const current = new Date(start + 'T00:00:00Z');
-    const endDate = new Date(end + 'T00:00:00Z');
-
-    while (current <= endDate) {
-      dates.push(current.toISOString().split('T')[0]);
-      current.setUTCDate(current.getUTCDate() + 1);
-    }
-    return dates;
-  }
-
-  async load(
-    dataType: string,
-    exchange: string,
-    symbol: string,
-    startDate: string,
-    endDate?: string,
-    columns?: string[],
-  ): Promise<string[]> {
-    const end = endDate || startDate;
-    const dates = this.dateRange(startDate, end);
-
-    // Parallel download with concurrency limit
-    const results: (string | null)[] = [];
-    for (let i = 0; i < dates.length; i += this.maxConcurrency) {
-      const batch = dates.slice(i, i + this.maxConcurrency);
-      const batchResults = await Promise.all(
-        batch.map(d => this.downloadDate(exchange, dataType, symbol, d, columns)),
-      );
-      results.push(...batchResults);
-    }
-
-    return results.filter((r): r is string => r !== null);
-  }
-
-  async loadTrades(
-    exchange: string, symbol: string, startDate: string, endDate?: string,
-  ): Promise<string[]> {
-    return this.load('trades', exchange, symbol, startDate, endDate);
-  }
-
-  async loadBookDeltas(
-    exchange: string, symbol: string, startDate: string, endDate?: string,
-  ): Promise<string[]> {
-    return this.load('book_l2_delta', exchange, symbol, startDate, endDate);
-  }
-
-  async loadDerivativeTicker(
-    exchange: string, symbol: string, startDate: string, endDate?: string,
-  ): Promise<string[]> {
-    return this.load('derivative_ticker', exchange, symbol, startDate, endDate);
-  }
-
-  async loadFunding(
-    exchange: string, symbol: string, startDate: string, endDate?: string,
-  ): Promise<string[]> {
-    return this.loadDerivativeTicker(exchange, symbol, startDate, endDate);
-  }
-
-  // ─── Cache Management ────────────────────────────────────────────
-
-  getStats(): CacheStats {
-    const total = this.cacheHits + this.cacheMisses;
-    return {
-      cacheDir: this.cacheDir,
-      cacheHits: this.cacheHits,
-      cacheMisses: this.cacheMisses,
-      hitRatePct: total > 0 ? Math.round((this.cacheHits / total) * 1000) / 10 : 0,
-      bytesDownloaded: this.bytesDownloaded,
-      bytesFromCache: this.bytesFromCache,
-    };
-  }
-
-  clearCache(): void {
-    fs.rmSync(this.cacheDir, { recursive: true, force: true });
-    fs.mkdirSync(this.cacheDir, { recursive: true });
-  }
-}

package/src/feed.ts

@@ -1,290 +0,0 @@
-/**
- * DeepTick TypeScript Unified Feed — Seamless Live ↔ Replay switching.
- *
- * Same interface for both live streaming and historical replay.
- * Backtest code = production code.
- *
- * Usage:
- *   import { DeepTickFeed, FeedMode } from '@deeptick/client';
- *
- *   // Live mode
- *   const feed = DeepTickFeed.live('wss://deeptick.lacertalabs.xyz/v1/stream');
- *   feed.onData((topic, data) => console.log(topic, data));
- *   await feed.connect();
- *   await feed.subscribe(['hyperliquid.trades.BTC']);
- *
- *   // Replay mode — same callback, historical data
- *   const feed = DeepTickFeed.replay('wss://deeptick.lacertalabs.xyz/v1/replay/ws', {
- *     sources: ['hyperliquid:trades:BTC'],
- *     from: '2026-05-01',
- *     to: '2026-05-03',
- *     speed: 10,
- *   });
- *   feed.onData((topic, data) => console.log(topic, data)); // Same handler!
