@lifi/perps-sdk-provider-hyperliquid 1.1.0 → 1.3.0

package/dist/cjs/websocket/HyperliquidWsProvider.js

@@ -1,8 +1,12 @@
 "use strict";
+var __importDefault = (this && this.__importDefault) || function (mod) {
+    return (mod && mod.__esModule) ? mod : { "default": mod };
+};
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.HyperliquidWsProvider = exports.hyperliquidWsProvider = void 0;
 const perps_sdk_1 = require("@lifi/perps-sdk");
 const perps_types_1 = require("@lifi/perps-types");
+const big_js_1 = __importDefault(require("big.js"));
 const constants_js_1 = require("../constants.js");
 const index_js_1 = require("../utils/index.js");
 const HL_L2_BOOK_MAX_LEVELS_PER_SIDE = 20;
@@ -13,8 +17,14 @@ class HyperliquidWsProvider extends perps_sdk_1.WsProviderBase {
     client;
     registry;
     perpCtxBySubDex = new Map();
+    spotCtxByMarketId = {};
+    orderbookKeysByMarketId = new Map();
+    latestOrderbookByMarketId = new Map();
     fastCtxByMarketId = {};
     fastDecodeChain = Promise.resolve();
+    pacDecodeChain = Promise.resolve();
+    sacDecodeChain = Promise.resolve();
+    orderbookDecodeChain = Promise.resolve();
     constructor(wsUrl, providerKey, client) {
         super(new perps_sdk_1.ReconnectingWebSocket(wsUrl, { pingPayload: '{"method":"ping"}' }), providerKey);
         this.client = client;
@@ -45,19 +55,32 @@ class HyperliquidWsProvider extends perps_sdk_1.WsProviderBase {
                     this.rws.send(JSON.stringify({ method: 'unsubscribe', subscription: payload }));
                 }
                 this.perpCtxBySubDex.clear();
+                this.spotCtxByMarketId = {};
                 this.fastCtxByMarketId = {};
             };
         }
         const key = this.toKey(sub);
+        if (sub.channel === 'orderbook') {
+            this.claimOrderbookKey(sub.marketId, key);
+        }
         const payload = this.toHlPayload(sub);
         await this.registerSub(key, payload);
+        if (sub.channel === 'orderbook') {
+            this.registerOrderbook(sub.marketId, key);
+        }
         await this.rws.ready();
         return () => {
             this.unregisterSub(key);
             if (this.orderUpdatesKey === key) {
                 this.orderUpdatesKey = undefined;
             }
-            this.rws.send(JSON.stringify({ method: 'unsubscribe', subscription: payload }));
+            this.rws.send(JSON.stringify({
+                method: 'unsubscribe',
+                subscription: payload,
+            }));
+            if (sub.channel === 'orderbook') {
+                this.releaseOrderbook(sub.marketId, key);
+            }
         };
     }
     claimOrderUpdatesKey(key) {
@@ -72,15 +95,57 @@ class HyperliquidWsProvider extends perps_sdk_1.WsProviderBase {
         }
         this.orderUpdatesKey = key;
     }
+    claimOrderbookKey(marketId, key) {
+        const activeKeys = this.orderbookKeysByMarketId.get(marketId);
+        if (activeKeys === undefined) {
+            return;
+        }
+        for (const activeKey of [...activeKeys]) {
+            if (activeKey === key) {
+                continue;
+            }
+            if (!this.closeChannelIfIdle(activeKey)) {
+                throw new Error(`Hyperliquid supports one orderbook aggregation per market per ` +
+                    `provider instance. Unsubscribe ${activeKey} before subscribing ${key}.`);
+            }
+        }
+    }
     getMarketsContextSubEntries() {
         return [
-            { subKey: 'allDexsAssetCtxs', payload: { type: 'allDexsAssetCtxs' } },
+            { subKey: 'pac', payload: { type: 'pac' } },
+            { subKey: 'sac', payload: { type: 'sac' } },
             { subKey: 'fastAssetCtxs', payload: { type: 'fastAssetCtxs' } },
         ];
     }
+    registerOrderbook(marketId, orderbookKey) {
+        let activeKeys = this.orderbookKeysByMarketId.get(marketId);
+        if (activeKeys === undefined) {
+            activeKeys = new Set();
+            this.orderbookKeysByMarketId.set(marketId, activeKeys);
+        }
+        activeKeys.add(orderbookKey);
+    }
+    releaseOrderbook(marketId, orderbookKey) {
+        const activeKeys = this.orderbookKeysByMarketId.get(marketId);
+        if (activeKeys === undefined) {
+            return;
+        }
+        activeKeys.delete(orderbookKey);
+        if (activeKeys.size > 0) {
+            return;
