@icgio/icg-exchanges-wrapper 1.17.2 → 1.17.4

package/middleware/orders.js

@@ -74,7 +74,6 @@ const TRADES_DEFAULT_MS = 7 * 24 * 60 * 60 * 1000
 const NO_CALLBACK_TIMEOUT_MS = 2 * 60 * 1000
 const PROCESS_RATES_THROTTLE_MS = 75
 const ORDER_TYPE_PRIORITY = {
-  arb: 1,
   self: 2,
   maker_1: 3,
   maker_1_taker: 3,
@@ -136,8 +135,8 @@ module.exports = class Orders {
     this.no_cancel_previous_exchanges = settings.no_cancel_previous_exchanges || []
     this.no_cancel_range_exchanges = settings.no_cancel_range_exchanges || []
     this.no_trades_function_exchanges = settings.no_trades_function_exchanges || []
+    this.ws_market_options = settings.ws_market_options || {}
     this.no_trades_function_f_filled_timeout = 30 * 1000
-    this.no_arb_exchanges = settings.no_arb_exchanges || []
     this.buy_sell_limits_threshold = 0.95
     this.p_filled_threshold = 0
     this.f_filled_threshold = 0.999
@@ -209,7 +208,6 @@ module.exports = class Orders {
     this.rates_combined_all = {}
     this.rates_combined_all_with_buy_sell_limits_against_reserve_balance = {}
     this.rates_combined_major = {}
-    this.rates_combined_good_with_buy_sell_limits_against_reserve_balance = {}
     this.buy_sell_limits_against_reserve_balance = {}
     this.order_info = {}
     this.fill_records = [] // { side, usdt_amount, timestamp, order_type }
@@ -219,7 +217,7 @@ module.exports = class Orders {
       positions_check: false,
       open_orders_check: true,
       trades_check: true,
-      query_order_check_arb_maker_1: true,
+      query_order_check_maker_1: true,
       query_order_check_exchange: {},
       rates_check: true,
       market_history_check: true,
@@ -239,7 +237,7 @@ module.exports = class Orders {
       this.trades_amount_past_hour = {}
       this.check_trades()
     }
-    if (this.function_enabled.query_order_check_arb_maker_1) {
+    if (this.function_enabled.query_order_check_maker_1) {
       for (let exchange in this.Exchanges) {
         if (this.function_enabled.query_order_check_exchange[exchange]) {
           this.check_query_order(exchange)
@@ -264,7 +262,7 @@ module.exports = class Orders {
         this.process_open_orders(this.open_orders)
       }, PROCESS_OPEN_ORDERS_TRADERS_INTERVAL_MS)
     }
-    if (this.function_enabled.query_order_check_arb_maker_1) {
+    if (this.function_enabled.query_order_check_maker_1) {
       setInterval(() => {
         this.process_query_order(this.query_order)
       }, PROCESS_OPEN_ORDERS_TRADERS_INTERVAL_MS)
@@ -840,7 +838,7 @@ module.exports = class Orders {
     // Track fill amounts for imbalance detection
     if (dict.status === 'F-FILLED') {
       const order_info_full = _.get(this.order_info, [exchange, pair, type, order_id], {})
-      const tracked_types = ['maker_1', 'maker_2', 'maker_3', 'arb']
+      const tracked_types = ['maker_1', 'maker_2', 'maker_3']
       if (tracked_types.includes(order_info_full.order_type)) {
         const usdt_amount = order_info_full.f_amount * order_info_full.price
         this.fill_records.push({
@@ -1040,12 +1038,12 @@ module.exports = class Orders {
       if (this.cancel_range_orders && !_.includes(this.major_exchanges[pair], exchange) && !_.includes(this.no_cancel_range_exchanges, exchange) && rate_major) {
         // console.log(exchange, pair, rate_major, orders)
         orders.map((order) => {
-          if (order.type === 'sell' && order.price < rate_major.asks[0][0] && order.order_status !== 'F-FILLED' && order.order_type !== 'arb' && order.order_type !== 'manual') {
+          if (order.type === 'sell' && order.price < rate_major.asks[0][0] && order.order_status !== 'F-FILLED' && order.order_type !== 'manual') {
             console.log('cancel range order: %s %s %j', exchange, pair, order)
             order.order_type = 'range-order'