- *   await feed.connect();
- *
- *   // Auto mode — replay then switch to live
- *   const feed = DeepTickFeed.auto('wss://deeptick.lacertalabs.xyz', {
- *     sources: ['hyperliquid:trades:BTC'],
- *     from: '2026-05-01',
- *   });
- */
-
-import WebSocket from 'ws';
-
-export enum FeedMode {
-  LIVE = 'live',
-  REPLAY = 'replay',
-  AUTO = 'auto',
-}
-
-export interface FeedOptions {
-  channels?: string[];
-  sources?: string[];
-  from?: string;
-  to?: string;
-  speed?: number;
-  reconnect?: boolean;
-  apiKey?: string;
-}
-
-export interface FeedStats {
-  mode: FeedMode;
-  currentMode: FeedMode;
-  messagesReceived: number;
-  connected: boolean;
-  url: string;
-}
-
-type DataCallback = (topic: string, data: Record<string, any>) => void;
-type ReplayEndCallback = (stats: { totalEvents: number; durationS: number }) => void;
-type ModeChangeCallback = (from: FeedMode, to: FeedMode) => void;
-
-export class DeepTickFeed {
-  private mode: FeedMode;
-  private currentMode: FeedMode;
-  private url: string;
-  private options: FeedOptions;
-  private ws: WebSocket | null = null;
-  private messagesReceived = 0;
-  private connected = false;
-
-  private dataCallbacks: DataCallback[] = [];
-  private replayEndCallbacks: ReplayEndCallback[] = [];
-  private modeChangeCallbacks: ModeChangeCallback[] = [];
-
-  private constructor(mode: FeedMode, url: string, options: FeedOptions = {}) {
-    this.mode = mode;
-    this.currentMode = mode;
-    this.url = url;
-    this.options = options;
-  }
-
-  // ─── Factory Methods ─────────────────────────────────────────────
-
-  static live(url: string = 'wss://deeptick.lacertalabs.xyz/v1/stream', options: FeedOptions = {}): DeepTickFeed {
-    return new DeepTickFeed(FeedMode.LIVE, url, options);
-  }
-
-  static replay(url: string = 'wss://deeptick.lacertalabs.xyz/v1/replay/ws', options: FeedOptions = {}): DeepTickFeed {
-    return new DeepTickFeed(FeedMode.REPLAY, url, options);
-  }
-
-  static auto(baseUrl: string = 'wss://deeptick.lacertalabs.xyz', options: FeedOptions = {}): DeepTickFeed {
-    const today = new Date().toISOString().split('T')[0];
-    return new DeepTickFeed(FeedMode.AUTO, `${baseUrl}/v1/replay/ws`, {
-      ...options,
-      to: today,
-    });
-  }
-
-  // ─── Callbacks ───────────────────────────────────────────────────
-
-  /** Register a callback for data events (works identically for live and replay) */
-  onData(cb: DataCallback): this {
-    this.dataCallbacks.push(cb);
-    return this;
-  }
-
-  /** Register a callback for replay completion */
-  onReplayEnd(cb: ReplayEndCallback): this {
-    this.replayEndCallbacks.push(cb);
-    return this;
-  }
-
-  /** Register a callback for mode changes (replay → live in auto mode) */
-  onModeChange(cb: ModeChangeCallback): this {
-    this.modeChangeCallbacks.push(cb);
-    return this;
-  }
-
-  // ─── Connection ──────────────────────────────────────────────────
-
-  async connect(): Promise<void> {
-    return new Promise((resolve, reject) => {
-      const urlWithKey = this.options.apiKey
-        ? `${this.url}?api_key=${this.options.apiKey}`
-        : this.url;
-
-      this.ws = new WebSocket(urlWithKey);
-
-      this.ws.on('open', () => {
-        this.connected = true;
-      });
-
-      this.ws.on('message', (raw: WebSocket.Data) => {
-        const frame = JSON.parse(raw.toString());
-        this.messagesReceived++;
-
-        switch (frame.type) {
-          case 'welcome':
-            // Start feed based on mode
-            if (this.mode === FeedMode.LIVE) {
-              this.startLive();
-            } else {
-              this.startReplay();
-            }
-            resolve();
-            break;
-
-          case 'data':
-            for (const cb of this.dataCallbacks) {