+        }
+        this.orderbookKeysByMarketId.delete(marketId);
+    }
     onClose() {
         this.perpCtxBySubDex.clear();
+        this.spotCtxByMarketId = {};
         this.fastCtxByMarketId = {};
+        this.orderbookKeysByMarketId.clear();
+        this.latestOrderbookByMarketId.clear();
+        this.fastDecodeChain = Promise.resolve();
+        this.pacDecodeChain = Promise.resolve();
+        this.sacDecodeChain = Promise.resolve();
+        this.orderbookDecodeChain = Promise.resolve();
         this.orderUpdatesKey = undefined;
     }
     sendSubscribe(payload) {
@@ -91,9 +156,11 @@ class HyperliquidWsProvider extends perps_sdk_1.WsProviderBase {
             case 'marketsContext':
                 return 'marketsContext';
             case 'orderbook':
-                return `l2Book:${sub.marketId}`;
+                return `l2:${sub.marketId}:${this.orderbookAggregationKey(sub.marketId, sub.priceStep)}`;
             case 'candle':
                 return `candle:${sub.marketId}:${sub.interval}`;
+            case 'trades':
+                return `trades:${sub.marketId}`;
             case 'orderUpdates':
                 return `orderUpdates:${sub.address.toLowerCase()}`;
             case 'fills':
@@ -104,24 +171,45 @@ class HyperliquidWsProvider extends perps_sdk_1.WsProviderBase {
                 return `spotState:${sub.address.toLowerCase()}`;
         }
     }
+    orderbookAggregation(marketId, priceStep) {
+        if (priceStep === undefined) {
+            return {};
+        }
+        return (0, index_js_1.priceStepToAggregation)(priceStep, this.orderbookReferencePrice(marketId));
+    }
+    orderbookAggregationKey(marketId, priceStep) {
+        const aggregation = this.orderbookAggregation(marketId, priceStep);
+        const nSigFigs = aggregation.nSigFigs ?? null;
+        const mantissa = aggregation.mantissa ?? null;
+        if (nSigFigs === null && mantissa === null) {
+            return 'full';
+        }
+        return `s:${nSigFigs}:m:${mantissa}`;
+    }
     toHlPayload(sub) {
         switch (sub.channel) {
             case 'marketsContext':
                 return { type: 'allDexsAssetCtxs' };
-            case 'orderbook':
+            case 'orderbook': {
+                const aggregation = this.orderbookAggregation(sub.marketId, sub.priceStep);
                 return {
-                    type: 'l2Book',
-                    coin: sub.marketId,
-                    ...(sub.priceStep !== undefined
-                        ? (0, index_js_1.priceStepToAggregation)(sub.priceStep, this.mergedMids().get(sub.marketId) ?? Number.NaN)
-                        : {}),
+                    type: 'l2',
+                    c: sub.marketId,
+                    s: aggregation.nSigFigs ?? null,
+                    m: aggregation.mantissa ?? null,
                 };
+            }
             case 'candle':
                 return {
                     type: 'candle',
                     coin: sub.marketId,
                     interval: sub.interval,
                 };
+            case 'trades':
+                return {
+                    type: 'trades',
+                    coin: sub.marketId,
+                };
             case 'orderUpdates':
                 return { type: 'orderUpdates', user: sub.address };
             case 'fills':
@@ -159,15 +247,27 @@ class HyperliquidWsProvider extends perps_sdk_1.WsProviderBase {
                 case 'allDexsAssetCtxs':
                     this.handleAllDexsAssetCtxs(msg.data);
                     break;
+                case 'pac':
+                    this.handlePac(msg.data);
+                    break;
+                case 'sac':
+                    this.handleSac(msg.data);
+                    break;
                 case 'fastAssetCtxs':
                     this.handleFastAssetCtxs(msg.data);
                     break;
+                case 'l2':
+                    this.handleL2(msg.data);
+                    break;
                 case 'l2Book':
                     this.handleL2Book(msg.data);
                     break;
                 case 'candle':
                     this.handleCandle(msg.data);
                     break;
+                case 'trades':
+                    this.handleTrades(msg.data);
+                    break;
                 case 'orderUpdates':
                     this.handleOrderUpdates(msg.data);