             this.cancel_order(exchange, pair, order)
           }
-          if (order.type === 'buy' && order.price > rate_major.bids[0][0] && order.order_status !== 'F-FILLED' && order.order_type !== 'arb' && order.order_type !== 'manual') {
+          if (order.type === 'buy' && order.price > rate_major.bids[0][0] && order.order_status !== 'F-FILLED' && order.order_type !== 'manual') {
             console.log('cancel range order: %s %s %j', exchange, pair, order)
             order.order_type = 'range-order'
             this.cancel_order(exchange, pair, order)
@@ -1296,7 +1294,7 @@ module.exports = class Orders {
     }
     let get_query_order_all = (Exchanges, exchange_pairs, interval_dict) => {
       let query_order = (exchange, pair) => {
-        let order_info = _.get(this.get_order_info_by_order_type(['arb', 'maker_1']), [exchange, pair], {})
+        let order_info = _.get(this.get_order_info_by_order_type(['maker_1']), [exchange, pair], {})
         let timeout = setTimeout(() => {
           query_order(exchange, pair)
         }, interval_dict[exchange].query_order)
@@ -1308,7 +1306,7 @@ module.exports = class Orders {
             let { open_time } = order_info[type][order_id]
             // console.log(order_id, open_time, open_time < new Date() - 30 * 60 * 1000)
             if (open_time < new Date() - QUERY_ORDER_TIME_IN_MS) {
-              // console.log('query_order_arb_maker_1: %s %s %s', exchange, pair, order_id)
+              // console.log('query_order_maker_1: %s %s %s', exchange, pair, order_id)
               Exchanges[exchange].query_order(pair, order_id, (res) => {
                 count++
                 if (res.success) {
@@ -1343,9 +1341,7 @@ module.exports = class Orders {
         let orderbook_all = {},
           orderbook_all_with_buy_sell_limits_against_reserve_balance = {},
           orderbook_major = {},
-          orderbook_major_temp = {},
-          orderbook_good_with_buy_sell_limits_against_reserve_balance = {},
-          orderbook_good_temp = {}
+          orderbook_major_temp = {}
         let exchanges_list = _.concat(this.pair_exchanges[pair] || [], this.pair_exchanges_rates_only[pair] || [])
         for (let exchange of exchanges_list) {
           if (_.get(this.rates, [exchange, pair, 'asks'], []).length > 0 && _.get(this.rates, [exchange, pair, 'bids'], []).length > 0) {
@@ -1379,17 +1375,8 @@ module.exports = class Orders {
                 bids: utils.vol_position_orderbook(rates.bids, this.buy_sell_limits_against_reserve_balance[exchange][pair].sell),
               }
               orderbook_all_with_buy_sell_limits_against_reserve_balance[exchange] = rates_with_buy_sell_limits_against_reserve_balance
-
-              if (!_.includes(this.no_arb_exchanges, exchange) || !this.exchange_pairs_rates_only[exchange]) {
-                orderbook_good_temp[exchange] = rates_with_buy_sell_limits_against_reserve_balance
-                if (_.keys(orderbook_good_temp).length === this.pair_exchanges[pair].length - this.no_arb_exchanges.length) {
-                  orderbook_good_with_buy_sell_limits_against_reserve_balance = orderbook_good_temp
-                }
-              }
             } else {
               orderbook_all_with_buy_sell_limits_against_reserve_balance = _.omit(orderbook_all_with_buy_sell_limits_against_reserve_balance, [exchange])
-              orderbook_good_with_buy_sell_limits_against_reserve_balance = _.omit(orderbook_good_with_buy_sell_limits_against_reserve_balance, [exchange])
-              orderbook_good_temp = _.omit(orderbook_good_temp, [exchange])
             }
           } else {
             orderbook_major = _.omit(orderbook_major, [exchange])
@@ -1418,12 +1405,6 @@ module.exports = class Orders {
           this.rates_combined_major = _.omit(this.rates_combined_major, [pair])
