@icgio/icg-exchanges 1.40.49 → 1.41.0

package/lib/exchanges/coinbase-fix.js

@@ -1,267 +0,0 @@
-// Coinbase FIX session wrappers.
-//
-// CoinbaseFixOrd  — order entry (fix-ord.exchange.coinbase.com:6121)
-// CoinbaseFixMd   — market data (fix-md.exchange.coinbase.com:6121)
-
-const { createHmac, randomUUID } = require('crypto')
-const ExchangeFix = require('./exchange-fix.js')
-
-const SOH = '\x01'
-
-// --- Shared helpers ---
-
-function build_logon_fields(api_key, secret_key, passphrase, seq_num, sending_time) {
-  let prehash = sending_time + SOH + 'A' + SOH + seq_num + SOH + api_key + SOH + 'Coinbase' + SOH + passphrase
-  let signature = createHmac('sha256', Buffer.from(secret_key, 'base64')).update(prehash).digest('base64')
-  return [
-    [553, api_key], [554, passphrase],
-    [95, signature.length], [96, signature],
-    [98, 0], [108, 30], [141, 'Y'], [1137, 9],
-  ]
-}
-
-function parse_event_ts_ms(fix_time) {
-  if (!fix_time || fix_time.length < 17) return undefined
-  let iso = fix_time.slice(0, 4) + '-' + fix_time.slice(4, 6) + '-' + fix_time.slice(6, 8) + 'T' + fix_time.slice(9, 21) + 'Z'
-  let ms = Date.parse(iso)
-  return Number.isFinite(ms) ? ms : undefined
-}
-
-function parse_md_entry(fields) {
-  let symbol = fields['55']
-  let entry_type = fields['269']
-  let action = fields['279']
-  let md_entry_id = fields['278']
-  let order_id = fields['37']
-  if (!symbol || entry_type === undefined || action === undefined) return null
-  let price = parseFloat(fields['270'])
-  let size = parseFloat(fields['271'])
-  if (!Number.isFinite(price)) return null
-  let rpt_seq = fields['83'] ? parseInt(fields['83'], 10) : undefined
-
-  if (entry_type === '2') {
-    return {
-      kind: 'trade', symbol, price, size,
-      time: fields['60'], trade_id: fields['1003'],
-      aggressor_side: fields['5797'], rpt_seq,
-    }
-  }
-  if (entry_type !== '0' && entry_type !== '1') return null
-  if (!md_entry_id && order_id) return null
-
-  let action_str
-  if (action === '0') action_str = 'new'
-  else if (action === '1') action_str = 'change'
-  else if (action === '2') action_str = 'delete'
-  else return null
-
-  return {
-    kind: 'l2', symbol,
-    side: entry_type === '0' ? 'bid' : 'offer',
-    action: action_str,
-    price, size,
-    time: fields['60'], md_entry_id, rpt_seq,
-  }
-}
-
-// --- CoinbaseFixOrd ---
-
-class CoinbaseFixOrd {
-  constructor(api_key, secret_key, passphrase, options = {}) {
-    this.error_codes = options.error_codes || {}
-    this.pre_process_pair = options.pre_process_pair || ((p) => p)
-    this.pending = new Map()
-
-    this.fix = new ExchangeFix('coinbase_ord', {
-      host: options.host || 'fix-ord.exchange.coinbase.com',
-      port: options.port || 6121,
-      sender_comp_id: api_key,
-      target_comp_id: 'Coinbase',
-      heartbeat_interval: 30,
-      build_logon_fields: (seq, time) => {
-        let fields = build_logon_fields(api_key, secret_key, passphrase, seq, time)
-        fields.push([8013, 'S'])
-        return fields
-      },
-      on_execution_report: (fields) => this._handle_exec_report(fields),
-      on_cancel_reject: (fields) => this._handle_cancel_reject(fields),
-      on_reject: (fields) => this._handle_reject(fields),
-      on_status_change: (status) => {
-        console.log('[coinbase FIX ord] status:', status)
-        if (status === 'disconnected') this._flush_pending()
-      },
-    })
-  }
-