                     break;
@@ -187,14 +287,65 @@ class HyperliquidWsProvider extends perps_sdk_1.WsProviderBase {
         }
     }
     handleAllDexsAssetCtxs(data) {
-        for (const [dex, ctxs] of data.assetCtxs) {
-            const byMarketId = {};
+        this.mergePerpAssetCtxEntries(allDexsAssetCtxEntries(data));
+        this.emitMarketsContext();
+    }
+    handlePac(base64) {
+        this.pacDecodeChain = this.pacDecodeChain
+            .then(async () => {
+            this.mergePerpAssetCtxEntries(await (0, index_js_1.decodeCompressedJson)(base64));
+            this.emitMarketsContext();
+        })
+            .catch((error) => perps_sdk_1.wsLog.handlerFailure(this.providerKey, error));
+    }
+    mergePerpAssetCtxEntries(entries) {
+        for (const [dex, ctxs] of entries) {
+            const previous = this.perpCtxBySubDex.get(dex || 'default');
+            const byMarketId = {
+                ...(previous ?? {}),
+            };
             for (const ctx of ctxs) {
-                byMarketId[ctx.coin] = ctx;
+                const marketId = ctx.coin;
+                if (marketId === undefined) {
+                    continue;
+                }
+                const merged = mergePerpAssetCtx(previous?.[marketId], marketId, ctx);
+                if (merged !== undefined) {
+                    byMarketId[marketId] = merged;
+                }
             }
             this.perpCtxBySubDex.set(dex || 'default', byMarketId);
         }
-        this.emitMarketsContext();
+    }
+    handleSac(base64) {
+        this.sacDecodeChain = this.sacDecodeChain
+            .then(async () => {
+            const spotMarketIdBySacKey = this.spotMarketIdBySacKey();
+            const ctxs = await (0, index_js_1.decodeCompressedJson)(base64);
+            for (const [sacKey, ctx] of Object.entries(ctxs)) {
+                const marketId = spotMarketIdBySacKey.get(sacKey);
+                if (marketId === undefined) {
+                    continue;
+                }
+                this.spotCtxByMarketId[marketId] = {
+                    ...this.spotCtxByMarketId[marketId],
+                    ...ctx,
+                };
+            }
+            this.emitMarketsContext();
+        })
+            .catch((error) => perps_sdk_1.wsLog.handlerFailure(this.providerKey, error));
+    }
+    spotMarketIdBySacKey() {
+        const map = new Map();
+        for (const market of this.registry?.markets ?? []) {
+            if (market.categoryId !== constants_js_1.SPOT_MARKET_ID) {
+                continue;
+            }
+            map.set(market.id, market.id);
+            map.set(`${market.baseAsset.displaySymbol}/${market.quoteAsset.displaySymbol}`, market.id);
+        }
+        return map;
     }
     handleFastAssetCtxs(base64) {
         this.fastDecodeChain = this.fastDecodeChain
@@ -224,6 +375,23 @@ class HyperliquidWsProvider extends perps_sdk_1.WsProviderBase {
                 };
             }
         }
+        for (const [marketId, ctx] of Object.entries(this.spotCtxByMarketId)) {
+            const midPrice = toMarketContextString(ctx.midPx ?? ctx.markPx);
+            const markPrice = toMarketContextString(ctx.markPx);
+            if (midPrice === undefined || markPrice === undefined) {
+                continue;
+            }
+            const fast = this.fastCtxByMarketId[marketId];
+            const emittedMarkPrice = fast?.markPx != null ? fast.markPx : markPrice;
+            data[marketId] = {
+                marketId,
+                midPrice: fast?.midPx != null ? fast.midPx : midPrice,
+                markPrice: emittedMarkPrice,
+                prevDayPrice: toMarketContextString(ctx.prevDayPx),
+                volume24h: toMarketContextString(ctx.dayNtlVlm),
+                marketCap: toMarketCapString(emittedMarkPrice, ctx.circulatingSupply),
+            };
+        }
         for (const [marketId, fast] of Object.entries(this.fastCtxByMarketId)) {
             if (data[marketId] !== undefined) {
                 continue;
@@ -244,6 +412,12 @@ class HyperliquidWsProvider extends perps_sdk_1.WsProviderBase {
                 map.set(id, Number(mid));
             }
         }
+        for (const [id, ctx] of Object.entries(this.spotCtxByMarketId)) {
+            const mid = ctx.midPx ?? ctx.markPx;
+            if (mid != null) {