-              cb(frame.topic, frame.data);
-            }
-            break;
-
-          case 'replay_end':
-            for (const cb of this.replayEndCallbacks) {
-              cb({
-                totalEvents: frame.total_events,
-                durationS: frame.duration_s,
-              });
-            }
-
-            if (this.currentMode === FeedMode.AUTO) {
-              // Switch to live
-              this.switchToLive();
-            }
-            break;
-
-          case 'subscribed':
-          case 'replay_start':
-          case 'heartbeat':
-            break;
-
-          case 'error':
-            console.error('[feed] Server error:', frame.message);
-            break;
-        }
-      });
-
-      this.ws.on('close', () => {
-        this.connected = false;
-      });
-
-      this.ws.on('error', (err) => {
-        if (!this.connected) {
-          reject(err);
-        }
-      });
-    });
-  }
-
-  async disconnect(): Promise<void> {
-    this.connected = false;
-    if (this.ws) {
-      this.ws.close();
-      this.ws = null;
-    }
-  }
-
-  async subscribe(channels: string[]): Promise<void> {
-    this.options.channels = channels;
-    if (this.connected && this.currentMode === FeedMode.LIVE && this.ws) {
-      this.ws.send(JSON.stringify({ action: 'subscribe', channels }));
-    }
-  }
-
-  // ─── Internal ────────────────────────────────────────────────────
-
-  private startLive(): void {
-    if (this.options.channels && this.ws) {
-      this.ws.send(JSON.stringify({
-        action: 'subscribe',
-        channels: this.options.channels,
-      }));
-    }
-    this.currentMode = FeedMode.LIVE;
-  }
-
-  private startReplay(): void {
-    if (this.ws) {
-      this.ws.send(JSON.stringify({
-        action: 'replay',
-        sources: this.options.sources || [],
-        from: this.options.from || '',
-        to: this.options.to || '',
-        speed: this.options.speed || 0,
-      }));
-    }
-    this.currentMode = FeedMode.REPLAY;
-  }
-
-  private async switchToLive(): Promise<void> {
-    const oldMode = this.currentMode;
-
-    // Close replay connection
-    if (this.ws) {
-      this.ws.close();
-    }
-
-    // Connect to live endpoint
-    const liveUrl = this.url.replace('/v1/replay/ws', '/v1/stream');
-    const urlWithKey = this.options.apiKey
-      ? `${liveUrl}?api_key=${this.options.apiKey}`
-      : liveUrl;
-
-    return new Promise((resolve) => {
-      this.ws = new WebSocket(urlWithKey);
-
-      this.ws.on('open', () => {
-        this.connected = true;
-      });
-
-      this.ws.on('message', (raw: WebSocket.Data) => {
-        const frame = JSON.parse(raw.toString());
-        this.messagesReceived++;
-
-        if (frame.type === 'welcome') {
-          // Build channels from sources
-          if (!this.options.channels && this.options.sources) {
-            this.options.channels = this.options.sources.map(s => s.replace(/:/g, '.'));
-          }
-          this.startLive();
-          for (const cb of this.modeChangeCallbacks) {
-            cb(oldMode, FeedMode.LIVE);
-          }
-          resolve();
-        } else if (frame.type === 'data') {
-          for (const cb of this.dataCallbacks) {
-            cb(frame.topic, frame.data);
-          }
-        }
-      });
-
-      this.ws.on('close', () => {
-        this.connected = false;
-      });
-    });
-  }
-
-  getStats(): FeedStats {
-    return {
-      mode: this.mode,
-      currentMode: this.currentMode,
-      messagesReceived: this.messagesReceived,
-      connected: this.connected,
-      url: this.url,
-    };
-  }
-}

package/src/index.ts

@@ -1,45 +0,0 @@
-/**
- * @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 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';