-  connect() { this.fix.connect() }
-  disconnect() { this.fix.disconnect() }
-  is_ready() { return this.fix.is_ready() }
-
-  send_new_order(pair, method, price, amount, order_options, cb) {
-    if (typeof order_options === 'function') { cb = order_options; order_options = {} }
-    let cl_ord_id = randomUUID()
-    let side = method === 'buy' ? '1' : '2'
-    let tif = '1'
-    if (order_options && order_options.ioc) tif = '3'
-    else if (order_options && order_options.fok) tif = '4'
-    let fields = [
-      [11, cl_ord_id], [55, this.pre_process_pair(pair)], [54, side],
-      [44, price.toString()], [38, amount.toString()], [40, 2], [59, tif], [21, 1],
-    ]
-    if (order_options && order_options.post_only) fields.push([18, 'A'])
-    let timeout_id = setTimeout(() => this._resolve_pending(cl_ord_id, { success: false, error: this.error_codes.timeout }), 15000)
-    this.pending.set(cl_ord_id, { cb, timeout_id, type: 'new' })
-    this.fix.send('D', fields)
-  }
-
-  send_cancel(pair, order_id, side, cb) {
-    let cl_ord_id = randomUUID()
-    let fix_side = side === 'buy' ? '1' : '2'
-    let fields = [
-      [11, cl_ord_id], [41, cl_ord_id], [37, order_id],
-      [55, this.pre_process_pair(pair)], [54, fix_side],
-    ]
-    let timeout_id = setTimeout(() => this._resolve_pending(cl_ord_id, { success: false, error: this.error_codes.timeout }), 15000)
-    this.pending.set(cl_ord_id, { cb, timeout_id, type: 'cancel', order_id })
-    this.fix.send('F', fields)
-  }
-
-  _handle_exec_report(fields) {
-    let cl_ord_id = fields['11'], ord_status = fields['39'], order_id = fields['37'] || '', ec = this.error_codes
-    if (ord_status === '0') {
-      this._resolve_pending(cl_ord_id, { success: true, body: order_id })
-    } else if (ord_status === '8') {
-      let text = fields['58'] || '', error = ec.other
-      if (text.includes('nsufficient') || text.includes('NSUFFICIENT')) error = ec.insufficient_funds
-      else if (fields['103'] === '2' || text.includes('too small') || text.includes('TOO_SMALL')) error = ec.amount_too_small
-      this._resolve_pending(cl_ord_id, { success: false, error, body: text })
-    } else if (ord_status === '4') {
-      if (this.pending.has(cl_ord_id)) this._resolve_pending(cl_ord_id, { success: true, body: order_id })
-      else this._resolve_pending_by_order_id(order_id, { success: true, body: order_id })
-    } else if (ord_status === '1' || ord_status === '2') {
-      if (this.pending.has(cl_ord_id) && this.pending.get(cl_ord_id).type === 'cancel')
-        this._resolve_pending(cl_ord_id, { success: false, error: ec.order_not_open, body: order_id })
-      else this._resolve_pending_by_order_id(order_id, { success: false, error: ec.order_not_open, body: order_id }, 'cancel')
-    }
-  }
-
-  _handle_cancel_reject(fields) {
-    let error = this.error_codes.other
-    if (fields['102'] === '1') error = this.error_codes.order_not_open
-    this._resolve_pending(fields['11'], { success: false, error, body: fields['58'] || '' })
-  }
-
-  _handle_reject(fields) {
-    let cl_ord_id = fields['379'] || fields['11'] || ''
-    if (cl_ord_id && this.pending.has(cl_ord_id))
-      this._resolve_pending(cl_ord_id, { success: false, error: this.error_codes.other, body: fields['58'] || '' })
-  }
-
-  _resolve_pending(cl_ord_id, result) {
-    let p = this.pending.get(cl_ord_id)
-    if (!p) return
-    clearTimeout(p.timeout_id)