+                map.set(id, Number(mid));
+            }
+        }
         for (const [id, fast] of Object.entries(this.fastCtxByMarketId)) {
             const mid = fast.midPx ?? fast.markPx;
             if (mid != null) {
@@ -252,21 +426,74 @@ class HyperliquidWsProvider extends perps_sdk_1.WsProviderBase {
         }
         return map;
     }
+    orderbookReferencePrice(marketId) {
+        const mid = this.mergedMids().get(marketId);
+        if (mid !== undefined) {
+            return mid;
+        }
+        const book = this.latestOrderbookByMarketId.get(marketId);
+        const bid = book?.bids[0]?.price;
+        const ask = book?.asks[0]?.price;
+        if (bid !== undefined && ask !== undefined) {
+            return (Number(bid) + Number(ask)) / 2;
+        }
+        return Number.NaN;
+    }
     handleL2Book(data) {
-        this.emit(`l2Book:${data.coin}`, {
-            channel: 'orderbook',
-            data: {
-                provider: this.providerKey,
-                marketId: data.coin,
-                bids: data.levels[0]
-                    .slice(0, HL_L2_BOOK_MAX_LEVELS_PER_SIDE)
-                    .map((l) => ({ price: l.px, size: l.sz })),
-                asks: data.levels[1]
-                    .slice(0, HL_L2_BOOK_MAX_LEVELS_PER_SIDE)
-                    .map((l) => ({ price: l.px, size: l.sz })),
-                timestamp: data.time,
-            },
-        });
+        const book = {
+            provider: this.providerKey,
+            marketId: data.coin,
+            bids: data.levels[0]
+                .slice(0, HL_L2_BOOK_MAX_LEVELS_PER_SIDE)
+                .map((l) => ({ price: l.px, size: l.sz })),
+            asks: data.levels[1]
+                .slice(0, HL_L2_BOOK_MAX_LEVELS_PER_SIDE)
+                .map((l) => ({ price: l.px, size: l.sz })),
+            timestamp: data.time,
+        };
+        this.latestOrderbookByMarketId.set(data.coin, book);
+        this.emitOrderbook(data.coin, book);
+    }
+    handleL2(data) {
+        if (data.s !== undefined) {
+            this.handleL2Book(data.s);
+        }
+        if (data.u !== undefined) {
+            this.handleCompactL2Delta(data.u);
+        }
+        if (data.c === undefined) {
+            return;
+        }
+        const compressed = data.c;
+        this.orderbookDecodeChain = this.orderbookDecodeChain
+            .then(async () => {
+            this.handleCompactL2Delta(await (0, index_js_1.decodeCompressedJson)(compressed));
+        })
+            .catch((error) => perps_sdk_1.wsLog.handlerFailure(this.providerKey, error));
+    }
+    handleCompactL2Delta(delta) {
+        const previous = this.latestOrderbookByMarketId.get(delta.c);
+        if (previous === undefined) {
+            return;
+        }
+        const book = {
+            provider: this.providerKey,
+            marketId: delta.c,
+            bids: applyCompressedL2Side(previous.bids, delta.l[0], delta.r?.[0] ?? [], 'bid'),
+            asks: applyCompressedL2Side(previous.asks, delta.l[1], delta.r?.[1] ?? [], 'ask'),
+            timestamp: delta.t,
+        };
+        this.latestOrderbookByMarketId.set(delta.c, book);
+        this.emitOrderbook(delta.c, book);
+    }
+    emitOrderbook(marketId, book) {
+        const keys = this.orderbookKeysByMarketId.get(marketId);
+        if (keys === undefined) {
+            return;
+        }
+        for (const key of keys) {
+            this.emit(key, { channel: 'orderbook', data: book });
+        }
     }
     handleCandle(data) {
         this.emit(`candle:${data.s}:${data.i}`, {
@@ -281,6 +508,24 @@ class HyperliquidWsProvider extends perps_sdk_1.WsProviderBase {
             },
         });
     }
+    handleTrades(data) {
+        for (const trade of data) {
+            this.emit(`trades:${trade.coin}`, {
+                channel: 'trades',
+                data: [
+                    {
+                        provider: this.providerKey,
+                        marketId: trade.coin,
+                        price: trade.px,
+                        size: trade.sz,
+                        timestamp: trade.time,
+                        side: trade.side === 'B' ? 'buy' : 'sell',
+                        id: trade.tid !== undefined ? String(trade.tid) : trade.hash,
+                    },
+                ],
+            });
+        }
+    }
     handleOrderUpdates(data) {