         }
 
-        let o_4 = utils.combine_orderbooks(orderbook_good_with_buy_sell_limits_against_reserve_balance, COMBINE_ORDERBOOKS_LEVEL)
-        if (o_4.asks.length > 0 && o_4.bids.length > 0) {
-          _.set(this.rates_combined_good_with_buy_sell_limits_against_reserve_balance, [pair], o_4)
-        } else {
-          this.rates_combined_good_with_buy_sell_limits_against_reserve_balance = _.omit(this.rates_combined_good_with_buy_sell_limits_against_reserve_balance, [pair])
-        }
         const reference_pair = this.pair_map_rates_only[pair]
         if (this.pair_map_rates_only[pair] && this.rates_combined_major[reference_pair]) {
           this.rates_combined_major[pair] = this.rates_combined_major[reference_pair]
@@ -1460,7 +1441,7 @@ module.exports = class Orders {
       for (let exchange in exchange_pairs) {
         if (Exchanges[exchange].ws_market && Exchanges[exchange].exchange_type === 'spot') {
           if (!this.ws_market_first_time[exchange]) {
-            Exchanges[exchange].ws_market(exchange_pairs[exchange])
+            Exchanges[exchange].ws_market(exchange_pairs[exchange], this.ws_market_options)
             this.ws_market_first_time[exchange] = true
           }
           for (let pair of exchange_pairs[exchange]) {
@@ -1471,7 +1452,7 @@ module.exports = class Orders {
         } else if (Exchanges[exchange].ws_market && Exchanges[exchange].exchange_type === 'dex') {
           setInterval(() => {
             if (!this.ws_market_first_time[exchange]) {
-              Exchanges[exchange].ws_market(exchange_pairs[exchange])
+              Exchanges[exchange].ws_market(exchange_pairs[exchange], this.ws_market_options)
               this.ws_market_first_time[exchange] = true
             } else {
               for (let pair of exchange_pairs[exchange]) {
@@ -1502,11 +1483,11 @@ module.exports = class Orders {
       for (let exchange in exchange_pairs_rates_only) {
         if (ExchangesRatesOnly[exchange].ws_market) {
           if (!this.ws_market_first_time[exchange]) {
-            ExchangesRatesOnly[exchange].ws_market(exchange_pairs_rates_only[exchange])
+            ExchangesRatesOnly[exchange].ws_market(exchange_pairs_rates_only[exchange], { bbo: true, depth: false, trades: false })
             this.ws_market_first_time[exchange] = true
           }
           for (let pair of exchange_pairs_rates_only[exchange]) {
-            ExchangesRatesOnly[exchange].rate_ws_top_observable(pair, (res) => {
+            ExchangesRatesOnly[exchange].bbo_ws_observable(pair, (res) => {
               rates_handler(exchange, pair, res)
             })
           }
@@ -1537,7 +1518,7 @@ module.exports = class Orders {
         const market_history_timeframe = exchange === 'coinbene' ? 30 * 24 * 60 * 60 * 1000 : MARKET_HISTORY_DEFAULT_MS
         if (Exchanges[exchange].ws_market && Exchanges[exchange].exchange_type === 'spot') {
           if (!this.ws_market_first_time[exchange]) {
-            Exchanges[exchange].ws_market(exchange_pairs[exchange])
+            Exchanges[exchange].ws_market(exchange_pairs[exchange], this.ws_market_options)
             this.ws_market_first_time[exchange] = true
           }
           for (let pair of exchange_pairs[exchange]) {

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@icgio/icg-exchanges-wrapper",
-  "version": "1.17.2",
+  "version": "1.17.4",
   "description": "",
   "main": "index.js",
   "scripts": {
@@ -17,8 +17,8 @@
   },
   "homepage": "https://github.com/icgio/icg-exchanges-wrapper#readme",
   "dependencies": {
-    "@icgio/icg-exchanges": "^1.40.2",
-    "@icgio/icg-utils": "^1.9.52",
+    "@icgio/icg-exchanges": "^1.40.3",
+    "@icgio/icg-utils": "^1.9.53",
     "lodash": "^4.17.23",
     "pg": "^8.17.2"
   }