-    this.pending.delete(cl_ord_id)
-    p.cb(result)
-  }
-
-  _resolve_pending_by_order_id(order_id, result, type_filter) {
-    for (let [id, p] of this.pending) {
-      if (p.order_id === order_id && (!type_filter || p.type === type_filter)) {
-        this._resolve_pending(id, result)
-        return
-      }
-    }
-  }
-
-  _flush_pending() {
-    for (let [id, p] of this.pending) { clearTimeout(p.timeout_id); p.cb({ success: false, error: this.error_codes.timeout }) }
-    this.pending.clear()
-  }
-}
-
-// --- CoinbaseFixMd ---
-
-class CoinbaseFixMd {
-  constructor(options) {
-    this.symbols = options.symbols || []
-    this.on_event = options.on_event || (() => {})
-    this.on_batch = options.on_batch || null  // called with array of parsed entries per data chunk
-    this.on_status = options.on_status || (() => {})
-    this.subscribed = false
-
-    this.fix = new ExchangeFix('coinbase_md', {
-      host: options.host || 'fix-md.exchange.coinbase.com',
-      port: options.port || 6121,
-      sender_comp_id: options.api_key,
-      target_comp_id: 'Coinbase',
-      heartbeat_interval: 30,
-      build_logon_fields: (seq, time) => build_logon_fields(options.api_key, options.secret_key, options.passphrase, seq, time),
-      on_market_data_batch: this.on_batch ? (batch) => this._handle_md_batch(batch) : undefined,
-      on_market_data_incremental: this.on_batch ? undefined : (fields) => this._handle_md(fields),
-      on_market_data_snapshot: (fields) => this._handle_md(fields),
-      on_market_data_request_reject: (fields) => {
-        console.log('[coinbase FIX md] request reject:', fields['58'] || '')
-      },
-      on_status_change: (status) => {
-        if (status === 'ready' && !this.subscribed) this._send_subscribe()
-        if (status === 'disconnected') this.subscribed = false
-        this.on_status(status)
-      },
-    })
-  }
-
-  connect() { this.fix.connect() }
-  disconnect() { this.fix.disconnect() }
-  is_ready() { return this.fix.is_ready() }
-
-  _send_subscribe() {
-    if (!this.symbols.length) return
-    let fields = [
-      [262, 'icg-md-' + Date.now()], [263, 1], [264, 0], [265, 1],
-      [267, 3], [269, 0], [269, 1], [269, 2],
-      [146, this.symbols.length],
-    ]
-    for (let s of this.symbols) fields.push([55, s])
-    this.fix.send('V', fields)
-    this.subscribed = true
-    console.log('[coinbase FIX md] subscribed:', this.symbols.join(','))
-  }
-
-  _handle_md(fields) {
-    const hr_recv = process.hrtime()
-    let entry = parse_md_entry(fields)
-    if (!entry) return
-    const hr_parsed = process.hrtime()
-    entry.ts_ms_venue_event = parse_event_ts_ms(entry.time)
-    entry.ts_ms_local_received = Date.now()
-    entry.hr_recv = hr_recv
-    entry.hr_parsed = hr_parsed
-    this.on_event(entry)
-  }
-
-  _handle_md_batch(batch) {
-    let entries = []
-    let now = Date.now()
-    for (let fields of batch) {
-      const hr_recv = process.hrtime()
-      let entry = parse_md_entry(fields)
-      if (!entry) continue
-      const hr_parsed = process.hrtime()
-      entry.ts_ms_venue_event = parse_event_ts_ms(entry.time)
-      entry.ts_ms_local_received = now
-      entry.hr_recv = hr_recv
-      entry.hr_parsed = hr_parsed
-      entries.push(entry)
-    }
-    if (entries.length) this.on_batch(entries)
-  }
-}
-
-module.exports = {
-  CoinbaseFixOrd,
-  CoinbaseFixMd,
-  build_logon_fields,
-  parse_md_entry,
-  parse_event_ts_ms,
-}