         const key = this.orderUpdatesKey;
         if (key === undefined) {
@@ -371,8 +616,89 @@ class HyperliquidWsProvider extends perps_sdk_1.WsProviderBase {
 }
 exports.HyperliquidWsProvider = HyperliquidWsProvider;
 const isObject = (v) => typeof v === 'object' && v !== null;
+const toMarketContextString = (value) => typeof value === 'string' || typeof value === 'number'
+    ? String(value)
+    : undefined;
+const toMarketCapString = (price, circulatingSupply) => {
+    const priceString = toMarketContextString(price);
+    const supplyString = toMarketContextString(circulatingSupply);
+    if (priceString === undefined || supplyString === undefined) {
+        return undefined;
+    }
+    try {
+        const parsedPrice = new big_js_1.default(priceString);
+        const parsedSupply = new big_js_1.default(supplyString);
+        if (parsedPrice.lte(0) || parsedSupply.lte(0)) {
+            return undefined;
+        }
+        return parsedPrice.times(parsedSupply).toFixed();
+    }
+    catch {
+        return undefined;
+    }
+};
+function mergePerpAssetCtx(previous, marketId, update) {
+    const funding = update.funding ?? previous?.funding;
+    const openInterest = update.openInterest ?? previous?.openInterest;
+    const dayNtlVlm = update.dayNtlVlm ?? previous?.dayNtlVlm;
+    const prevDayPx = update.prevDayPx ?? previous?.prevDayPx;
+    const markPx = update.markPx ?? previous?.markPx;
+    const midPx = 'midPx' in update ? update.midPx : previous?.midPx;
+    const oraclePx = update.oraclePx ?? previous?.oraclePx;
+    if (funding === undefined ||
+        openInterest === undefined ||
+        dayNtlVlm === undefined ||
+        prevDayPx === undefined ||
+        markPx === undefined ||
+        midPx === undefined ||
+        oraclePx === undefined) {
+        return undefined;
+    }
+    return {
+        coin: marketId,
+        funding,
+        openInterest,
+        dayNtlVlm,
+        prevDayPx,
+        markPx,
+        midPx,
+        oraclePx,
+    };
+}
+function allDexsAssetCtxEntries(data) {
+    return data.assetCtxs ?? data.ctxs ?? [];
+}
+function compactRemovalPrice(levels, value) {
+    if (typeof value === 'number') {
+        return levels[value]?.price;
+    }
+    return typeof value === 'string' ? value : value.p;
+}
+function applyCompressedL2Side(previous, updates, removals, side) {
+    const byPrice = new Map(previous.map((level) => [level.price, level.size]));
+    for (const removal of removals) {
+        const price = compactRemovalPrice(previous, removal);
+        if (price !== undefined) {
+            byPrice.delete(price);
+        }
+    }
+    for (const update of updates) {
+        if (Number(update.s) === 0) {
+            byPrice.delete(update.p);
+        }
+        else {
+            byPrice.set(update.p, update.s);
+        }
+    }
+    return [...byPrice.entries()]
+        .map(([price, size]) => ({ price, size }))
+        .sort((a, b) => side === 'bid'
+        ? Number(b.price) - Number(a.price)
+        : Number(a.price) - Number(b.price))
+        .slice(0, HL_L2_BOOK_MAX_LEVELS_PER_SIDE);
+}
 function isValidHlFrame(channel, data) {
-    if (channel === 'fastAssetCtxs') {
+    if (channel === 'fastAssetCtxs' || channel === 'pac' || channel === 'sac') {
         return typeof data === 'string';
     }
     if (!isObject(data)) {
@@ -380,15 +706,19 @@ function isValidHlFrame(channel, data) {
     }
     switch (channel) {
         case 'allDexsAssetCtxs':
-            return Array.isArray(data.assetCtxs);
+            return Array.isArray(data.assetCtxs) || Array.isArray(data.ctxs);
         case 'l2Book':
             return (typeof data.coin === 'string' &&
                 Array.isArray(data.levels) &&
                 Array.isArray(data.levels[0]) &&
                 Array.isArray(data.levels[1]) &&
                 typeof data.time === 'number');
+        case 'l2':
+            return typeof data.c === 'string' || isObject(data.s) || isObject(data.u);
         case 'candle':
             return typeof data.s === 'string' && typeof data.i === 'string';
+        case 'trades':
+            return Array.isArray(data);
         case 'orderUpdates':
             return Array.isArray(data);
         case 'userFills':

package/dist/cjs/websocket/HyperliquidWsProvider.js.map

@@ -1 +1 @@
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